def _order_from_dict(self, o):
order_dict = {}
asset = self._asset_finder.lookup_symbol(o['tradingsymbol'])
order_dict['oid'] = o['order_id']
order_dict['broker_order_id'] = o['order_id']
order_dict['exchange_order_id'] = o['exchange_order_id']
order_dict['parent_order_id'] = o['parent_order_id']
order_dict['asset'] = asset
order_dict['user'] = '******'
order_dict['placed_by'] = o['placed_by']
order_dict['product_type'] = product_type_map.get(o['product'])
order_dict['order_flag'] = OrderFlag.NORMAL
order_dict['order_type'] = order_type_map.get(o['order_type'])
order_dict['order_validity'] = order_validity_map.get(o['validity'])
order_dict['quantity'] = o['quantity']
order_dict['filled'] = o['filled_quantity']
order_dict['pending'] = o['pending_quantity']
order_dict['disclosed'] = o['disclosed_quantity']
order_dict['price'] = o['price']
order_dict['average_price'] = o['average_price']
order_dict['trigger_price'] = o['trigger_price']
order_dict['stoploss_price'] = o['stoploss_price']
order_dict['side'] = order_side_map.get(o['transaction_type'])
order_dict['status'] = order_status_map.get(o['status'])
order_dict['status_message'] = o['status_message']
order_dict['exchange_timestamp'] = pd.Timestamp(
o['exchange_timestamp'])
order_dict['timestamp'] = pd.Timestamp(o['order_timestamp'])
order_dict['tag'] = o['tag']
order = Order.from_dict(order_dict)
return order.oid, order
def order_stuff(qty, side, asset):
global orders
global positions
o = Order(qty, side, asset)
orders[o.oid] = o
execute_order(o)
return o.oid
def read_orders(orders, asset_finder, key_transform=str):
""" read from a order_id keyed dictionary of orders """
out = {}
order_ids = set()
for key in orders:
order = orders[key]
order['asset'] = asset_finder.lookup_symbol(order['asset'])
out[key_transform(key)] = Order.from_dict(order)
order_ids.add(key)
return out, order_ids
def _order_from_dict(self, o):
# pd.Timestamp(datetime.strptime('12142018032919','%m%d%Y%H%M%S'))
order_dict = {}
asset = self._asset_finder.lookup_symbol(o['currency'])
order_dict['oid'] = o['orderId']
order_dict['broker_order_id'] = o['tradeId']
order_dict['exchange_order_id'] = o['orderId']
order_dict['parent_order_id'] = o['ocoBulkId']
order_dict['asset'] = asset
order_dict['user'] = '******'
order_dict['placed_by'] = o['accountId']
order_dict['product_type'] = ProductType.DELIVERY
order_dict['order_flag'] = OrderFlag.NORMAL
# FXCM is the liquidity provide, so filled is either all or nothing
# TODO: check this assumption
order_dict['quantity'] = o['amountK'] * 1000
order_dict['filled'] = 0
order_dict['pending'] = order_dict['quantity']
order_dict['disclosed'] = 0
''' Entry Orders are by definition limit orders. The stoploss
and limit rates mimick a bracket order with defined stoploss and
take profit target respectively. We do not have native support
for these in Blueshift yet.'''
order_dict['order_type'] = OrderType.LIMIT
order_dict['price'] = o['buy'] if o['isBuy'] is True else o['sell']
# TODO: hack, the stops and the limits are NOT handled properly here.
order_dict['trigger_price'] = o['limitRate']
order_dict['stoploss_price'] = o['stopRate']
order_dict['side'] = OrderSide.BUY if o['isBuy'] is True else\
OrderSide.SELL
# TODO: assumes order is zero fill. Validate.
order_dict['average_price'] = 0
order_dict['order_validity'] = order_validity_map.get(
o['timeInForce'], OrderValidity.DAY)
order_dict['status'] = order_status_map[o['status']]
order_dict['status_message'] = ''
timestamp = datetime.strptime(o['time'], '%m%d%Y%H%M%S%f')
order_dict['exchange_timestamp'] = pd.Timestamp(timestamp, tz=self.tz)
# TODO: figure out the timestamp
order_dict['timestamp'] = timestamp
order_dict['tag'] = o['accountId']
order = Order.from_dict(order_dict)
return order.oid, order
def read_transactions_from_dict(txns_dict, asset_finder,
key_transform=lambda x:x):
""" read from a timestamped ordered dict of transactions """
txns = OrderedDict()
order_ids = set()
for key in txns_dict:
values = txns_dict[key]
transactions = []
for value in values:
value['asset'] = asset_finder.lookup_symbol(value['asset'])
transactions.append(Order.from_dict(value))
order_ids.add(value['oid'])
txns[key_transform(key)] = transactions
return txns, order_ids
def order(self, asset, quantity, limit_price=0, stop_price=0, style=None):
'''
Place new order. This is the interface to underlying broker
for ALL order related API functions.
'''
if not self.is_TRADING_BAR():
msg = f"can't place order for {asset.symbol},"
msg = msg + " market not open yet."
self.log_warning(msg)
return
mult = asset.mult
quantity = int(round(quantity / mult) * mult)
if quantity == 0:
return
side = OrderSide.BUY if quantity > 0 else OrderSide.SELL
order_type = 0
if style:
order_type = style
else:
if limit_price > 0:
order_type = 1
if stop_price > 0:
order_type = order_type | 2
o = Order(abs(quantity),
side,
asset,
order_type=order_type,
price=limit_price,
stoploss_price=stop_price)
order_id = self.context.broker.place_order(o)
return order_id