def update_contract_position_table_with_contract_order(
self, contract_order_before_fills: contractOrder,
fill_list: tradeQuantity):
"""
Alter the strategy position table according to contract order fill value
:param contract_order_before_fills:
:return:
"""
futures_contract_entire_order = contract_order_before_fills.futures_contract
list_of_individual_contracts = (
futures_contract_entire_order.as_list_of_individual_contracts())
time_date = datetime.datetime.now()
log = contract_order_before_fills.log_with_attributes(self.log)
for contract, trade_done in zip(list_of_individual_contracts,
fill_list):
self._update_positions_for_individual_contract_leg(
contract=contract, trade_done=trade_done, time_date=time_date)
log.msg(
"Updated position of %s because of trade %s ID:%d with fills %d"
% (
str(contract),
str(contract_order_before_fills),
contract_order_before_fills.order_id,
trade_done,
))
def send_to_algo(
self, contract_order_to_trade: contractOrder
) -> (Algo, orderWithControls):
log = contract_order_to_trade.log_with_attributes(self.log)
instrument_order = self.get_parent_of_contract_order(
contract_order_to_trade)
contract_order_to_trade_with_algo_set = check_and_if_required_allocate_algo_to_single_contract_order(
data=self.data,
contract_order=contract_order_to_trade,
instrument_order=instrument_order)
log.msg("Sending order %s to algo %s" %
(str(contract_order_to_trade_with_algo_set),
contract_order_to_trade_with_algo_set.algo_to_use))
algo_class_to_call = self.add_controlling_algo_to_order(
contract_order_to_trade_with_algo_set)
algo_instance = algo_class_to_call(
self.data, contract_order_to_trade_with_algo_set)
# THIS LINE ACTUALLY SENDS THE ORDER TO THE ALGO
placed_broker_order_with_controls = algo_instance.submit_trade()
if placed_broker_order_with_controls is missing_order:
# important we do this or order will never execute
# if no issue here will be released once order filled
self.contract_stack.release_order_from_algo_control(
contract_order_to_trade_with_algo_set.order_id)
return missing_order
return algo_instance, placed_broker_order_with_controls
def liquidity_size_contract_order(
self,
contract_order_after_trade_limits: contractOrder) -> contractOrder:
data_broker = dataBroker(self.data)
log = contract_order_after_trade_limits.log_with_attributes(self.log)
# check liquidity, and if neccessary carve up order
# Note for spread orders we check liquidity in the component markets
liquid_qty = (
data_broker.
get_largest_offside_liquid_size_for_contract_order_by_leg(
contract_order_after_trade_limits))
if liquid_qty != contract_order_after_trade_limits.trade:
log.msg("Cut down order to size %s from %s because of liquidity" %
(str(liquid_qty),
str(contract_order_after_trade_limits.trade)))
if liquid_qty.equals_zero():
return missing_order
contract_order_to_trade = contract_order_after_trade_limits.replace_required_trade_size_only_use_for_unsubmitted_trades(
liquid_qty)
return contract_order_to_trade
def apply_trade_limits_to_contract_order(
self, proposed_order: contractOrder) -> contractOrder:
log = proposed_order.log_with_attributes(self.log)
data_trade_limits = dataTradeLimits(self.data)
instrument_strategy = proposed_order.instrument_strategy
# proposed_order.trade.total_abs_qty() is a scalar, returns a scalar
maximum_abs_qty = (
data_trade_limits.what_trade_is_possible_for_strategy_instrument(
instrument_strategy, proposed_order.trade))
contract_order_after_trade_limits = (
proposed_order.
change_trade_size_proportionally_to_meet_abs_qty_limit(
maximum_abs_qty))
if contract_order_after_trade_limits.trade != proposed_order.trade:
log.msg("%s trade change from %s to %s because of trade limits" % (
proposed_order.key,
str(proposed_order.trade),
str(contract_order_after_trade_limits.trade),
))
return contract_order_after_trade_limits
def round_limit_price_to_tick_size(self, contract_order: contractOrder, limit_price: float) -> float:
contract = contract_order.futures_contract
min_tick = self.data_broker.get_min_tick_size_for_contract(contract)
if min_tick is missing_contract:
log = contract_order.log_with_attributes(self.data.log)
log.warn("Couldn't find min tick size for %s, not rounding limit price %f" % (str(contract),
limit_price))
return limit_price
rounded_limit_price = min_tick * round(limit_price / min_tick)
return rounded_limit_price
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
def get_ticker_object_for_order(self, order: contractOrder) -> tickerObject:
contract_object = order.futures_contract
trade_list_for_multiple_legs = order.trade
new_log = order.log_with_attributes(self.log)
contract_object_with_ib_data = (
self.futures_contract_data.get_contract_object_with_IB_data(contract_object)
)
if contract_object_with_ib_data is missing_contract:
new_log.warn("Can't get data for %s" % str(contract_object))
return futuresContractPrices.create_empty()
ticker_with_bs = self.ib_client.get_ticker_object(
contract_object_with_ib_data,
trade_list_for_multiple_legs=trade_list_for_multiple_legs,
)
ticker_object = ibTickerObject(ticker_with_bs, self.ib_client)
return ticker_object
def get_market_data_for_order_modifies_ticker_object(self, ticker_object: tickerObject,
contract_order: contractOrder) -> benchmarkPriceCollection:
# We use prices for a couple of reasons:
# to provide a benchmark for execution purposes
# (optionally) to set limit prices
##
log = contract_order.log_with_attributes(self.data.log)
# Get the first 'reference' tick
reference_tick = (
ticker_object.wait_for_valid_bid_and_ask_and_return_current_tick(
wait_time_seconds=10
)
)
tick_analysis = ticker_object.analyse_for_tick(reference_tick)
if tick_analysis is missing_data:
log.warn(
"Can't get market data for %s so not trading with limit order %s" %
(contract_order.instrument_code, str(contract_order)))
return missing_data
ticker_object.clear_and_add_reference_as_first_tick(reference_tick)
# These prices will be used for limit price purposes
# They are scalars
benchmark_side_prices = tick_analysis.side_price
offside_price = tick_analysis.offside_price
mid_price = tick_analysis.mid_price
collected_prices = benchmarkPriceCollection(
offside_price=tick_analysis.offside_price,
side_price=tick_analysis.side_price,
mid_price = tick_analysis.mid_price)
return collected_prices
def get_and_submit_broker_order_for_contract_order(
self,
contract_order: contractOrder,
input_limit_price: float=None,
order_type: brokerOrderType=market_order_type,
limit_price_from: str = limit_price_from_input,
ticker_object: tickerObject=None,
broker_account: str = arg_not_supplied
):
log = contract_order.log_with_attributes(self.data.log)
broker = self.data_broker.get_broker_name()
if broker_account is arg_not_supplied:
broker_account = self.data_broker.get_broker_account()
broker_clientid = self.data_broker.get_broker_clientid()
if ticker_object is None:
ticker_object = self.data_broker.get_ticker_object_for_order(contract_order)
collected_prices = self.get_market_data_for_order_modifies_ticker_object(
ticker_object, contract_order
)
if collected_prices is missing_data:
# no data available, no can do
return missing_order
## We want to preserve these otherwise there is a danger they will dynamically change
collected_prices = copy(collected_prices)
if order_type == limit_order_type:
limit_price = self.set_limit_price(
contract_order=contract_order,
collected_prices=collected_prices,
limit_price_from=limit_price_from,
input_limit_price=input_limit_price,
)
elif order_type == market_order_type:
limit_price = None
else:
error_msg = "Order type %s not valid for broker orders" % str (order_type)
log.critical(error_msg)
return missing_order
broker_order = create_new_broker_order_from_contract_order(
contract_order,
order_type=order_type,
side_price=collected_prices.side_price,
mid_price=collected_prices.mid_price,
offside_price = collected_prices.offside_price,
broker=broker,
broker_account=broker_account,
broker_clientid=broker_clientid,
limit_price=limit_price,
)
log.msg(
"Created a broker order %s (not yet submitted or written to local DB)" %
str(broker_order))
placed_broker_order_with_controls = self.data_broker.submit_broker_order(
broker_order)
if placed_broker_order_with_controls is missing_order:
log.warn("Order could not be submitted")
return missing_order
log = placed_broker_order_with_controls.order.log_with_attributes(log)
log.msg("Submitted order to IB %s" %
str(placed_broker_order_with_controls.order))
placed_broker_order_with_controls.add_or_replace_ticker(ticker_object)
return placed_broker_order_with_controls
