mirror of
https://github.com/wassname/catalyst.git
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Joe Jevnik
721dd36116
Renames zipline.utils.test_utils to zipline.testing Adds zipline.testing.fixtures.ZiplineTestCase to manage setup and teardown and adds mixins to define fixtures like an asset finder or trading calendar.
217 lines
8.1 KiB
Python
217 lines
8.1 KiB
Python
#
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# Copyright 2014 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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import datetime
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from nose_parameterized import parameterized
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from unittest import TestCase
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from zipline.finance import trading
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from zipline.finance.blotter import Blotter
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from zipline.finance.order import ORDER_STATUS
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from zipline.finance.execution import (
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LimitOrder,
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MarketOrder,
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StopLimitOrder,
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StopOrder,
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)
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from zipline.sources.test_source import create_trade
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from zipline.testing import(
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setup_logger,
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teardown_logger,
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)
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class BlotterTestCase(TestCase):
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@classmethod
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def setUpClass(cls):
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cls.env = trading.TradingEnvironment()
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cls.env.write_data(equities_identifiers=[24])
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@classmethod
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def tearDownClass(cls):
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del cls.env
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def setUp(self, env=None):
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setup_logger(self)
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def tearDown(self):
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teardown_logger(self)
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@parameterized.expand([(MarketOrder(), None, None),
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(LimitOrder(10), 10, None),
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(StopOrder(10), None, 10),
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(StopLimitOrder(10, 20), 10, 20)])
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def test_blotter_order_types(self, style_obj, expected_lmt, expected_stp):
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blotter = Blotter()
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blotter.order(24, 100, style_obj)
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result = blotter.open_orders[24][0]
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self.assertEqual(result.limit, expected_lmt)
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self.assertEqual(result.stop, expected_stp)
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def test_cancel(self):
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blotter = Blotter()
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oid_1 = blotter.order(24, 100, MarketOrder())
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oid_2 = blotter.order(24, 200, MarketOrder())
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oid_3 = blotter.order(24, 300, MarketOrder())
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# Create an order for another asset to verify that we don't remove it
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# when we do cancel_all on 24.
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blotter.order(25, 150, MarketOrder())
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self.assertEqual(len(blotter.open_orders), 2)
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self.assertEqual(len(blotter.open_orders[24]), 3)
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self.assertEqual(
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[o.amount for o in blotter.open_orders[24]],
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[100, 200, 300],
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)
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blotter.cancel(oid_2)
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self.assertEqual(len(blotter.open_orders), 2)
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self.assertEqual(len(blotter.open_orders[24]), 2)
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self.assertEqual(
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[o.amount for o in blotter.open_orders[24]],
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[100, 300],
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)
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self.assertEqual(
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[o.id for o in blotter.open_orders[24]],
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[oid_1, oid_3],
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)
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blotter.cancel_all(24)
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self.assertEqual(len(blotter.open_orders), 1)
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self.assertEqual(list(blotter.open_orders), [25])
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def test_order_rejection(self):
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blotter = Blotter()
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# Reject a nonexistent order -> no order appears in new_order,
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# no exceptions raised out
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blotter.reject(56)
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self.assertEqual(blotter.new_orders, [])
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# Basic tests of open order behavior
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open_order_id = blotter.order(24, 100, MarketOrder())
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second_order_id = blotter.order(24, 50, MarketOrder())
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self.assertEqual(len(blotter.open_orders[24]), 2)
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open_order = blotter.open_orders[24][0]
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self.assertEqual(open_order.status, ORDER_STATUS.OPEN)
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self.assertEqual(open_order.id, open_order_id)
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self.assertIn(open_order, blotter.new_orders)
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# Reject that order immediately (same bar, i.e. still in new_orders)
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blotter.reject(open_order_id)
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self.assertEqual(len(blotter.new_orders), 2)
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self.assertEqual(len(blotter.open_orders[24]), 1)
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still_open_order = blotter.new_orders[0]
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self.assertEqual(still_open_order.id, second_order_id)
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self.assertEqual(still_open_order.status, ORDER_STATUS.OPEN)
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rejected_order = blotter.new_orders[1]
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self.assertEqual(rejected_order.status, ORDER_STATUS.REJECTED)
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self.assertEqual(rejected_order.reason, '')
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# Do it again, but reject it at a later time (after tradesimulation
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# pulls it from new_orders)
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blotter = Blotter()
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new_open_id = blotter.order(24, 10, MarketOrder())
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new_open_order = blotter.open_orders[24][0]
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self.assertEqual(new_open_id, new_open_order.id)
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# Pretend that the trade simulation did this.
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blotter.new_orders = []
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rejection_reason = "Not enough cash on hand."
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blotter.reject(new_open_id, reason=rejection_reason)
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rejected_order = blotter.new_orders[0]
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self.assertEqual(rejected_order.id, new_open_id)
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self.assertEqual(rejected_order.status, ORDER_STATUS.REJECTED)
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self.assertEqual(rejected_order.reason, rejection_reason)
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# You can't reject a filled order.
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blotter = Blotter() # Reset for paranoia
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blotter.current_dt = datetime.datetime.now()
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filled_id = blotter.order(24, 100, MarketOrder())
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aapl_trade = create_trade(24, 50.0, 400, datetime.datetime.now())
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filled_order = None
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for txn, updated_order in blotter.process_trade(aapl_trade):
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filled_order = updated_order
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self.assertEqual(filled_order.id, filled_id)
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self.assertIn(filled_order, blotter.new_orders)
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self.assertEqual(filled_order.status, ORDER_STATUS.FILLED)
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self.assertNotIn(filled_order, blotter.open_orders[24])
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blotter.reject(filled_id)
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updated_order = blotter.orders[filled_id]
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self.assertEqual(updated_order.status, ORDER_STATUS.FILLED)
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def test_order_hold(self):
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"""
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Held orders act almost identically to open orders, except for the
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status indication. When a fill happens, the order should switch
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status to OPEN/FILLED as necessary
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"""
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blotter = Blotter()
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# Nothing happens on held of a non-existent order
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blotter.hold(56)
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self.assertEqual(blotter.new_orders, [])
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open_id = blotter.order(24, 100, MarketOrder())
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open_order = blotter.open_orders[24][0]
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self.assertEqual(open_order.id, open_id)
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blotter.hold(open_id)
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self.assertEqual(len(blotter.new_orders), 1)
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self.assertEqual(len(blotter.open_orders[24]), 1)
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held_order = blotter.new_orders[0]
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self.assertEqual(held_order.status, ORDER_STATUS.HELD)
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self.assertEqual(held_order.reason, '')
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blotter.cancel(held_order.id)
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self.assertEqual(len(blotter.new_orders), 1)
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self.assertEqual(len(blotter.open_orders[24]), 0)
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cancelled_order = blotter.new_orders[0]
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self.assertEqual(cancelled_order.id, held_order.id)
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self.assertEqual(cancelled_order.status, ORDER_STATUS.CANCELLED)
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for trade_amt in (100, 400):
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# Verify that incoming fills will change the order status.
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order_size = 100
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expected_filled = trade_amt * 0.25
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expected_open = order_size - expected_filled
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expected_status = ORDER_STATUS.OPEN if expected_open else \
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ORDER_STATUS.FILLED
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blotter = Blotter()
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blotter.current_dt = datetime.datetime.now()
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open_id = blotter.order(24, order_size, MarketOrder())
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open_order = blotter.open_orders[24][0]
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self.assertEqual(open_id, open_order.id)
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blotter.hold(open_id)
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held_order = blotter.new_orders[0]
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aapl_trade = create_trade(24, 50.0, trade_amt,
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datetime.datetime.now())
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filled_order = None
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for txn, updated_order in blotter.process_trade(aapl_trade):
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filled_order = updated_order
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self.assertEqual(filled_order.id, held_order.id)
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self.assertEqual(filled_order.status, expected_status)
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self.assertEqual(filled_order.filled, expected_filled)
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self.assertEqual(filled_order.open_amount, expected_open)
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