def test_unknown_orderLegType(self):
historical_order = json.loads('''{
"session": "NORMAL",
"duration": "DAY",
"orderType": "MARKET",
"complexOrderStrategyType": "NONE",
"quantity": 1.0,
"filledQuantity": 1.0,
"remainingQuantity": 0.0,
"requestedDestination": "AUTO",
"destinationLinkName": "NITE",
"orderLegCollection": [
{
"orderLegType": "BOGUS",
"legId": 1,
"instrument": {
"assetType": "EQUITY",
"cusip": "1234567890",
"symbol": "FAKE"
},
"instruction": "BUY",
"positionEffect": "OPENING",
"quantity": 1.0
}
],
"orderStrategyType": "SINGLE",
"orderId": 987654321,
"cancelable": false,
"editable": false,
"status": "FILLED",
"enteredTime": "2021-01-01T12:01:00+0000",
"closeTime": "2021-01-01T12:01:01+0000",
"tag": "tag",
"accountId": 19191919,
"orderActivityCollection": [
{
"activityType": "EXECUTION",
"executionType": "FILL",
"quantity": 1.0,
"orderRemainingQuantity": 0.0,
"executionLegs": [
{
"legId": 1,
"quantity": 1.0,
"mismarkedQuantity": 0.0,
"price": 999.99,
"time": "2021-01-01T12:01:01+0000"
}
]
}
]
}''')
with self.assertRaises(ValueError,
msg='unknown orderLegType'):
construct_repeat_order(historical_order)
def latest_order_main(sys_args):
parser = argparse.ArgumentParser(
description='Utilities for generating code from historical orders')
required = parser.add_argument_group('required arguments')
required.add_argument('--token_file',
required=True,
help='Path to token file')
required.add_argument('--api_key', required=True)
parser.add_argument('--account_id',
type=int,
help='Restrict lookups to a specific account ID')
args = parser.parse_args(args=sys_args)
client = client_from_token_file(args.token_file, args.api_key)
if args.account_id:
orders = client.get_orders_by_path(args.account_id).json()
if 'error' in orders:
print(('TDA returned error: "{}", This is most often caused by ' +
'an invalid account ID').format(orders['error']))
return -1
else:
orders = client.get_orders_by_query().json()
if 'error' in orders:
print('TDA returned error: "{}"'.format(orders['error']))
return -1
if orders:
order = sorted(orders, key=lambda o: -o['orderId'])[0]
print('# Order ID', order['orderId'])
print(code_for_builder(construct_repeat_order(order)))
else:
print('No recent orders found')
return 0
def test_oco_inside_oto(self):
historical_order = json.loads('''{
"session": "NORMAL",
"duration": "DAY",
"orderType": "LIMIT",
"complexOrderStrategyType": "NONE",
"quantity": 1.0,
"filledQuantity": 0.0,
"remainingQuantity": 1.0,
"requestedDestination": "AUTO",
"destinationLinkName": "AutoRoute",
"price": 2.71,
"orderLegCollection": [
{
"orderLegType": "OPTION",
"legId": 1,
"instrument": {
"assetType": "OPTION",
"cusip": "0BIGC.JF10060000",
"symbol": "BIGC_101521C60",
"description": "BIGC OCT 15 2021 60.0 Call"
},
"instruction": "BUY_TO_OPEN",
"positionEffect": "OPENING",
"quantity": 1.0
}
],
"orderStrategyType": "TRIGGER",
"orderId": 4403477551,
"cancelable": true,
"editable": false,
"status": "QUEUED",
"enteredTime": "2021-05-13T03:12:54+0000",
"accountId": 123123123,
"childOrderStrategies": [
{
"orderStrategyType": "OCO",
"orderId": 4403477554,
"cancelable": true,
"editable": false,
"accountId": 123123123,
"childOrderStrategies": [
{
"session": "NORMAL",
"duration": "DAY",
"orderType": "LIMIT",
"complexOrderStrategyType": "NONE",
"quantity": 1.0,
"filledQuantity": 0.0,
"remainingQuantity": 1.0,
"requestedDestination": "AUTO",
"destinationLinkName": "AutoRoute",
"orderLegCollection": [
{
"orderLegType": "OPTION",
"legId": 1,
"instrument": {
"assetType": "OPTION",
"cusip": "0BIGC.JF10060000",
"symbol": "BIGC_101521C60",
"description": "BIGC OCT 15 2021 60.0 Call"
},
"instruction": "SELL_TO_CLOSE",
"positionEffect": "CLOSING",
"quantity": 1.0
}
],
"orderStrategyType": "SINGLE",
"orderId": 4403477553,
"cancelable": true,
"editable": false,
"status": "ACCEPTED",
"enteredTime": "2021-05-13T03:12:54+0000",
"accountId": 12312312
},
{
"session": "NORMAL",
"duration": "DAY",
"orderType": "STOP",
"complexOrderStrategyType": "NONE",
"quantity": 1.0,
"filledQuantity": 0.0,
"remainingQuantity": 1.0,
"requestedDestination": "AUTO",
"destinationLinkName": "AutoRoute",
"orderLegCollection": [
{
"orderLegType": "OPTION",
"legId": 1,
"instrument": {
"assetType": "OPTION",
"cusip": "0BIGC.JF10060000",
"symbol": "BIGC_101521C60",
"description": "BIGC OCT 15 2021 60.0 Call"
},
"instruction": "SELL_TO_CLOSE",
"positionEffect": "CLOSING",
"quantity": 1.0
}
],
"orderStrategyType": "SINGLE",
"orderId": 4403477554,
"cancelable": true,
"editable": false,
"status": "ACCEPTED",
"enteredTime": "2021-05-13T03:12:54+0000",
"accountId": 488435533
}
]
}
]
}''')
repeat_order = construct_repeat_order(historical_order)
self.assertEquals(json.dumps({
'session': 'NORMAL',
'duration': 'DAY',
'orderType': 'LIMIT',
'complexOrderStrategyType': 'NONE',
'quantity': 1.0,
'requestedDestination': 'AUTO',
'orderStrategyType': 'TRIGGER',
'price': 2.71,
'orderLegCollection': [{
'instruction': 'BUY_TO_OPEN',
'instrument': {
'assetType': 'OPTION',
'symbol': 'BIGC_101521C60'
},
'quantity': 1.0,
}],
'childOrderStrategies': [{
'orderStrategyType': 'OCO',
'childOrderStrategies': [{
'session': 'NORMAL',
'duration': 'DAY',
'orderType': 'LIMIT',
'complexOrderStrategyType': 'NONE',
'quantity': 1.0,
'requestedDestination': 'AUTO',
'orderStrategyType': 'SINGLE',
'orderLegCollection': [{
'instruction': 'SELL_TO_CLOSE',
'instrument': {
'assetType': 'OPTION',
'symbol': 'BIGC_101521C60',
},
'quantity': 1.0,
}]
}, {
'session': 'NORMAL',
'duration': 'DAY',
'orderType': 'STOP',
'complexOrderStrategyType': 'NONE',
'quantity': 1.0,
'requestedDestination': 'AUTO',
'orderStrategyType': 'SINGLE',
'orderLegCollection': [{
'instruction': 'SELL_TO_CLOSE',
'instrument': {
'assetType': 'OPTION',
'symbol': 'BIGC_101521C60',
},
'quantity': 1.0,
}]
}]
}]
}, indent=4, sort_keys=True),
json.dumps(repeat_order.build(), indent=4, sort_keys=True))
def test_one_triggers_other(self):
historical_order = json.loads('''{
"session": "NORMAL",
"duration": "GOOD_TILL_CANCEL",
"orderType": "LIMIT",
"complexOrderStrategyType": "NONE",
"quantity": 2.0,
"filledQuantity": 2.0,
"remainingQuantity": 0.0,
"requestedDestination": "AUTO",
"destinationLinkName": "AutoRoute",
"price": 3.6,
"orderLegCollection": [
{
"orderLegType": "OPTION",
"legId": 1,
"instrument": {
"assetType": "OPTION",
"cusip": "0AEO..HK10035000",
"symbol": "AEO_082021C35",
"description": "AEO AUG 20 2021 35.0 Call"
},
"instruction": "BUY_TO_OPEN",
"positionEffect": "OPENING",
"quantity": 2.0
}
],
"orderStrategyType": "TRIGGER",
"orderId": 29292929,
"cancelable": false,
"editable": false,
"status": "FILLED",
"enteredTime": "2021-04-20T02:40:28+0000",
"closeTime": "2021-04-20T13:31:53+0000",
"accountId": 19191919,
"orderActivityCollection": [
{
"activityType": "EXECUTION",
"executionType": "FILL",
"quantity": 2.0,
"orderRemainingQuantity": 0.0,
"executionLegs": [
{
"legId": 1,
"quantity": 2.0,
"mismarkedQuantity": 0.0,
"price": 3.6,
"time": "2021-04-20T13:31:53+0000"
}
]
}
],
"childOrderStrategies": [
{
"session": "NORMAL",
"duration": "GOOD_TILL_CANCEL",
"orderType": "LIMIT",
"complexOrderStrategyType": "NONE",
"quantity": 2.0,
"filledQuantity": 2.0,
"remainingQuantity": 0.0,
"requestedDestination": "NYSE",
"destinationLinkName": "AutoRoute",
"price": 3.7,
"orderLegCollection": [
{
"orderLegType": "OPTION",
"legId": 1,
"instrument": {
"assetType": "OPTION",
"cusip": "0AEO..HK10035000",
"symbol": "AEO_082021C35",
"description": "AEO AUG 20 2021 35.0 Call"
},
"instruction": "SELL_TO_CLOSE",
"positionEffect": "CLOSING",
"quantity": 2.0
}
],
"orderStrategyType": "SINGLE",
"orderId": 22992992,
"cancelable": false,
"editable": false,
"status": "FILLED",
"enteredTime": "2021-04-20T02:40:28+0000",
"closeTime": "2021-04-29T15:02:53+0000",
"accountId": 19191919,
"orderActivityCollection": [
{
"activityType": "EXECUTION",
"executionType": "FILL",
"quantity": 2.0,
"orderRemainingQuantity": 0.0,
"executionLegs": [
{
"legId": 1,
"quantity": 2.0,
"mismarkedQuantity": 0.0,
"price": 3.7,
"time": "2021-04-29T15:02:53+0000"
}
]
}
]
}
]
}''')
repeat_order = construct_repeat_order(historical_order)
self.assertEquals(json.dumps({
'session': 'NORMAL',
'duration': 'GOOD_TILL_CANCEL',
'orderType': 'LIMIT',
'complexOrderStrategyType': 'NONE',
'quantity': 2.0,
'requestedDestination': 'AUTO',
'orderStrategyType': 'TRIGGER',
'price': 3.6,
'orderLegCollection': [{
'instruction': 'BUY_TO_OPEN',
'instrument': {
'assetType': 'OPTION',
'symbol': 'AEO_082021C35'
},
'quantity': 2.0,
}],
'childOrderStrategies': [{
'session': 'NORMAL',
'duration': 'GOOD_TILL_CANCEL',
'orderType': 'LIMIT',
'complexOrderStrategyType': 'NONE',
'quantity': 2.0,
'price': 3.7,
'requestedDestination': 'NYSE',
'orderStrategyType': 'SINGLE',
'orderLegCollection': [{
'instruction': 'SELL_TO_CLOSE',
'instrument': {
'assetType': 'OPTION',
'symbol': 'AEO_082021C35'
},
'quantity': 2.0,
}]
}]
}, indent=4, sort_keys=True),
json.dumps(repeat_order.build(), indent=4, sort_keys=True))
def test_complex_options_order(self):
historical_order = json.loads('''{
"session": "NORMAL",
"duration": "DAY",
"orderType": "NET_DEBIT",
"complexOrderStrategyType": "BUTTERFLY",
"quantity": 1.0,
"filledQuantity": 1.0,
"remainingQuantity": 0.0,
"requestedDestination": "AUTO",
"destinationLinkName": "AutoRoute",
"price": 0.03,
"orderLegCollection": [
{
"orderLegType": "OPTION",
"legId": 1,
"instrument": {
"assetType": "OPTION",
"cusip": "0SPY..F110409000",
"symbol": "SPY_060121C409",
"description": "SPY JUN 1 2021 409.0 Call"
},
"instruction": "BUY_TO_OPEN",
"positionEffect": "OPENING",
"quantity": 1.0
},
{
"orderLegType": "OPTION",
"legId": 2,
"instrument": {
"assetType": "OPTION",
"cusip": "0SPY..F110410000",
"symbol": "SPY_060121C410",
"description": "SPY JUN 1 2021 410.0 Call"
},
"instruction": "SELL_TO_OPEN",
"positionEffect": "OPENING",
"quantity": 2.0
},
{
"orderLegType": "OPTION",
"legId": 3,
"instrument": {
"assetType": "OPTION",
"cusip": "0SPY..F110411000",
"symbol": "SPY_060121C411",
"description": "SPY JUN 1 2021 411.0 Call"
},
"instruction": "BUY_TO_OPEN",
"positionEffect": "OPENING",
"quantity": 1.0
}
],
"orderStrategyType": "SINGLE",
"orderId": 1919191919,
"cancelable": false,
"editable": false,
"status": "FILLED",
"enteredTime": "2021-05-12T14:39:58+0000",
"closeTime": "2021-05-12T14:39:58+0000",
"accountId": 700000007,
"orderActivityCollection": [
{
"activityType": "EXECUTION",
"executionType": "FILL",
"quantity": 1.0,
"orderRemainingQuantity": 0.0,
"executionLegs": [
{
"legId": 1,
"quantity": 1.0,
"mismarkedQuantity": 0.0,
"price": 8.24,
"time": "2021-05-12T14:39:58+0000"
},
{
"legId": 2,
"quantity": 2.0,
"mismarkedQuantity": 0.0,
"price": 7.585,
"time": "2021-05-12T14:39:58+0000"
},
{
"legId": 3,
"quantity": 1.0,
"mismarkedQuantity": 0.0,
"price": 6.96,
"time": "2021-05-12T14:39:58+0000"
}
]
}
]
}
''')
repeat_order = construct_repeat_order(historical_order)
self.assertEquals(json.dumps({
'session': 'NORMAL',
'duration': 'DAY',
'orderType': 'NET_DEBIT',
'complexOrderStrategyType': 'BUTTERFLY',
'quantity': 1.0,
'requestedDestination': 'AUTO',
'price': 0.03,
'orderStrategyType': 'SINGLE',
'orderLegCollection': [{
'instruction': 'BUY_TO_OPEN',
'instrument': {
'assetType': 'OPTION',
'symbol': 'SPY_060121C409'
},
'quantity': 1.0
}, {
'instruction': 'SELL_TO_OPEN',
'instrument': {
'assetType': 'OPTION',
'symbol': 'SPY_060121C410'
},
'quantity': 2.0
}, {
'instruction': 'BUY_TO_OPEN',
'instrument': {
'assetType': 'OPTION',
'symbol': 'SPY_060121C411'
},
'quantity': 1.0
}]
}, indent=4, sort_keys=True),
json.dumps(repeat_order.build(), indent=4, sort_keys=True))
def test_limit_options_order(self):
historical_order = json.loads('''{
"session": "NORMAL",
"duration": "DAY",
"orderType": "LIMIT",
"complexOrderStrategyType": "NONE",
"quantity": 1.0,
"filledQuantity": 1.0,
"remainingQuantity": 0.0,
"requestedDestination": "AUTO",
"destinationLinkName": "CDRG",
"price": 0.21,
"orderLegCollection": [{
"orderLegType": "OPTION",
"legId": 1,
"instrument": {
"assetType": "OPTION",
"cusip": "0SPY..RJ00309000",
"symbol": "SPY_061920P309",
"description": "SPY Jun 19 2020 309.0 Put",
"underlyingSymbol": "SPY"
},
"instruction": "SELL_TO_CLOSE",
"positionEffect": "CLOSING",
"quantity": 1.0
}],
"orderStrategyType": "SINGLE",
"orderId": 987654321,
"cancelable": false,
"editable": false,
"status": "FILLED",
"enteredTime": "2021-01-01T12:01:00+0000",
"closeTime": "2021-01-01T12:01:01+0000",
"tag": "tag",
"accountId": 19191919,
"orderActivityCollection": [{
"activityType": "EXECUTION",
"executionType": "FILL",
"quantity": 1.0,
"orderRemainingQuantity": 0.0,
"executionLegs": [{
"legId": 1,
"quantity": 1.0,
"mismarkedQuantity": 0.0,
"price": 0.21,
"time": "2021-01-01T12:01:01+0000"
}]
}]
}''')
repeat_order = construct_repeat_order(historical_order)
self.assertEquals(json.dumps({
'session': 'NORMAL',
'duration': 'DAY',
'orderType': 'LIMIT',
'complexOrderStrategyType': 'NONE',
'quantity': 1.0,
'requestedDestination': 'AUTO',
'price': 0.21,
'orderStrategyType': 'SINGLE',
'orderLegCollection': [{
'instruction': 'SELL_TO_CLOSE',
'instrument': {
'assetType': 'OPTION',
'symbol': 'SPY_061920P309'
},
'quantity': 1.0
}]
}, indent=4, sort_keys=True),
json.dumps(repeat_order.build(), indent=4, sort_keys=True))
def test_market_equity_order(self):
historical_order = json.loads('''{
"session": "NORMAL",
"duration": "DAY",
"orderType": "MARKET",
"complexOrderStrategyType": "NONE",
"quantity": 1.0,
"filledQuantity": 1.0,
"remainingQuantity": 0.0,
"requestedDestination": "AUTO",
"destinationLinkName": "NITE",
"orderLegCollection": [
{
"orderLegType": "EQUITY",
"legId": 1,
"instrument": {
"assetType": "EQUITY",
"cusip": "1234567890",
"symbol": "FAKE"
},
"instruction": "BUY",
"positionEffect": "OPENING",
"quantity": 1.0
}
],
"orderStrategyType": "SINGLE",
"orderId": 987654321,
"cancelable": false,
"editable": false,
"status": "FILLED",
"enteredTime": "2021-01-01T12:01:00+0000",
"closeTime": "2021-01-01T12:01:01+0000",
"tag": "tag",
"accountId": 19191919,
"orderActivityCollection": [
{
"activityType": "EXECUTION",
"executionType": "FILL",
"quantity": 1.0,
"orderRemainingQuantity": 0.0,
"executionLegs": [
{
"legId": 1,
"quantity": 1.0,
"mismarkedQuantity": 0.0,
"price": 999.99,
"time": "2021-01-01T12:01:01+0000"
}
]
}
]
}''')
repeat_order = construct_repeat_order(historical_order)
self.assertEquals(json.dumps({
'session': 'NORMAL',
'duration': 'DAY',
'orderType': 'MARKET',
'complexOrderStrategyType': 'NONE',
'quantity': 1.0,
'requestedDestination': 'AUTO',
'orderStrategyType': 'SINGLE',
'orderLegCollection': [{
'instruction': 'BUY',
'instrument': {
'assetType': 'EQUITY',
'symbol': 'FAKE'
},
'quantity': 1.0
}]
}, indent=4, sort_keys=True),
json.dumps(repeat_order.build(), indent=4, sort_keys=True))
