def execute_sell_order(order: 'Order', base_wallet: 'Wallet',
quote_wallet: 'Wallet', current_price: float,
options: 'ExchangeOptions', clock: 'Clock') -> 'Trade':
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:
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 adjust_trade(self, trade: Trade) -> Trade:
price_slippage = np.random.uniform(0, self.max_slippage_percent / 100)
initial_price = trade.price
if trade.type == TradeType.MARKET:
if trade.side == TradeSide.BUY:
trade.price = max(initial_price * (1 + price_slippage), 1e-3)
else:
trade.price = max(initial_price * (1 - price_slippage), 1e-3)
else:
if trade.side == TradeSide.BUY:
trade.price = max(initial_price * (1 + price_slippage), 1e-3)
if trade.price > initial_price:
trade.size *= min(initial_price / trade.price, 1)
else:
trade.price = max(initial_price * (1 - price_slippage), 1e-3)
if trade.price < initial_price:
trade.size *= min(trade.price / initial_price, 1)
return trade
def execute_buy_order(order: 'Order', base_wallet: 'Wallet',
quote_wallet: 'Wallet', current_price: float,
options: 'ExchangeOptions', exchange_id: str,
clock: 'Clock') -> 'Trade':
price = contain_price(current_price, options)
if order.type == TradeType.LIMIT and order.price < current_price:
return None
commission = Quantity(order.pair.base, order.size * options.commission,
order.path_id)
size = contain_size(order.size - commission.size, options)
if order.type == TradeType.MARKET:
scale = order.price / price
size = contain_size(scale * order.size - commission.size, options)
base_wallet -= commission.reason("COMMISSION FOR BUY")
try:
quantity = Quantity(order.pair.base, size, order.path_id)
base_wallet -= quantity.reason("REMOVE FROM LOCKED TO FILL ORDER")
except InsufficientFunds:
balance = base_wallet.locked[order.path_id]
quantity = Quantity(order.pair.base, balance.size, order.path_id)
base_wallet -= quantity.reason(
"REMOVE FROM LOCKED TO FILL ORDER (INSUFFICIENT FUNDS)")
quote_size = (order.price / price) * (size / price)
filled_quantity = Quantity(order.pair.quote, quote_size, order.path_id)
quote_wallet += filled_quantity.reason("BOUGHT @ {} {}".format(
price, order.pair))
trade = Trade(order_id=order.id,
exchange_id=exchange_id,
step=clock.step,
pair=order.pair,
side=TradeSide.BUY,
trade_type=order.type,
quantity=quantity,
price=price,
commission=commission)
return trade
def execute_buy_order(order: 'Order',
base_wallet: 'Wallet',
quote_wallet: 'Wallet',
current_price: float,
options: 'ExchangeOptions',
exchange_id: str,
clock: 'Clock') -> 'Trade':
price = contain_price(current_price, options)
if order.type == TradeType.LIMIT and order.price < current_price:
return None
commission = Quantity(order.pair.base, order.size * options.commission, order.path_id)
size = contain_size(order.size - commission.size, options)
if order.type == TradeType.MARKET:
scale = order.price / price
size = contain_size(scale * order.size - commission.size, options)
base_wallet -= commission
try:
quantity = Quantity(order.pair.base, size, order.path_id)
base_wallet -= quantity
except InsufficientFunds:
balance = base_wallet.locked[order.path_id]
quantity = Quantity(order.pair.base, balance.size, order.path_id)
base_wallet -= quantity
quote_size = (order.price / price) * (size / price)
quote_wallet += Quantity(order.pair.quote, quote_size, order.path_id)
trade = Trade(order_id=order.id,
exchange_id=exchange_id,
step=clock.step,
pair=order.pair,
side=TradeSide.BUY,
trade_type=order.type,
quantity=quantity,
price=price,
commission=commission)
return trade
def execute_buy_order(order: 'Order', base_wallet: 'Wallet',
quote_wallet: 'Wallet', current_price: float,
options: 'ExchangeOptions', clock: 'Clock') -> 'Trade':
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