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BUG: Fix limit orders

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Only fill limit order if impacted fill price is better than the limit price.
If a limit order is partially filled, only fill the remaining shares if the
impacted fill price is better than the limit price.
This commit is contained in:
Brian Fink
2015-04-16 17:09:14 -04:00
parent ef598c7130
commit 82d2ddfa90
2 changed files with 109 additions and 8 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/finance/test_slippage.py
+94 -5
View File
@@ -103,12 +103,13 @@ class SlippageTestCase(TestCase):
]
orders_txns = list(slippage_model.simulate(
events[2],
events[3],
open_orders
))
self.assertEquals(len(orders_txns), 0)
# long, does trade
# long, does not trade - impacted price worse than limit price
open_orders = [
Order(**{
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
@@ -123,6 +124,24 @@ class SlippageTestCase(TestCase):
open_orders
))
self.assertEquals(len(orders_txns), 0)
# long, does trade
open_orders = [
Order(**{
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': 100,
'filled': 0,
'sid': 133,
'limit': 3.6})
]
orders_txns = list(slippage_model.simulate(
events[3],
open_orders
))
self.assertEquals(len(orders_txns), 1)
txn = orders_txns[0][1]
@@ -160,7 +179,7 @@ class SlippageTestCase(TestCase):
self.assertEquals(len(orders_txns), 0)
# short, does trade
# short, does not trade - impacted price worse than limit price
open_orders = [
Order(**{
@@ -176,6 +195,24 @@ class SlippageTestCase(TestCase):
open_orders
))
self.assertEquals(len(orders_txns), 0)
# short, does trade
open_orders = [
Order(**{
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': -100,
'filled': 0,
'sid': 133,
'limit': 3.4})
]
orders_txns = list(slippage_model.simulate(
events[1],
open_orders
))
self.assertEquals(len(orders_txns), 1)
_, txn = orders_txns[0]
@@ -372,7 +409,7 @@ class SlippageTestCase(TestCase):
self.assertEquals(len(orders_txns), 0)
# long, does trade
# long, does not trade - impacted price worse than limit price
open_orders = [
Order(**{
@@ -396,6 +433,32 @@ class SlippageTestCase(TestCase):
open_orders
))
self.assertEquals(len(orders_txns), 0)
# long, does trade
open_orders = [
Order(**{
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': 100,
'filled': 0,
'sid': 133,
'stop': 4.0,
'limit': 3.6})
]
orders_txns = list(slippage_model.simulate(
events[2],
open_orders
))
self.assertEquals(len(orders_txns), 0)
orders_txns = list(slippage_model.simulate(
events[3],
open_orders
))
self.assertEquals(len(orders_txns), 1)
_, txn = orders_txns[0]
@@ -436,7 +499,7 @@ class SlippageTestCase(TestCase):
self.assertEquals(len(orders_txns), 0)
# short, does trade
# short, does not trade - impacted price worse than limit price
open_orders = [
Order(**{
@@ -460,6 +523,32 @@ class SlippageTestCase(TestCase):
open_orders
))
self.assertEquals(len(orders_txns), 0)
# short, does trade
open_orders = [
Order(**{
'dt': datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
'amount': -100,
'filled': 0,
'sid': 133,
'stop': 3.0,
'limit': 3.4})
]
orders_txns = list(slippage_model.simulate(
events[0],
open_orders
))
self.assertEquals(len(orders_txns), 0)
orders_txns = list(slippage_model.simulate(
events[1],
open_orders
))
self.assertEquals(len(orders_txns), 1)
_, txn = orders_txns[0]