def open(self,
trader,
instrument,
direction,
order_type,
order_price,
quantity,
take_profit,
stop_loss,
leverage=1.0,
hedging=None):
"""
Open a position or buy an asset.
@param hedging If defined use the defined value else use the default from the market.
"""
order = Order(trader, instrument.market_id)
order.direction = direction
order.order_type = order_type
order.quantity = quantity
order.leverage = leverage
order.margin_trade = True
order.post_only = False
if order_type == Order.ORDER_LIMIT:
order.price = order_price
if hedging:
order.hedging = hedging
# generated a reference order id
trader.set_ref_order_id(order)
self.create_ref_oid = order.ref_order_id
self.dir = order.direction
self.op = order.price # retains the order price
self.oq = order.quantity # ordered quantity
self.tp = take_profit
self.sl = stop_loss
self.leverage = leverage
self._stats['entry-order-type'] = order.order_type
if trader.create_order(order, instrument):
# keep the related create position identifier if available
self.create_oid = order.order_id
self.position_id = order.position_id
if not self.eot and order.created_time:
# only at the first open
self.eot = order.created_time
return True
else:
self._entry_state = StrategyTrade.STATE_REJECTED
return False
def open(self,
trader,
instrument,
direction,
order_type,
order_price,
quantity,
take_profit,
stop_loss,
leverage=1.0,
hedging=None):
"""
Open a position or buy an asset.
"""
order = Order(trader, instrument.market_id)
order.direction = direction
order.price = order_price
order.order_type = order_type
order.quantity = quantity
order.post_only = False
order.margin_trade = True
order.leverage = leverage
# generated a reference order id
trader.set_ref_order_id(order)
self.create_ref_oid = order.ref_order_id
self.dir = order.direction
self.op = order.price # retains the order price
self.oq = order.quantity # ordered quantity
self.tp = take_profit
self.sl = stop_loss
self.leverage = leverage
self._stats['entry-order-type'] = order.order_type
if trader.create_order(order, instrument):
self.position_id = order.position_id # might be market-id
if not self.eot and order.created_time:
self.eot = order.created_time
return True
else:
self._entry_state = StrategyTrade.STATE_REJECTED
return False
def __update_orders(self):
if not self.connected:
return
# filters only siis managed orders
src_orders = self._watcher.connector.ws.open_orders("") # "siis_")
# first delete older orders
order_rm_list = []
for k, order in self._orders.items():
found = False
for src_order in src_orders:
src_order_id = src_order['clOrdID'] or src_order['orderID']
if order.order_id == src_order[
'clOrdID'] or order.order_id == src_order['orderID']:
found = True
break
if not found:
order_rm_list.append(order.order_id)
for order_id in order_rm_list:
del self._orders[order_id]
# insert or update active orders
for src_order in src_orders:
found = False
src_order_id = src_order['clOrdID'] or src_order['orderID']
order = self._orders.get(src_order_id)
if order is None:
# insert
order = Order(self, src_order['symbol'])
order.set_order_id(src_order_id)
self._orders[order.order_id] = order
else:
order = self._orders.get(src_order_id)
# logger.info(src_order)
# probably modifier or when leavesQty is update the ordStatus must change
# if src_order['ordStatus'] != "New":
# continue
# update
order.direction = Position.LONG if src_order[
'side'] == 'Buy' else Position.SHORT
# 'orderQty' (ordered qty), 'cumQty' (cumulative done), 'leavesQty' (remaning)
order.quantity = src_order.get('leavesQty',
src_order.get('orderQty', 0))
if src_order.get('transactTime'):
order.transact_time = self._parse_datetime(
src_order.get('transactTime')).timestamp()
if src_order['ordType'] == "Market":
order.order_type = Order.ORDER_MARKET
elif src_order['ordType'] == "Limit":
order.order_type = Order.ORDER_LIMIT
order.price = src_order.get('price')
elif src_order['ordType'] == "Stop":
order.order_type = Order.ORDER_STOP
order.stop_price = src_order.get('stopPx')
elif src_order['ordType'] == "StopLimit":
order.order_type = Order.ORDER_STOP_LIMIT
order.price = src_order.get('price')
order.stop_price = src_order.get('stopPx')
elif src_order['ordType'] == "MarketIfTouched":
order.order_type = Order.ORDER_TAKE_PROFIT
order.stop_price = src_order.get('stopPx')
elif src_order['ordType'] == "LimitIfTouched":
order.order_type = Order.ORDER_TAKE_PROFIT_LIMIT
order.price = src_order.get('price')
order.stop_price = src_order.get('stopPx')
if src_order['timeInForce'] == 'GoodTillCancel':
order.time_in_force = Order.TIME_IN_FORCE_GTC
elif src_order['timeInForce'] == 'ImmediateOrCancel':
order.time_in_force = Order.TIME_IN_FORCE_IOC
elif src_order['timeInForce'] == 'FillOrKill':
order.time_in_force = Order.TIME_IN_FORCE_FOK
else:
order.time_in_force = Order.TIME_IN_FORCE_GTC
# triggered, ordRejReason, currency
# @todo
# execution options
exec_inst = src_order['execInst'].split(',')
# taker or maker fee
if 'ParticipateDoNotInitiate' in exec_inst:
order.post_only = True
else:
order.post_only = False
# close reduce only
if 'Close' in exec_inst:
# close only order (must be used with reduce only, only reduce a position, and close opposites orders)
order.close_only = True
else:
order.close_only = False
# close reduce only
if 'ReduceOnly' in exec_inst:
# reduce only order (only reduce a position)
order.reduce_only = True
else:
order.redeuce_only = False
# execution price
if 'LastPrice' in exec_inst:
order.price_type = Order.PRICE_LAST
elif 'IndexPrice' in exec_inst:
order.price_type = Order.PRICE_MARK
elif 'MarkPrice' in exec_inst:
order.price_type = Order.PRICE_INDEX
