def test_eod_order_cancel_minute(self, direction, minute_emission):
"""
Test that EOD order cancel works in minute mode for both shorts and
longs, and both daily emission and minute emission
"""
# 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())",
amount=np.copysign(1000, direction),
minute_emission=minute_emission
)
log_catcher = TestHandler()
with log_catcher:
results = algo.run(self.data_portal)
for daily_positions in results.positions:
self.assertEqual(1, len(daily_positions))
self.assertEqual(
np.copysign(389, direction),
daily_positions[0]["amount"],
)
self.assertEqual(1, results.positions[0][0]["sid"])
# should be an order on day1, but no more orders afterwards
np.testing.assert_array_equal([1, 0, 0],
list(map(len, results.orders)))
# should be 389 txns on day 1, but no more afterwards
np.testing.assert_array_equal([389, 0, 0],
list(map(len, results.transactions)))
the_order = results.orders[0][0]
self.assertEqual(ORDER_STATUS.CANCELLED, the_order["status"])
self.assertEqual(np.copysign(389, direction), the_order["filled"])
warnings = [record for record in log_catcher.records if
record.level == WARNING]
self.assertEqual(1, len(warnings))
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)
)
评论列表
文章目录
