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 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))
