def get_orders(self, action: int, portfolio: 'Portfolio') -> 'List[Order]':
hasOrder = True
if action == 0:
return []
(ep, (stop, take, proportion, duration, side)) = self.actions[action]
side = TradeSide(side)
instrument = side.instrument(ep.pair)
wallet = portfolio.get_wallet(ep.exchange.id, instrument=instrument)
balance = wallet.balance.as_float()
size = (balance * proportion)
size = min(balance, size)
quantity = (size * instrument).quantize()
if size < 10 ** -instrument.precision \
or size < self.min_order_pct * portfolio.net_worth \
or size < self.min_order_abs:
return []
params = {
'side': side,
'exchange_pair': ep,
'price': ep.price,
'quantity': quantity,
'down_percent': stop,
'up_percent': take,
'portfolio': portfolio,
'trade_type': self._trade_type,
'end': self.clock.step + duration if duration else None
}
order = risk_managed_order(**params)
if self._order_listener is not None:
order.attach(self._order_listener)
hasOrder = True
for listener in self._listeners:
listener.on_action(action, hasOrder, self.clock.step)
return [order]
def risk_managed_order(side: "TradeSide",
trade_type: "TradeType",
exchange_pair: "ExchangePair",
price: float,
quantity: "Quantity",
down_percent: float,
up_percent: float,
portfolio: "Portfolio",
start: int = None,
end: int = None):
"""Create a stop order that manages for percentages above and below the
entry price of the order.
Parameters
----------
side : `TradeSide`
The side of the order.
trade_type : `TradeType`
The type of trade to make when going in.
exchange_pair : `ExchangePair`
The exchange pair to perform the order for.
price : float
The current price.
down_percent: float
The percentage the price is allowed to drop before exiting.
up_percent : float
The percentage the price is allowed to rise before exiting.
quantity : `Quantity`
The quantity of the order.
portfolio : `Portfolio`
The portfolio being used in the order.
start : int, optional
The start time of the order.
end : int, optional
The end time of the order.
Returns
-------
`Order`
A stop order controlling for the percentages above and below the entry
price.
"""
side = TradeSide(side)
instrument = side.instrument(exchange_pair.pair)
order = Order(step=portfolio.clock.step,
side=side,
trade_type=TradeType(trade_type),
exchange_pair=exchange_pair,
price=price,
start=start,
end=end,
quantity=quantity,
portfolio=portfolio)
risk_criteria = Stop("down", down_percent) ^ Stop("up", up_percent)
risk_management = OrderSpec(
side=TradeSide.SELL if side == TradeSide.BUY else TradeSide.BUY,
trade_type=TradeType.MARKET,
exchange_pair=exchange_pair,
criteria=risk_criteria)
order.add_order_spec(risk_management)
return order