inactivate on_order

Mehdi-Lou · Aug 12, 2020 · 421e833 · 421e833
1 parent 09760e8
commit 421e833
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Showing 4 changed files with 8 additions and 12 deletions.
diff --git a/quanttrading2/backtest_engine.py b/quanttrading2/backtest_engine.py
@@ -36,7 +36,9 @@ def __init__(self, start_date=None, end_date=None):
         self._position_manager = PositionManager()
         self._position_manager.set_multiplier(self.multiplier_dict)
         self._order_manager = OrderManager()
-        self._strategy_manager = StrategyManager(self._order_manager, self._position_manager, self._data_board, self.multiplier_dict)
+        self._events_engine = BacktestEventEngine(self._data_feed)
+        self._backtest_brokerage = BacktestBrokerage(self._events_engine, self._data_board)
+        self._strategy_manager = StrategyManager(self.config, self._backtest_brokerage, self._order_manager, self._position_manager, self._data_board, self.multiplier_dict)
         self._risk_manager = PassThroughRiskManager()
         self._strategy = None
 
@@ -78,14 +80,6 @@ def _setup(self):
         ## 1. data_feed
         self._data_feed.subscribe_market_data()
 
-        ## 2. event engine
-        self._events_engine = BacktestEventEngine(self._data_feed)
-
-        ## 3. brokerage
-        self._backtest_brokerage = BacktestBrokerage(
-            self._events_engine, self._data_board
-        )
-
         ## 4. set strategy
         self._strategy.active = True
         self._strategy_manager.load_strategy({self._strategy.name: self._strategy})
@@ -100,7 +94,7 @@ def _setup(self):
         ## 6. wire up event handlers
         self._events_engine.register_handler(EventType.TICK, self._tick_event_handler)
         # to be consistent with current live, order is placed directly
-        self._events_engine.register_handler(EventType.ORDER, self._order_event_handler)
+        # self._events_engine.register_handler(EventType.ORDER, self._order_event_handler)
         self._events_engine.register_handler(EventType.FILL, self._fill_event_handler)
 
     # ------------------------------------ private functions -----------------------------#
@@ -122,6 +116,7 @@ def _tick_event_handler(self, tick_event):
 
     def _order_event_handler(self, order_event):
         """
+        This is not active
         backtest doesn't send order_event back to strategy. It fills directly and becoems fill_event
         """
         self._backtest_brokerage.place_order(order_event)

diff --git a/quanttrading2/brokerage/backtest_brokerage.py b/quanttrading2/brokerage/backtest_brokerage.py
@@ -21,6 +21,7 @@ def __init__(self, events_engine, data_board):
         self._events_engine = events_engine
         self._data_board = data_board
         self.orderid = 1
+        self.market_data_subscription_reverse_dict = {}      # market data subscription, to be consistent with live
         self._active_orders = {}
 
     # ------------------------------------ private functions -----------------------------#

diff --git a/quanttrading2/position/position_manager.py b/quanttrading2/position/position_manager.py
@@ -8,7 +8,7 @@
 
 
 class PositionManager(object):
-    def __init__(self, multiplier_dict):
+    def __init__(self):
         """
         """
         self.initial_capital = 0

diff --git a/quanttrading2/strategy/strategy_manager.py b/quanttrading2/strategy/strategy_manager.py
@@ -80,7 +80,7 @@ def place_order(self, o):
         self._broker.orderid += 1
         o.order_id = oid
         o.order_status = OrderStatus.NEWBORN
-        self._sid_oid_dict[o.source].append(o.id)
+        self._sid_oid_dict[o.source].append(oid)
         self._order_manager.on_order_status(o)
         self._strategy_dict[o.source]._order_manager.on_order_status(o)