Merge pull request #68 from AsyncAlgoTrading/synthetic_timefix

fix issue with synthetic exchange stop order time

aat/core/models/order.py

@@ -167,7 +167,7 @@ def filled(self, filled: float) -> None:
         self.__filled = filled
 
     def __repr__(self) -> str:
-        return f'Order( instrument={self.instrument}, {self.volume}@{self.price}, side={self.side}, exchange={self.exchange})'
+        return f'Order( instrument={self.instrument}, timestamp={self.timestamp}, {self.volume}@{self.price}, side={self.side}, exchange={self.exchange})'
 
     def __eq__(self, other) -> bool:
         assert isinstance(other, Order)

aat/core/models/trade.py

@@ -123,7 +123,7 @@ def my_order(self, order: Order) -> None:
         self.__my_order = order
 
     def __repr__(self) -> str:
-        return f'Trade( id={self.id}, timestamp{self.timestamp}, {self.volume}@{self.price}, \n\ttaker_order={self.taker_order},\n\tmaker_orders={self.maker_orders}, )'
+        return f'Trade( id={self.id}, timestamp={self.timestamp}, {self.volume}@{self.price}, \n\ttaker_order={self.taker_order},\n\tmaker_orders={self.maker_orders}, )'
 
     def __eq__(self, other) -> bool:
         assert isinstance(other, Trade)

aat/core/order_book/order_book.py

@@ -174,6 +174,7 @@ def add(self, order):
 
                     # execute secondaries
                     for secondary in secondaries:
+                        secondary.timestamp = order.timestamp  # adjust trigger time
                         self.add(secondary)
 
             else:
@@ -204,6 +205,7 @@ def add(self, order):
 
                         # execute secondaries
                         for secondary in secondaries:
+                            secondary.timestamp = order.timestamp  # adjust trigger time
                             self.add(secondary)
 
                 elif order.flag == OrderFlag.ALL_OR_NONE:
@@ -233,6 +235,7 @@ def add(self, order):
 
                         # execute secondaries
                         for secondary in secondaries:
+                            secondary.timestamp = order.timestamp  # adjust trigger time
                             self.add(secondary)
 
                 elif order.flag == OrderFlag.IMMEDIATE_OR_CANCEL:
@@ -248,6 +251,7 @@ def add(self, order):
 
                         # execute secondaries
                         for secondary in secondaries:
+                            secondary.timestamp = order.timestamp  # adjust trigger time
                             self.add(secondary)
 
                     else:
@@ -264,6 +268,7 @@ def add(self, order):
 
                         # execute secondaries
                         for secondary in secondaries:
+                            secondary.timestamp = order.timestamp  # adjust trigger time
                             self.add(secondary)
 
                 else:
@@ -283,6 +288,7 @@ def add(self, order):
 
                     # execute secondaries
                     for secondary in secondaries:
+                        secondary.timestamp = order.timestamp  # adjust trigger time
                         self.add(secondary)
         else:
             if order.filled > order.volume:
@@ -297,6 +303,7 @@ def add(self, order):
 
             # execute secondaries
             for secondary in secondaries:
+                secondary.timestamp = order.timestamp  # adjust trigger time
                 self.add(secondary)
 
         # clear the collector

aat/cpp/src/core/order_book/order_book.cpp

@@ -116,8 +116,10 @@ namespace core {
           collector.commit();
 
           // execute secondaries
-          for (std::shared_ptr<Order> secondary : secondaries)
+          for (std::shared_ptr<Order> secondary : secondaries) {
+            secondary->timestamp = order->timestamp;  // adjust trigger time
             add(secondary);
+          }
         }
       } else {
         // Limit Orders
@@ -143,8 +145,10 @@ namespace core {
             prices[order->price]->add(order);
 
             // execute secondaries
-            for (std::shared_ptr<Order> secondary : secondaries)
+            for (std::shared_ptr<Order> secondary : secondaries) {
+              secondary->timestamp = order->timestamp;  // adjust trigger time
               add(secondary);
+            }
           }
         } else if (order->flag == OrderFlag::ALL_OR_NONE) {
           if (order->filled > 0) {
@@ -168,8 +172,10 @@ namespace core {
             prices[order->price]->add(order);
 
             // execute secondaries
-            for (std::shared_ptr<Order> secondary : secondaries)
+            for (std::shared_ptr<Order> secondary : secondaries) {
+              secondary->timestamp = order->timestamp;  // adjust trigger time
               add(secondary);
+            }
           }
         } else if (order->flag == OrderFlag::IMMEDIATE_OR_CANCEL) {
           if (order->filled > 0) {
@@ -181,8 +187,10 @@ namespace core {
             collector.commit();
 
             // execute secondaries
-            for (std::shared_ptr<Order> secondary : secondaries)
+            for (std::shared_ptr<Order> secondary : secondaries) {
+              secondary->timestamp = order->timestamp;  // adjust trigger time
               add(secondary);
+            }
 
           } else {
             // add to book
@@ -197,8 +205,10 @@ namespace core {
             prices[order->price]->add(order);
 
             // execute secondaries
-            for (std::shared_ptr<Order> secondary : secondaries)
+            for (std::shared_ptr<Order> secondary : secondaries) {
+              secondary->timestamp = order->timestamp;  // adjust trigger time
               add(secondary);
+            }
           }
         } else {
           // clear levels
@@ -217,8 +227,10 @@ namespace core {
           prices[order->price]->add(order);
 
           // execute secondaries
-          for (std::shared_ptr<Order> secondary : secondaries)
+          for (std::shared_ptr<Order> secondary : secondaries) {
+            secondary->timestamp = order->timestamp;  // adjust trigger time
             add(secondary);
+          }
         }
       }
     } else {
@@ -231,8 +243,10 @@ namespace core {
       collector.commit();
 
       // execute secondaries
-      for (std::shared_ptr<Order> secondary : secondaries)
+      for (std::shared_ptr<Order> secondary : secondaries) {
+        secondary->timestamp = order->timestamp;  // adjust trigger time
         add(secondary);
+      }
     }
 
     // clear the collector

aat/exchange/synthetic/__init__.py

@@ -147,6 +147,7 @@ async def tick(self, snapshot=False):
 
             while self._pending_orders:
                 order = self._pending_orders.popleft()
+                self._jumptime(order)
                 self._orderbooks[order.instrument].add(order)
                 await asyncio.sleep(self._sleep)
 
@@ -322,9 +323,17 @@ async def tick(self, snapshot=False):
     # Order Entry Methods #
     # ******************* #
     async def newOrder(self, order: Order):
+        # assign id
         order.id = self._id
-        self._id += 1
+
+        # adjust time if backtesting
+
         self._jumptime(order)
+        # fix exchange if messed up
+        # if order.exchange != self.exchange():
+        #     order.exchange = self.exchange()
+
+        self._id += 1
         self._pending_orders.append(order)
         self._omit_cancel.add(order.id)  # don't cancel user orders
         return order