def createLimitOrder(self,
action,
instrument,
limitPrice,
quantity,
extra={}):
if instrument != common.btc_symbol:
raise Exception("Only BTC instrument is supported")
if action == broker.Order.Action.BUY_TO_COVER:
action = broker.Order.Action.BUY
elif action == broker.Order.Action.SELL_SHORT:
action = broker.Order.Action.SELL
if action not in [broker.Order.Action.BUY, broker.Order.Action.SELL]:
raise Exception("Only BUY/SELL orders are supported")
instrumentTraits = self.getInstrumentTraits(instrument)
limitPrice = round(limitPrice, 2)
quantity = instrumentTraits.roundQuantity(quantity)
return broker.LimitOrder(action,
instrument,
limitPrice,
quantity,
instrumentTraits,
extra=extra)
def __buildAcceptedLimitOrder(self, action, limitPrice, quantity):
ret = broker.LimitOrder(action, "orcl", limitPrice, quantity, DefaultTraits())
self.assertEquals(ret.getSubmitDateTime(), None)
ret.switchState(broker.Order.State.SUBMITTED)
ret.setSubmitted(1, datetime.datetime.now())
self.assertNotEquals(ret.getSubmitDateTime(), None)
ret.switchState(broker.Order.State.ACCEPTED)
return ret
def createLimitOrder(self, action, instrument, limitPrice, quantity):
#IB doesn't support buy to cover
if action == broker.Order.Action.BUY_TO_COVER:
action = broker.Order.Action.BUY
instrumentTraits = self.getInstrumentTraits(instrument)
return broker.LimitOrder(action, instrument, limitPrice, quantity, instrumentTraits)
def build_order_from_open_order(openOrder, instrumentTraits):
if openOrder.isBuy():
action = broker.Order.Action.BUY
elif openOrder.isSell():
action = broker.Order.Action.SELL
else:
raise Exception("Invalid order type")
ret = broker.LimitOrder(action, common.btc_symbol, openOrder.getPrice(), openOrder.getAmount(), instrumentTraits)
ret.setSubmitted(openOrder.getId(), openOrder.getDateTime())
ret.setState(broker.Order.State.ACCEPTED)
return ret
def createLimitOrder(self,
action,
instrument,
limitPrice,
quantity,
extra={}):
instrumentTraits = self.getInstrumentTraits(instrument)
quantity = instrumentTraits.roundQuantity(quantity)
return broker.LimitOrder(action,
instrument,
limitPrice,
quantity,
instrumentTraits,
extra=extra)
def createLimitOrder(self, action, instrument, limitPrice, quantity):
if instrument != common.CoinSymbol.BTC:
raise Exception('仅支持 BTC 交易')
if action == broker.Order.Action.BUY_TO_COVER:
action = broker.Order.Action.BUY
elif action == broker.Order.Action.SELL_SHORT:
action = broker.Order.Action.SELL
if action not in [broker.Order.Action.BUY, broker.Order.Action.SELL]:
raise Exception('仅支持 买/卖 交易')
limitPrice = round(limitPrice, 2)
return broker.LimitOrder(action, instrument, limitPrice, quantity,
common.BTCTraits())
def build_order_from_open_order(openOrder, instrumentTraits):
if openOrder.is_buy():
action = broker.Order.Action.BUY
elif openOrder.is_sell():
action = broker.Order.Action.SELL
else:
raise Exception("Invalid order type")
ret = broker.LimitOrder(action,
common.CoinSymbol.BTC, openOrder.get_price(),
openOrder.get_amount(), instrumentTraits)
ret.setSubmitted(openOrder.get_id(), openOrder.get_datetime())
ret.setState(broker.Order.State.ACCEPTED)
return ret
def createLimitOrder(self, action, instrument, limitPrice, quantity):
if instrument != common.INSTRUMENT_TOKEN:
raise Exception("Only BTC instrument is supported")
if action == broker.Order.Action.BUY_TO_COVER:
action = broker.Order.Action.BUY
elif action == broker.Order.Action.SELL_SHORT:
action = broker.Order.Action.SELL
if action not in [broker.Order.Action.BUY, broker.Order.Action.SELL]:
raise Exception("Only BUY/SELL orders are supported")
instrumentTraits = self.getInstrumentTraits(instrument)
limitPrice = round(limitPrice, common.CASH_TOKEN_PRECISION)
quantity = instrumentTraits.roundQuantity(quantity)
return broker.LimitOrder(action, instrument, limitPrice, quantity, instrumentTraits)
def build_order_from_open_order(openOrder, instrumentTraits):
#order_id = openOrder.order.m_permId #we use the TWS id for the order rather than our id - not sure this is a good idea but its apparently consistent across sessions - https://www.interactivebrokers.com/en/software/api/apiguide/java/order.htm
order_id = openOrder.order.m_orderId
#doesn't seem to be a useable date/time for orders so going to use current time
order_time = dt.as_utc(datetime.datetime.now())
order_type = openOrder.order.m_orderType #stop, limit, stoplimit, market
order_action = openOrder.order.m_action
order_amount = openOrder.order.m_totalQuantity
order_limprice = openOrder.order.m_lmtPrice
order_auxprice = openOrder.order.m_auxPrice
contract_symbol = openOrder.contract.m_symbol
if order_action == 'BUY':
action = broker.Order.Action.BUY
elif order_action == 'SELL':
action = broker.Order.Action.SELL
elif order_action == 'SSHORT':
action = broker.Order.Action.SELL_SHORT
else:
raise Exception("Invalid order action")
if order_type == 'LMT': #Limit
ret = broker.LimitOrder(action, contract_symbol, order_limprice,
order_amount, instrumentTraits)
elif order_type == 'MKT': #Market
ret = broker.MarketOrder(action, contract_symbol, order_amount, False,
instrumentTraits)
elif order_type == 'MOC': #Market On Close
ret = broker.MarketOrder(action, contract_symbol, order_amount, True,
instrumentTraits)
elif order_type == 'STP': #Stop order
ret = broker.StopOrder(action, contract_symbol, order_auxprice,
order_amount, instrumentTraits)
elif order_type == 'STP LMT':
ret = broker.StopLimitOrder(action, contract_symbol, order_auxprice,
order_limprice, order_amount,
instrumentTraits)
else:
#Totally possible if you use pyalgotrade and TWS to manage the same account which is not really a good idea
raise Exception("Unsupported order type - %s" % order_type)
ret.setSubmitted(order_id, order_time)
ret.setState(broker.Order.State.ACCEPTED)
return ret
def createLimitOrder(self, action, instrument, limitPrice, quantity):
if instrument not in common.supported_symbols:
raise Exception("Unknown instrument.")
if action == broker.Order.Action.BUY_TO_COVER:
action = broker.Order.Action.BUY
elif action == broker.Order.Action.SELL_SHORT:
action = broker.Order.Action.SELL
if action not in [broker.Order.Action.BUY, broker.Order.Action.SELL]:
raise Exception("Only BUY/SELL orders are supported")
instrumentTraits = self.getInstrumentTraits(instrument)
limitPrice = round(limitPrice, 2)
quantity = instrumentTraits.roundQuantity(instrument, quantity)
return broker.LimitOrder(action, instrument, limitPrice, quantity,
instrumentTraits)
def build_order_from_open_order(openOrder,
instrumentTraits,
state=broker.Order.State.ACCEPTED):
if openOrder.isBuy():
if 'Close' in openOrder.getData().get(
'execInst', '') or openOrder.getExtra().get('close'):
action = broker.Order.Action.BUY_TO_COVER
else:
action = broker.Order.Action.BUY
elif openOrder.isSell():
if 'Close' in openOrder.getData().get(
'execInst', '') or openOrder.getExtra().get('close'):
action = broker.Order.Action.SELL
else:
action = broker.Order.Action.SELL_SHORT
else:
raise Exception("Invalid order side")
if openOrder.getType() in [
'Market', 'MarketIfTouched', 'MarketWithLeftOverAsLimit'
]:
ret = broker.MarketOrder(action, common.btc_symbol,
openOrder.getAmount(), True, instrumentTraits,
openOrder.getExtra())
elif openOrder.getType() in ['Limit', 'LimitIfTouched']:
ret = broker.LimitOrder(action,
common.btc_symbol, openOrder.getPrice(),
openOrder.getAmount(), instrumentTraits,
openOrder.getExtra())
elif openOrder.getType() == 'StopLimit':
ret = broker.StopLimitOrder(action, common.btc_symbol,
openOrder.getStopPrice(),
openOrder.getPrice(),
openOrder.getAmount(), instrumentTraits,
openOrder.getExtra())
elif openOrder.getType() == 'Stop':
ret = broker.StopOrder(action, common.btc_symbol,
openOrder.getStopPrice(), openOrder.getAmount(),
instrumentTraits, openOrder.getExtra())
else:
raise Exception("Invalid order type")
ret.setSubmitted(openOrder.getId(), openOrder.getDateTime())
ret.setState(state)
return ret
def createLimitOrder(self, action, instrument, limitPrice, quantity):
instrument = build_instrument(instrument)
if instrument not in common.SUPPORTED_INSTRUMENTS:
raise Exception("Unsupported instrument %s" % instrument)
if action == broker.Order.Action.BUY_TO_COVER:
action = broker.Order.Action.BUY
elif action == broker.Order.Action.SELL_SHORT:
action = broker.Order.Action.SELL
if action not in [broker.Order.Action.BUY, broker.Order.Action.SELL]:
raise Exception("Only BUY/SELL orders are supported")
instrumentTraits = self.getInstrumentTraits()
limitPrice = instrumentTraits.round(limitPrice,
instrument.priceCurrency)
quantity = instrumentTraits.round(quantity, instrument.symbol)
return broker.LimitOrder(action, instrument, limitPrice, quantity,
instrumentTraits)
def createLimitOrder(self, action, instrument, limitPrice, quantity):
instrumentTraits = self.getInstrumentTraits()
limitPrice = round(limitPrice, 2)
quantity = instrumentTraits.roundQuantity(quantity)
return broker.LimitOrder(action, instrument, limitPrice, quantity, instrumentTraits)
def __buildAcceptedLimitOrder(self, action, limitPrice, quantity):
ret = broker.LimitOrder(1, action, "orcl", limitPrice, quantity)
ret.switchState(broker.Order.State.SUBMITTED)
ret.switchState(broker.Order.State.ACCEPTED)
return ret
