def _did_create_order(self, event_tag: int, market: MarketBase,
evt: Union[BuyOrderCreatedEvent,
SellOrderCreatedEvent]):
if threading.current_thread() != threading.main_thread():
self._ev_loop.call_soon_threadsafe(self._did_create_order,
event_tag, market, evt)
return
session: Session = self.session
base_asset, quote_asset = market.split_symbol(evt.symbol)
timestamp: int = self.db_timestamp
event_type: MarketEvent = self.market_event_tag_map[event_tag]
trade_type: TradeType = TradeType.BUY if type(
evt) == BuyOrderCreatedEvent else TradeType.SELL
order_record: Order = Order(id=evt.order_id,
config_file_path=self._config_file_path,
strategy=self._strategy_name,
market=market.display_name,
symbol=evt.symbol,
base_asset=base_asset,
quote_asset=quote_asset,
creation_timestamp=timestamp,
order_type=evt.type.name,
amount=evt.amount,
price=evt.price,
last_status=event_type.name,
last_update_timestamp=timestamp)
order_status: OrderStatus = OrderStatus(order=order_record,
timestamp=timestamp,
status=event_type.name)
session.add(order_record)
session.add(order_status)
self.save_market_states(self._config_file_path, market, no_commit=True)
session.commit()
def _did_create_order(self,
event_tag: int,
market: MarketBase,
evt: Union[BuyOrderCreatedEvent, SellOrderCreatedEvent]):
session: Session = self.session
base_asset, quote_asset = market.split_symbol(evt.symbol)
timestamp: int = self.db_timestamp
event_type: MarketEvent = self.market_event_tag_map[event_tag]
order_record: Order = Order(id=evt.order_id,
config_file_path=self._config_file_path,
strategy=self._strategy_name,
market=market.name,
symbol=evt.symbol,
base_asset=base_asset,
quote_asset=quote_asset,
creation_timestamp=timestamp,
order_type=evt.type.name,
amount=evt.amount,
price=evt.price,
last_status=event_type.name,
last_update_timestamp=timestamp)
order_status: OrderStatus = OrderStatus(order=order_record,
timestamp=timestamp,
status=event_type.name)
session.add(order_record)
session.add(order_status)
self.save_market_states(self._config_file_path, market, no_commit=True)
session.commit()
def _did_fill_order(self, event_tag: int, market: MarketBase,
evt: OrderFilledEvent):
if threading.current_thread() != threading.main_thread():
self._ev_loop.call_soon_threadsafe(self._did_fill_order, event_tag,
market, evt)
return
session: Session = self.session
base_asset, quote_asset = market.split_symbol(evt.symbol)
timestamp: int = self.db_timestamp
event_type: MarketEvent = self.market_event_tag_map[event_tag]
order_id: str = evt.order_id
# Try to find the order record, and update it if necessary.
order_record: Optional[Order] = session.query(Order).filter(
Order.id == order_id).one_or_none()
if order_record is not None:
order_record.last_status = event_type.name
order_record.last_update_timestamp = timestamp
# Order status and trade fill record should be added even if the order record is not found, because it's
# possible for fill event to come in before the order created event for market orders.
order_status: OrderStatus = OrderStatus(order_id=order_id,
timestamp=timestamp,
status=event_type.name)
trade_fill_record: TradeFill = TradeFill(
config_file_path=self.config_file_path,
strategy=self.strategy_name,
market=market.display_name,
symbol=evt.symbol,
base_asset=base_asset,
quote_asset=quote_asset,
timestamp=timestamp,
order_id=order_id,
trade_type=evt.trade_type.name,
order_type=evt.order_type.name,
price=evt.price,
amount=evt.amount,
trade_fee=TradeFee.to_json(evt.trade_fee),
exchange_trade_id=evt.exchange_trade_id)
session.add(order_status)
session.add(trade_fill_record)
self.save_market_states(self._config_file_path, market, no_commit=True)
session.commit()