Updated execution handler to update final orders ensuring an executio…

…n order is created in the event of a single submission without a rebalance. (#392)

qstrader/execution/execution_handler.py

@@ -83,3 +83,4 @@ def __call__(self, dt, rebalance_orders):
         if self.submit_orders:
             for order in final_orders:
                 self.broker.submit_order(self.broker_portfolio_id, order)
+                self.broker.update(dt)

tests/integration/trading/fixtures/GHI.csv

@@ -0,0 +1,17 @@
+Date,Open,Close,Adj Close
+2015-11-06,209.740005,210.039993,180.776825
+2015-11-09,209.309998,208.080002,179.089874
+2015-11-10,207.509995,208.559998,179.503006
+2015-11-11,208.880005,207.740005,178.797272
+2015-11-12,206.5,204.839996,176.301285
+2015-11-13,204.350006,202.539993,174.321686
+2015-11-16,202.320007,205.619995,176.97261
+2015-11-17,205.990005,205.470001,176.843521
+2015-11-18,206.039993,208.729996,179.649323
+2015-11-19,208.589996,208.550003,179.494431
+2015-11-20,209.449997,209.309998,180.148499
+2015-11-23,209.380005,209.070007,179.941971
+2015-11-24,207.869995,209.350006,180.182999
+2015-11-25,209.5,209.320007,180.15715
+2015-11-27,209.429993,209.559998,180.363708
+2015-11-30,209.75,208.690002,179.614899

tests/integration/trading/test_backtest_e2e.py

@@ -8,6 +8,8 @@
 from qstrader.asset.universe.static import StaticUniverse
 from qstrader.trading.backtest import BacktestTradingSession
 
+from qstrader import settings
+
 
 def test_backtest_sixty_forty(etf_filepath):
     """
@@ -127,3 +129,31 @@ def test_backtest_long_short_leveraged(etf_filepath):
 
     pd.testing.assert_frame_equal(history_df, expected_df)
     assert portfolio_dict == expected_dict
+
+
+def test_backtest_buy_and_hold(etf_filepath, capsys):
+    """
+    """
+    settings.print_events=True
+    os.environ['QSTRADER_CSV_DATA_DIR'] = etf_filepath
+    assets = ['EQ:GHI']
+    universe = StaticUniverse(assets)
+    alpha_model = FixedSignalsAlphaModel({'EQ:GHI':1.0})
+
+    start_dt = pd.Timestamp('2015-11-09 14:30:00', tz=pytz.UTC)
+    end_dt = pd.Timestamp('2015-11-10 14:30:00', tz=pytz.UTC)
+
+    backtest = BacktestTradingSession(
+        start_dt,
+        end_dt,
+        universe,
+        alpha_model,
+        rebalance='buy_and_hold',
+        long_only=True,
+        cash_buffer_percentage=0.01,
+    )
+    backtest.run(results=False)
+
+    expected_execution_text = "(2015-11-09 14:30:00+00:00) - executed order:"
+    captured = capsys.readouterr()
+    assert expected_execution_text in captured.out