def open(self,
trader,
instrument,
direction,
order_type,
order_price,
quantity,
take_profit,
stop_loss,
leverage=1.0,
hedging=None):
"""
Open a position or buy an asset.
@param hedging If defined use the defined value else use the default from the market.
"""
order = Order(trader, instrument.market_id)
order.direction = direction
order.order_type = order_type
order.quantity = quantity
order.leverage = leverage
order.margin_trade = True
order.post_only = False
if order_type == Order.ORDER_LIMIT:
order.price = order_price
if hedging:
order.hedging = hedging
# generated a reference order id
trader.set_ref_order_id(order)
self.create_ref_oid = order.ref_order_id
self.dir = order.direction
self.op = order.price # retains the order price
self.oq = order.quantity # ordered quantity
self.tp = take_profit
self.sl = stop_loss
self.leverage = leverage
self._stats['entry-order-type'] = order.order_type
if trader.create_order(order, instrument):
# keep the related create position identifier if available
self.create_oid = order.order_id
self.position_id = order.position_id
if not self.eot and order.created_time:
# only at the first open
self.eot = order.created_time
return True
else:
self._entry_state = StrategyTrade.STATE_REJECTED
return False
def close(self, trader, instrument):
"""
Close the position and cancel the related orders.
"""
if self._closing:
# already closing order
return False
if self.create_oid:
# cancel the remaining buy order
if trader.cancel_order(self.create_oid):
self.create_ref_oid = None
self.create_oid = None
self._entry_state = StrategyTrade.STATE_CANCELED
if self.stop_oid:
# cancel the stop order
if trader.cancel_order(self.stop_oid):
self.stop_ref_oid = None
self.stop_oid = None
if self.limit_oid:
# cancel the limit order
if trader.cancel_order(self.limit_oid):
self.limit_ref_oid = None
if self.e - self.x > 0.0:
# bitmex case no have position id
order = Order(trader, instrument.market_id)
order.direction = -self.dir # neg dir
order.order_type = Order.ORDER_MARKET
order.reduce_only = True
order.quantity = self.e - self.x # remaining qty
order.leverage = self.leverage
order.margin_trade = True
# generated a reference order id
trader.set_ref_order_id(order)
self.stop_ref_oid = order.ref_order_id
self._stats['stop-order-type'] = order.order_type
if trader.create_order(order):
self.stop_oid = order.order_id
self.stop_order_qty = order.quantity
# closing order defined
self._closing = True
return True
else:
self.stop_ref_oid = None
return False
return True
def modify_take_profit(self, trader, instrument, limit_price):
if self.limit_oid:
# cancel the limit order and create a new one
if trader.cancel_order(self.limit_oid):
self.limit_ref_oid = None
self.limit_oid = None
self.limit_order_qty = 0.0
else:
return False
if self.e == self.x:
# all entry qty is filled
return True
if self.e < self.x:
# something wrong but its ok
return False
if self.position_id:
# if not accepted as modification do it as limit order
if trader.modify_position(self.position_id,
take_profit_price=limit_price):
self.tp = limit_price
return True
elif self.e > 0:
# only if filled entry partially or totally
order = Order(self, instrument.market_id)
order.direction = -self.direction
order.order_type = Order.ORDER_LIMIT
order.reduce_only = True
order.quantity = self.e - self.x # remaining
order.price = limit_price
order.leverage = self.leverage
order.margin_trade = True
trader.set_ref_order_id(order)
self.limit_ref_oid = order.ref_order_id
self._stats['limit-order-type'] = order.order_type
if trader.create_order(order):
self.limit_oid = order.order_id
self.limit_order_qty = order.quantity
self.last_tp_ot[0] = order.created_time
self.last_tp_ot[1] += 1
self.tp = limit_price
return True
else:
self.limit_ref_oid = None
self.limit_order_qty = 0.0
return False
def modify_take_profit(self, trader, instrument, limit_price):
if self.limit_oid:
# cancel the limit order and create a new one
if trader.cancel_order(self.limit_oid, instrument):
self.limit_ref_oid = None
self.limit_oid = None
self.limit_order_qty = 0.0
else:
return self.ERROR
if self.e == self.x:
# all entry qty is filled
return self.NOTHING_TO_DO
if self.e < self.x:
# something wrong but its ok
return self.NOTHING_TO_DO
if self.e > 0 and limit_price > 0.0:
# only if filled entry partially or totally
order = Order(self, instrument.market_id)
order.direction = -self.direction
order.order_type = Order.ORDER_LIMIT
order.reduce_only = True
order.quantity = self.e - self.x # remaining
order.price = limit_price
order.leverage = self.leverage
order.margin_trade = True
trader.set_ref_order_id(order)
self.limit_ref_oid = order.ref_order_id
self._stats['take-profit-order-type'] = order.order_type
if trader.create_order(order, instrument):
self.limit_oid = order.order_id
self.limit_order_qty = order.quantity
self.last_tp_ot[0] = order.created_time
self.last_tp_ot[1] += 1
self.tp = limit_price
return self.ACCEPTED
else:
self.limit_ref_oid = None
self.limit_order_qty = 0.0
return self.REJECTED
return self.NOTHING_TO_DO
def open(self,
trader,
instrument,
direction,
order_type,
order_price,
quantity,
take_profit,
stop_loss,
leverage=1.0,
hedging=None):
"""
Open a position or buy an asset.
"""
order = Order(trader, instrument.market_id)
order.direction = direction
order.price = order_price
order.order_type = order_type
order.quantity = quantity
order.post_only = False
order.margin_trade = True
order.leverage = leverage
# generated a reference order id
trader.set_ref_order_id(order)
self.create_ref_oid = order.ref_order_id
self.dir = order.direction
self.op = order.price # retains the order price
self.oq = order.quantity # ordered quantity
self.tp = take_profit
self.sl = stop_loss
self.leverage = leverage
self._stats['entry-order-type'] = order.order_type
if trader.create_order(order, instrument):
self.position_id = order.position_id # might be market-id
if not self.eot and order.created_time:
self.eot = order.created_time
return True
else:
self._entry_state = StrategyTrade.STATE_REJECTED
return False
def modify_stop_loss(self, trader, instrument, stop_price):
if self.stop_oid:
# cancel the stop order and create a new one
if trader.cancel_order(self.stop_oid):
self.stop_ref_oid = None
self.stop_oid = None
else:
return False
if self.e == self.x:
# all entry qty is filled
return True
if self.e < self.x:
# something wrong but its ok
return False
if self.e > 0 and stop_price > 0.0:
# only if filled entry partially or totally
order = Order(self, instrument.market_id)
order.direction = -self.direction
order.order_type = Order.ORDER_STOP
order.reduce_only = True
order.quantity = self.e - self.x # remaining
order.stop_price = stop_price
order.leverage = self.leverage
order.margin_trade = True
trader.set_ref_order_id(order)
self.stop_ref_oid = order.ref_order_id
self._stats['stop-order-type'] = order.order_type
if trader.create_order(order):
self.stop_oid = order.order_id
self.stop_order_qty = order.quantity
self.last_sl_ot[0] = order.created_time
self.last_sl_ot[1] += 1
self.sl = stop_price
return True
else:
self.stop_ref_oid = None
self.stop_order_qty = 0.0
return False
def modify_stop_loss(self, trader, instrument, stop_price):
if self.stop_oid:
# cancel the stop order and create a new one
if trader.cancel_order(self.stop_oid, instrument):
self.stop_ref_oid = None
self.stop_oid = None
else:
return self.ERROR
if self.e - self.x > 0.0:
# only if filled entry partially or totally
order = Order(self, instrument.market_id)
order.direction = -self.direction
order.order_type = Order.ORDER_STOP
order.reduce_only = True
order.quantity = self.e - self.x # remaining
order.stop_price = stop_price
order.margin_trade = True
order.leverage = self.leverage
trader.set_ref_order_id(order)
self.stop_ref_oid = order.ref_order_id
self._stats['stop-order-type'] = order.order_type
if trader.create_order(order, instrument):
self.stop_oid = order.order_id
self.stop_order_qty = order.quantity
self.last_stop_ot[0] = order.created_time
self.last_stop_ot[1] += 1
self.sl = stop_price
return self.ACCEPTED
else:
self.stop_ref_oid = None
self.stop_order_qty = 0.0
return self.REJECTED
return self.NOTHING_TO_DO
def modify_take_profit(self, trader, instrument, limit_price):
if self.limit_oid:
# cancel the limit order and create a new one
if trader.cancel_order(self.limit_oid):
self.limit_ref_oid = None
self.limit_oid = None
self.limit_order_qty = 0.0
else:
return False
if self.e - self.x > 0.0:
# only if filled entry partially or totally
order = Order(self, instrument.market_id)
order.direction = -self.direction
order.order_type = Order.ORDER_LIMIT
order.reduce_only = True
order.quantity = self.e - self.x # remaining
order.price = limit_price
order.margin_trade = True
order.leverage = self.leverage
trader.set_ref_order_id(order)
self.limit_ref_oid = order.ref_order_id
self._stats['limit-order-type'] = order.order_type
if trader.create_order(order):
self.limit_oid = order.order_id
self.limit_order_qty = order.quantity
self.last_tp_ot[0] = order.created_time
self.last_tp_ot[1] += 1
self.tp = limit_price
return True
else:
self.limit_ref_oid = None
self.limit_order_qty = 0.0
return False
