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Unit test for broker with multiple submit twap orders #1104

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Aug 12, 2024
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Unit test for broker with multiple submit twap orders #1104

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150 changes: 150 additions & 0 deletions ...ithDynamicScheduler.test_submit_twap_orders_multiple_submission/output/actual_orders1.txt
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[Order:
order_id=0
creation_timestamp=2022-08-05 05:30:00-04:00
asset_id=1464553467
type_=limit
start_timestamp=2022-08-05 05:30:00-04:00
end_timestamp=2022-08-05 05:30:10-04:00
curr_num_shares=0.0
diff_num_shares=40.0
tz=America/New_York
extra_params={'ccxt_id': [0],
'oms_parent_order_id': 1,
'stats': {'_submit_single_order_to_ccxt::all_attempts_end.timestamp': Timestamp('2022-08-05 05:30:02-0400', tz='America/New_York'),
'_submit_single_order_to_ccxt::attempt_num': 1,
'_submit_single_order_to_ccxt::start.timestamp': Timestamp('2022-08-05 05:30:00-0400', tz='America/New_York'),
'_submit_twap_child_order::bid_ask_market_data.done': Timestamp('2022-08-05 05:30:00-0400', tz='America/New_York'),
'_submit_twap_child_order::bid_ask_market_data.start': Timestamp('2022-08-05 05:30:00-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.created': Timestamp('2022-08-05 05:30:00-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.limit_price_calculated': Timestamp('2022-08-05 05:30:00-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.logged': Timestamp('2022-08-05 05:30:02-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.submission_started': Timestamp('2022-08-05 05:30:00-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.submitted': Timestamp('2022-08-05 05:30:02-0400', tz='America/New_York'),
'_submit_twap_child_order::get_open_positions.done': Timestamp('2022-08-05 05:30:00-0400', tz='America/New_York'),
'_submit_twap_child_order::wave_id': 0,
'_submit_twap_orders::aligned_with_next_wave.end': Timestamp('2022-08-05 05:30:10-0400', tz='America/New_York')}},
Order:
order_id=1
creation_timestamp=2022-08-05 05:30:10-04:00
asset_id=1464553467
type_=limit
start_timestamp=2022-08-05 05:30:10-04:00
end_timestamp=2022-08-05 05:30:20-04:00
curr_num_shares=20.0
diff_num_shares=20.0
tz=America/New_York
extra_params={'ccxt_id': [1],
'oms_parent_order_id': 1,
'stats': {'_submit_single_order_to_ccxt::all_attempts_end.timestamp': Timestamp('2022-08-05 05:30:12-0400', tz='America/New_York'),
'_submit_single_order_to_ccxt::attempt_num': 1,
'_submit_single_order_to_ccxt::start.timestamp': Timestamp('2022-08-05 05:30:10-0400', tz='America/New_York'),
'_submit_twap_child_order::bid_ask_market_data.done': Timestamp('2022-08-05 05:30:10-0400', tz='America/New_York'),
'_submit_twap_child_order::bid_ask_market_data.start': Timestamp('2022-08-05 05:30:10-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.created': Timestamp('2022-08-05 05:30:10-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.limit_price_calculated': Timestamp('2022-08-05 05:30:10-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.logged': Timestamp('2022-08-05 05:30:12-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.submission_started': Timestamp('2022-08-05 05:30:10-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.submitted': Timestamp('2022-08-05 05:30:12-0400', tz='America/New_York'),
'_submit_twap_child_order::get_open_positions.done': Timestamp('2022-08-05 05:30:10-0400', tz='America/New_York'),
'_submit_twap_child_order::wave_id': 1,
'_submit_twap_orders::aligned_with_next_wave.end': Timestamp('2022-08-05 05:30:20-0400', tz='America/New_York')}},
Order:
order_id=2
creation_timestamp=2022-08-05 05:30:20-04:00
asset_id=1464553467
type_=limit
start_timestamp=2022-08-05 05:30:20-04:00
end_timestamp=2022-08-05 05:30:30-04:00
curr_num_shares=30.0
diff_num_shares=10.0
tz=America/New_York
extra_params={'ccxt_id': [2],
'oms_parent_order_id': 1,
'stats': {'_submit_single_order_to_ccxt::all_attempts_end.timestamp': Timestamp('2022-08-05 05:30:22-0400', tz='America/New_York'),
'_submit_single_order_to_ccxt::attempt_num': 1,
'_submit_single_order_to_ccxt::start.timestamp': Timestamp('2022-08-05 05:30:20-0400', tz='America/New_York'),
'_submit_twap_child_order::bid_ask_market_data.done': Timestamp('2022-08-05 05:30:20-0400', tz='America/New_York'),
'_submit_twap_child_order::bid_ask_market_data.start': Timestamp('2022-08-05 05:30:20-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.created': Timestamp('2022-08-05 05:30:20-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.limit_price_calculated': Timestamp('2022-08-05 05:30:20-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.logged': Timestamp('2022-08-05 05:30:22-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.submission_started': Timestamp('2022-08-05 05:30:20-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.submitted': Timestamp('2022-08-05 05:30:22-0400', tz='America/New_York'),
'_submit_twap_child_order::get_open_positions.done': Timestamp('2022-08-05 05:30:20-0400', tz='America/New_York'),
'_submit_twap_child_order::wave_id': 2,
'_submit_twap_orders::aligned_with_next_wave.end': Timestamp('2022-08-05 05:30:30-0400', tz='America/New_York')}},
Order:
order_id=3
creation_timestamp=2022-08-05 05:30:30-04:00
asset_id=1464553467
type_=limit
start_timestamp=2022-08-05 05:30:30-04:00
end_timestamp=2022-08-05 05:30:40-04:00
curr_num_shares=35.0
diff_num_shares=5.0
tz=America/New_York
extra_params={'ccxt_id': [3],
'oms_parent_order_id': 1,
'stats': {'_submit_single_order_to_ccxt::all_attempts_end.timestamp': Timestamp('2022-08-05 05:30:32-0400', tz='America/New_York'),
'_submit_single_order_to_ccxt::attempt_num': 1,
'_submit_single_order_to_ccxt::start.timestamp': Timestamp('2022-08-05 05:30:30-0400', tz='America/New_York'),
'_submit_twap_child_order::bid_ask_market_data.done': Timestamp('2022-08-05 05:30:30-0400', tz='America/New_York'),
'_submit_twap_child_order::bid_ask_market_data.start': Timestamp('2022-08-05 05:30:30-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.created': Timestamp('2022-08-05 05:30:30-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.limit_price_calculated': Timestamp('2022-08-05 05:30:30-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.logged': Timestamp('2022-08-05 05:30:32-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.submission_started': Timestamp('2022-08-05 05:30:30-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.submitted': Timestamp('2022-08-05 05:30:32-0400', tz='America/New_York'),
'_submit_twap_child_order::get_open_positions.done': Timestamp('2022-08-05 05:30:30-0400', tz='America/New_York'),
'_submit_twap_child_order::wave_id': 3,
'_submit_twap_orders::aligned_with_next_wave.end': Timestamp('2022-08-05 05:30:40-0400', tz='America/New_York')}},
Order:
order_id=4
creation_timestamp=2022-08-05 05:30:40-04:00
asset_id=1464553467
type_=limit
start_timestamp=2022-08-05 05:30:40-04:00
end_timestamp=2022-08-05 05:30:50-04:00
curr_num_shares=37.5
diff_num_shares=2.5
tz=America/New_York
extra_params={'ccxt_id': [4],
'oms_parent_order_id': 1,
'stats': {'_submit_single_order_to_ccxt::all_attempts_end.timestamp': Timestamp('2022-08-05 05:30:42-0400', tz='America/New_York'),
'_submit_single_order_to_ccxt::attempt_num': 1,
'_submit_single_order_to_ccxt::start.timestamp': Timestamp('2022-08-05 05:30:40-0400', tz='America/New_York'),
'_submit_twap_child_order::bid_ask_market_data.done': Timestamp('2022-08-05 05:30:40-0400', tz='America/New_York'),
'_submit_twap_child_order::bid_ask_market_data.start': Timestamp('2022-08-05 05:30:40-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.created': Timestamp('2022-08-05 05:30:40-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.limit_price_calculated': Timestamp('2022-08-05 05:30:40-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.logged': Timestamp('2022-08-05 05:30:42-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.submission_started': Timestamp('2022-08-05 05:30:40-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.submitted': Timestamp('2022-08-05 05:30:42-0400', tz='America/New_York'),
'_submit_twap_child_order::get_open_positions.done': Timestamp('2022-08-05 05:30:40-0400', tz='America/New_York'),
'_submit_twap_child_order::wave_id': 4,
'_submit_twap_orders::aligned_with_next_wave.end': Timestamp('2022-08-05 05:30:50-0400', tz='America/New_York')}},
Order:
order_id=5
creation_timestamp=2022-08-05 05:30:50-04:00
asset_id=1464553467
type_=limit
start_timestamp=2022-08-05 05:30:50-04:00
end_timestamp=2022-08-05 05:31:00-04:00
curr_num_shares=38.75
diff_num_shares=1.25
tz=America/New_York
extra_params={'ccxt_id': [5],
'oms_parent_order_id': 1,
'stats': {'_submit_single_order_to_ccxt::all_attempts_end.timestamp': Timestamp('2022-08-05 05:30:52-0400', tz='America/New_York'),
'_submit_single_order_to_ccxt::attempt_num': 1,
'_submit_single_order_to_ccxt::start.timestamp': Timestamp('2022-08-05 05:30:50-0400', tz='America/New_York'),
'_submit_twap_child_order::bid_ask_market_data.done': Timestamp('2022-08-05 05:30:50-0400', tz='America/New_York'),
'_submit_twap_child_order::bid_ask_market_data.start': Timestamp('2022-08-05 05:30:50-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.created': Timestamp('2022-08-05 05:30:50-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.limit_price_calculated': Timestamp('2022-08-05 05:30:50-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.logged': Timestamp('2022-08-05 05:30:52-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.submission_started': Timestamp('2022-08-05 05:30:50-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.submitted': Timestamp('2022-08-05 05:30:52-0400', tz='America/New_York'),
'_submit_twap_child_order::get_open_positions.done': Timestamp('2022-08-05 05:30:50-0400', tz='America/New_York'),
'_submit_twap_child_order::wave_id': 5,
'_submit_twap_orders::aligned_with_next_wave.end': Timestamp('2022-08-05 05:30:55-0400', tz='America/New_York')}}]
25 changes: 25 additions & 0 deletions ...ynamicScheduler.test_submit_twap_orders_multiple_submission/output/actual_orders1.txt.tmp
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[Order:
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order_id=0
creation_timestamp=2022-08-05 05:30:00-04:00
asset_id=1464553467
type_=limit
start_timestamp=2022-08-05 05:30:00-04:00
end_timestamp=2022-08-05 05:31:00-04:00
curr_num_shares=12.0
diff_num_shares=-12.0
tz=America/New_York
extra_params={'ccxt_id': [0],
'oms_parent_order_id': 1,
'stats': {'_submit_single_order_to_ccxt::all_attempts_end.timestamp': Timestamp('2022-08-05 05:30:02-0400', tz='America/New_York'),
'_submit_single_order_to_ccxt::attempt_num': 1,
'_submit_single_order_to_ccxt::start.timestamp': Timestamp('2022-08-05 05:30:00-0400', tz='America/New_York'),
'_submit_twap_child_order::bid_ask_market_data.done': Timestamp('2022-08-05 05:30:00-0400', tz='America/New_York'),
'_submit_twap_child_order::bid_ask_market_data.start': Timestamp('2022-08-05 05:30:00-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.created': Timestamp('2022-08-05 05:30:00-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.limit_price_calculated': Timestamp('2022-08-05 05:30:00-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.logged': Timestamp('2022-08-05 05:30:02-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.submission_started': Timestamp('2022-08-05 05:30:00-0400', tz='America/New_York'),
'_submit_twap_child_order::child_order.submitted': Timestamp('2022-08-05 05:30:02-0400', tz='America/New_York'),
'_submit_twap_child_order::get_open_positions.done': Timestamp('2022-08-05 05:30:00-0400', tz='America/New_York'),
'_submit_twap_child_order::wave_id': 0,
'_submit_twap_orders::aligned_with_next_wave.end': Timestamp('2022-08-05 05:30:55-0400', tz='America/New_York')}}]
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