def create_contract_orders_outright(
data,
instrument_code,
priced_contract_id,
forward_contract_id,
position_in_priced):
diag_prices = diagPrices(data)
reference_price_priced_contract, reference_price_forward_contract = tuple(
diag_prices.get_last_matched_prices_for_contract_list(
instrument_code, [priced_contract_id, forward_contract_id]
)
)
strategy = ROLL_PSEUDO_STRATEGY
first_order = contractOrder(
strategy,
instrument_code,
priced_contract_id,
-position_in_priced,
reference_price=reference_price_priced_contract,
roll_order=True,
inter_spread_order=True,
)
second_order = contractOrder(
strategy,
instrument_code,
forward_contract_id,
position_in_priced,
reference_price=reference_price_forward_contract,
roll_order=True,
inter_spread_order=True,
)
return [first_order, second_order]
def create_contract_orders_spread(
data,
instrument_code,
priced_contract_id,
forward_contract_id,
position_in_priced):
diag_prices = diagPrices(data)
reference_price_priced_contract, reference_price_forward_contract = tuple(
diag_prices.get_last_matched_prices_for_contract_list(
instrument_code, [priced_contract_id, forward_contract_id]
)
)
strategy = ROLL_PSEUDO_STRATEGY
contract_id_list = [priced_contract_id, forward_contract_id]
trade_list = [-position_in_priced, position_in_priced]
spread_reference_price = (
reference_price_priced_contract - reference_price_forward_contract
)
spread_order = contractOrder(
strategy,
instrument_code,
contract_id_list,
trade_list,
reference_price=spread_reference_price,
roll_order=True,
)
return [spread_order]
def contract_order_for_direct_instrument_child_date_and_trade(
instrument_order, child_date_and_trade):
"""
Gets a child contract order from a parent instrument order where the instrument is 'direct'
eg the instrument name is the same as the instrument traded
(This will not be the case for inter market orders)
:param instrument_order: original parent order
:param child_date_and_trade:
:return: contractOrder. Fields reference_price, algo_to_use, limit_price will be set later
"""
if child_date_and_trade is None:
return None
child_contract, child_trade = child_date_and_trade
parent_id = instrument_order.order_id
strategy = instrument_order.strategy_name
instrument = instrument_order.instrument_code
child_contract_order = contractOrder(
strategy,
instrument,
child_contract,
child_trade,
parent=parent_id,
)
return child_contract_order
def enter_manual_contract_order(data, instrument_order):
strategy_name = instrument_order.strategy_name
instrument_code = instrument_order.instrument_code
qty = instrument_order.trade
leg_count = get_and_convert("How many legs?",
type_expected=int,
default_value=1)
contract_id_list = []
for leg_idx in range(leg_count):
print("Choose contract for leg %d" % leg_idx)
_, contract_date = get_valid_instrument_code_and_contractid_from_user(
data, instrument_code=instrument_code)
contract_id_list.append(contract_date)
trade_qty_list = []
for trade_idx in range(leg_count):
trade_qty = get_and_convert(
"Enter quantity for leg %d" % trade_idx,
type_expected=int,
allow_default=False,
)
trade_qty_list.append(trade_qty)
if sum(trade_qty_list) != sum(qty):
print(
"Sum of instrument quantity %s is different from sum of contract quantity %s"
% (str(qty), str(trade_qty_list)))
print("It's unlikely you meant to do this...")
NO_ALGO = "None: allow system to allocate"
algo_to_use = print_menu_of_values_and_get_response(list_of_algos,
default_str=NO_ALGO)
if algo_to_use == NO_ALGO:
algo_to_use = ""
limit_price = get_and_convert(
"Limit price? (will override instrument order limit price, will be ignored by some algo types",
type_expected=float,
default_str="None",
default_value=None,
)
contract_order = contractOrder(
strategy_name,
instrument_code,
contract_id_list,
trade_qty_list,
algo_to_use=algo_to_use,
reference_price=None,
limit_price=limit_price,
manual_trade=True,
)
return contract_order
def enter_manual_contract_order(data, instrument_order):
strategy_name = instrument_order.strategy_name
instrument_code = instrument_order.instrument_code
qty = instrument_order.trade
leg_count = get_and_convert("How many legs?",
type_expected=int,
default_value=1)
contract_id_list = []
for leg_idx in range(leg_count):
print("Choose contract for leg %d" % leg_idx)
_, contract_date = get_valid_instrument_code_and_contractid_from_user(
data, instrument_code=instrument_code)
contract_id_list.append(contract_date)
trade_qty_list = []
for trade_idx in range(leg_count):
trade_qty = get_and_convert("Enter quantity for leg %d" % trade_idx,
type_expected=int,
allow_default=False)
trade_qty_list.append(trade_qty)
if sum(trade_qty_list) != sum(qty):
print(
"Sum of instrument quantity %s is different from sum of contract quantity %s"
% (str(qty), str(trade_qty_list)))
print("It's unlikely you meant to do this...")
algo_to_use = get_and_convert(
"Algo to use (Full function eg sysexecution.algos.algo_market.algo_market)",
type_expected=str,
default_str="None: Algo will be allocated automatically",
default_value="")
limit_price = get_and_convert(
"Limit price? (will override instrument order limit price, will be ignored by some algo types",
type_expected=float,
default_str="None",
default_value=None)
contract_order = contractOrder(
strategy_name,
instrument_code,
contract_id_list,
trade_qty_list,
algo_to_use=algo_to_use,
reference_price=None,
limit_price=limit_price,
manual_trade=True,
)
return contract_order
def create_balance_contract_order_from_broker_order(broker_order):
contract_order = contractOrder(broker_order.strategy_name,
broker_order.instrument_code,
broker_order.contract_id,
broker_order.trade,
fill=broker_order.fill,
algo_to_use=broker_order.algo_used,
filled_price=broker_order.filled_price,
fill_datetime=broker_order.fill_datetime,
manual_fill=True,
manual_trade=True,
active=False)
return contract_order
