def __init__(self,
strategy: StrategyBase,
aggregation_method: HangingOrdersAggregationType = None,
hanging_orders_cancel_pct=None,
orders: Dict[str, HangingOrder] = None,
trading_pair: str = None):
self.strategy: StrategyBase = strategy
self.aggregation_method: HangingOrdersAggregationType = aggregation_method or HangingOrdersAggregationType.NO_AGGREGATION
self._hanging_orders_cancel_pct: Decimal = hanging_orders_cancel_pct or Decimal(
"0.1")
self.trading_pair: str = trading_pair or self.strategy.trading_pair
self.orders_being_renewed: Set[HangingOrder] = set()
self.current_created_pairs_of_orders: List[CreatedPairOfOrders] = list(
)
self.original_orders: Set[LimitOrder] = orders or set()
self.strategy_current_hanging_orders: Set[HangingOrder] = set()
self._cancel_order_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(
self._did_cancel_order)
self._complete_buy_order_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(
self._did_complete_buy_order)
self._complete_sell_order_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(
self._did_complete_sell_order)
self._event_pairs: List[Tuple[MarketEvent,
SourceInfoEventForwarder]] = [
(MarketEvent.OrderCancelled,
self._cancel_order_forwarder),
(MarketEvent.BuyOrderCompleted,
self._complete_buy_order_forwarder),
(MarketEvent.SellOrderCompleted,
self._complete_sell_order_forwarder)
]
def __init__(self,
sql: SQLConnectionManager,
markets: List[ConnectorBase],
config_file_path: str,
strategy_name: str):
if threading.current_thread() != threading.main_thread():
raise EnvironmentError("MarketsRecorded can only be initialized from the main thread.")
self._ev_loop: asyncio.AbstractEventLoop = asyncio.get_event_loop()
self._sql_manager: SQLConnectionManager = sql
self._markets: List[ConnectorBase] = markets
self._config_file_path: str = config_file_path
self._strategy_name: str = strategy_name
# Internal collection of trade fills in connector will be used for remote/local history reconciliation
for market in self._markets:
trade_fills = self.get_trades_for_config(self._config_file_path, 2000)
market.add_trade_fills_from_market_recorder({TradeFillOrderDetails(tf.market,
tf.exchange_trade_id,
tf.symbol) for tf in trade_fills})
exchange_order_ids = self.get_orders_for_config_and_market(self._config_file_path, market, True, 2000)
market.add_exchange_order_ids_from_market_recorder({o.exchange_order_id: o.id for o in exchange_order_ids})
self._create_order_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(self._did_create_order)
self._fill_order_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(self._did_fill_order)
self._cancel_order_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(self._did_cancel_order)
self._fail_order_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(self._did_fail_order)
self._complete_order_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(self._did_complete_order)
self._expire_order_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(self._did_expire_order)
self._funding_payment_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(
self._did_complete_funding_payment)
self._intiate_range_position_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(
self._did_initiate_range_position)
self._update_range_position_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(
self._did_update_range_position)
self._event_pairs: List[Tuple[MarketEvent, SourceInfoEventForwarder]] = [
(MarketEvent.BuyOrderCreated, self._create_order_forwarder),
(MarketEvent.SellOrderCreated, self._create_order_forwarder),
(MarketEvent.OrderFilled, self._fill_order_forwarder),
(MarketEvent.OrderCancelled, self._cancel_order_forwarder),
(MarketEvent.OrderFailure, self._fail_order_forwarder),
(MarketEvent.BuyOrderCompleted, self._complete_order_forwarder),
(MarketEvent.SellOrderCompleted, self._complete_order_forwarder),
(MarketEvent.OrderExpired, self._expire_order_forwarder),
(MarketEvent.FundingPaymentCompleted, self._funding_payment_forwarder),
(MarketEvent.RangePositionInitiated, self._intiate_range_position_forwarder),
(MarketEvent.RangePositionUpdated, self._update_range_position_forwarder),
]
def __init__(self,
sql: SQLConnectionManager,
markets: List[ConnectorBase],
config_file_path: str,
strategy_name: str):
if threading.current_thread() != threading.main_thread():
raise EnvironmentError("MarketsRecorded can only be initialized from the main thread.")
self._ev_loop: asyncio.AbstractEventLoop = asyncio.get_event_loop()
self._sql: SQLConnectionManager = sql
self._markets: List[ConnectorBase] = markets
self._config_file_path: str = config_file_path
self._strategy_name: str = strategy_name
self._create_order_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(self._did_create_order)
self._fill_order_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(self._did_fill_order)
self._cancel_order_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(self._did_cancel_order)
self._fail_order_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(self._did_fail_order)
self._complete_order_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(self._did_complete_order)
self._expire_order_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(self._did_expire_order)
self._event_pairs: List[Tuple[MarketEvent, SourceInfoEventForwarder]] = [
(MarketEvent.BuyOrderCreated, self._create_order_forwarder),
(MarketEvent.SellOrderCreated, self._create_order_forwarder),
(MarketEvent.OrderFilled, self._fill_order_forwarder),
(MarketEvent.OrderCancelled, self._cancel_order_forwarder),
(MarketEvent.OrderFailure, self._fail_order_forwarder),
(MarketEvent.BuyOrderCompleted, self._complete_order_forwarder),
(MarketEvent.SellOrderCompleted, self._complete_order_forwarder),
(MarketEvent.OrderExpired, self._expire_order_forwarder)
]
def __init__(self,
sql: SQLConnectionManager,
markets: List[MarketBase],
config_file_path: str,
strategy_name: str):
self._sql: SQLConnectionManager = sql
self._markets: List[MarketBase] = markets
self._config_file_path: str = config_file_path
self._strategy_name: str = strategy_name
self._create_order_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(self._did_create_order)
self._fill_order_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(self._did_fill_order)
self._cancel_order_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(self._did_cancel_order)
self._fail_order_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(self._did_fail_order)
self._complete_order_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(self._did_complete_order)
self._expire_order_forwarder: SourceInfoEventForwarder = SourceInfoEventForwarder(self._did_expire_order)
self._event_pairs: List[Tuple[MarketEvent, SourceInfoEventForwarder]] = [
(MarketEvent.BuyOrderCreated, self._create_order_forwarder),
(MarketEvent.SellOrderCreated, self._create_order_forwarder),
(MarketEvent.OrderFilled, self._fill_order_forwarder),
(MarketEvent.OrderCancelled, self._cancel_order_forwarder),
(MarketEvent.OrderFailure, self._fail_order_forwarder),
(MarketEvent.BuyOrderCompleted, self._complete_order_forwarder),
(MarketEvent.SellOrderCompleted, self._complete_order_forwarder),
(MarketEvent.OrderExpired, self._expire_order_forwarder)
]