def exit_market(self):
Side.apply_sides(lambda side: self.engine.broker.cancel(0, side))
exit_side = Side.opposite_side(self.engine.pnl.position())
price = calc_price(self.engine.book.quote(exit_side),
MMParams.liq_behind_exit)
self.engine.broker.request(1, exit_side, price,
self.engine.pnl.abs_position)
def take_pnl(self):
if self.pos.position() == 0:
return Decimal('0')
exit_side = Side.opposite_side(self.position())
take_price = self.nbbo.side(Side.side(self.position()))
take_order = Position(pos=self.pos.abs_position(),
price=take_price,
side=exit_side)
take_pos = self.pos + take_order + take_order.fee_pos(self.fee)
return take_pos.balance
def nbbo_pnl(self):
exit_side = Side.opposite_side(self.position())
nbbo_price = self.nbbo.side(exit_side)
return (self.pos + Position(pos=self.pos.abs_position(),
price=nbbo_price,
side=exit_side)).balance