def apply_contract_fill_to_parent_order_distributed_children(
self, list_of_contract_order_ids, instrument_order):
# A distributed instrument order is like this: buy 2 EDOLLAR instrument order
# split into buy 1 202306, buy 1 203209
##
log = instrument_order.log_with_attributes(self.log)
contract_orders = [
self.contract_stack.get_order_with_id_from_stack(contract_id)
for contract_id in list_of_contract_order_ids
]
# We apply: total quantity, average price, highest datetime
list_of_filled_qty = [order.fill for order in contract_orders]
list_of_filled_price = listOfFillPrice(
[order.filled_price for order in contract_orders])
list_of_filled_datetime = [
order.fill_datetime for order in contract_orders
]
final_fill_datetime = max(list_of_filled_datetime)
total_filled_qty = sum(list_of_filled_qty)
average_fill_price = list_of_filled_price.average_fill_price()
result = self.fill_for_instrument_in_database(instrument_order,
total_filled_qty,
average_fill_price,
final_fill_datetime)
return result
def apply_broker_fill_to_contract_order(self, contract_order_id):
contract_order = self.contract_stack.get_order_with_id_from_stack(
contract_order_id
)
children = contract_order.children
if children is no_children:
# no children created yet, definitely no fills
return None
broker_order_list = self.broker_stack.get_list_of_orders_from_order_id_list(
children)
# We apply: total quantity, average price, highest datetime
list_of_filled_qty = [order.fill for order in broker_order_list]
zero_fills = [fill.equals_zero() for fill in list_of_filled_qty]
if all(zero_fills):
# nothing to do here
return None
list_of_filled_price = listOfFillPrice(
[order.filled_price for order in broker_order_list]
)
list_of_filled_datetime = listOfFillDatetime(
[order.fill_datetime for order in broker_order_list]
)
final_fill_datetime = list_of_filled_datetime.final_fill_datetime()
total_filled_qty = sum(list_of_filled_qty)
average_fill_price = list_of_filled_price.average_fill_price()
result = self.contract_stack.change_fill_quantity_for_order(
contract_order.order_id,
total_filled_qty,
filled_price=average_fill_price,
fill_datetime=final_fill_datetime,
)
# if fill has changed then update positions
# we do this here, because we can get here eithier from fills process
# or after an execution
self.apply_position_change_to_contracts(
contract_order, total_filled_qty)
return result