def placeLimitOrder(self,
symbol,
quantity,
is_buy_order,
limit_price,
order_id=None,
ignore_risk=True,
tag=None):
order = LimitOrder(self.id, self.currentTime, symbol, quantity,
is_buy_order, limit_price, order_id, tag)
if quantity > 0:
# Test if this order can be permitted given our at-risk limits.
new_holdings = self.holdings.copy()
q = order.quantity if order.is_buy_order else -order.quantity
if order.symbol in new_holdings: new_holdings[order.symbol] += q
else: new_holdings[order.symbol] = q
# If at_risk is lower, always allow. Otherwise, new_at_risk must be below starting cash.
if not ignore_risk:
# Compute before and after at-risk capital.
at_risk = self.markToMarket(
self.holdings) - self.holdings['CASH']
new_at_risk = self.markToMarket(
new_holdings) - new_holdings['CASH']
if (new_at_risk > at_risk) and (new_at_risk >
self.starting_cash):
log_print(
"TradingAgent ignored limit order due to at-risk constraints: {}\n{}",
order, self.fmtHoldings(self.holdings))
return
# Copy the intended order for logging, so any changes made to it elsewhere
# don't retroactively alter our "as placed" log of the order. Eventually
# it might be nice to make the whole history of the order into transaction
# objects inside the order (we're halfway there) so there CAN be just a single
# object per order, that never alters its original state, and eliminate all these copies.
self.orders[order.order_id] = deepcopy(order)
self.sendMessage(
self.exchangeID,
Message({
"msg": "LIMIT_ORDER",
"sender": self.id,
"order": order
}))
# Log this activity.
if self.log_orders:
self.logEvent('ORDER_SUBMITTED', order.to_dict())
else:
log_print("TradingAgent ignored limit order of quantity zero: {}",
order)
def placeOrder(self, currentTime, order):
if len(order) == 1:
type = order.type.item()
id = order.order_id.item()
direction = order.direction.item()
price = order.price.item()
vol = order.vol.item()
existing_order = self.orders.get(id)
if type == 'NEW':
self.placeLimitOrder(self.symbol,
vol,
direction == 'BUY',
float(price),
dollar=False,
order_id=id)
elif type in ['CANCELLATION', 'PARTIAL_CANCELLATION']:
if existing_order:
if type == 'CANCELLATION':
self.cancelOrder(existing_order)
elif type == 'PARTIAL_CANCELLATION':
new_order = LimitOrder(self.id,
currentTime,
self.symbol,
vol,
direction == 'BUY',
float(price),
dollar=False,
order_id=id)
self.modifyOrder(existing_order, new_order)
elif type in ['EXECUTE_VISIBLE', 'EXECUTE_HIDDEN']:
if existing_order:
if existing_order.quantity == vol:
self.cancelOrder(existing_order)
else:
new_vol = existing_order.quantity - vol
if new_vol == 0:
self.cancelOrder(existing_order)
else:
executed_order = LimitOrder(self.id,
currentTime,
self.symbol,
new_vol,
direction == 'BUY',
float(price),
dollar=False,
order_id=id)
self.modifyOrder(existing_order, executed_order)
self.orders.get(id).quantity = new_vol
else:
orders = self.oracle.trades_df.loc[self.oracle.trades_df.timestamp
== currentTime]
for index, order in orders.iterrows():
self.placeOrder(currentTime, order=pd.DataFrame(order).T)
def placeLimitOrder (self, symbol, quantity, is_buy_order, limit_price):
order = LimitOrder(self.id, self.currentTime, symbol, quantity, is_buy_order, limit_price)
if quantity > 0:
# Test if this order can be permitted given our at-risk limits.
new_holdings = self.holdings.copy()
q = order.quantity if order.is_buy_order else -order.quantity
if order.symbol in new_holdings: new_holdings[order.symbol] += q
else: new_holdings[order.symbol] = q
# Compute before and after at-risk capital.
at_risk = self.markToMarket(self.holdings) - self.holdings['CASH']
new_at_risk = self.markToMarket(new_holdings) - new_holdings['CASH']
# If at_risk is lower, always allow. Otherwise, new_at_risk must be below starting cash.
if (new_at_risk > at_risk) and (new_at_risk > self.startingCash):
print ("TradingAgent ignored limit order due to at-risk constraints: {}\n{}".format(order, self.fmtHoldings(self.holdings)))
return
self.orders[order.order_id] = deepcopy(order)
self.sendMessage(self.exchangeID, Message({ "msg" : "LIMIT_ORDER", "sender": self.id,
"order" : order }))
# Log this activity.
self.logEvent('ORDER_SUBMITTED', order)
else:
print ("TradingAgent ignored limit order of quantity zero: {}".format(order))
def handleMarketOrder(self, order):
if order.symbol != self.symbol:
log_print("{} order discarded. Does not match OrderBook symbol: {}", order.symbol, self.symbol)
return
if (order.quantity <= 0) or (int(order.quantity) != order.quantity):
log_print("{} order discarded. Quantity ({}) must be a positive integer.", order.symbol, order.quantity)
return
orderbook_side = self.getInsideAsks() if order.is_buy_order else self.getInsideBids()
limit_orders = {} # limit orders to be placed (key=price, value=quantity)
order_quantity = order.quantity
for price_level in orderbook_side:
price, size = price_level[0], price_level[1]
if order_quantity <= size:
limit_orders[price] = order_quantity #i.e. the top of the book has enough volume for the full order
break
else:
limit_orders[price] = size # i.e. not enough liquidity at the top of the book for the full order
# therefore walk through the book until all the quantities are matched
order_quantity -= size
continue
log_print("{} placing market order as multiple limit orders", order.symbol, order.quantity)
for lo in limit_orders.items():
p, q = lo[0], lo[1]
limit_order = LimitOrder(order.agent_id, order.time_placed, order.symbol, q, order.is_buy_order, p)
self.handleLimitOrder(limit_order)
def placeOrder(self, currentTime, order):
if len(order) == 1:
order = order[0]
order_id = order['ORDER_ID']
existing_order = self.orders.get(order_id)
if not existing_order and order['SIZE'] > 0:
self.placeLimitOrder(self.symbol,
order['SIZE'],
order['BUY_SELL_FLAG'] == 'BUY',
order['PRICE'],
order_id=order_id)
elif existing_order and order['SIZE'] == 0:
self.cancelOrder(existing_order)
elif existing_order:
self.modifyOrder(
existing_order,
LimitOrder(self.id,
currentTime,
self.symbol,
order['SIZE'],
order['BUY_SELL_FLAG'] == 'BUY',
order['PRICE'],
order_id=order_id))
else:
for ind_order in order:
self.placeOrder(currentTime, order=[ind_order])
def placeOrder(self, currentTime, order):
if len(order) == 1:
order = order[0]
order_id = order['Order_ID']
existing_order = self.orders.get(order_id)
if not existing_order and order['Size'] > 0 and order[
'Type'] == 'R':
self.placeLimitOrder(self.symbol,
order['Size'],
order['Direction'] == 'BUY',
order['Price'],
order_id=order_id)
elif existing_order and order['Size'] == 0:
self.cancelOrder(existing_order)
elif existing_order and order['Size'] > 0:
# self.modifyOrder(existing_order, LimitOrder(self.id, currentTime, self.symbol, order['SIZE'],
# order['BUY_SELL_FLAG'] == 'BUY', order['PRICE'],
# order_id=order_id))
self.modifyOrder(
existing_order,
LimitOrder(self.id,
currentTime,
self.symbol,
order['Size'],
order['Direction'] == 'BUY',
order['Price'],
order_id=order_id))
else:
None # TODO: check if something is comming here. We should process A and Z types as well
else:
for ind_order in order:
self.placeOrder(currentTime, order=[ind_order])
def placeOrder(self, currentTime, order):
if len(order) == 1:
order = order[0]
order_id = order['Order_ID']
existing_order = self.orders.get(order_id)
if not existing_order and order['Size'] > 0 and order['Type'] in [1,5]:
self.placeLimitOrder(self.symbol, order['Size'], order['Direction'] == 'BUY', order['Price'],
order_id=order_id)
elif existing_order and order['Type'] == 3:
self.cancelOrder(existing_order)
elif existing_order and order['Type'] == 2:
# self.modifyOrder(existing_order, LimitOrder(self.id, currentTime, self.symbol, order['SIZE'],
# order['BUY_SELL_FLAG'] == 'BUY', order['PRICE'],
# order_id=order_id))
self.modifyOrder(existing_order, LimitOrder(self.id, currentTime, self.symbol, existing_order.quantity - order['Size'], #there was order['Size']
order['Direction'] == 'BUY', order['Price'],
order_id=order_id))
else:
None # TODO: type 4 should be ok, but type 7 ?
else:
for ind_order in order:
self.placeOrder(currentTime, order=[ind_order])
