def orderDictToOrder(o):
sideMulti = 1 if o["side"] == "Buy" else -1
ext = o['ext_fields'] if 'ext_fields' in o.keys() else None
stop = o['trigger_price'] if 'trigger_price' in o.keys() else None
if stop is None:
stop = o['stop_px'] if 'stop_px' in o.keys() else None
if stop is None and ext is not None and 'trigger_price' in ext.keys():
stop = ext['trigger_price']
order = Order(
orderId=o["order_link_id"],
stop=float(stop) if stop is not None else None,
limit=float(o["price"]) if o['order_type'] == 'Limit' else None,
amount=float(o["qty"] * sideMulti))
if "order_status" in o.keys():
order.stop_triggered = o[
"order_status"] == "New" and stop is not None
order.active = o['order_status'] == 'New' or o[
'order_status'] == 'Untriggered'
elif "stop_order_status" in o.keys():
order.stop_triggered = o["stop_order_status"] == 'Triggered' or o[
'stop_order_status'] == 'Active'
order.active = o['stop_order_status'] == 'Triggered' or o[
'stop_order_status'] == 'Untriggered'
exec = o['cum_exec_qty'] if 'cum_exec_qty' in o.keys() else 0
order.executed_amount = float(exec) * sideMulti
order.tstamp = parse_utc_timestamp(o['timestamp'] if 'timestamp' in
o.keys() else o['created_at'])
order.exchange_id = o["order_id"] if 'order_id' in o.keys(
) else o['stop_order_id']
order.executed_price = None
if 'cum_exec_value' in o.keys() and 'cum_exec_qty' in o.keys(
) and float(o['cum_exec_value']) != 0:
order.executed_price = o['cum_exec_qty'] / float(
o["cum_exec_value"]) # cause of inverse
return order
def send_order(self, order: Order):
if order.amount == 0:
self.logger.error("trying to send order without amount")
return
order.tstamp = self.bars[0].tstamp
if order not in self.account.open_orders: # bot might add it himself temporarily.
self.account.open_orders.append(order)
self.exchange.send_order(order)
def update_order(self, order: Order):
for existing_order in self.account.open_orders:
if existing_order.id == order.id:
self.account.open_orders.remove(existing_order)
self.account.open_orders.append(order)
order.tstamp = self.current_bars[0].last_tick_tstamp
self.logger.debug("updated order %s" % (order.print_info()))
break
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 send_order(self, order: Order):
# check if order is val
if order.amount == 0:
self.logger.error("trying to send order without amount")
return
self.logger.debug("added order %s" % (order.print_info()))
order.tstamp = self.current_bars[0].tstamp
if order not in self.account.open_orders: # bot might add it himself temporarily.
self.account.open_orders.append(order)
def send_order(self, order: Order):
if order.amount == 0:
self.logger.error("trying to send order without amount")
return
if self.telegram_bot is not None:
self.telegram_bot.send_log(
"Sending (" + self.id + "): " + order.print_info(), order.id)
order.tstamp = self.bars[0].tstamp
if order not in self.account.open_orders: # bot might add it himself temporarily.
self.account.open_orders.append(order)
self.exchange.send_order(order)
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
def send_order(self, order: Order):
# check if order is val
if order.amount == 0:
self.logger.error("trying to send order without amount")
return
[posId,
order_type] = TradingBot.position_id_and_type_from_order_id(order.id)
if order_type == OrderType.ENTRY:
[unused, direction] = TradingBot.split_pos_Id(posId)
if direction == PositionDirection.LONG and order.amount < 0:
self.logger.error("sending long entry with negative amount")
if direction == PositionDirection.SHORT and order.amount > 0:
self.logger.error("sending short entry with positive amount")
self.logger.debug("added order %s" % (order.print_info()))
order.tstamp = self.current_bars[0].tstamp
if order not in self.account.open_orders: # bot might add it himself temporarily.
self.account.open_orders.append(order)
