def not_covered(self, tick_size=0.05, **kwargs):
"""
Get the list of orders/positions not covered.
returns a named tuple containing the symbol, the side not covered,
quantity not covered and the average price of the side covered
tick_size
tick_size to be adjusted in the final price
kwargs
list of keyword arguments to filter orders and positions
to be passed to the consolidated function
Note
-----
1) This is a consolidated list including both positions and orders
2) Orders are compared by quantity and not by price
3) Bracket, OCO and other order types not covered
"""
all_orders = self.consolidated(**kwargs)
tup = namedtuple('uncovered', ['symbol', 'side', 'quantity', 'price'])
uncovered = []
for k,v in all_orders.items():
if v['BUY'] > v['SELL']:
avg_price = tick(v['BUY_value']/v['BUY'], tick_size)
tp = tup(k, 'SELL', v['BUY']-v['SELL'], avg_price)
uncovered.append(tp)
elif v['SELL'] > v['BUY']:
avg_price = tick(v['SELL_value']/v['SELL'], tick_size)
tp = tup(k, 'BUY', v['SELL']-v['BUY'], avg_price)
uncovered.append(tp)
return uncovered
def order(self, symbol: str, side: str, **kwargs):
order_id = stop_id = None
v = self.data[symbol]
price = tick(v.ltp)
stop = tick(
self.stop_loss(symbol=symbol, side=side, stop=3, method='percent'))
quantity = self.get_quantity(price=price, stop=stop)
v.can_trade = False
if side == 'SELL':
v.positions = 0 - quantity
else:
v.positions = quantity
side_map = {'BUY': 'SELL', 'SELL': 'BUY'}
# Defaults for live order
defaults = deepcopy(self.ORDER_DEFAULT_KWARGS)
defaults.update(
dict(symbol=symbol,
order_type='LIMIT',
price=price,
quantity=quantity,
side=side))
defaults.update(kwargs)
if self.env == 'live':
order_id = self.broker.order_place(**defaults)
side2 = side_map.get(side)
stop_args = dict(order_type='SL-M', trigger_price=stop, side=side2)
defaults.update(stop_args)
stop_id = self.broker.order_place(**defaults)
else:
order_id = random.randint(100000, 999999)
stop_id = random.randint(100000, 999999)
v.order_id = order_id
v.stop_id = stop_id
return (order_id, stop_id)
def get_sl(price, side, percent):
"""
Get stop loss for the order
Note
-----
The implementation is in the reverse since we
already knew the side to place the order and
the price is that of the opposite side
"""
if side == 'BUY':
return tick(price*(1+percent*0.01), tick_size)
elif side == 'SELL':
return tick(price*(1-percent*0.01), tick_size)
else:
return price