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ENH: Send transactions and orders as standalone events.
- Add transaction and order types - Move TransactionSimulator from trading.py to tradesimulation.py (only used by other members of the tradesimulation module) - Make Transaction an independent event, like dividend - Add Blotter class. - Flatten the transaction events to be independent of trade bar events - Make orders into events that reach performance (need to add handling) - Issue IDs to orders and tracking each transaction's order id. - Make volume share slippage fill orders independently, rather than aggregating them into a single transaction. - Perf tracker holds orders, serializes them with transactions. - Order state defined and maintained by order class. - Minutely emission of orders based on last_modified date.
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@@ -66,10 +66,12 @@ class TestAlgo(TradingAlgorithm):
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self.ordered = True
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self.asserter.assertGreaterEqual(
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self.latest_date,
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self.slippage.latest_date
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)
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else:
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self.asserter.assertGreaterEqual(
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self.latest_date,
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self.slippage.latest_date
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)
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class AlgorithmGeneratorTestCase(TestCase):
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