Emit an event when an order gets submitted.

pyalgotrade/broker/__init__.py

@@ -460,10 +460,11 @@ def getDateTime(self):
 
 class OrderEvent(object):
     class Type:
-        ACCEPTED = 1  # Order has been acknowledged by the broker.
-        CANCELED = 2  # Order has been canceled.
-        PARTIALLY_FILLED = 3  # Order has been partially filled.
-        FILLED = 4  # Order has been completely filled.
+        SUBMITTED = 1  # Order has been submitted.
+        ACCEPTED = 2  # Order has been acknowledged by the broker.
+        CANCELED = 3  # Order has been canceled.
+        PARTIALLY_FILLED = 4  # Order has been partially filled.
+        FILLED = 5  # Order has been completely filled.
 
     def __init__(self, order, eventyType, eventInfo):
         self.__order = order

pyalgotrade/broker/backtesting.py

@@ -371,9 +371,8 @@ def submitOrder(self, order):
             order.setSubmitted(self._getNextOrderId(), self._getCurrentDateTime())
             self._registerOrder(order)
             # Switch from INITIAL -> SUBMITTED
-            # IMPORTANT: Do not emit an event for this switch because when using the position interface
-            # the order is not yet mapped to the position and Position.onOrderUpdated will get called.
             order.switchState(broker.Order.State.SUBMITTED)
+            self.notifyOrderEvent(broker.OrderEvent(order, broker.OrderEvent.Type.SUBMITTED, None))
         else:
             raise Exception("The order was already processed")
 

pyalgotrade/strategy/__init__.py

@@ -484,8 +484,10 @@ def __onIdle(self):
 
     def __onOrderEvent(self, broker_, orderEvent):
         order = orderEvent.getOrder()
-        pos = self.__orderToPosition.get(order.getId(), None)
         self.onOrderUpdated(order)
+
+        # Notify the position about the order event.
+        pos = self.__orderToPosition.get(order.getId(), None)
         if pos is not None:
             # Unlink the order from the position if its not active anymore.
             if not order.isActive():

testcases/broker_backtesting_test.py

@@ -198,8 +198,9 @@ def onOrderEvent(broker_, orderEvent):
     def testRegressionGetActiveOrders(self):
         activeOrders = []
 
-        def onOrderEvent(broker, orderEvent):
-            activeOrders.append(len(broker.getActiveOrders()))
+        def onOrderEvent(brk, orderEvent):
+            if orderEvent.getEventType() != broker.OrderEvent.Type.SUBMITTED:
+                activeOrders.append(len(brk.getActiveOrders()))
 
         barFeed = self.buildBarFeed(BaseTestCase.TestInstrument, bar.Frequency.MINUTE)
         brk = self.buildBroker(1000, barFeed)
@@ -308,20 +309,23 @@ def testSkipOrderSubmittedDuringEvent(self):
         ordersUpdated = []
 
         def onOrderEvent(broker_, orderEvent):
-            ordersUpdated.append(orderEvent.getOrder())
-            newOrder = brk.createMarketOrder(broker.Order.Action.BUY, BaseTestCase.TestInstrument, 1)
-            self.assertEquals(newOrder.getSubmitDateTime(), None)
-            brk.submitOrder(newOrder)
-            self.assertEquals(newOrder.getSubmitDateTime(), barFeed.getCurrentDateTime())
+            if orderEvent.getEventType() != broker.OrderEvent.Type.SUBMITTED:
+                ordersUpdated.append(orderEvent.getOrder())
+                newOrder = brk.createMarketOrder(broker.Order.Action.BUY, BaseTestCase.TestInstrument, 1)
+                self.assertEquals(newOrder.getSubmitDateTime(), None)
+                brk.submitOrder(newOrder)
+                self.assertEquals(newOrder.getSubmitDateTime(), barFeed.getCurrentDateTime())
 
         brk.getOrderUpdatedEvent().subscribe(onOrderEvent)
 
+        # The first order gets submitted.
         firstOrder = brk.createLimitOrder(broker.Order.Action.BUY, BaseTestCase.TestInstrument, 2, 1)
         self.assertEquals(firstOrder.getSubmitDateTime(), None)
         brk.submitOrder(firstOrder)
         self.assertEquals(firstOrder.getSubmitDateTime(), barFeed.getCurrentDateTime())
         self.assertEquals(len(ordersUpdated), 0)
 
+        # The first order gets accepted, and the second one gets submitted..
         barFeed.dispatchBars(10, 15, 8, 12)
         self.assertEquals(len(ordersUpdated), 1)  # First order got accepted.
         self.assertTrue(firstOrder in ordersUpdated)
@@ -357,10 +361,11 @@ def testPartialFillAndCancel(self):
         self.assertEqual(order.getExecutionInfo().getPrice(), 12)
         self.assertEqual(order.getExecutionInfo().getQuantity(), 2)
         self.assertEqual(order.getExecutionInfo().getCommission(), 0)
-        self.assertEqual(len(cb.events), 3)
-        self.assertEqual(cb.events[0].getEventType(), broker.OrderEvent.Type.ACCEPTED)
-        self.assertEqual(cb.events[1].getEventType(), broker.OrderEvent.Type.PARTIALLY_FILLED)
-        self.assertEqual(cb.events[2].getEventType(), broker.OrderEvent.Type.CANCELED)
+        self.assertEqual(len(cb.events), 4)
+        self.assertEqual(cb.events[0].getEventType(), broker.OrderEvent.Type.SUBMITTED)
+        self.assertEqual(cb.events[1].getEventType(), broker.OrderEvent.Type.ACCEPTED)
+        self.assertEqual(cb.events[2].getEventType(), broker.OrderEvent.Type.PARTIALLY_FILLED)
+        self.assertEqual(cb.events[3].getEventType(), broker.OrderEvent.Type.CANCELED)
 
     def testVolumeLimitPerBar1(self):
         barFeed = self.buildBarFeed(BaseTestCase.TestInstrument, bar.Frequency.MINUTE)
@@ -644,7 +649,7 @@ def testBuyAndSell(self):
         self.assertTrue(len(brk.getActiveOrders()) == 0)
         self.assertTrue(brk.getCash() == 1)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == 1)
-        self.assertTrue(cb.eventCount == 2)
+        self.assertEqual(cb.eventCount, 3)
         self.assertEqual(order.getFilled(), 1)
         self.assertEqual(order.getRemaining(), 0)
 
@@ -664,7 +669,7 @@ def testBuyAndSell(self):
         self.assertTrue(len(brk.getActiveOrders()) == 0)
         self.assertTrue(brk.getCash() == 11)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == 0)
-        self.assertTrue(cb.eventCount == 2)
+        self.assertEqual(cb.eventCount, 3)
         self.assertEqual(order.getFilled(), 1)
         self.assertEqual(order.getRemaining(), 0)
 
@@ -688,7 +693,7 @@ def testFailToBuy(self):
         self.assertTrue(len(brk.getActiveOrders()) == 1)
         self.assertTrue(brk.getCash() == 5)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == 0)
-        self.assertTrue(cb.eventCount == 1)
+        self.assertEqual(cb.eventCount, 2)
         self.assertEqual(order.getFilled(), 0)
         self.assertEqual(order.getRemaining(), 1)
 
@@ -727,7 +732,7 @@ def testBuy_GTC(self):
         self.assertTrue(len(brk.getActiveOrders()) == 1)
         self.assertTrue(brk.getCash() == 5)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == 0)
-        self.assertTrue(cb.eventCount == 1)
+        self.assertEqual(cb.eventCount, 2)
         self.assertEqual(order.getFilled(), 0)
         self.assertEqual(order.getRemaining(), 1)
 
@@ -1270,7 +1275,7 @@ def testBuyAndSell_HitTargetPrice(self):
         self.assertTrue(len(brk.getActiveOrders()) == 0)
         self.assertTrue(brk.getCash() == 10)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == 1)
-        self.assertTrue(cb.eventCount == 2)
+        self.assertEqual(cb.eventCount, 3)
 
         # Sell
         cb = OrderUpdateCallback(brk)
@@ -1290,7 +1295,7 @@ def testBuyAndSell_HitTargetPrice(self):
         self.assertTrue(len(brk.getActiveOrders()) == 0)
         self.assertTrue(brk.getCash() == 25)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == 0)
-        self.assertTrue(cb.eventCount == 2)
+        self.assertEqual(cb.eventCount, 3)
 
     def testBuyAndSell_GetBetterPrice(self):
         barFeed = self.buildBarFeed(BaseTestCase.TestInstrument, bar.Frequency.MINUTE)
@@ -1314,7 +1319,7 @@ def testBuyAndSell_GetBetterPrice(self):
         self.assertTrue(len(brk.getActiveOrders()) == 0)
         self.assertTrue(brk.getCash() == 8)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == 1)
-        self.assertTrue(cb.eventCount == 2)
+        self.assertEqual(cb.eventCount, 3)
 
         # Sell
         cb = OrderUpdateCallback(brk)
@@ -1334,7 +1339,7 @@ def testBuyAndSell_GetBetterPrice(self):
         self.assertTrue(len(brk.getActiveOrders()) == 0)
         self.assertTrue(brk.getCash() == 24)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == 0)
-        self.assertTrue(cb.eventCount == 2)
+        self.assertEqual(cb.eventCount, 3)
 
     def testBuyAndSell_GappingBars(self):
         barFeed = self.buildBarFeed(BaseTestCase.TestInstrument, bar.Frequency.MINUTE)
@@ -1358,7 +1363,7 @@ def testBuyAndSell_GappingBars(self):
         self.assertTrue(len(brk.getActiveOrders()) == 0)
         self.assertTrue(brk.getCash() == 10)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == 1)
-        self.assertTrue(cb.eventCount == 2)
+        self.assertEqual(cb.eventCount, 3)
 
         # Sell. Bar is above the target price.
         cb = OrderUpdateCallback(brk)
@@ -1378,7 +1383,7 @@ def testBuyAndSell_GappingBars(self):
         self.assertTrue(len(brk.getActiveOrders()) == 0)
         self.assertTrue(brk.getCash() == 45)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == 0)
-        self.assertTrue(cb.eventCount == 2)
+        self.assertEqual(cb.eventCount, 3)
 
     def testFailToBuy(self):
         barFeed = self.buildBarFeed(BaseTestCase.TestInstrument, bar.Frequency.MINUTE)
@@ -1402,7 +1407,7 @@ def testFailToBuy(self):
         self.assertTrue(len(brk.getActiveOrders()) == 1)
         self.assertTrue(brk.getCash() == 5)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == 0)
-        self.assertTrue(cb.eventCount == 1)
+        self.assertEqual(cb.eventCount, 2)
 
         # Fail to buy (couldn't get specific price). Canceled due to session close.
         cb = OrderUpdateCallback(brk)
@@ -1441,7 +1446,7 @@ def testBuy_GTC(self):
         self.assertTrue(len(brk.getActiveOrders()) == 1)
         self.assertTrue(brk.getCash() == 10)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == 0)
-        self.assertTrue(cb.eventCount == 1)
+        self.assertEqual(cb.eventCount, 2)
 
         # Buy
         cb = OrderUpdateCallback(brk)
@@ -1454,7 +1459,7 @@ def testBuy_GTC(self):
         self.assertTrue(len(brk.getActiveOrders()) == 0)
         self.assertTrue(brk.getCash() == 6)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == 2)
-        self.assertTrue(cb.eventCount == 1)
+        self.assertEqual(cb.eventCount, 1)
 
 
 class StopOrderTestCase(BaseTestCase):
@@ -1687,7 +1692,7 @@ def testLongPosStopLoss(self):
         self.assertTrue(len(brk.getActiveOrders()) == 0)
         self.assertTrue(brk.getCash() == 5)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == 1)
-        self.assertTrue(cb.eventCount == 2)
+        self.assertEqual(cb.eventCount, 3)
 
         # Create stop loss order.
         cb = OrderUpdateCallback(brk)
@@ -1704,7 +1709,7 @@ def testLongPosStopLoss(self):
         self.assertTrue(len(brk.getActiveOrders()) == 1)
         self.assertTrue(brk.getCash() == 5)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == 1)
-        self.assertTrue(cb.eventCount == 1)
+        self.assertEqual(cb.eventCount, 2)
         barFeed.dispatchBars(10, 15, 8, 12)  # Stop loss hit.
         self.assertEqual(order.getFilled(), 1)
         self.assertEqual(order.getRemaining(), 0)
@@ -1714,7 +1719,7 @@ def testLongPosStopLoss(self):
         self.assertTrue(len(brk.getActiveOrders()) == 0)
         self.assertTrue(brk.getCash() == 5+9)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == 0)
-        self.assertTrue(cb.eventCount == 2)
+        self.assertEqual(cb.eventCount, 3)
 
     def testLongPosStopLoss_GappingBars(self):
         barFeed = self.buildBarFeed(BaseTestCase.TestInstrument, bar.Frequency.MINUTE)
@@ -1738,7 +1743,7 @@ def testLongPosStopLoss_GappingBars(self):
         self.assertTrue(len(brk.getActiveOrders()) == 0)
         self.assertTrue(brk.getCash() == 5)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == 1)
-        self.assertTrue(cb.eventCount == 2)
+        self.assertEqual(cb.eventCount, 3)
 
         # Create stop loss order.
         cb = OrderUpdateCallback(brk)
@@ -1755,7 +1760,7 @@ def testLongPosStopLoss_GappingBars(self):
         self.assertTrue(len(brk.getActiveOrders()) == 1)
         self.assertTrue(brk.getCash() == 5)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == 1)
-        self.assertTrue(cb.eventCount == 1)
+        self.assertEqual(cb.eventCount, 2)
         barFeed.dispatchBars(5, 8, 4, 7)  # Stop loss hit.
         self.assertTrue(order.isFilled())
         self.assertEqual(order.getFilled(), 1)
@@ -1765,7 +1770,7 @@ def testLongPosStopLoss_GappingBars(self):
         self.assertTrue(len(brk.getActiveOrders()) == 0)
         self.assertTrue(brk.getCash() == 5+5)  # Fill the stop loss order at open price.
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == 0)
-        self.assertTrue(cb.eventCount == 2)
+        self.assertEqual(cb.eventCount, 3)
 
     def testShortPosStopLoss(self):
         barFeed = self.buildBarFeed(BaseTestCase.TestInstrument, bar.Frequency.MINUTE)
@@ -1789,7 +1794,7 @@ def testShortPosStopLoss(self):
         self.assertTrue(len(brk.getActiveOrders()) == 0)
         self.assertTrue(brk.getCash() == 15+10)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == -1)
-        self.assertTrue(cb.eventCount == 2)
+        self.assertEqual(cb.eventCount, 3)
 
         # Create stop loss order.
         cb = OrderUpdateCallback(brk)
@@ -1806,7 +1811,7 @@ def testShortPosStopLoss(self):
         self.assertTrue(len(brk.getActiveOrders()) == 1)
         self.assertTrue(brk.getCash() == 15+10)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == -1)
-        self.assertTrue(cb.eventCount == 1)
+        self.assertEqual(cb.eventCount, 2)
         barFeed.dispatchBars(10, 15, 8, 12)  # Stop loss hit.
         self.assertTrue(order.isFilled())
         self.assertEqual(order.getFilled(), 1)
@@ -1815,7 +1820,7 @@ def testShortPosStopLoss(self):
         self.assertTrue(len(brk.getActiveOrders()) == 0)
         self.assertTrue(brk.getCash() == 15-1)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == 0)
-        self.assertTrue(cb.eventCount == 2)
+        self.assertEqual(cb.eventCount, 3)
 
     def testShortPosStopLoss_GappingBars(self):
         barFeed = self.buildBarFeed(BaseTestCase.TestInstrument, bar.Frequency.MINUTE)
@@ -1839,7 +1844,7 @@ def testShortPosStopLoss_GappingBars(self):
         self.assertTrue(len(brk.getActiveOrders()) == 0)
         self.assertTrue(brk.getCash() == 15+10)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == -1)
-        self.assertTrue(cb.eventCount == 2)
+        self.assertEqual(cb.eventCount, 3)
 
         # Create stop loss order.
         cb = OrderUpdateCallback(brk)
@@ -1856,7 +1861,7 @@ def testShortPosStopLoss_GappingBars(self):
         self.assertTrue(len(brk.getActiveOrders()) == 1)
         self.assertTrue(brk.getCash() == 15+10)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == -1)
-        self.assertTrue(cb.eventCount == 1)
+        self.assertEqual(cb.eventCount, 2)
         barFeed.dispatchBars(15, 20, 13, 14)  # Stop loss hit.
         self.assertTrue(order.isFilled())
         self.assertEqual(order.getFilled(), 1)
@@ -1866,7 +1871,7 @@ def testShortPosStopLoss_GappingBars(self):
         self.assertTrue(len(brk.getActiveOrders()) == 0)
         self.assertTrue(brk.getCash() == 15-5)
         self.assertTrue(brk.getShares(BaseTestCase.TestInstrument) == 0)
-        self.assertTrue(cb.eventCount == 2)
+        self.assertEqual(cb.eventCount, 3)
 
 
 class StopLimitOrderTestCase(BaseTestCase):

testcases/data/bccharts_example_2.output

@@ -1,27 +1,36 @@
 2014-06-26 23:00:00 strategy [INFO] Buy 1.69 at 580.0
+2014-06-26 23:00:00 strategy [INFO] Buy order 1 updated - Status: SUBMITTED - None
 2014-06-26 23:30:00 strategy [INFO] Buy order 1 updated - Status: ACCEPTED - None
 2014-06-26 23:30:00 strategy [INFO] Buy order 1 updated - Status: FILLED - 2014-06-26 23:30:00 - Price: 580.0 - Amount: 1.69 - Fee: 2.4505
 2014-06-26 23:30:00 strategy [INFO] Buy 0.029 at 579.99
+2014-06-26 23:30:00 strategy [INFO] Buy order 2 updated - Status: SUBMITTED - None
 2014-06-27 00:00:00 strategy [INFO] Buy order 2 updated - Status: ACCEPTED - None
 2014-06-27 00:00:00 strategy [INFO] Buy order 2 updated - Status: FILLED - 2014-06-27 00:00:00 - Price: 579.99 - Amount: 0.029 - Fee: 0.042049275
 2014-07-03 18:30:00 strategy [INFO] Sell 1.719 at 639.0
+2014-07-03 18:30:00 strategy [INFO] Sell order 3 updated - Status: SUBMITTED - None
 2014-07-03 19:00:00 strategy [INFO] Sell order 3 updated - Status: ACCEPTED - None
 2014-07-03 19:00:00 strategy [INFO] Sell order 3 updated - Status: FILLED - 2014-07-03 19:00:00 - Price: 639.0 - Amount: 1.719 - Fee: 2.7461025
 2014-07-11 19:30:00 strategy [INFO] Buy 1.692 at 634.91
+2014-07-11 19:30:00 strategy [INFO] Buy order 4 updated - Status: SUBMITTED - None
 2014-07-11 20:00:00 strategy [INFO] Buy order 4 updated - Status: ACCEPTED - None
 2014-07-11 20:00:00 strategy [INFO] Buy order 4 updated - Status: FILLED - 2014-07-11 20:00:00 - Price: 634.91 - Amount: 1.692 - Fee: 2.6856693
 2014-07-11 20:30:00 strategy [INFO] Buy 0.03 at 634.99
+2014-07-11 20:30:00 strategy [INFO] Buy order 5 updated - Status: SUBMITTED - None
 2014-07-11 21:00:00 strategy [INFO] Buy order 5 updated - Status: ACCEPTED - None
 2014-07-11 21:00:00 strategy [INFO] Buy order 5 updated - Status: FILLED - 2014-07-11 21:00:00 - Price: 634.99 - Amount: 0.03 - Fee: 0.04762425
 2014-07-14 01:30:00 strategy [INFO] Sell 1.722 at 626.79
+2014-07-14 01:30:00 strategy [INFO] Sell order 6 updated - Status: SUBMITTED - None
 2014-07-14 02:00:00 strategy [INFO] Sell order 6 updated - Status: ACCEPTED - None
 2014-07-14 02:00:00 strategy [INFO] Sell order 6 updated - Status: FILLED - 2014-07-14 02:00:00 - Price: 627.9 - Amount: 1.722 - Fee: 2.7031095
 2014-07-31 14:00:00 strategy [INFO] Buy 1.81 at 584.13
+2014-07-31 14:00:00 strategy [INFO] Buy order 7 updated - Status: SUBMITTED - None
 2014-07-31 14:30:00 strategy [INFO] Buy order 7 updated - Status: ACCEPTED - None
 2014-07-31 14:30:00 strategy [INFO] Buy order 7 updated - Status: FILLED - 2014-07-31 14:30:00 - Price: 584.1 - Amount: 1.81 - Fee: 2.6430525
 2014-07-31 14:30:00 strategy [INFO] Buy 0.031 at 588.5
+2014-07-31 14:30:00 strategy [INFO] Buy order 8 updated - Status: SUBMITTED - None
 2014-07-31 15:00:00 strategy [INFO] Buy order 8 updated - Status: ACCEPTED - None
 2014-07-31 15:00:00 strategy [INFO] Buy order 8 updated - Status: FILLED - 2014-07-31 15:00:00 - Price: 588.5 - Amount: 0.031 - Fee: 0.04560875
 2014-08-03 00:00:00 strategy [INFO] Sell 1.841 at 587.64
+2014-08-03 00:00:00 strategy [INFO] Sell order 9 updated - Status: SUBMITTED - None
 2014-08-03 00:30:00 strategy [INFO] Sell order 9 updated - Status: ACCEPTED - None
 2014-08-03 00:30:00 strategy [INFO] Sell order 9 updated - Status: FILLED - 2014-08-03 00:30:00 - Price: 589.59 - Amount: 1.841 - Fee: 2.713587975

testcases/drawdown_analyzer_test.py

@@ -218,7 +218,7 @@ def __testIGE_BrokerImpl(self, quantity):
         strat.run()
 
         self.assertTrue(round(strat.getBroker().getCash(), 2) == initialCash + (127.64 - 42.09) * quantity)
-        self.assertEqual(strat.orderUpdatedCalls, 4)
+        self.assertEqual(strat.orderUpdatedCalls, 6)
         self.assertTrue(round(stratAnalyzer.getMaxDrawDown(), 5) == 0.31178)
         self.assertTrue(stratAnalyzer.getLongestDrawDownDuration() == datetime.timedelta(days=623))