""" Execution engine test suite. Covers all user-facing order types and TIF variants using real market prices derived from live bar data. Bracket levels are set as ATR multiples so they are plausible on any dataset with normal volatility. Phases (one per SLOT bars, entry at slot_start): 0 buy_market plain → manual close at +5 1 sell_market plain → manual close at +5 2 buy_market TP+SL → bracket handles close 3 sell_market TP+SL → bracket handles close 4 buy_limit plain → manual close at +15 (may still be pending) 5 sell_limit plain → manual close at +15 6 buy_limit TP+SL → bracket or timeout 7 sell_limit TP+SL → bracket or timeout 8 buy_stop plain → manual close at +15 9 sell_stop plain → manual close at +15 10 buy_stop TP+SL → bracket or timeout 11 sell_stop TP+SL → bracket or timeout 12 GTD limit (far OTM) → expires after 3 bars 13 IOC market buy → fills bar N (same bar) or cancels at bar N's seal 14 IOC buy_limit (deep OTM) → cancelled at bar N's seal 15 cancel_order pending GTC 16 multi-order list (OCO pair) 17 invalid bracket buy → rejected 18 reversal attempt → rejected """ from datetime import datetime, timedelta from engine.orders import ( buy_market, sell_market, close_position, buy_limit, sell_limit, buy_stop, sell_stop, cancel_order, orders, ) SLOT = 30 def _slot(n): return n * SLOT class ExecutionTestSuite: lookback = 1 def __init__(self, ticker="AAPL"): self.ticker = ticker self._bar = -1 self._n = 0 def _emit(self, o): self._n += 1 return o def on_bar(self, data): self._bar += 1 b = self._bar t = self.ticker tv = data[t] if not tv.valid: return None c = float(tv.close[-1]) h = float(tv.high[-1]) lo = float(tv.low[-1]) atr = max(h - lo, 1e-6) # ── phase 0 buy_market plain ───────────────────────────────────────── if b == _slot(0): return self._emit(buy_market(1.0, ticker=t)) if b == _slot(0) + 5: return self._emit(close_position(ticker=t)) # ── phase 1 sell_market plain ──────────────────────────────────────── if b == _slot(1): return self._emit(sell_market(1.0, ticker=t)) if b == _slot(1) + 5: return self._emit(buy_market(0.0, ticker=t)) # ── phase 2 buy_market TP+SL ───────────────────────────────────────── if b == _slot(2): return self._emit(buy_market(1.0, ticker=t, take_profit=c + atr * 2, stop_loss=c - atr * 2)) # ── phase 3 sell_market TP+SL ──────────────────────────────────────── if b == _slot(3): return self._emit(sell_market(1.0, ticker=t, take_profit=c - atr * 2, stop_loss=c + atr * 2)) # ── phase 4 buy_limit plain ────────────────────────────────────────── if b == _slot(4): return self._emit(buy_limit(c - atr, 1.0, ticker=t)) if b == _slot(4) + 15: return self._emit(close_position(ticker=t)) # ── phase 5 sell_limit plain ───────────────────────────────────────── if b == _slot(5): return self._emit(sell_limit(c + atr, 1.0, ticker=t)) if b == _slot(5) + 15: return self._emit(buy_market(0.0, ticker=t)) # ── phase 6 buy_limit TP+SL ────────────────────────────────────────── if b == _slot(6): entry = c - atr return self._emit(buy_limit(entry, 1.0, ticker=t, take_profit=entry + atr * 3, stop_loss=entry - atr * 1.5)) # ── phase 7 sell_limit TP+SL ───────────────────────────────────────── if b == _slot(7): entry = c + atr return self._emit(sell_limit(entry, 1.0, ticker=t, take_profit=entry - atr * 3, stop_loss=entry + atr * 1.5)) # ── phase 8 buy_stop plain ─────────────────────────────────────────── if b == _slot(8): return self._emit(buy_stop(c + atr, 1.0, ticker=t)) if b == _slot(8) + 15: return self._emit(close_position(ticker=t)) # ── phase 9 sell_stop plain ────────────────────────────────────────── if b == _slot(9): return self._emit(sell_stop(c - atr, 1.0, ticker=t)) if b == _slot(9) + 15: return self._emit(buy_market(0.0, ticker=t)) # ── phase 10 buy_stop TP+SL ────────────────────────────────────────── if b == _slot(10): entry = c + atr return self._emit(buy_stop(entry, 1.0, ticker=t, take_profit=entry + atr * 2, stop_loss=entry - atr)) # ── phase 11 sell_stop TP+SL ───────────────────────────────────────── if b == _slot(11): entry = c - atr return self._emit(sell_stop(entry, 1.0, ticker=t, take_profit=entry - atr * 2, stop_loss=entry + atr)) # ── phase 12 GTD limit — far OTM, expires in 3 bars ───────────────── if b == _slot(12): dt = datetime.strptime(data.timestamp, "%Y-%m-%d %H:%M:%S") expiry = (dt + timedelta(hours=3)).strftime("%Y-%m-%d %H:%M:%S") return self._emit(buy_limit(c * 0.5, 1.0, "GTD", ticker=t, expiry_timestamp=expiry)) # ── phase 13 IOC market buy ────────────────────────────────────────── if b == _slot(13): return self._emit(buy_market(1.0, ticker=t, tif="IOC")) if b == _slot(13) + 5: return self._emit(close_position(ticker=t)) # ── phase 14 IOC buy_limit deep OTM → always cancelled ────────────── if b == _slot(14): return self._emit(buy_limit(c * 0.5, 1.0, "IOC", ticker=t)) # ── phase 15 cancel pending GTC limit ──────────────────────────────── if b == _slot(15): return self._emit(buy_limit(c * 0.5, 1.0, ticker=t)) if b == _slot(15) + 2: return cancel_order(self._n, ticker=t) # ── phase 16 multi-order list (OCO pair) ───────────────────────────── if b == _slot(16): self._n += 2 return [ buy_limit(c - atr, 1.0, ticker=t), sell_limit(c + atr, 1.0, ticker=t), ] # ── phase 17 invalid bracket → rejected ────────────────────────────── if b == _slot(17): return self._emit(buy_market(1.0, ticker=t, take_profit=c * 0.5)) # ── phase 18 reversal attempt → rejected ───────────────────────────── if b == _slot(18): return self._emit(buy_market(1.0, ticker=t)) if b == _slot(18) + 2: return self._emit(buy_market(1.0, ticker=t)) if b == _slot(18) + 5: return self._emit(close_position(ticker=t)) return None