def handle_order_execution(self, order: Order, intrabar: Bar):
amount = order.amount - order.executed_amount
order.executed_amount = order.amount
fee = self.taker_fee
if order.limit_price:
price = order.limit_price
fee = self.maker_fee
elif order.stop_price:
price = int(
order.stop_price *
(1 + math.copysign(self.market_slipage_percent, order.amount) /
100) / self.symbol.tickSize) * self.symbol.tickSize
else:
price = intrabar.open * (
1 +
math.copysign(self.market_slipage_percent, order.amount) / 100)
price = min(intrabar.high, max(
intrabar.low,
price)) # only prices within the bar. might mean less slipage
order.executed_price = price
self.account.open_position.quantity += amount
delta = amount * (price if not self.symbol.isInverse else -1 / price)
self.account.open_position.walletBalance -= delta
self.account.open_position.walletBalance -= math.fabs(delta) * fee
order.active = False
order.execution_tstamp = intrabar.tstamp
order.final_reason = 'executed'
self.account.order_history.append(order)
self.account.open_orders.remove(order)
logger.debug("executed order " + order.id + " | " +
str(self.account.usd_equity) + " " +
str(self.account.open_position.quantity))
def orderDictToOrder(self, o) -> Order:
"""
{
"bizError": 0,
"orderID": "9cb95282-7840-42d6-9768-ab8901385a67",
"clOrdID": "7eaa9987-928c-652e-cc6a-82fc35641706",
"symbol": "BTCUSD",
"side": "Buy",
"actionTimeNs": 1580533011677666800,
"transactTimeNs": 1580533011677666800,
"orderType": null,
"priceEp": 84000000,
"price": 8400,
"orderQty": 1,
"displayQty": 1,
"timeInForce": null,
"reduceOnly": false,
"stopPxEp": 0,
"closedPnlEv": 0,
"closedPnl": 0,
"closedSize": 0,
"cumQty": 0,
"cumValueEv": 0,
"cumValue": 0,
"leavesQty": 0,
"leavesValueEv": 0,
"leavesValue": 0,
"stopPx": 0,
"stopDirection": "Falling",
"ordStatus": "Untriggered"
},
"""
sideMult = -1 if o['side'] == Client.SIDE_SELL else 1
stop = self.noneIfZero(
o['stopPx']) if 'stopPx' in o else self.noneIfZero(
o['stopPxEp'], True)
price = self.noneIfZero(
o['price']) if 'price' in o else self.noneIfZero(
o['priceEp'], True)
order = Order(orderId=o['clOrdID'],
stop=stop,
limit=price,
amount=o['orderQty'] * sideMult)
order.exchange_id = o['orderID']
order.tstamp = o['actionTimeNs'] / 1000000000
order.active = o['ordStatus'] in [
Client.ORDER_STATUS_NEW, Client.ORDER_STATUS_UNTRIGGERED,
Client.ORDER_STATUS_TRIGGERED
]
order.executed_amount = o['cumQty'] * sideMult
val = o['cumValue'] if 'cumValue' in o else o[
'cumValueEv'] / self.valueScale
order.executed_price = o['cumQty'] / val if val != 0 else 0
if order.executed_amount != 0:
order.execution_tstamp = o['transactTimeNs'] / 1000000000
order.stop_triggered = order.stop_price is not None and o[
'ordStatus'] == Client.ORDER_STATUS_TRIGGERED
return order
def handle_order_execution(self, order: Order, intrabar: Bar):
amount = order.amount - order.executed_amount
order.executed_amount = order.amount
fee = self.taker_fee
if order.limit_price:
price = order.limit_price
fee = self.maker_fee
elif order.stop_price:
price = int(
order.stop_price *
(1 + math.copysign(self.market_slipage_percent, order.amount) /
100) / self.symbol.tickSize) * self.symbol.tickSize
else:
price = intrabar.open * (
1 +
math.copysign(self.market_slipage_percent, order.amount) / 100)
price = min(intrabar.high, max(
intrabar.low,
price)) # only prices within the bar. might mean less slipage
order.executed_price = price
oldAmount = self.account.open_position.quantity
if oldAmount != 0:
oldavgentry = self.account.open_position.avgEntryPrice
if oldAmount * amount > 0:
self.account.open_position.avgEntryPrice = (
oldavgentry * oldAmount + price * amount) / (oldAmount +
amount)
if oldAmount * amount < 0:
if abs(oldAmount) < abs(amount):
profit = oldAmount * (
(price - oldavgentry) if not self.symbol.isInverse else
(-1 / price + 1 / oldavgentry))
self.account.open_position.walletBalance += profit
#close current, open new
self.account.open_position.avgEntryPrice = price
else:
#closes the position by "-amount" cause amount is the side and direction of the close
profit = -amount * (
(price - oldavgentry) if not self.symbol.isInverse else
(-1 / price + 1 / oldavgentry))
self.account.open_position.walletBalance += profit
else:
self.account.open_position.avgEntryPrice = price
self.account.open_position.quantity += amount
volume = amount * (price if not self.symbol.isInverse else -1 / price)
self.account.open_position.walletBalance -= math.fabs(volume) * fee
order.active = False
order.execution_tstamp = intrabar.tstamp
order.final_reason = 'executed'
self.account.order_history.append(order)
self.account.open_orders.remove(order)
self.logger.debug("executed order %s | %.0f %.2f | %.2f@ %.1f" %
(order.id, self.account.usd_equity,
self.account.open_position.quantity,
order.executed_amount, order.executed_price))
def get_orders(self) -> List[Order]:
mexOrders = self.bitmex.open_orders()
result: List[Order] = []
for o in mexOrders:
sideMulti = 1 if o["side"] == "Buy" else -1
order = Order(orderId=o["clOrdID"],
stop=o["stopPx"],
limit=o["price"],
amount=o["orderQty"] * sideMulti)
order.stop_triggered = o["triggered"] == "StopOrderTriggered"
order.executed_amount = (o["cumQty"]) * sideMulti
order.tstamp = parse_utc_timestamp(o['timestamp'])
order.execution_tstamp = order.tstamp
order.active = o['ordStatus'] == 'New'
order.exchange_id = o["orderID"]
order.executed_price = o["avgPx"]
result.append(order)
return result
