def _apply_float_override(override_as_float: float,
original_position_no_override: int,
proposed_trade: Order) -> Order:
"""
Works if override value is float, or override_close (float value is 0.0) or override_none (float value is 1.0)
:param original_position_no_override:
:param proposed_trade:
:return:
"""
if override_as_float == 1.0:
return proposed_trade
desired_new_position = original_position_no_override + proposed_trade.trade.as_single_trade_qty_or_error()
override_new_position = int(
np.floor(
desired_new_position *
override_as_float))
new_trade_value = override_new_position - original_position_no_override
proposed_trade.replace_required_trade_size_only_use_for_unsubmitted_trades(
tradeQuantity(new_trade_value))
return proposed_trade
def what_trade_is_possible(position: int, position_limit: int, order: Order) -> Order:
## POSIITON LIMITS CAN ONLY BE APPLIED TO SINGLE LEG TRADES, EG INSTRUMENT ORDERS
proposed_trade = order.as_single_trade_qty_or_error()
possible_trade = what_trade_is_possible_single_leg_trade(position=position,
position_limit=position_limit,
proposed_trade=proposed_trade)
possible_trade_as_trade_qty = tradeQuantity(possible_trade)
order = order.replace_required_trade_size_only_use_for_unsubmitted_trades(possible_trade_as_trade_qty)
return order
def add_children_to_stack_and_child_id_to_parent(
self,
parent_stack: orderStackData,
child_stack: orderStackData,
parent_order: Order,
list_of_child_orders: listOfOrders,
):
parent_log = parent_order.log_with_attributes(self.log)
list_of_child_ids = put_children_on_stack(
child_stack=child_stack,
list_of_child_orders=list_of_child_orders,
parent_log=parent_log,
parent_order=parent_order,
)
if len(list_of_child_ids) == 0:
return None
success_or_failure = add_children_to_parent_or_rollback_children(
child_stack=child_stack,
parent_order=parent_order,
parent_log=parent_log,
parent_stack=parent_stack,
list_of_child_ids=list_of_child_ids,
)
if success_or_failure is success:
log_successful_adding(
list_of_child_orders=list_of_child_orders,
list_of_child_ids=list_of_child_ids,
parent_order=parent_order,
parent_log=parent_log,
)
def _add_order_to_data_no_checking(self, order: Order):
# Duplicates will be overriden, so be careful
mongo_record = order.as_dict()
self.mongo_data.add_data(order.order_id,
mongo_record,
allow_overwrite=True)
def _apply_reduce_only(original_position_no_override: int,
proposed_trade: Order) -> Order:
proposed_trade_value = proposed_trade.trade.as_single_trade_qty_or_error()
desired_new_position = original_position_no_override + proposed_trade_value
if sign(desired_new_position) != sign(original_position_no_override):
# Wants sign to change, we convert into a pure closing trade
new_trade_value = -original_position_no_override
elif abs(desired_new_position) > abs(original_position_no_override):
# Increasing trade not allowed, zero trade
new_trade_value = 0
else:
# Reducing trade and sign not changing, we'll allow
new_trade_value = proposed_trade_value
proposed_trade.replace_required_trade_size_only_use_for_unsubmitted_trades(
tradeQuantity(new_trade_value))
return proposed_trade
def _put_order_on_stack_and_get_order_id(self, order: Order) -> int:
order_has_existing_id = not order.order_id is no_order_id
if order_has_existing_id:
log = order.log_with_attributes(self.log)
log.warn(
"Order %s already has order ID will be ignored and allocated a new ID!"
% str(order))
order_to_add = copy(order)
order_id = self._get_next_order_id()
order_to_add.order_id = order_id
self._put_order_on_stack_no_checking(order_to_add)
return order_id
def fill_from_order(order: Order) -> Fill:
try:
assert len(order.trade) == 1
except:
raise Exception("Can't get fills from multi-leg orders")
if order.fill_equals_zero():
return missing_order
fill_price = order.filled_price
fill_datetime = order.fill_datetime
fill_qty = order.fill[0]
if fill_price is None:
return missing_order
if fill_datetime is None:
return missing_order
return Fill(fill_datetime, fill_qty, fill_price)
def _apply_no_trading(proposed_trade: Order):
new_trade = proposed_trade.replace_required_trade_size_only_use_for_unsubmitted_trades(
tradeQuantity(0))
return new_trade
def _put_order_on_stack_no_checking(self, order: Order):
order_as_dict = order.as_dict()
self.mongo_data.add_data(int(order.order_id), order_as_dict, allow_overwrite=False)
