def exitPosition(self, position, limitPrice = None, stopPrice = None, goodTillCanceled = None):
"""Generates the exit order for the position.
:param position: A position returned by any of the enterLongXXX or enterShortXXX methods.
:type position: :class:`pyalgotrade.strategy.position.Position`.
:param limitPrice: The limit price.
:type limitPrice: float.
:param stopPrice: The stop price.
:type stopPrice: float.
:param goodTillCanceled: True if the exit order is good till canceled. If False then the order gets automatically canceled when the session closes. If None, then it will match the entry order.
:type goodTillCanceled: boolean.
.. note::
* If the entry order was not filled yet, it will be canceled.
* If a previous exit order for this position was filled, this won't have any effect.
* If a previous exit order for this position is pending, it will get canceled and the new exit order submitted.
* If limitPrice is not set and stopPrice is not set, then a :class:`pyalgotrade.broker.MarketOrder` is used to exit the position.
* If limitPrice is set and stopPrice is not set, then a :class:`pyalgotrade.broker.LimitOrder` is used to exit the position.
* If limitPrice is not set and stopPrice is set, then a :class:`pyalgotrade.broker.StopOrder` is used to exit the position.
* If limitPrice is set and stopPrice is set, then a :class:`pyalgotrade.broker.StopLimitOrder` is used to exit the position.
"""
if position.exitFilled():
return
# Before exiting a position, the entry order must have been filled.
if position.getEntryOrder().isFilled():
position.close(limitPrice, stopPrice, goodTillCanceled)
self.__registerActivePosition(position)
else: # If the entry was not filled, cancel it.
self.getBroker().cancelOrder(position.getEntryOrder())
def __onOrderUpdated(self, broker, order):
position = self.__orderToPosition.get(order.getId(), None)
if position == None:
self.onOrderUpdated(order)
elif position.getEntryOrder().getId() == order.getId():
if order.isFilled():
self.__unregisterOrder(position, order)
self.onEnterOk(position)
elif order.isCanceled():
self.__unregisterOrder(position, order)
self.onEnterCanceled(position)
else:
assert (order.isAccepted())
elif position.getExitOrder().getId() == order.getId():
if order.isFilled():
self.__unregisterOrder(position, order)
self.onExitOk(position)
elif order.isCanceled():
self.__unregisterOrder(position, order)
self.onExitCanceled(position)
else:
assert (order.isAccepted())
else:
# The order used to belong to a position but it was ovewritten with a new one
# and the previous order should have been canceled.
assert (order.isCanceled())
def __onOrderUpdated(self, broker, order): position = self.__orderToPosition.get(order.getId(), None) if position == None: self.onOrderUpdated(order) elif position.getEntryOrder().getId() == order.getId(): if order.isFilled(): self.__unregisterOrder(position, order) self.onEnterOk(position) elif order.isCanceled(): self.__unregisterOrder(position, order) self.onEnterCanceled(position) else: assert(order.isAccepted()) elif position.getExitOrder().getId() == order.getId(): if order.isFilled(): self.__unregisterOrder(position, order) self.onExitOk(position) elif order.isCanceled(): self.__unregisterOrder(position, order) self.onExitCanceled(position) else: assert(order.isAccepted()) else: # The order used to belong to a position but it was ovewritten with a new one # and the previous order should have been canceled. assert(order.isCanceled())
def onEnterCanceled(self, position):
inst = position.getEntryOrder().getInstrument()
info = position.getCancelDesc()
self.debug("%s inst - Execinfo: %s" % (
inst,
info
))
def onExitOk(self, position):
extorder = position.getExitOrder()
execInfo = extorder.getExecutionInfo()
inst = position.getEntryOrder().getInstrument()
price = format(execInfo.getPrice(),'<6.2f')
shares = format(execInfo.getQuantity(),'<10.2f')
self.debug("SELL: " + str(inst) + " at $%s shares:%s orderid:%d" % (price,shares,extorder.getId()))
def onEnterOk(self, position):
entorder = position.getEntryOrder()
execInfo = entorder.getExecutionInfo()
inst = entorder.getInstrument()
price = format(execInfo.getPrice(),'<6.2f')
shares = format(execInfo.getQuantity(),'<10.2f')
self.debug(format("BUY:",'<6') + str(inst) + " at $%s shares:%s orderid:%d" % (price,shares,entorder.getId()))
def __registerActivePosition(self, position):
for order in [position.getEntryOrder(), position.getExitOrder()]:
if order and order.isAccepted():
self.__registerOrder(position, order)