class DefaultFillStrategy(FillStrategy): def __init__(self, app_context=None, sim_config=None, slippage=None): self.app_context = app_context self.__sim_config = sim_config if sim_config else SimConfig() self.__slippage = slippage if slippage else NoSlippage() self.__market_ord_handler = MarketOrderHandler(self.__sim_config, self.__slippage) self.__limit_ord_handler = LimitOrderHandler(self.__sim_config) self.__stop_limit_ord_handler = StopLimitOrderHandler( self.__sim_config) self.__stop_ord_handler = StopOrderHandler(self.__sim_config, self.__slippage) self.__trailing_stop_ord_handler = TrailingStopOrderHandler( self.__sim_config, self.__slippage) def process_new_order(self, new_ord_req): fill_info = None config = self.__sim_config quote = self.app_context.inst_data_mgr.get_quote(new_ord_req.inst_id) trade = self.app_context.inst_data_mgr.get_trade(new_ord_req.inst_id) bar = self.app_context.inst_data_mgr.get_bar(new_ord_req.inst_id) if not fill_info and config.fill_on_quote and config.fill_on_bar_mode == SimConfig.FillMode.LAST and quote: fill_info = self.process_w_market_data(new_ord_req, quote, True) elif not fill_info and config.fill_on_trade and config.fill_on_trade_mode == SimConfig.FillMode.LAST and trade: fill_info = self.process_w_market_data(new_ord_req, trade, True) elif not fill_info and config.fill_on_bar and config.fill_on_bar_mode == SimConfig.FillMode.LAST and bar: fill_info = self.process_w_market_data(new_ord_req, bar, True) return fill_info def process_w_market_data(self, new_ord_req, event, new_order=False): config = self.__sim_config if not event \ or (isinstance(event, Bar) and not config.fill_on_bar) \ or (isinstance(event, Trade) and not config.fill_on_trade) \ or (isinstance(event, Quote) and not config.fill_on_quote): return None if new_ord_req.type == OrdType.MARKET: return self.__market_ord_handler.process(new_ord_req, event, new_order) elif new_ord_req.type == OrdType.LIMIT: return self.__limit_ord_handler.process(new_ord_req, event, new_order) elif new_ord_req.type == OrdType.STOP_LIMIT: return self.__stop_limit_ord_handler.process( new_ord_req, event, new_order) elif new_ord_req.type == OrdType.STOP: return self.__stop_ord_handler.process(new_ord_req, event, new_order) elif new_ord_req.type == OrdType.TRAILING_STOP: return self.__trailing_stop_ord_handler.process( new_ord_req, event, new_order) assert False def process_w_price_qty(self, new_ord_req, price, qty): if new_ord_req.type == OrdType.MARKET: return self.__market_ord_handler.process_w_price_qty( new_ord_req, price, qty) elif new_ord_req.type == OrdType.LIMIT: return self.__limit_ord_handler.process_w_price_qty( new_ord_req, price, qty) elif new_ord_req.type == OrdType.STOP_LIMIT: return self.__stop_limit_ord_handler.process_w_price_qty( new_ord_req, price, qty) elif new_ord_req.type == OrdType.STOP: return self.__stop_ord_handler.process_w_price_qty( new_ord_req, price, qty) elif new_ord_req.type == OrdType.TRAILING_STOP: return self.__trailing_stop_ord_handler.process_w_price_qty( new_ord_req, price, qty) return None
class DefaultFillStrategy(FillStrategy): def __init__(self, app_context=None, sim_config=None, slippage=None): self.app_context = app_context self.__sim_config = sim_config if sim_config else SimConfig() self.__slippage = slippage if slippage else NoSlippage() self.__market_ord_handler = MarketOrderHandler(self.__sim_config, self.__slippage) self.__limit_ord_handler = LimitOrderHandler(self.__sim_config) self.__stop_limit_ord_handler = StopLimitOrderHandler(self.__sim_config) self.__stop_ord_handler = StopOrderHandler(self.__sim_config, self.__slippage) self.__trailing_stop_ord_handler = TrailingStopOrderHandler(self.__sim_config, self.__slippage) def process_new_order(self, new_ord_req): fill_info = None config = self.__sim_config quote = self.app_context.inst_data_mgr.get_quote(new_ord_req.inst_id) trade = self.app_context.inst_data_mgr.get_trade(new_ord_req.inst_id) bar = self.app_context.inst_data_mgr.get_bar(new_ord_req.inst_id) if not fill_info and config.fill_on_quote and config.fill_on_bar_mode == SimConfig.FillMode.LAST and quote: fill_info = self.process_w_market_data(new_ord_req, quote, True) elif not fill_info and config.fill_on_trade and config.fill_on_trade_mode == SimConfig.FillMode.LAST and trade: fill_info = self.process_w_market_data(new_ord_req, trade, True) elif not fill_info and config.fill_on_bar and config.fill_on_bar_mode == SimConfig.FillMode.LAST and bar: fill_info = self.process_w_market_data(new_ord_req, bar, True) return fill_info def process_w_market_data(self, new_ord_req, event, new_order=False): config = self.__sim_config if not event \ or (isinstance(event, Bar) and not config.fill_on_bar) \ or (isinstance(event, Trade) and not config.fill_on_trade) \ or (isinstance(event, Quote) and not config.fill_on_quote): return None if new_ord_req.type == OrdType.MARKET: return self.__market_ord_handler.process(new_ord_req, event, new_order) elif new_ord_req.type == OrdType.LIMIT: return self.__limit_ord_handler.process(new_ord_req, event, new_order) elif new_ord_req.type == OrdType.STOP_LIMIT: return self.__stop_limit_ord_handler.process(new_ord_req, event, new_order) elif new_ord_req.type == OrdType.STOP: return self.__stop_ord_handler.process(new_ord_req, event, new_order) elif new_ord_req.type == OrdType.TRAILING_STOP: return self.__trailing_stop_ord_handler.process(new_ord_req, event, new_order) assert False def process_w_price_qty(self, new_ord_req, price, qty): if new_ord_req.type == OrdType.MARKET: return self.__market_ord_handler.process_w_price_qty(new_ord_req, price, qty) elif new_ord_req.type == OrdType.LIMIT: return self.__limit_ord_handler.process_w_price_qty(new_ord_req, price, qty) elif new_ord_req.type == OrdType.STOP_LIMIT: return self.__stop_limit_ord_handler.process_w_price_qty(new_ord_req, price, qty) elif new_ord_req.type == OrdType.STOP: return self.__stop_ord_handler.process_w_price_qty(new_ord_req, price, qty) elif new_ord_req.type == OrdType.TRAILING_STOP: return self.__trailing_stop_ord_handler.process_w_price_qty(new_ord_req, price, qty) return None