def close_position(trader, market, position, close_exec_price, order_type=Order.ORDER_LIMIT): """ Close a position. """ if not position: return False trader.lock() if not position.is_opened(): trader.unlock() return False # create an order for the close order = Order(trader, position.symbol) order.set_position_id(position.position_id) order.direction = position.close_direction() order.order_type = order_type if order_type == Order.ORDER_LIMIT: order.price = close_exec_price order.quantity = position.quantity order.leverage = position.leverage order.close_only = True order.reduce_only = True # increase or reduce the current position org_quantity = position.quantity exec_price = 0.0 # price difference depending of the direction delta_price = 0 if position.direction == Position.LONG: delta_price = close_exec_price - position.entry_price elif position.direction == Position.SHORT: delta_price = position.entry_price - close_exec_price # keep for percent calculation prev_entry_price = position.entry_price or close_exec_price leverage = order.leverage # most of thoose data rarely change except the base_exchange_rate value_per_pip = market.value_per_pip contract_size = market.contract_size lot_size = market.lot_size one_pip_means = market.one_pip_means base_exchange_rate = market.base_exchange_rate margin_factor = market.margin_factor realized_position_cost = 0.0 # realized cost of the position in base currency # effective meaning of delta price in base currency effective_price = (delta_price / one_pip_means) * value_per_pip # in base currency position_gain_loss = 0.0 # the position is closed, exact quantity in the opposite direction position_gain_loss = effective_price * position.quantity position.quantity = 0.0 position.exit_price = close_exec_price # directly executed quantity order.executed = order.quantity exec_price = close_exec_price realized_position_cost = market.effective_cost(order.quantity, close_exec_price) margin_cost = market.margin_cost(order.quantity, close_exec_price) # and decrease used margin trader.account.free_margin(margin_cost) # transaction time is current timestamp order.transact_time = trader.timestamp if position_gain_loss != 0.0 and realized_position_cost > 0.0: # ratio gain_loss_rate = position_gain_loss / realized_position_cost relative_gain_loss_rate = delta_price / prev_entry_price # if maker close (limit+post-order) (for now same as market) position.profit_loss = position_gain_loss position.profit_loss_rate = gain_loss_rate # if taker close (market) position.profit_loss_market = position_gain_loss position.profit_loss_market_rate = gain_loss_rate trader.account.add_realized_profit_loss(position_gain_loss / base_exchange_rate) # display only for debug if position_gain_loss > 0.0: Terminal.inst().high( "Close profitable position with %.2f on %s (%.2fpips) (%.2f%%) at %s" % (position_gain_loss, order.symbol, delta_price / one_pip_means, gain_loss_rate * 100.0, market.format_price(close_exec_price)), view='debug') elif position_gain_loss < 0.0: Terminal.inst().low( "Close loosing position with %.2f on %s (%.2fpips) (%.2f%%) at %s" % (position_gain_loss, order.symbol, delta_price / one_pip_means, gain_loss_rate * 100.0, market.format_price(close_exec_price)), view='debug') else: gain_loss_rate = 0.0 # unlock before notify signals trader.unlock() # # order signal (SIGNAL_ORDER_OPENED+DELETED because we assume fully completed) # order_data = { 'id': order.order_id, 'symbol': order.symbol, 'type': order.order_type, 'direction': order.direction, 'timestamp': order.created_time, 'quantity': order.quantity, 'price': order.price, 'stop-price': order.stop_price, 'stop-loss': order.stop_loss, 'take-profit': order.take_profit, 'time-in-force': order.time_in_force } # signal as watcher service (opened + fully traded qty) trader.service.watcher_service.notify( Signal.SIGNAL_ORDER_OPENED, trader.name, (order.symbol, order_data, order.ref_order_id)) order_data = { 'id': order.order_id, 'symbol': order.symbol, 'type': order.order_type, 'trade-id': 0, 'direction': order.direction, 'timestamp': order.transact_time, 'quantity': order.quantity, 'price': order.price, 'stop-price': order.stop_price, 'exec-price': exec_price, 'avg-price': position.entry_price, 'filled': order.executed, 'cumulative-filled': order.executed, 'quote-transacted': realized_position_cost, # its margin 'stop-loss': order.stop_loss, 'take-profit': order.take_profit, 'time-in-force': order.time_in_force, 'commission-amount': 0, 'commission-asset': trader.account.currency } trader.service.watcher_service.notify( Signal.SIGNAL_ORDER_TRADED, trader.name, (order.symbol, order_data, order.ref_order_id)) # # position signal # # closed position position_data = { 'id': position.position_id, 'symbol': position.symbol, 'direction': position.direction, 'timestamp': order.transact_time, 'quantity': 0, 'avg-entry-price': position.entry_price, 'avg-exit-price': position.exit_price, 'exec-price': exec_price, 'stop-loss': None, 'take-profit': None, 'profit-loss': position.profit_loss, 'profit-loss-currency': market.quote } trader.service.watcher_service.notify( Signal.SIGNAL_POSITION_DELETED, trader.name, (order.symbol, position_data, order.ref_order_id)) # and then deleted order trader.service.watcher_service.notify(Signal.SIGNAL_ORDER_DELETED, trader.name, (order.symbol, order.order_id, "")) position.exit(exec_price) return True
def __fetch_orders(self, signals=False): """ This is the synchronous REST fetching, but prefer the WS asynchronous and live one. Mainly used for initial fetching. """ try: open_orders = self._watcher.connector.open_orders() except Exception as e: logger.error("__fetch_orders: %s" % repr(e)) raise orders = {} for data in open_orders: market = self.market(data['symbol']) if data['status'] == 'NEW': # might be... order = Order(self, data['symbol']) order.set_order_id(data['orderId']) order.quantity = data['origQty'] order.executed = data['executedQty'] order.direction = Order.LONG if data[ 'side'] == 'BUY' else Order.SHORT if data['type'] == 'LIMIT': order.order_type = Order.ORDER_LIMIT elif data['type'] == 'MARKET': order.order_type = Order.ORDER_MARKET elif data['type'] == 'STOP_LOSS_LIMIT': order.order_type = Order.ORDER_STOP_LIMIT order.close_only = True elif data['type'] == 'TAKE_PROFIT_LIMIT': order.order_type = Order.ORDER_LIMIT order.close_only = True order.order_price = data['price'] order.stop_loss = data['stopPrice'] order.created_time = data['time'] order.transact_time = data['updateTime'] if data['timeInForce'] == 'GTC': order.time_in_force = Order.TIME_IN_FORCE_GTC elif data['timeInForce'] == 'IOC': order.time_in_force = Order.TIME_IN_FORCE_IOC elif data['timeInForce'] == 'FOK': order.time_in_force = Order.TIME_IN_FORCE_FOK else: order.time_in_force = Order.TIME_IN_FORCE_GTC # "icebergQty": "0.0" # @todo a day when I'll be rich orders[order.order_id] = order if signals: # deleted (for signals if no WS) deleted_list = self._orders.keys() - orders.keys() # @todo # created (for signals if no WS) created_list = orders.keys() - self._orders.keys() # @todo self._orders = orders