def emit_order_created_event(market: MockPaperExchange, order: LimitOrder): event_cls = BuyOrderCreatedEvent if order.is_buy else SellOrderCreatedEvent event_tag = MarketEvent.BuyOrderCreated if order.is_buy else MarketEvent.SellOrderCreated market.trigger_event( event_tag, message=event_cls(order.creation_timestamp, OrderType.LIMIT, order.trading_pair, order.quantity, order.price, order.client_order_id, order.creation_timestamp * 1e-6))
def simulate_limit_order_fill(market: MockPaperExchange, limit_order: LimitOrder): quote_currency_traded: Decimal = limit_order.price * limit_order.quantity base_currency_traded: Decimal = limit_order.quantity quote_currency: str = limit_order.quote_currency base_currency: str = limit_order.base_currency if limit_order.is_buy: market.set_balance(quote_currency, market.get_balance(quote_currency) - quote_currency_traded) market.set_balance(base_currency, market.get_balance(base_currency) + base_currency_traded) market.trigger_event(MarketEvent.OrderFilled, OrderFilledEvent( market.current_timestamp, limit_order.client_order_id, limit_order.trading_pair, TradeType.BUY, OrderType.LIMIT, limit_order.price, limit_order.quantity, AddedToCostTradeFee(Decimal("0")) )) market.trigger_event(MarketEvent.BuyOrderCompleted, BuyOrderCompletedEvent( market.current_timestamp, limit_order.client_order_id, base_currency, quote_currency, quote_currency, base_currency_traded, quote_currency_traded, Decimal("0"), OrderType.LIMIT )) else: market.set_balance(quote_currency, market.get_balance(quote_currency) + quote_currency_traded) market.set_balance(base_currency, market.get_balance(base_currency) - base_currency_traded) market.trigger_event(MarketEvent.OrderFilled, OrderFilledEvent( market.current_timestamp, limit_order.client_order_id, limit_order.trading_pair, TradeType.SELL, OrderType.LIMIT, limit_order.price, limit_order.quantity, AddedToCostTradeFee(Decimal("0")) )) market.trigger_event(MarketEvent.SellOrderCompleted, SellOrderCompletedEvent( market.current_timestamp, limit_order.client_order_id, base_currency, quote_currency, quote_currency, base_currency_traded, quote_currency_traded, Decimal("0"), OrderType.LIMIT ))
def simulate_limit_order_fill(market: MockPaperExchange, limit_order: LimitOrder, timestamp: float = 0): quote_currency_traded: Decimal = limit_order.price * limit_order.quantity base_currency_traded: Decimal = limit_order.quantity quote_currency: str = limit_order.quote_currency base_currency: str = limit_order.base_currency trade_event: OrderBookTradeEvent = OrderBookTradeEvent( trading_pair=limit_order.trading_pair, timestamp=timestamp, type=TradeType.BUY if limit_order.is_buy else TradeType.SELL, price=limit_order.price, amount=limit_order.quantity) market.get_order_book( limit_order.trading_pair).apply_trade(trade_event) if limit_order.is_buy: market.set_balance( quote_currency, market.get_balance(quote_currency) - quote_currency_traded) market.set_balance( base_currency, market.get_balance(base_currency) + base_currency_traded) market.trigger_event( MarketEvent.OrderFilled, OrderFilledEvent(market.current_timestamp, limit_order.client_order_id, limit_order.trading_pair, TradeType.BUY, OrderType.LIMIT, limit_order.price, limit_order.quantity, AddedToCostTradeFee(Decimal(0.0)))) market.trigger_event( MarketEvent.BuyOrderCompleted, BuyOrderCompletedEvent(market.current_timestamp, limit_order.client_order_id, base_currency, quote_currency, quote_currency, base_currency_traded, quote_currency_traded, Decimal(0.0), OrderType.LIMIT)) else: market.set_balance( quote_currency, market.get_balance(quote_currency) + quote_currency_traded) market.set_balance( base_currency, market.get_balance(base_currency) - base_currency_traded) market.trigger_event( MarketEvent.OrderFilled, OrderFilledEvent(market.current_timestamp, limit_order.client_order_id, limit_order.trading_pair, TradeType.SELL, OrderType.LIMIT, limit_order.price, limit_order.quantity, AddedToCostTradeFee(Decimal(0.0)))) market.trigger_event( MarketEvent.SellOrderCompleted, SellOrderCompletedEvent(market.current_timestamp, limit_order.client_order_id, base_currency, quote_currency, quote_currency, base_currency_traded, quote_currency_traded, Decimal(0.0), OrderType.LIMIT))
def simulate_limit_order_fill(market: MockPaperExchange, limit_order: LimitOrder, timestamp: float): quote_currency_traded: Decimal = limit_order.price * limit_order.quantity base_currency_traded: Decimal = limit_order.quantity quote_currency: str = limit_order.quote_currency base_currency: str = limit_order.base_currency config: MarketConfig = market.config trade_event = OrderBookTradeEvent( trading_pair=limit_order.trading_pair, timestamp=timestamp, type=TradeType.BUY if limit_order.is_buy else TradeType.SELL, price=limit_order.price, amount=limit_order.quantity, ) if limit_order.is_buy: market.set_balance( quote_currency, market.get_balance(quote_currency) - quote_currency_traded) market.set_balance( base_currency, market.get_balance(base_currency) + base_currency_traded) market.trigger_event( MarketEvent.OrderFilled, OrderFilledEvent(market.current_timestamp, limit_order.client_order_id, limit_order.trading_pair, TradeType.BUY, OrderType.LIMIT, limit_order.price, limit_order.quantity, TradeFee(Decimal(0.0)))) market.trigger_event( MarketEvent.BuyOrderCompleted, BuyOrderCompletedEvent( market.current_timestamp, limit_order.client_order_id, base_currency, quote_currency, base_currency if config.buy_fees_asset is AssetType.BASE_CURRENCY else quote_currency, base_currency_traded, quote_currency_traded, Decimal(0.0), OrderType.LIMIT)) market.order_books[limit_order.trading_pair].apply_trade( trade_event) else: market.set_balance( quote_currency, market.get_balance(quote_currency) + quote_currency_traded) market.set_balance( base_currency, market.get_balance(base_currency) - base_currency_traded) market.trigger_event( MarketEvent.OrderFilled, OrderFilledEvent(market.current_timestamp, limit_order.client_order_id, limit_order.trading_pair, TradeType.SELL, OrderType.LIMIT, limit_order.price, limit_order.quantity, TradeFee(Decimal(0.0)))) market.trigger_event( MarketEvent.SellOrderCompleted, SellOrderCompletedEvent( market.current_timestamp, limit_order.client_order_id, base_currency, quote_currency, base_currency if config.sell_fees_asset is AssetType.BASE_CURRENCY else quote_currency, base_currency_traded, quote_currency_traded, Decimal(0.0), OrderType.LIMIT)) market.order_books[limit_order.trading_pair].apply_trade( trade_event)