def allocate_for_best_execution_no_limit(
data: dataBlob, contract_order: contractOrder) -> contractOrder:
# in the future could be randomized...
log = contract_order.log_with_attributes(data.log)
data_broker = dataBroker(data)
short_of_time = data_broker.less_than_one_hour_of_trading_leg_for_contract(
contract_order.futures_contract)
if short_of_time:
log.warn("Short of time, so allocating to algo_market")
contract_order.algo_to_use = MARKET_ALGO
else:
log.msg("'Best' order so allocating to original_best")
contract_order.algo_to_use = ORIGINAL_BEST
return contract_order
def check_and_if_required_allocate_algo_to_single_contract_order(
data: dataBlob, contract_order: contractOrder,
instrument_order: instrumentOrder) -> contractOrder:
"""
:param data: dataBlog
:param instrument_order: parent instrument order
:param list_of_contract_orders:
:return: list of contract orders with algo added
"""
log = contract_order.log_with_attributes(data.log)
if contract_order.algo_to_use != "":
# Already done
return contract_order
instrument_order_type = instrument_order.order_type
# not used yet, but maybe in the future
is_roll_order = instrument_order.roll_order
if instrument_order_type == market_order_type:
log.msg("Market order type, so allocating to algo_market")
contract_order.algo_to_use = MARKET_ALGO
elif (instrument_order_type == best_order_type
or instrument_order_type == zero_roll_order_type):
contract_order = allocate_for_best_execution_no_limit(
data=data, contract_order=contract_order)
elif instrument_order_type == limit_order_type:
log.critical(
"Don't have an algo for instrument level limit orders yet!")
return missing_order
elif instrument_order_type == balance_order_type:
log.critical("Balance orders aren't executed, shouldn't even be here!")
return missing_order
else:
log.warn(
"Don't recognise order type %s so allocating to default algo_market"
% instrument_order_type)
contract_order.algo_to_use = DEFAULT_ALGO
return contract_order