116 lines
3.3 KiB
Python
116 lines
3.3 KiB
Python
'''
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Execution identity across IB fill and commission callbacks.
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'''
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from types import SimpleNamespace
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from bidict import bidict
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from ib_async import (
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CommissionReport,
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Contract,
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Execution,
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Fill,
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Position,
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)
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import pytest
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import trio
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from piker.brokers.ib import broker
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from piker.brokers.ib.ledger import api_trades_to_ledger_entries
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def make_fill(tid: str) -> Fill:
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return Fill(
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Contract(conId=815824267, secType='FUT', symbol='MNQ'),
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Execution(
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execId=tid,
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acctNumber='DU_TEST',
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time=1789586554.0,
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),
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CommissionReport(),
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1789586554.0,
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)
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def test_execution_id_survives_empty_commission() -> None:
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'''
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Flattening a default CommissionReport erased Execution.execId,
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causing a real fill to be skipped as an ID-less adjustment. Pass
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a fill with a valid execution and empty commission through ledger
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conversion and assert that its account and execution survive.
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'''
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entries = api_trades_to_ledger_entries(
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bidict({'DU_TEST': 'ib.algopaper'}),
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[make_fill('execution-1')],
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)
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assert entries['ib.algopaper']['execution-1']['execId'] == (
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'execution-1'
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)
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@pytest.mark.parametrize('position_first', [True, False])
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def test_overlapping_execution_commissions(
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monkeypatch: pytest.MonkeyPatch,
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position_first: bool,
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) -> None:
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'''
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Two executions on one contract shared a single pending Fill.
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A commission for execution A could therefore account execution B.
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Queue both executions before either commission, delivering fees
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in reverse order, and exercise positions before and after fees.
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The deterministic channel order verifies every execution reaches
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accounting once with its own fee, including a zero commission.
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'''
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fills = [make_fill('A'), make_fill('B')]
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pos = Position('DU_TEST', fills[0].contract, 2, 58000)
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recorded = []
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async def capture(*args, ibpos, fill=None):
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if fill is not None:
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recorded.append((
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fill.execution.execId,
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fill.commissionReport.execId,
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fill.commissionReport.commission,
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ibpos.account,
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))
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monkeypatch.setattr(broker, 'emit_pp_update', capture)
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monkeypatch.setattr(
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broker, 'pack_position', lambda *args: ('815824267', {})
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)
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async def main():
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send, recv = trio.open_memory_channel(10)
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events = [
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('execDetailsEvent', (
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SimpleNamespace(contract=fill.contract), fill,
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))
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for fill in fills
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]
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events.extend([
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('commissionReportEvent', (
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fills[1], CommissionReport(execId='B', commission=0),
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)),
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('commissionReportEvent', (
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fills[0], CommissionReport(execId='A', commission=.61),
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)),
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])
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events.insert(0 if position_first else len(events), (
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'positionEvent', pos,
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))
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async with send, recv:
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for event in events:
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send.send_nowait(event)
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await send.aclose()
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await broker.deliver_trade_events(
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recv, None, {}, {}, {}, {}, None,
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)
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trio.run(main)
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assert recorded == [
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('B', 'B', 0, 'DU_TEST'),
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('A', 'A', .61, 'DU_TEST'),
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]
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