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BUG: Properly log partially filled sell orders.

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This commit is contained in:
Jean Bredeche
2016-04-12 13:57:50 -04:00
parent 3f2a5746f8
commit bd5e2b183d
2 changed files with 42 additions and 14 deletions
Download Patch File Download Diff File Expand all files Collapse all files
tests/test_algorithm.py
+28 -14
View File
@@ -2641,7 +2641,7 @@ class TestOrderCancelation(TestCase):
def handle_data(context, data):
if not context.ordered:
order(sid(1), 1000)
order(sid(1), {1})
context.ordered = True
"""
)
@@ -2704,8 +2704,9 @@ class TestOrderCancelation(TestCase):
return BcolzDailyBarReader(path)
def prep_algo(self, cancelation_string, data_frequency="minute"):
code = self.code.format(cancelation_string)
def prep_algo(self, cancelation_string, data_frequency="minute",
amount=1000):
code = self.code.format(cancelation_string, amount)
algo = TradingAlgorithm(
script=code,
env=self.env,
@@ -2719,11 +2720,15 @@ class TestOrderCancelation(TestCase):
return algo
def test_eod_order_cancel_minute(self):
@parameterized.expand([
(1,), (-1,),
])
def test_eod_order_cancel_minute(self, direction):
# order 1000 shares of asset1. the volume is only 1 share per bar,
# so the order should be cancelled at the end of the day.
algo = self.prep_algo(
"set_cancel_policy(cancel_policy.EODCancel())"
"set_cancel_policy(cancel_policy.EODCancel())",
amount=(direction * 1000)
)
log_catcher = TestHandler()
@@ -2732,7 +2737,7 @@ class TestOrderCancelation(TestCase):
for daily_positions in results.positions:
self.assertEqual(1, len(daily_positions))
self.assertEqual(389, daily_positions[0]["amount"])
self.assertEqual(direction * 389, daily_positions[0]["amount"])
self.assertEqual(1, results.positions[0][0]["sid"].sid)
# should be an order on day1, but no more orders afterwards
@@ -2746,20 +2751,29 @@ class TestOrderCancelation(TestCase):
the_order = results.orders[0][0]
self.assertEqual(ORDER_STATUS.CANCELLED, the_order["status"])
self.assertEqual(389, the_order["filled"])
self.assertEqual(direction * 389, the_order["filled"])
warnings = [record for record in log_catcher.records if
record.level == WARNING]
self.assertEqual(1, len(warnings))
self.assertEqual(
"Your order for 1000 shares of ASSET1 has been partially "
"filled. 389 shares were successfully purchased. "
"611 shares were not filled by the end of day and "
"were canceled.",
str(warnings[0].message)
)
if direction == 1:
self.assertEqual(
"Your order for 1000 shares of ASSET1 has been partially "
"filled. 389 shares were successfully purchased. "
"611 shares were not filled by the end of day and "
"were canceled.",
str(warnings[0].message)
)
elif direction == -1:
self.assertEqual(
"Your order for -1000 shares of ASSET1 has been partially "
"filled. 389 shares were successfully sold. "
"611 shares were not filled by the end of day and "
"were canceled.",
str(warnings[0].message)
)
def test_default_cancelation_policy(self):
algo = self.prep_algo("")
zipline/finance/blotter.py
+14
View File
@@ -170,6 +170,20 @@ class Blotter(object):
order_failed=order.amount - order.filled,
)
)
elif order.filled < 0:
warning_logger.warn(
'Your order for {order_amt} shares of '
'{order_sym} has been partially filled. '
'{order_filled} shares were successfully '
'sold. {order_failed} shares were not '
'filled by the end of day and '
'were canceled.'.format(
order_amt=order.amount,
order_sym=order.sid.symbol,
order_filled=-1 * order.filled,
order_failed=-1 * (order.amount - order.filled),
)
)
else:
warning_logger.warn(
'Your order for {order_amt} shares of '