def build_order_replace_request(
timestamp: int,
cl_id: str,
cl_ord_id: str,
cl_orig_req_id: str,
type: OrderType = None,
qty: float = None,
limit_price: float = None,
stop_price: float = None,
tif: TIF = DAY,
oca_tag: str = None,
params: Dict[str, str] = None) -> OrderReplaceRequest:
req = OrderReplaceRequest()
req.timestamp = timestamp
req.cl_id = str(cl_id)
req.cl_ord_id = str(cl_ord_id)
req.cl_orig_req_id = str(cl_orig_req_id)
if type:
req.type = type
if qty:
req.qty = qty
if limit_price:
req.limit_price = limit_price
if stop_price:
req.stop_price = stop_price
if tif:
req.tif = tif
if oca_tag:
req.oca_tag = oca_tag
add_to_dict(req.params, params)
return req
def update_time_series_item(
item: TimeSeriesItem,
timestamp: int = None,
data: Dict[str, float] = None) -> TimeSeriesItem:
item.timestamp = timestamp
add_to_dict(item.data, data)
return item
def build_order_cancel_request(
timestamp: int,
cl_id: str,
cl_ord_id: str,
cl_orig_req_id: str,
params: Dict[str, str] = None) -> OrderCancelRequest:
req = OrderCancelRequest()
req.timestamp = timestamp
req.cl_id = str(cl_id)
req.cl_ord_id = str(cl_ord_id)
req.cl_orig_req_id = str(cl_orig_req_id)
add_to_dict(req.params, params)
return req
def build_exchange(exch_id: str,
name: str = None,
country_id: str = None,
trading_hours_id: str = None,
holidays_id: str = None,
alt_ids: Dict[str, str] = None) -> Exchange:
exchange = Exchange()
exchange.exch_id = str(exch_id)
if name:
exchange.name = name
if country_id:
exchange.country_id = str(country_id)
if trading_hours_id:
exchange.trading_hours_id = str(trading_hours_id)
if holidays_id:
exchange.holidays_id = str(holidays_id)
add_to_dict(exchange.alt_ids, alt_ids)
return exchange
def build_new_order_request(
timestamp: int,
cl_id: str,
cl_ord_id: str,
portf_id: str = None,
broker_id: str = None,
inst_id: str = None,
action: OrderAction = None,
type: OrderType = None,
qty: float = None,
limit_price: float = None,
stop_price: float = None,
tif: TIF = DAY,
oca_tag: str = None,
params: Dict[str, str] = None) -> NewOrderRequest:
req = NewOrderRequest()
req.timestamp = timestamp
req.cl_id = str(cl_id)
req.cl_ord_id = str(cl_ord_id)
if portf_id:
req.portf_id = str(portf_id)
if broker_id:
req.broker_id = str(broker_id)
if inst_id:
req.inst_id = str(inst_id)
if action:
req.action = action
if type:
req.type = type
if qty:
req.qty = qty
if limit_price:
req.limit_price = limit_price
if stop_price:
req.stop_price = stop_price
if tif:
req.tif = tif
if oca_tag:
req.oca_tag = oca_tag
add_to_dict(req.params, params)
return req
def build_order_state(
cl_id: str,
cl_ord_id: str,
portf_id: str,
broker_id: str,
inst_id: str,
creation_timestamp: int = None,
action: OrderAction = None,
type: OrderType = None,
qty: float = None,
limit_price: float = None,
stop_price: float = None,
tif: TIF = DAY,
oca_tag: str = None,
params: Dict[str, str] = None,
broker_ord_id: str = None,
update_timestamp: int = None,
status: OrderStatus = New,
filled_qty: float = 0,
avg_price: float = 0,
last_qty: float = 0,
last_price: float = 0,
stop_limit_ready: bool = False,
trailing_stop_exec_price: float = None) -> OrderState:
order = OrderState()
order.cl_id = str(cl_id)
order.cl_ord_id = str(cl_ord_id)
order.portf_id = str(portf_id)
order.broker_id = str(broker_id)
if broker_ord_id:
order.broker_ord_id = str(broker_ord_id)
order.inst_id = str(inst_id)
if creation_timestamp:
order.creation_timestamp = creation_timestamp
if update_timestamp:
order.update_timestamp = update_timestamp
if action:
order.action = action
if type:
order.type = type
if qty:
order.qty = qty
if limit_price:
order.limit_price = limit_price
if stop_price:
order.stop_price = stop_price
if tif:
order.tif = tif
if oca_tag:
order.oca_tag = oca_tag
add_to_dict(order.params, params)
if status:
order.status = status
if filled_qty:
order.filled_qty = filled_qty
if avg_price:
order.avg_price = avg_price
if last_qty:
order.last_qty = last_qty
if last_price:
order.last_price = last_price
if stop_limit_ready:
order.stop_limit_ready = stop_limit_ready
if trailing_stop_exec_price:
order.trailing_stop_exec_price = trailing_stop_exec_price
return order
def update_account_value(value: AccountValue, key: str,
ccy_values: Dict[str, float]) -> AccountValue:
value.key = key
add_to_dict(value.ccy_values, ccy_values)
return value
def build_instrument(symbol: str,
type: Instrument.InstType,
primary_exch_id: str,
ccy_id: str,
name: str = None,
exch_ids: List[str] = None,
sector: str = None,
industry: str = None,
margin: float = None,
tick_size: float = None,
alt_symbols: Dict[str, str] = None,
alt_ids: Dict[str, str] = None,
alt_sectors: Dict[str, str] = None,
alt_industries: Dict[str, str] = None,
underlying_type: Underlying.UnderlyingType = None,
underlying_ids: List[str] = None,
underlying_weights: List[float] = None,
option_type: Instrument.OptionType = None,
option_style: Instrument.OptionStyle = None,
strike: float = None,
exp_date: int = None,
multiplier: float = None) -> Instrument:
inst = Instrument()
inst.inst_id = symbol + '@' + primary_exch_id
inst.symbol = symbol
if isinstance(type, int):
inst.type = type
else:
inst.type = Instrument.InstType.DESCRIPTOR.values_by_name[
type].number
inst.primary_exch_id = str(primary_exch_id)
inst.ccy_id = str(ccy_id)
if name:
inst.name = name
add_to_list(inst.exch_ids, exch_ids)
if sector:
inst.sector = sector
if industry:
inst.industry = industry
if margin:
inst.margin = margin
if tick_size:
inst.tick_size = tick_size
add_to_dict(inst.alt_symbols, alt_symbols)
add_to_dict(inst.alt_ids, alt_ids)
add_to_dict(inst.alt_sectors, alt_sectors)
add_to_dict(inst.alt_industries, alt_industries)
if underlying_type and underlying_ids:
ModelFactory.build_underlying(inst, underlying_type,
underlying_ids, underlying_weights)
if option_type:
inst.option_type = option_type
if option_style:
inst.option_style = option_style
if strike:
inst.strike = strike
if exp_date:
inst.exp_date = exp_date
if multiplier:
inst.multiplier = multiplier
return inst