def _exec_limit_order(self, order: OrderCommon):
assert order.type == OrderType.Limit
bid = self.current_quote.bid_price
ask = self.current_quote.ask_price
order_side = order.side()
self._check_price_sanity(order)
violated_post_only = order_side > 0 and order.price >= ask or order_side < 0 and order.price <= bid
if violated_post_only:
order.status = OrderStatus.Canceled
order.status_msg = OrderCancelReason.cross_during_post_only
self._exec_order_cancels([order])
return
order.status = OrderStatus.New
self.active_orders[order.client_id] = order
order._made_spread = order_side > 0 and order.price > bid or order_side < 0 and order.price < ask
def _execute_liquidation(self, symbol, order_cancel_reason=OrderCancelReason.liquidation):
self.can_call_handles = False
orders = filter_symbol(self.active_orders, symbol)
cancelled = self._cancel_orders_helper(orders, reason=order_cancel_reason)
self.active_orders = drop_orders(self.active_orders, cancelled)
self.can_call_handles = True
try:
assert len(filter_symbol(self.active_orders, symbol)) == 0
except:
for i in filter_symbol(self.active_orders, symbol):
print("-" + str(i[1].status))
print("-" + str(len(cancelled)))
raise AttributeError()
position = self.positions.get(symbol, None)
if not position or not position.is_open:
return
assert position.is_open
order = OrderCommon(symbol=symbol,
signed_qty=-position.signed_qty,
type=OrderType.Market,
tactic=self.liquidator)
order.status_msg = order_cancel_reason
self.can_call_handles = False
self.send_orders([order])
self.can_call_handles = True
assert order.status == OrderStatus.Filled
if position.is_open:
raise AttributeError("position was not close during liquidation. position = %f" % position.signed_qty)
if not self.is_last_tick():
self.n_liquidations[symbol.name] += 1
if order_cancel_reason == OrderCancelReason.liquidation:
closed = self.closed_positions_hist[symbol][-1] # type: PositionSim
if closed.realized_pnl >= 0:
raise AttributeError("Liquidation caused profit! position = {},\n current price = {}"
.format(str(position), self._estimate_price()))
assert len(filter_symbol(self.active_orders, symbol)) == 0