def execute_close_order(order: 'Order', base_wallet: 'Wallet',
quote_wallet: 'Wallet', current_price: float,
options: 'ExchangeOptions', clock: 'Clock') -> 'Trade':
"""Executes a sell order on the exchange.
Parameters
----------
order : `Order`
The order that is being filled.
base_wallet : `Wallet`
The wallet of the base instrument.
quote_wallet : `Wallet`
The wallet of the quote instrument.
current_price : float
The current price of the exchange pair.
options : `ExchangeOptions`
The exchange options.
clock : `Clock`
The clock for the trading process..
Returns
-------
`Trade`
The executed trade that was made.
"""
if order.type == TradeType.LIMIT and order.price > current_price:
return None
filled = order.remaining.contain(order.exchange_pair)
commission = Quantity(instrument=filled.instrument, size=0)
quantity = filled - commission
'''
# Transfer Funds from Quote Wallet to Base Wallet
transfer = Wallet.transfer(
source=quote_wallet,
target=base_wallet,
quantity=quantity,
commission=commission,
exchange_pair=order.exchange_pair,
reason="CLOSE"
)
'''
# to be replaced by broker
position = quote_wallet.get_positions()[order.path_id]
if position:
# mark position as closed
position.is_open = False
trade = Trade(order_id=order.id,
step=clock.step,
exchange_pair=order.exchange_pair,
side=order.side,
trade_type=order.type,
quantity=order.quantity,
price=order.price,
commission=commission)
return trade
def execute_sell_order(order: 'Order', base_wallet: 'Wallet',
quote_wallet: 'Wallet', current_price: float,
options: 'ExchangeOptions', clock: 'Clock') -> 'Trade':
"""Executes a sell order on the exchange.
Parameters
----------
order : `Order`
The order that is being filled.
base_wallet : `Wallet`
The wallet of the base instrument.
quote_wallet : `Wallet`
The wallet of the quote instrument.
current_price : float
The current price of the exchange pair.
options : `ExchangeOptions`
The exchange options.
clock : `Clock`
The clock for the trading process..
Returns
-------
`Trade`
The executed trade that was made.
"""
if order.type == TradeType.LIMIT and order.price > current_price:
return None
filled = order.remaining.contain(order.exchange_pair)
commission = options.commission * filled
quantity = filled - commission
if commission.size < Decimal(10)**-quantity.instrument.precision:
logging.warning(
"Commission is less than instrument precision. Canceling order. "
"Consider defining a custom instrument with a higher precision.")
order.cancel("COMMISSION IS LESS THAN PRECISION.")
return None
# Transfer Funds from Quote Wallet to Base Wallet
transfer = Wallet.transfer(source=quote_wallet,
target=base_wallet,
quantity=quantity,
commission=commission,
exchange_pair=order.exchange_pair,
reason="SELL")
trade = Trade(order_id=order.id,
step=clock.step,
exchange_pair=order.exchange_pair,
side=TradeSide.SELL,
trade_type=order.type,
quantity=transfer.quantity,
price=transfer.price,
commission=transfer.commission)
return trade
def execute_buy_order(order: 'Order', base_wallet: 'Wallet',
quote_wallet: 'Wallet', current_price: float,
options: 'ExchangeOptions',
clock: 'Clock') -> 'Trade':
"""Executes a buy order on the exchange.
Parameters
----------
order : `Order`
The order that is being filled.
base_wallet : `Wallet`
The wallet of the base instrument.
quote_wallet : `Wallet`
The wallet of the quote instrument.
current_price : float
The current price of the exchange pair.
options : `ExchangeOptions`
The exchange options.
clock : `Clock`
The clock for the trading process..
Returns
-------
`Trade`
The executed trade that was made.
"""
if order.type == TradeType.LIMIT and order.price < current_price:
return None
filled = order.remaining.contain(order.exchange_pair)
if order.type == TradeType.MARKET:
scale = order.price / max(current_price, order.price)
filled = scale * filled
commission = options.commission * filled
quantity = filled - commission
if commission.size < Decimal(10)**-quantity.instrument.precision:
logging.warning(
"Commission is less than instrument precision. Canceling order. "
"Consider defining a custom instrument with a higher precision."
)
order.cancel("COMMISSION IS LESS THAN PRECISION.")
return None
transfer = Wallet.transfer(source=base_wallet,
target=quote_wallet,
quantity=quantity,
commission=commission,
exchange_pair=order.exchange_pair,
reason="BUY")
trade = Trade(order_id=order.id,
step=clock.step,
exchange_pair=order.exchange_pair,
side=TradeSide.BUY,
trade_type=order.type,
quantity=transfer.quantity,
price=transfer.price,
commission=transfer.commission)
# n_order = self.check_all_open_order(SIDE_BUY)
# if n_order>0: print(' ======>> There are more than {} existing buy orders, not placing further order'.format(n_order))
if self.isLive:
order = self.client.create_order(symbol=order.exchange_pair,
side=SIDE_BUY,
type=ORDER_TYPE_LIMIT,
timeInForce=TIME_IN_FORCE_GTC,
quantity=transfer.quantity,
price=transfer.price)
print(' =============== Placing buy order ============== \n',
order)
else:
order = self.client.create_test_order(
symbol=order.exchange_pair,
side=SIDE_BUY,
type=ORDER_TYPE_LIMIT,
timeInForce=TIME_IN_FORCE_GTC,
quantity=transfer.quantity,
price=transfer.price)
print(' =============== Placing test buy order ============== \n',
order)
return trade
def execute_sell_order(order: 'Order', base_wallet: 'Wallet',
quote_wallet: 'Wallet', current_price: float,
options: 'ExchangeOptions', clock: 'Clock') -> 'Trade':
"""Executes a sell order on the exchange.
Parameters
----------
order : `Order`
The order that is being filled.
base_wallet : `Wallet`
The wallet of the base instrument.
quote_wallet : `Wallet`
The wallet of the quote instrument.
current_price : float
The current price of the exchange pair.
options : `ExchangeOptions`
The exchange options.
clock : `Clock`
The clock for the trading process..
Returns
-------
`Trade`
The executed trade that was made.
"""
if order.type == TradeType.LIMIT and order.price < current_price:
return None
filled = order.remaining.contain(order.exchange_pair)
if order.type == TradeType.MARKET:
scale = order.price / max(current_price, order.price)
filled = scale * filled
commission = options.commission * filled
quantity = filled - commission
if commission.size < Decimal(10)**-quantity.instrument.precision:
logging.warning(
"Commission is less than instrument precision. Canceling order. "
"Consider defining a custom instrument with a higher precision.")
order.cancel("COMMISSION IS LESS THAN PRECISION.")
return None
# Todo: Fill Order with Position-Data got by Broker
if quantity.instrument == order.exchange_pair.pair.base:
instrument = order.exchange_pair.pair.quote
converted_size = quantity.size / order.price
else:
instrument = order.exchange_pair.pair.base
converted_size = quantity.size * order.price
converted = Quantity(instrument, converted_size,
quantity.path_id).quantize()
position = Position(
id=order.id, # to be replaced by borker-id
order=order,
quantity=converted,
)
quote_wallet.add_position(position)
transfer = Wallet.transfer(source=base_wallet,
target=quote_wallet,
quantity=quantity,
commission=commission,
exchange_pair=order.exchange_pair,
reason="SELL")
trade = Trade(order_id=order.id,
step=clock.step,
exchange_pair=order.exchange_pair,
side=TradeSide.SELL,
trade_type=order.type,
quantity=transfer.quantity,
price=transfer.price,
commission=transfer.commission)
return trade
def execute_buy_order(order: 'Order',
base_wallet: 'Wallet',
quote_wallet: 'Wallet',
current_price: float,
options: 'ExchangeOptions',
clock: 'Clock') -> 'Trade':
"""Executes a buy order on the exchange.
Parameters
----------
order : `Order`
The order that is being filled.
base_wallet : `Wallet`
The wallet of the base instrument.
quote_wallet : `Wallet`
The wallet of the quote instrument.
current_price : float
The current price of the exchange pair.
options : `ExchangeOptions`
The exchange options.
clock : `Clock`
The clock for the trading process..
Returns
-------
`Trade`
The executed trade that was made.
"""
if order.type == TradeType.LIMIT and order.price < current_price:
return None
filled = order.remaining.contain(order.exchange_pair)
if order.type == TradeType.MARKET:
scale = order.price / max(current_price, order.price)
filled = scale * filled
commission = options.commission * filled
quantity = filled - commission
if commission.size < Decimal(10)**-quantity.instrument.precision:
order.cancel("COMMISSION IS LESS THAN PRECISION.")
return None
transfer = Wallet.transfer(
source=base_wallet,
target=quote_wallet,
quantity=quantity,
commission=commission,
exchange_pair=order.exchange_pair,
reason="BUY"
)
trade = Trade(
order_id=order.id,
step=clock.step,
exchange_pair=order.exchange_pair,
side=TradeSide.BUY,
trade_type=order.type,
quantity=transfer.quantity,
price=transfer.price,
commission=transfer.commission
)
return trade