Merge pull request #104 from AsyncAlgoTrading/orderfix

fixes #95

aat/core/engine/engine.py

@@ -224,6 +224,9 @@ async def run(self):
         # send start event to all callbacks
         await self.processEvent(Event(type=EventType.START, target=None))
 
+        # **************** #
+        # Main event loop
+        # **************** #
         async with merge(*(exch.tick() for exch in self.exchanges + [self] if inspect.isasyncgenfunction(exch.tick))).stream() as stream:
             # stream through all events
             async for event in stream:
@@ -244,13 +247,21 @@ async def run(self):
                     await self.processEvent(event)
 
                 # process any secondary callback-targeted events (e.g. order fills)
+                # these need to route to a specific callback,
+                # rather than all callbacks
                 while self._queued_targeted_events:
                     strat, event = self._queued_targeted_events.popleft()
+
+                    # send to manager
+                    await self.processEvent(event, self.manager)
+
+                    # send to the generating strategy
                     await self.processEvent(event, strat)
 
                 # process any periodics
                 await asyncio.gather(*(asyncio.create_task(p.execute(self._latest)) for p in self.manager._periodics))
 
+        # Before engine shutdown, send an exit event
         await self.processEvent(Event(type=EventType.EXIT, target=None))
 
     async def processEvent(self, event, strategy=None):

aat/tests/strategy/test_strategies/test_cancel_all.py

@@ -0,0 +1,33 @@
+from aat import Strategy, Event, Order, OrderType, Side
+
+
+class TestCancelAll(Strategy):
+    def __init__(self, *args, **kwargs) -> None:
+        super(TestCancelAll, self).__init__(*args, **kwargs)
+        self._count = 0
+
+    async def onTrade(self, event: Event) -> None:
+        if self._count < 5:
+            await self.newOrder(Order(
+                1,
+                10000000,
+                Side.SELL,
+                self.instruments()[0],
+                order_type=OrderType.LIMIT,
+            ))
+            self._count += 1
+            assert len(self.orders()) == self._count
+        else:
+            await self.cancelAll()
+            assert len(self.orders()) == 0
+
+
+if __name__ == "__main__":
+    from aat import TradingEngine, parseConfig
+    cfg = parseConfig(['--trading_type', 'backtest',
+                       '--exchanges', 'aat.exchange:SyntheticExchange,1,1000',
+                       '--strategies', 'aat.tests.strategy.test_strategies.test_cancel_all::TestCancelAll'
+                       ])
+    print(cfg)
+    t = TradingEngine(**cfg)
+    t.start()