def get_qty(self, new_ord_req, market_data, config):
if config.partial_fill:
if is_buy(new_ord_req):
return min(market_data.ask_size, new_ord_req.qty)
elif is_sell(new_ord_req):
return min(market_data.bid_size, new_ord_req.qty)
return new_ord_req.qty
def process_w_bar(self, new_ord_req, bar, qty, new_order=False):
self._init_order_trailing_stop(new_ord_req)
trailing_stop_exec_price = self.__trailing_stop_exec_price[
new_ord_req.cl_id][new_ord_req.cl_ord_id]
if is_buy(new_ord_req):
trailing_stop_exec_price = min(trailing_stop_exec_price,
bar.low + new_ord_req.stop_price)
self.__trailing_stop_exec_price[new_ord_req.cl_id][
new_ord_req.cl_ord_id] = trailing_stop_exec_price
if bar.high >= trailing_stop_exec_price:
fill_price = trailing_stop_exec_price
if self.__slippage:
fill_price = self.__slippage.calc_price_w_bar(
new_ord_req, fill_price, qty, bar)
return FillInfo(qty, fill_price)
elif is_sell(new_ord_req):
trailing_stop_exec_price = max(trailing_stop_exec_price,
bar.high - new_ord_req.stop_price)
self.__trailing_stop_exec_price[new_ord_req.cl_id][
new_ord_req.cl_ord_id] = trailing_stop_exec_price
if bar.low <= trailing_stop_exec_price:
fill_price = trailing_stop_exec_price
if self.__slippage:
fill_price = self.__slippage.calc_price_w_bar(
new_ord_req, fill_price, qty, bar)
return FillInfo(qty, fill_price)
return None
def calc_price(self, new_ord_req, price, qty, avail_qty):
vol_share = float(qty) / float(avail_qty)
impacted_price = vol_share**2 * self.price_impact
if is_buy(new_ord_req):
return price * (1 + impacted_price)
else:
return price * (1 - impacted_price)
def _init_order_trailing_stop(self, new_ord_req):
trailing_stop_exec_price = self.__trailing_stop_exec_price[
new_ord_req.cl_id].get(new_ord_req.cl_ord_id, 0)
if trailing_stop_exec_price == 0:
if is_buy(new_ord_req):
self.__trailing_stop_exec_price[new_ord_req.cl_id][
new_ord_req.cl_ord_id] = sys.float_info.max
elif is_sell(new_ord_req):
self.__trailing_stop_exec_price[new_ord_req.cl_id][
new_ord_req.cl_ord_id] = sys.float_info.min
def process_w_price_qty(self, new_ord_req, price, qty):
stop_limit_ready = self.__stop_limit_ready[new_ord_req.cl_id].get(
new_ord_req.cl_ord_id, False)
if is_buy(new_ord_req):
if price >= new_ord_req.stop_price:
self.__stop_limit_ready[new_ord_req.cl_id][
new_ord_req.cl_ord_id] = True
return FillInfo(qty, price)
elif is_sell(new_ord_req):
if price <= new_ord_req.stop_price:
self.__stop_limit_ready[new_ord_req.cl_id][
new_ord_req.cl_ord_id] = True
return FillInfo(qty, price)
return None
def process_w_bar(self, new_ord_req, bar, qty, new_order=False):
stop_limit_ready = self.__stop_limit_ready[new_ord_req.cl_id].get(
new_ord_req.cl_ord_id, False)
if is_buy(new_ord_req):
if not stop_limit_ready and bar.high >= new_ord_req.stop_price:
self.__stop_limit_ready[new_ord_req.cl_id][
new_ord_req.cl_ord_id] = True
elif stop_limit_ready and bar.low <= new_ord_req.limit_price:
return FillInfo(qty, new_ord_req.limit_price)
elif is_sell(new_ord_req):
if not stop_limit_ready and bar.low <= new_ord_req.stop_price:
self.__stop_limit_ready[new_ord_req.cl_id][
new_ord_req.cl_ord_id] = True
elif stop_limit_ready and bar.high >= new_ord_req.limit_price:
return FillInfo(qty, new_ord_req.limit_price)
return None
def process_w_price_qty(self, new_ord_req, price, qty):
self._init_order_trailing_stop(new_ord_req)
trailing_stop_exec_price = self.__trailing_stop_exec_price[
new_ord_req.cl_id][new_ord_req.cl_ord_id]
if is_buy(new_ord_req):
trailing_stop_exec_price = min(trailing_stop_exec_price,
price + new_ord_req.stop_price)
self.__trailing_stop_exec_price[new_ord_req.cl_id][
new_ord_req.cl_ord_id] = trailing_stop_exec_price
if price >= trailing_stop_exec_price:
return FillInfo(qty, trailing_stop_exec_price)
elif is_sell(new_ord_req):
trailing_stop_exec_price = max(trailing_stop_exec_price,
price - new_ord_req.stop_price)
self.__trailing_stop_exec_price[new_ord_req.cl_id][
new_ord_req.cl_ord_id] = trailing_stop_exec_price
if price <= trailing_stop_exec_price:
return FillInfo(qty, trailing_stop_exec_price)
return None
def process_w_bar(self, new_ord_req, bar, qty, new_order=False):
stop_limit_ready = self.__stop_limit_ready[new_ord_req.cl_id].get(
new_ord_req.cl_ord_id, False)
if is_buy(new_ord_req):
if bar.high >= new_ord_req.stop_price:
self.__stop_limit_ready[new_ord_req.cl_id][
new_ord_req.cl_ord_id] = True
fill_price = new_ord_req.stop_price
if self.__slippage:
fill_price = self.__slippage.calc_price_w_bar(
new_ord_req, fill_price, qty, bar)
return FillInfo(qty, fill_price)
elif is_sell(new_ord_req):
if bar.low <= new_ord_req.stop_price:
self.__stop_limit_ready[new_ord_req.cl_id][
new_ord_req.cl_ord_id] = True
fill_price = new_ord_req.stop_price
if self.__slippage:
fill_price = self.__slippage.calc_price_w_bar(
new_ord_req, fill_price, qty, bar)
return FillInfo(qty, fill_price)
return None
def process_w_price_qty(self, new_ord_req, price, qty):
if is_buy(new_ord_req) and price <= new_ord_req.limit_price:
return FillInfo(qty, new_ord_req.limit_price)
elif is_sell(new_ord_req) and price >= new_ord_req.limit_price:
return FillInfo(qty, new_ord_req.limit_price)
return None
def process_w_bar(self, new_ord_req, bar, qty, new_order=False):
if is_buy(new_ord_req) and bar.low <= new_ord_req.limit_price:
return FillInfo(qty, new_ord_req.limit_price)
elif is_sell(new_ord_req) and bar.high >= new_ord_req.limit_price:
return FillInfo(qty, new_ord_req.limit_price)
return None
def calc_price_w_quote(self, new_ord_req, price, qty, quote):
if is_buy(new_ord_req):
return self.calc_price(new_ord_req, price, qty, quote.bid_size)
else:
return self.calc_price(new_ord_req, price, qty, quote.ask_size)
def get_price(self, new_ord_req, market_data, config, new_order=False):
if is_buy(new_ord_req) and market_data.ask > 0:
return market_data.ask
elif is_sell(new_ord_req) and market_data.bid > 0:
return market_data.bid
return 0.0
