def make__short__order(action,
qty,
limit=None,
profit_take=None,
training_stop_percent=None,
transmit=True,
parentId=None):
order = Order()
order.m_action = action
order.m_totalQuantity = qty
order.m_tif = "GTC" #All orders are GTC by default with NO TIME LIMIT to auto cancel
logger.debug('In Short Order Function')
if limit == 2:
logger.debug('In Limit is 2 section')
if action == 'BUY':
logger.debug('In Buy sections Profit Take')
order.m_lmtPrice = truncate(
float(tLow[0]) -
((float(truncate(float(tHigh[0]), 4)) -
float(truncate(float(tLow[0]), 4))) * int(RiskReward[0])), 4)
logger.debug('Limit Price is %s', order.m_lmtPrice)
logger.debug('RiskReward Ratio is %s', RiskRewardRatio)
order.m_orderType = 'LMT'
order.m_account = masteraccount
order.m_transmit = transmit
order.m_transmit = transmit
elif limit == 1:
# ENTRY A simple stop order
logger.debug('In Limit is 1 Function')
order.m_orderType = 'STP'
if action == 'BUY':
logger.debug('In Limit 1. in Buy action')
logger.debug('RiskReward Ratio is %s', RiskRewardRatio)
order.m_lmtPrice = truncate(
float(tLow[0]) -
((float(truncate(float(tHigh[0]), 4)) -
float(truncate(float(tLow[0]), 4))) * int(RiskReward[0])), 4)
stopPrice = truncate(
float(tLow[0]) -
((float(truncate(float(tHigh[0]), 4)) -
float(truncate(float(tLow[0]), 4))) * int(RiskReward[0])), 4)
logger.debug('Stop Price is %s', stopPrice)
#order.m_parentId = parentId
order.m_account = masteraccount
order.m_transmit = transmit
if action == 'SELL':
logger.debug('In Limit 1. in Sell action')
#order.m_lmtPrice = limit + int(np.around((limit*profit_take_percent)/100.0, 5)/0.00005)*0.00005
order.m_lmtPrice = float(truncate(float(tLow[0]), 4)) - 0.0005
stopPrice = float(truncate(float(tLow[0]), 4)) - 0.0005
order.m_auxPrice = stopPrice
order.m_parentId = parentId
order.m_account = masteraccount
# Important that we only send the order when all children are formed.
order.m_transmit = transmit
return order
def create_order(self, order_type, quantity, action):
"""
Create an order object (market/limit) to go long/short.
"""
order = Order()
order.m_orderType = order_type
order.m_totalQuantity = quantity
order.m_action = action
return order
def create_order(order_type, quantity, action):
order = Order()
order.m_action = action
order.m_orderType = order_type
order.m_totalQuantity = quantity
order.m_lmtPrice = price
return order
def makeStkOrder(shares, action, price):
order = Order()
order.m_minQty = shares
order.m_lmtPrice = price
order.m_orderType = 'LMT'
order.m_totalQuantity = shares
# order.m_outsideRth = True
order.m_action = str(action).upper()
return order
def makeStkOrder(shares,action):
order = Order()
order.m_minQty = shares
# order.m_lmtPrice = limit_price
order.m_orderType = 'MKT'
order.m_tif = 'OPG'
order.m_totalQuantity = shares
order.m_action = str(action).upper()
return order
def create_order(self, account, orderType, totalQuantity, action,
lmt_price=None):
order = Order()
order.m_account = account
order.m_orderType = orderType
order.m_totalQuantity = totalQuantity
order.m_action = action
if orderType == "LMT":
order.m_lmtPrice = lmt_price
return order
def create_order(order_type,quantity, action,time_in_force,price):
order = Order()
order.m_tif = time_in_force
order.m_action = action
order.m_orderType = order_type
order.m_totalQuantity = quantity
order.m_lmtPrice = price
return order
def create_order(self, action, quantity):
"""Create an Interactive Brokers order object. This specifies whether or
not we are selling or buying the asset, the quantity to exchange, and
the order type of the trade (which is assumed to be a market order).
"""
o = Order()
o.m_orderType = "MKT"
o.m_totalQuantity = quantity
o.m_action = action
return o
def create_order(order_type, quantity, action, price=None):
"""Create an Order object (Market/Limit) to go long/short.
order_type - 'MKT', 'LMT' for Market or Limit orders
quantity - Integral number of assets to order
action - 'BUY' or 'SELL'"""
if price is None:
order = Order()
order.m_orderType = order_type
order.m_totalQuantity = quantity
order.m_action = action
else:
order = Order()
order.m_orderType = order_type
order.m_totalQuantity = quantity
order.m_action = action
order.m_lmtPrice = price
return order
def _make_opt_order(self, order_id, client_id, order_dict):
"""docstring for _make_opt_contract"""
order = Order()
order.m_orderId = order_id
order.m_clientId = client_id
order.m_action = order_dict['m_action']
order.m_lmtPrice = order_dict['price']
order.m_totalQuantity = order_dict['volume']
order.m_orderType = order_dict['m_order_type']
return order
def buy(self, contract_Details, limit, stop):
self.tws.reqIds(-1)
time.sleep(0.5)
oid = self.callback.next_ValidId
parent = Order()
parent.orderId = oid
parent.m_action = "BUY"
parent.m_orderType = "MKT"
parent.m_totalQuantity = 300000
parent.m_transmit = False
print('|==========执行触发=================|')
print('|执行时期:%s|' % datetime.now())
print('|操作: BUY |')
print('|执行前总额:%s' % self.callback.account_Summary[-1][3])
print('|===================================|')
self.tws.reqIds(-1)
takeProfit = Order()
takeProfit.orderId = parent.orderId + 1
takeProfit.m_action = "SELL"
takeProfit.m_orderType = "LMT"
takeProfit.m_totalQuantity = 300000
takeProfit.m_lmtPrice = limit
takeProfit.m_parentId = oid
takeProfit.m_transmit = False
stopLoss = Order()
stopLoss.orderId = parent.orderId + 2
stopLoss.m_action = "SELL"
stopLoss.m_orderType = "STP"
#Stop trigger price
stopLoss.m_auxPrice = stop
stopLoss.m_totalQuantity = 300000
stopLoss.m_parentId = oid
stopLoss.m_transmit = True
bracketOrder = [parent, takeProfit, stopLoss]
for o in bracketOrder:
self.tws.placeOrder(o.orderId, contract_Details, o)
self.tws.reqIds(-1)
time.sleep(1)
time.sleep(2)
def make_order(qty, limit_price, action):
order = Order()
order.m_minQty = qty
order.m_lmtPrice = limit_price
order.m_orderType = 'LMT'
order.m_totalQuantity = qty
order.m_action = action
order.m_tif = 'GTC'
order.m_outsideRth = True
return order
def create_stock_order(self, quantity, is_buy, is_market_order=True):
order = Order()
order.m_totalQuantity = quantity
order.m_orderType = \
DataType.ORDER_TYPE_MARKET if is_market_order else \
DataType.ORDER_TYPE_LIMIT
order.m_action = \
DataType.ORDER_ACTION_BUY if is_buy else \
DataType.ORDER_ACTION_SELL
return order
def create_order(self, order_type, quantity, action):
"""Create an Order object (Market/Limit) to go long/short.
order_type - 'MKT', 'LMT' for Market or Limit orders
quantity - Integral number of assets to order
action - 'BUY' or 'SELL'"""
order = Order()
order.m_orderType = order_type
order.m_totalQuantity = quantity
order.m_action = action
return order
def makeOrder(action, qty, price):
newOrder = Order()
newOrder.m_action = action
newOrder.m_totalQuantity = qty
newOrder.m_orderType = 'LMT'
newOrder.m_lmtPrice = price
newOrder.m_tif = ''
newOrder.m_parentId = 0
newOrder.m_discretionaryAmt = 0
newOrder.m_transmit = True
return newOrder
def make_order(action, quantity, price=None):
# build an order object
# action :
# quantity : volume of security to transact
# price : price point of security
if price is not None:
order = Order()
order.m_orderType = 'LMT'
order.m_totalQuantity = quantity
order.m_action = action
order.m_lmtPrice = price
else:
order = Order()
order.m_ordertype = 'MKT'
order.m_totalQuantity = quantity
order.m_action = action
return order
def create_order(self, account, orderType, totalQuantity, action, lmt, transmit):
order = Order()
order.m_account = account
order.m_orderType = orderType
order.m_totalQuantity = totalQuantity
order.m_action = action
order.m_lmtPrice = lmt
# order.m_trailStopPrice=stp
order.m_transmit = transmit
return order
def create_order(order_type, quantity, action):
"Create an Order Object (Market/Limit) to go long/short"
"order type- 'MKT', 'LMT', etc - MIT, LIT, TLT, all order types we have learned "
"quantity- how many you want to buy or sell, remember than options are 1 (for each 100 shares of stocks/ multiply price by 100 of the option)"
order = Order()
order.m_orderType = order_type
order.m_totalQuantity = quantity
order.m_action = action
return order
def make_order(action, quantity):
global orderID, clientID
order = Order()
order.m_orderId = orderID
order.m_clientId = clientID
order.m_action = action
order.m_totalQuantity = quantity
order.m_orderType = "MKT"
return order
def test_handle_exec_details(self):
# Create an order and send it
contract = create_ib_futures_contract('GC', exp_month=5, exp_year=2016)
order = create_order('MKT', 1, limit_price=None)
order = Order()
order.m_action = 'BUY'
order.m_totalQuantity = 1
order.m_orderType = 'MKT'
self.ib_connection.place_order(contract, order)
time.sleep(3)
def make_orders(order_type, action, quantity, price):
order = Order()
order.m_orderType = order_type
order.m_totalQuantity = quantity
order.m_action = action
order.m_lmtPrice = price
print("----ORDER----")
print("Order Type = ", order_type)
print("Action = ", action)
print("Quantity = ", quantity)
print("Price = ", price)
return order
def create_order(self, order_type, quantity, action):
'''
Create an Order object (Market/Limit) to go Long/Short
:param order_type: 'MKT', 'LMT' for Market or Limit orders
:param quantity: integer, number of assets to order
:param action: 'BUY' or 'SELL'
'''
order = Order()
order.m_orderType = order_type
order.m_totalQuantity = quantity
order.m_action = action
return order
def createOrder(self, quantity, price=0., stop=0., tif="DAY", \
fillorkill=False, iceberg=False, transmit=True, rth=False, **kwargs):
# https://www.interactivebrokers.com/en/software/api/apiguide/java/order.htm
order = Order()
order.m_clientId = self.clientId
order.m_action = dataTypes["ORDER_ACTION_BUY"] if quantity>0 else dataTypes["ORDER_ACTION_SELL"]
order.m_totalQuantity = abs(quantity)
if "orderType" in kwargs:
order.m_orderType = kwargs["orderType"]
else:
order.m_orderType = dataTypes["ORDER_TYPE_MARKET"] if price==0 else dataTypes["ORDER_TYPE_LIMIT"]
order.m_lmtPrice = price # LMT Price
order.m_auxPrice = stop # STOP Price
order.m_tif = tif # DAY, GTC, IOC, GTD
order.m_allOrNone = int(fillorkill)
order.hidden = iceberg
order.m_transmit = int(transmit)
order.m_outsideRth = int(rth==False)
# The publicly disclosed order size for Iceberg orders
if iceberg & ("blockOrder" in kwargs):
order.m_blockOrder = kwargs["m_blockOrder"]
# The percent offset amount for relative orders.
if "percentOffset" in kwargs:
order.m_percentOffset = kwargs["percentOffset"]
# The order ID of the parent order,
# used for bracket and auto trailing stop orders.
if "parentId" in kwargs:
order.m_parentId = kwargs["parentId"]
# oca group (Order Cancels All)
# used for bracket and auto trailing stop orders.
if "ocaGroup" in kwargs:
order.m_ocaGroup = kwargs["ocaGroup"]
if "ocaType" in kwargs:
order.m_ocaType = kwargs["ocaType"]
else:
order.m_ocaType = 2 # proportionately reduced size of remaining orders
# For TRAIL order
if "trailingPercent" in kwargs:
order.m_trailingPercent = kwargs["trailingPercent"]
# For TRAILLIMIT orders only
if "trailStopPrice" in kwargs:
order.m_trailStopPrice = kwargs["trailStopPrice"]
return order
def create_order(self, order_type, quantity, action):
''' Create an Order object (Market/Limit) to go long/short.
order_type - 'MKT', 'LMT' for market or limit orders
quantity - integer number of units to order
action - 'BUY' or 'SELL'
'''
order = Order()
order.m_orderType = order_type
order.m_totalQuantity = quantity
order.m_action = action
return order
def make_order(o_Id, c_Id, action, qty, Price=None):
order = Order()
order.m_orderId = o_Id
order.m_clientId = c_Id
order.m_action = action
order.m_totalQuantity = qty
if Price == None:
order.m_orderType = "MKT"
else:
order.m_orderType = "LMT"
order.m_lmtPrice = float(Price)
return order
def make_order(action, quantity, price=None):
order = Order()
order.m_action = action
order.m_totalQuantity = quantity
if price is not None:
order.m_orderType = 'LMT'
order.m_lmtPrice = price
else:
order.m_orderType = 'MKT'
return order
def make_long_order(action,
qty,
limit=None,
profit_take=None,
training_stop_percent=None,
transmit=True,
parentId=None):
order = Order()
order.m_action = action
order.m_totalQuantity = qty[0]
logger.debug('qty is %s', qty[0])
logger.debug('qty type is %s', type(qty))
order.m_tif = "GTC" #All orders are GTC by default with NO TIME LIMIT to auto cancel
logger.debug('In Long Order Function')
logger.debug('Limit Value is %s', limit)
# ENTRY A simple stop order
order.m_orderType = 'STP'
logger.debug('In Long Order Function when Limit is 1')
logger.debug('Action is %s', action)
# Rounding is due to FX, we cannot create an order with bad price, and FX book increments at 0.00005 only!
#order.m_lmtPrice = limit - int(np.around((limit*profit_take_percent)/100.0, 5)/0.00005)*0.00005
logger.debug('In Buy action')
lmtPrice = float(
truncate((float(gap_close) +
(float(ATRentrymultiple[0]) * float(ATRVal[0]))), 2))
logger.debug('Buy Stop Limit"Limit" Price or better to buy %s', lmtPrice)
float(lmtPrice)
logger.debug('lmt price type is %s', type(lmtPrice))
order.m_lmtPrice = lmtPrice
stopPrice = float(
truncate((float(gap_close) +
(float(ATRentrymultiple[0]) * float(ATRVal[0]))), 2))
logger.debug('Buy Stop Limit"Stop" Price to fire a buy order %s',
stopPrice)
float(stopPrice)
logger.debug('stop price type is %s', type(stopPrice))
order.m_auxPrice = stopPrice
order.m_triggerMethod = 2
order.m_parentId = parentId
order.m_account = masteraccount
logger.debug('Buy Upper Limit Price %s', order.m_lmtPrice)
logger.debug('Buy Upper Limit Type %s', type(order.m_lmtPrice))
logger.debug('Stop Entry Trigger Price %s ', stopPrice)
logger.debug('Stop Entry Trigger Type %s ', type(stopPrice))
logger.debug('Parent ID %s', order.m_parentId)
logger.debug('Account is %s', order.m_account)
order.m_transmit = transmit
return order
def make__short__order(action, qty, limit = None, profit_take=None, training_stop_percent=None, transmit=True, parentId=None):
order = Order()
order.m_action = action
order.m_totalQuantity = qty
order.m_tif = "GTC" #All orders are GTC by default with NO TIME LIMIT to auto cancel
logger.debug('In Short Order Function')
logger.debug('Limit Value is %s', limit)
if limit == 2: # Profit Target
logger.debug('In Limit is 2 subfunction')
if action == 'BUY':
logger.debug('In Profit Order Subfunction')
#logger.debug('Profit Pips is: %s', ProfitPips)
logger.debug('Limit Price: %s', order.m_lmtPrice)
#logger.debug('Risk Reward Ratio is: %s', RiskRewardRatio)
order.m_lmtPrice = truncate((float(tLow[0]) - 0.0022), 4)
order.m_orderType = 'LMT'
order.m_account = masteraccount
order.m_transmit = transmit
order.m_transmit = transmit
logger.debug('transmitted order')
elif limit == 1:
logger.debug('In Limit is 1 subfunction')
# ENTRY A simple stop order
order.m_orderType = 'STP'
# if action == 'BUY':
# logger.debug('In Buy subfunction')
# #logger.debug('Profit Pips is: %s', ProfitPips)
# #logger.debug('Risk Reward Ratio is: %s', RiskRewardRatio)
# order.m_lmtPrice = (float(tLow[0]) - 0.0002)
# stopPrice = truncate((float(tLow[0]) - 0.0002),4) #Stop Order -- Entry Price
# logger.debug('STP Price: %s', stopPrice)
#
# order.m_auxPrice = stopPrice
# #order.m_parentId = parentId
# order.m_account = masteraccount
# order.m_transmit = transmit
if action == 'SELL':
logger.debug('In Sell subfunction')
#order.m_lmtPrice = limit + int(np.around((limit*profit_take_percent)/100.0, 5)/0.00005)*0.00005
order.m_lmtPrice = (float(tLow[0]) - 0.0002)
logger.debug('Limit Price: %s', order.m_lmtPrice)
stopPrice = truncate((float(tLow[0]) - 0.0002),4)
logger.debug('Stop Price: %s', stopPrice)
order.m_auxPrice = stopPrice;
order.m_parentId = parentId
order.m_account = masteraccount
# Important that we only send the order when all children are formed.
order.m_transmit = transmit
logger.debug('transmitted order')
return order
def create_order(self, order_type, quantity, action):
"""
Crea un oggetto Ordine (Market/Limit) per andare long/short.
order_type - "MKT", "LMT" per ordini a mercato o limite
quantity - Numero intero di asset dell'ordine
action - 'BUY' o 'SELL'
"""
order = Order()
order.m_orderType = order_type
order.m_totalQuantity = quantity
order.m_action = action
return order
def _make_order(self, action, price, quantity):
order = Order()
order.m_action = action
order.m_lmtPrice = price
order.m_totalQuantity = quantity
order.m_orderId = self.order_id
order.m_clientId = 0
order.m_permid = 0
order.m_auxPrice = 0
order.m_tif = 'DAY'
order.m_transmit = True
order.m_orderType = 'LMT'
return order
