Fix the issue of the local order being overwritten when canceling an …

…expired order that has the same order_id.

hftbacktest/__init__.py

@@ -29,7 +29,7 @@
            'Stat',
            'validate_data', 'correct_local_timestamp', 'correct_exch_timestamp', 'correct',)
 
-__version__ = '1.4.1'
+__version__ = '1.4.2'
 
 
 def HftBacktest(

hftbacktest/proc/local.py

@@ -79,6 +79,9 @@ def _process_data(self, row):
         return 0
 
     def submit_order(self, order_id, side, price, qty, order_type, time_in_force, current_timestamp):
+        if order_id in self.orders:
+            raise KeyError('Duplicate order_id')
+
         price_tick = round(price / self.depth.tick_size)
         order = Order(order_id, price_tick, self.depth.tick_size, qty, side, time_in_force, order_type)
         order.req = NEW

hftbacktest/proc/nopartialfillexchange.py

@@ -205,6 +205,9 @@ def on_best_ask_update(self, prev_best, new_best, timestamp):
                         self.__fill(order, timestamp, True)
 
     def __ack_new(self, order, timestamp):
+        if order.order_id in self.orders:
+            raise KeyError('order_id already exists')
+
         if order.side == BUY:
             # Check if the buy order price is greater than or equal to the current best ask.
             if order.price_tick >= self.depth.best_ask_tick:
@@ -268,7 +271,8 @@ def __ack_cancel(self, order, timestamp):
             order.status = EXPIRED
             order.exch_timestamp = timestamp
             local_recv_timestamp = timestamp + self.order_latency.response(timestamp, order, self)
-            self.orders_to.append(order.copy(), local_recv_timestamp)
+            # It can overwrite another existing order on the local side if order_id is the same. So, commented out.
+            # self.orders_to.append(order.copy(), local_recv_timestamp)
             return local_recv_timestamp
 
         # Delete the order.
@@ -293,6 +297,11 @@ def __fill(
             exec_price_tick=0,
             delete_order=True
     ):
+        if order.status == EXPIRED \
+                or order.status == CANCELED \
+                or order.status == FILLED:
+            raise ValueError('status')
+
         order.maker = maker
         order.exec_price_tick = order.price_tick if maker else exec_price_tick
         order.exec_qty = order.leaves_qty

hftbacktest/proc/partialfillexchange.py

@@ -253,6 +253,9 @@ def on_best_ask_update(self, prev_best, new_best, timestamp):
                         )
 
     def __ack_new(self, order, timestamp):
+        if order.order_id in self.orders:
+            raise KeyError('order_id already exists')
+
         if order.side == BUY:
             # Check if the buy order price is greater than or equal to the current best ask.
             if order.price_tick >= self.depth.best_ask_tick:
@@ -430,7 +433,8 @@ def __ack_cancel(self, order, timestamp):
             order.status = EXPIRED
             order.exch_timestamp = timestamp
             local_recv_timestamp = timestamp + self.order_latency.response(timestamp, order, self)
-            self.orders_to.append(order.copy(), local_recv_timestamp)
+            # It can overwrite another existing order on the local side if order_id is the same. So, commented out.
+            # self.orders_to.append(order.copy(), local_recv_timestamp)
             return local_recv_timestamp
 
         # Delete the order.
@@ -456,6 +460,11 @@ def __fill(
             exec_price_tick=0,
             delete_order=True
     ):
+        if order.status == EXPIRED \
+                or order.status == CANCELED \
+                or order.status == FILLED:
+            raise ValueError('status')
+
         order.maker = maker
         order.exec_price_tick = order.price_tick if maker else exec_price_tick
         order.exec_qty = exec_qty