Orders now get an id only after getting submitted.

pyalgotrade/broker/__init__.py

@@ -39,9 +39,9 @@ def roundQuantity(self, quantity):
 
 
 ######################################################################
-## Orders
-## http://stocks.about.com/od/tradingbasics/a/markords.htm
-## http://www.interactivebrokers.com/en/software/tws/usersguidebook/ordertypes/basic_order_types.htm
+# Orders
+# http://stocks.about.com/od/tradingbasics/a/markords.htm
+# http://www.interactivebrokers.com/en/software/tws/usersguidebook/ordertypes/basic_order_types.htm
 #
 # State chart:
 # INITIAL           -> SUBMITTED
@@ -58,8 +58,6 @@ def roundQuantity(self, quantity):
 class Order(object):
     """Base class for orders.
 
-    :param orderId: The order id.
-    :type orderId: string.
     :param type_: The order type
     :type type_: :class:`Order.Type`
     :param action: The order action.
@@ -132,10 +130,10 @@ class Type(object):
         State.PARTIALLY_FILLED: [State.PARTIALLY_FILLED, State.FILLED, State.CANCELED],
     }
 
-    def __init__(self, orderId, type_, action, instrument, quantity, instrumentTraits):
+    def __init__(self, type_, action, instrument, quantity, instrumentTraits):
         if quantity <= 0:
             raise Exception("Invalid quantity")
-        self.__id = orderId
+        self.__id = None
         self.__type = type_
         self.__action = action
         self.__instrument = instrument
@@ -151,22 +149,28 @@ def __init__(self, orderId, type_, action, instrument, quantity, instrumentTrait
         self.__submitDateTime = None
 
     # This is to check that orders are not compared directly. order ids should be compared.
-    #def __eq__(self, other):
-    #    if other is None:
-    #        return False
-    #    assert(False)
+#    def __eq__(self, other):
+#        if other is None:
+#            return False
+#        assert(False)
 
     # This is to check that orders are not compared directly. order ids should be compared.
-    #def __ne__(self, other):
-    #    if other is None:
-    #        return True
-    #    assert(False)
+#    def __ne__(self, other):
+#        if other is None:
+#            return True
+#        assert(False)
 
     def getInstrumentTraits(self):
         return self.__instrumentTraits
 
     def getId(self):
-        """Returns the order id."""
+        """
+        Returns the order id.
+
+        .. note::
+
+            This will be None if the order was not submitted.
+        """
         return self.__id
 
     def getType(self):
@@ -183,7 +187,9 @@ def getSubmitDateTime(self):
         """Returns the datetime when the order was submitted."""
         return self.__submitDateTime
 
-    def setSubmitDateTime(self, dateTime):
+    def setSubmitted(self, orderId, dateTime):
+        assert(self.__id is None or orderId == self.__id)
+        self.__id = orderId
         self.__submitDateTime = dateTime
 
     def getAction(self):
@@ -347,8 +353,8 @@ class MarketOrder(Order):
         This is a base class and should not be used directly.
     """
 
-    def __init__(self, orderId, action, instrument, quantity, onClose, instrumentTraits):
-        Order.__init__(self, orderId, Order.Type.MARKET, action, instrument, quantity, instrumentTraits)
+    def __init__(self, action, instrument, quantity, onClose, instrumentTraits):
+        Order.__init__(self, Order.Type.MARKET, action, instrument, quantity, instrumentTraits)
         self.__onClose = onClose
 
     def getFillOnClose(self):
@@ -364,8 +370,8 @@ class LimitOrder(Order):
         This is a base class and should not be used directly.
     """
 
-    def __init__(self, orderId, action, instrument, limitPrice, quantity, instrumentTraits):
-        Order.__init__(self, orderId, Order.Type.LIMIT, action, instrument, quantity, instrumentTraits)
+    def __init__(self, action, instrument, limitPrice, quantity, instrumentTraits):
+        Order.__init__(self, Order.Type.LIMIT, action, instrument, quantity, instrumentTraits)
         self.__limitPrice = limitPrice
 
     def getLimitPrice(self):
@@ -381,8 +387,8 @@ class StopOrder(Order):
         This is a base class and should not be used directly.
     """
 
-    def __init__(self, orderId, action, instrument, stopPrice, quantity, instrumentTraits):
-        Order.__init__(self, orderId, Order.Type.STOP, action, instrument, quantity, instrumentTraits)
+    def __init__(self, action, instrument, stopPrice, quantity, instrumentTraits):
+        Order.__init__(self, Order.Type.STOP, action, instrument, quantity, instrumentTraits)
         self.__stopPrice = stopPrice
 
     def getStopPrice(self):
@@ -398,8 +404,8 @@ class StopLimitOrder(Order):
         This is a base class and should not be used directly.
     """
 
-    def __init__(self, orderId, action, instrument, stopPrice, limitPrice, quantity, instrumentTraits):
-        Order.__init__(self, orderId, Order.Type.STOP_LIMIT, action, instrument, quantity, instrumentTraits)
+    def __init__(self, action, instrument, stopPrice, limitPrice, quantity, instrumentTraits):
+        Order.__init__(self, Order.Type.STOP_LIMIT, action, instrument, quantity, instrumentTraits)
         self.__stopPrice = stopPrice
         self.__limitPrice = limitPrice
 
@@ -465,7 +471,7 @@ def getEventInfo(self):
 
 
 ######################################################################
-## Base broker class
+# Base broker class
 class Broker(observer.Subject):
     """Base class for brokers.
 
@@ -534,7 +540,6 @@ def submitOrder(self, order):
         """
         raise NotImplementedError()
 
-
     def placeOrder(self, order):
         # Deprecated since v0.16
         warninghelpers.deprecation_warning("placeOrder will be deprecated in the next version. Please use submitOrder instead.", stacklevel=2)

pyalgotrade/broker/backtesting.py

@@ -32,7 +32,7 @@ def roundQuantity(self, quantity):
 
 
 ######################################################################
-## Commission models
+# Commission models
 
 class Commission(object):
     """Base class for implementing different commission schemes.
@@ -97,7 +97,7 @@ def calculate(self, order, price, quantity):
 
 
 ######################################################################
-## Order filling strategies
+# Order filling strategies
 
 # Returns the trigger price for a Stop or StopLimit order, or None if the stop price was not yet penetrated.
 def get_stop_price_trigger(action, stopPrice, useAdjustedValues, bar):
@@ -411,7 +411,7 @@ def fillStopLimitOrder(self, order, broker_, bar):
 
 
 ######################################################################
-## Orders
+# Orders
 
 class BacktestingOrder(object):
     def __init__(self):
@@ -430,26 +430,26 @@ def process(self, broker_, bar_):
 
 
 class MarketOrder(broker.MarketOrder, BacktestingOrder):
-    def __init__(self, orderId, action, instrument, quantity, onClose, instrumentTraits):
-        broker.MarketOrder.__init__(self, orderId, action, instrument, quantity, onClose, instrumentTraits)
+    def __init__(self, action, instrument, quantity, onClose, instrumentTraits):
+        broker.MarketOrder.__init__(self, action, instrument, quantity, onClose, instrumentTraits)
         BacktestingOrder.__init__(self)
 
     def process(self, broker_, bar_):
         return broker_.getFillStrategy().fillMarketOrder(self, broker_, bar_)
 
 
 class LimitOrder(broker.LimitOrder, BacktestingOrder):
-    def __init__(self, orderId, action, instrument, limitPrice, quantity, instrumentTraits):
-        broker.LimitOrder.__init__(self, orderId, action, instrument, limitPrice, quantity, instrumentTraits)
+    def __init__(self, action, instrument, limitPrice, quantity, instrumentTraits):
+        broker.LimitOrder.__init__(self, action, instrument, limitPrice, quantity, instrumentTraits)
         BacktestingOrder.__init__(self)
 
     def process(self, broker_, bar_):
         return broker_.getFillStrategy().fillLimitOrder(self, broker_, bar_)
 
 
 class StopOrder(broker.StopOrder, BacktestingOrder):
-    def __init__(self, orderId, action, instrument, stopPrice, quantity, instrumentTraits):
-        broker.StopOrder.__init__(self, orderId, action, instrument, stopPrice, quantity, instrumentTraits)
+    def __init__(self, action, instrument, stopPrice, quantity, instrumentTraits):
+        broker.StopOrder.__init__(self, action, instrument, stopPrice, quantity, instrumentTraits)
         BacktestingOrder.__init__(self)
         self.__stopHit = False
 
@@ -466,8 +466,8 @@ def getStopHit(self):
 # http://www.sec.gov/answers/stoplim.htm
 # http://www.interactivebrokers.com/en/trading/orders/stopLimit.php
 class StopLimitOrder(broker.StopLimitOrder, BacktestingOrder):
-    def __init__(self, orderId, action, instrument, stopPrice, limitPrice, quantity, instrumentTraits):
-        broker.StopLimitOrder.__init__(self, orderId, action, instrument, stopPrice, limitPrice, quantity, instrumentTraits)
+    def __init__(self, action, instrument, stopPrice, limitPrice, quantity, instrumentTraits):
+        broker.StopLimitOrder.__init__(self, action, instrument, stopPrice, limitPrice, quantity, instrumentTraits)
         BacktestingOrder.__init__(self)
         self.__stopHit = False  # Set to true when the limit order is activated (stop price is hit)
 
@@ -486,7 +486,7 @@ def process(self, broker_, bar_):
 
 
 ######################################################################
-## Broker
+# Broker
 
 class Broker(broker.Broker):
     """Backtesting broker.
@@ -522,17 +522,27 @@ def __init__(self, cash, barFeed, commission=None):
         self.__allowNegativeCash = False
         self.__nextOrderId = 1
 
-    def __getNextOrderId(self):
+    def _getNextOrderId(self):
         ret = self.__nextOrderId
         self.__nextOrderId += 1
         return ret
 
-    def __getBar(self, bars, instrument):
+    def _getBar(self, bars, instrument):
         ret = bars.getBar(instrument)
         if ret is None:
             ret = self.__barFeed.getLastBar(instrument)
         return ret
 
+    def _registerOrder(self, order):
+        assert(order.getId() not in self.__activeOrders)
+        assert(order.getId() is not None)
+        self.__activeOrders[order.getId()] = order
+
+    def _unregisterOrder(self, order):
+        assert(order.getId() in self.__activeOrders)
+        assert(order.getId() is not None)
+        del self.__activeOrders[order.getId()]
+
     def getLogger(self):
         return self.__logger
 
@@ -545,7 +555,7 @@ def getCash(self, includeShort=True):
             bars = self.__barFeed.getCurrentBars()
             for instrument, shares in self.__shares.iteritems():
                 if shares < 0:
-                    instrumentPrice = self.__getBar(bars, instrument).getClose(self.getUseAdjustedValues())
+                    instrumentPrice = self._getBar(bars, instrument).getClose(self.getUseAdjustedValues())
                     ret += instrumentPrice * shares
         return ret
 
@@ -617,7 +627,7 @@ def __getEquityWithBars(self, bars):
         ret = self.getCash()
         if bars is not None:
             for instrument, shares in self.__shares.iteritems():
-                instrumentPrice = self.__getBar(bars, instrument).getClose(self.getUseAdjustedValues())
+                instrumentPrice = self._getBar(bars, instrument).getClose(self.getUseAdjustedValues())
                 ret += instrumentPrice * shares
         return ret
 
@@ -672,7 +682,7 @@ def commitOrderExecution(self, order, dateTime, fillInfo):
 
             # Notify the order update
             if order.isFilled():
-                del self.__activeOrders[order.getId()]
+                self._unregisterOrder(order)
                 self.notifyOrderEvent(broker.OrderEvent(order, broker.OrderEvent.Type.FILLED, orderExecutionInfo))
             elif order.isPartiallyFilled():
                 self.notifyOrderEvent(broker.OrderEvent(order, broker.OrderEvent.Type.PARTIALLY_FILLED, orderExecutionInfo))
@@ -683,13 +693,12 @@ def commitOrderExecution(self, order, dateTime, fillInfo):
 
     def submitOrder(self, order):
         if order.isInitial():
-            # assert(order.getId() not in self.__activeOrders)
-            self.__activeOrders[order.getId()] = 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)
-            order.setSubmitDateTime(self._getCurrentDateTime())
         else:
             raise Exception("The order was already processed")
 
@@ -704,7 +713,7 @@ def __preProcessOrder(self, order, bar_):
             # Cancel the order if it is expired.
             if expired:
                 ret = False
-                del self.__activeOrders[order.getId()]
+                self._unregisterOrder(order)
                 order.switchState(broker.Order.State.CANCELED)
                 self.notifyOrderEvent(broker.OrderEvent(order, broker.OrderEvent.Type.CANCELED, "Expired"))
 
@@ -720,7 +729,7 @@ def __postProcessOrder(self, order, bar_):
 
             # Cancel the order if it will expire in the next bar.
             if expired:
-                del self.__activeOrders[order.getId()]
+                self._unregisterOrder(order)
                 order.switchState(broker.Order.State.CANCELED)
                 self.notifyOrderEvent(broker.OrderEvent(order, broker.OrderEvent.Type.CANCELED, "Expired"))
 
@@ -789,16 +798,16 @@ def peekDateTime(self):
         return None
 
     def createMarketOrder(self, action, instrument, quantity, onClose=False):
-        return MarketOrder(self.__getNextOrderId(), action, instrument, quantity, onClose, self.getInstrumentTraits(instrument))
+        return MarketOrder(action, instrument, quantity, onClose, self.getInstrumentTraits(instrument))
 
     def createLimitOrder(self, action, instrument, limitPrice, quantity):
-        return LimitOrder(self.__getNextOrderId(), action, instrument, limitPrice, quantity, self.getInstrumentTraits(instrument))
+        return LimitOrder(action, instrument, limitPrice, quantity, self.getInstrumentTraits(instrument))
 
     def createStopOrder(self, action, instrument, stopPrice, quantity):
-        return StopOrder(self.__getNextOrderId(), action, instrument, stopPrice, quantity, self.getInstrumentTraits(instrument))
+        return StopOrder(action, instrument, stopPrice, quantity, self.getInstrumentTraits(instrument))
 
     def createStopLimitOrder(self, action, instrument, stopPrice, limitPrice, quantity):
-        return StopLimitOrder(self.__getNextOrderId(), action, instrument, stopPrice, limitPrice, quantity, self.getInstrumentTraits(instrument))
+        return StopLimitOrder(action, instrument, stopPrice, limitPrice, quantity, self.getInstrumentTraits(instrument))
 
     def cancelOrder(self, order):
         activeOrder = self.__activeOrders.get(order.getId())
@@ -807,6 +816,6 @@ def cancelOrder(self, order):
         if activeOrder.isFilled():
             raise Exception("Can't cancel order that has already been filled")
 
-        del self.__activeOrders[activeOrder.getId()]
+        self._unregisterOrder(activeOrder)
         activeOrder.switchState(broker.Order.State.CANCELED)
         self.notifyOrderEvent(broker.OrderEvent(activeOrder, broker.OrderEvent.Type.CANCELED, "User requested cancellation"))

testcases/broker_backtesting_test.py

@@ -144,7 +144,7 @@ def testNoCommission(self):
 
     def testFixedPerTrade(self):
         comm = backtesting.FixedPerTrade(1.2)
-        order = backtesting.MarketOrder(1, broker.Order.Action.BUY, "orcl", 1, False, backtesting.DefaultTraits())
+        order = backtesting.MarketOrder(broker.Order.Action.BUY, "orcl", 1, False, backtesting.DefaultTraits())
         self.assertEqual(comm.calculate(order, 1, 1), 1.2)
 
     def testTradePercentage(self):

testcases/broker_test.py

@@ -31,10 +31,10 @@ def roundQuantity(self, quantity):
 
 class OrderTestCase(unittest.TestCase):
     def __buildAcceptedLimitOrder(self, action, limitPrice, quantity):
-        ret = broker.LimitOrder(1, action, "orcl", limitPrice, quantity, DefaultTraits())
+        ret = broker.LimitOrder(action, "orcl", limitPrice, quantity, DefaultTraits())
         self.assertEquals(ret.getSubmitDateTime(), None)
         ret.switchState(broker.Order.State.SUBMITTED)
-        ret.setSubmitDateTime(datetime.datetime.now())
+        ret.setSubmitted(1, datetime.datetime.now())
         self.assertNotEquals(ret.getSubmitDateTime(), None)
         ret.switchState(broker.Order.State.ACCEPTED)
         return ret