BUG: for issue #237, checking considering open orders when verifying the exchange balance for each positions

catalyst/exchange/exchange.py

@@ -21,7 +21,6 @@ from catalyst.exchange.utils.exchange_utils import get_exchange_symbols, \
     resample_history_df, has_bundle
 from logbook import Logger
 
-
 log = Logger('Exchange', level=LOG_LEVEL)
 
 
@@ -657,16 +656,21 @@ class Exchange:
 
         return df
 
-    def _check_low_balance(self, currency, balances, amount):
+    def _check_low_balance(self, currency, balances, amount, open_orders=None):
         free = balances[currency]['free'] if currency in balances else 0.0
 
+        if open_orders:
+            # TODO: make sure that this works
+            free += sum([order.amount for order in open_orders])
+
         if free < amount:
             return free, True
 
         else:
             return free, False
 
-    def sync_positions(self, positions, cash=None, check_balances=False):
+    def sync_positions(self, positions, open_orders=None, cash=None,
+                       check_balances=False):
         """
         Update the portfolio cash and position balances based on the
         latest ticker prices.
@@ -695,7 +699,7 @@ class Exchange:
                     balances=balances,
                     amount=cash,
                 )
-                if is_lower:
+                if is_lower and not open_orders:
                     raise NotEnoughCashError(
                         currency=self.base_currency,
                         exchange=self.name,

catalyst/exchange/exchange_algorithm.py

@@ -591,8 +591,6 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
             if base_currency is None:
                 base_currency = exchange.base_currency
 
-            # Don't check the cash if there are open orders. This could
-            # results in false positives.
             orders = []
             for asset in self.blotter.open_orders:
                 asset_orders = self.blotter.open_orders[asset]
@@ -602,6 +600,7 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
             required_cash = self.portfolio.cash if not orders else None
             cash, positions_value = exchange.sync_positions(
                 positions=exchange_positions,
+                open_orders=orders,
                 check_balances=check_balances,
                 cash=required_cash,
             )