async def active_orders_df(self) -> pd.DataFrame:
"""
Return the active orders in a DataFrame.
"""
size_q_col = f"Amt({self._token})" if self.is_token_a_quote_token(
) else "Amt(Quote)"
columns = [
"Market", "Side", "Price", "Spread", "Amount", size_q_col, "Age"
]
data = []
for order in self.active_orders:
mid_price = self._market_infos[order.trading_pair].get_mid_price()
spread = 0 if mid_price == 0 else abs(order.price -
mid_price) / mid_price
size_q = order.quantity * mid_price
age = order_age(order, self.current_timestamp)
# // indicates order is a paper order so 'n/a'. For real orders, calculate age.
age_txt = "n/a" if age <= 0. else pd.Timestamp(
age, unit='s').strftime('%H:%M:%S')
data.append([
order.trading_pair, "buy" if order.is_buy else "sell",
float(order.price), f"{spread:.2%}",
float(order.quantity),
float(size_q), age_txt
])
df = pd.DataFrame(data=data, columns=columns)
df.sort_values(by=["Market", "Side"], inplace=True)
return df
def active_orders_df(self) -> pd.DataFrame:
price = self.get_price()
active_orders = self.active_orders
no_sells = len([o for o in active_orders if not o.is_buy])
active_orders.sort(key=lambda x: x.price, reverse=True)
columns = [
"Level", "Type", "Price", "Spread", "Amount (Orig)",
"Amount (Adj)", "Age"
]
data = []
lvl_buy, lvl_sell = 0, 0
for idx in range(0, len(active_orders)):
order = active_orders[idx]
level = None
if order.is_buy:
level = lvl_buy + 1
lvl_buy += 1
else:
level = no_sells - lvl_sell
lvl_sell += 1
spread = 0 if price == 0 else abs(order.price - price) / price
age = pd.Timestamp(order_age(order, self.current_timestamp),
unit='s').strftime('%H:%M:%S')
amount_orig = "" if level is None else self._order_amount + (
(level - 1) * self._order_level_amount)
data.append([
level, "buy" if order.is_buy else "sell",
float(order.price), f"{spread:.2%}", amount_orig,
float(order.quantity), age
])
return pd.DataFrame(data=data, columns=columns)
def test_order_age(self, time_mock):
time_mock.return_value = 1640001112.223
order = LimitOrder(client_order_id="OID1",
trading_pair="COINALPHA-HBOT",
is_buy=True,
base_currency="COINALPHA",
quote_currency="HBOT",
price=Decimal(1000),
quantity=Decimal(1),
creation_timestamp=1640001110000000)
age = order_age(order)
self.assertEqual(int(time_mock.return_value - 1640001110), age)
def cancel_active_orders(self, proposals: List[Proposal]):
"""
Cancel any orders that have an order age greater than self._max_order_age or if orders are not within tolerance
"""
for proposal in proposals:
to_cancel = False
cur_orders = [o for o in self.active_orders if o.trading_pair == proposal.market]
if cur_orders and any(order_age(o, self.current_timestamp) > self._max_order_age for o in cur_orders):
to_cancel = True
elif self._refresh_times[proposal.market] <= self.current_timestamp and \
cur_orders and not self.is_within_tolerance(cur_orders, proposal):
to_cancel = True
if to_cancel:
for order in cur_orders:
self.cancel_order(self._market_infos[proposal.market], order.client_order_id)
# To place new order on the next tick
self._refresh_times[order.trading_pair] = self.current_timestamp + 0.1
def _limit_order_age(self, order: LimitOrder):
calculated_age = order_age(order)
return calculated_age if calculated_age >= 0 else 0
