def cancel(self, session, order):
if not order:
# Generate an Order Cancel Reject - Order not found
return
# let's find the order position
self_side = []
if order.is_buy:
self_side = self.buy_side
elif order.is_sell:
self_side = self.sell_side
order_found = False
order_pos = bisect.bisect_left(self_side, order)
for x in xrange( order_pos, len(self_side)):
tmp_order = self_side[x]
if tmp_order.id == order.id:
order_found = True
break
if tmp_order.price != order.price:
break
order_pos += 1
if not order_found:
# Generate an Order Cancel Reject - Order not found
return
# update the order
order.cancel_qty( order.leaves_qty )
session.commit()
# remove the order from the book
self_side.pop( order_pos )
# Generate a cancel report
cancel_rpt = ExecutionReport( order, '1' if order.is_buy else '2' )
execution_report_signal(order.user_id, cancel_rpt )
# market data
md_entry_type = '0' if order.is_buy else '1'
MdSubscriptionHelper.publish_cancel_order( self.symbol, md_entry_type, order_pos+1 )
def cancel(self, session, order):
if not order:
# Generate an Order Cancel Reject - Order not found
return
# let's find the order position
self_side = []
if order.is_buy:
self_side = self.buy_side
elif order.is_sell:
self_side = self.sell_side
order_found = False
order_pos = bisect.bisect_left(self_side, order)
for x in xrange(order_pos, len(self_side)):
tmp_order = self_side[x]
if tmp_order.id == order.id:
order_found = True
break
if tmp_order.price != order.price:
break
order_pos += 1
if not order_found:
# Generate an Order Cancel Reject - Order not found
return
# update the order
order.cancel_qty(order.leaves_qty)
session.commit()
# remove the order from the book
self_side.pop(order_pos)
# Generate a cancel report
cancel_rpt = ExecutionReport(order, '1' if order.is_buy else '2')
execution_report_signal(order.user_id, cancel_rpt)
# market data
md_entry_type = '0' if order.is_buy else '1'
MdSubscriptionHelper.publish_cancel_order(self.symbol, md_entry_type,
order_pos + 1)
def match(self, session, order):
other_side = []
self_side = []
if order.is_buy:
self_side = self.buy_side
other_side = self.sell_side
elif order.is_sell:
other_side = self.buy_side
self_side = self.sell_side
execution_reports = []
trades_to_publish = []
execution_side = '1' if order.is_buy else '2'
rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, rpt_order ) )
is_last_match_a_partial_execution_on_counter_order = False
execution_counter = 0
for execution_counter in xrange(0, len(other_side) + 1):
if execution_counter == len(other_side):
break # workaround to make the execution_counter be counted until the last order.
counter_order = other_side[execution_counter]
if not order.has_match(counter_order):
break
# check for self execution
if order.account_id == counter_order.account_id:
# self execution.... let's cancel the counter order
counter_order.cancel_qty( counter_order.leaves_qty )
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, cancel_rpt_counter_order ) )
# go to the next order
is_last_match_a_partial_execution_on_counter_order = False
continue
# Get the desired executed price and qty, by matching agains the counter_order
executed_qty = order.match( counter_order, order.leaves_qty)
executed_price = counter_order.price
# let's get the available qty to execute on the order side
available_qty_on_order_side = order.get_available_qty_to_execute('1' if order.is_buy else '2',
executed_qty,
executed_price )
qty_to_cancel_from_order = 0
if available_qty_on_order_side < executed_qty:
# ops ... looks like the order.user didn't have enough to execute the order
executed_qty = available_qty_on_order_side
# cancel the remaining qty
qty_to_cancel_from_order = order.leaves_qty - executed_qty
# check if the order got fully cancelled
if not executed_qty:
order.cancel_qty( qty_to_cancel_from_order )
cancel_rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, cancel_rpt_order ) )
break
# let's get the available qty to execute on the counter side
available_qty_on_counter_side = counter_order.get_available_qty_to_execute('1' if counter_order.is_buy else '2',
executed_qty,
executed_price )
qty_to_cancel_from_counter_order = 0
if available_qty_on_counter_side < executed_qty:
if qty_to_cancel_from_order:
qty_to_cancel_from_order -= executed_qty - available_qty_on_order_side
# ops ... looks like the counter_order.user didn't have enough to execute the order
executed_qty = available_qty_on_counter_side
# cancel the remaining qty
qty_to_cancel_from_counter_order = counter_order.leaves_qty - executed_qty
# check if the counter order was fully cancelled due the lack
if not executed_qty:
# just cancel the counter order, and go to the next order.
counter_order.cancel_qty( qty_to_cancel_from_counter_order )
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, cancel_rpt_counter_order ) )
# go to the next order
is_last_match_a_partial_execution_on_counter_order = False
continue
# lets perform the execution
if executed_qty:
order.execute( executed_qty, executed_price )
counter_order.execute(executed_qty, executed_price )
# create a Trade record
buyer_username = order.user.username
seller_username = counter_order.user.username
if order.is_sell:
tmp_username = buyer_username
buyer_username = seller_username
seller_username = tmp_username
trade = Trade( id = str(order.id) + '.' + str(counter_order.id),
order_id = order.id,
counter_order_id = counter_order.id,
buyer_username = buyer_username,
seller_username = seller_username,
side = order.side,
symbol = self.symbol,
size = executed_qty,
price = executed_price,
created = datetime.datetime.now())
session.add(trade)
trades_to_publish.append(trade)
rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, rpt_order ) )
def generate_email_subject_and_body( order, trade ):
formatted_btc = u'฿ {:,.8f}'.format(order.order_qty / 1.e8)
formatted_btc = formatted_btc.replace(',', '#')
formatted_btc = formatted_btc.replace('.', ',')
formatted_btc = formatted_btc.replace('#', '.')
formatted_brl = u'R$ {:,.2f}'.format(order.order_price / 1.e5)
formatted_brl = formatted_brl.replace(',', '#')
formatted_brl = formatted_brl.replace('.', ',')
formatted_brl = formatted_brl.replace('#', '.')
formatted_total_price = u'R$ {:,.2f}'.format( order.order_qty/1.e8 * order.order_price / 1.e5)
formatted_total_price = formatted_total_price.replace(',', '#')
formatted_total_price = formatted_total_price.replace('.', ',')
formatted_total_price = formatted_total_price.replace('#', '.')
email_subject = u"Sua oferta número #%s de %s à %s foi executada!" % (order.id, formatted_btc, formatted_brl)
email_body = u"""Olá %s
Houve nova atividade em sua conta Bitex.
Detalhes:
Número da Ordem: %d
Número da execução: %s
Ordem Executada em: %s (UTC)
Quantidade: %s
Preço: %s
Total %s"""% ( order.user.username, order.id, trade.id, trade.created, formatted_btc, formatted_brl, formatted_total_price )
return email_subject, email_body
UserEmail.create( session = session,
user_id = order.user_id,
subject = generate_email_subject_and_body(order, trade)[0],
body = generate_email_subject_and_body(order, trade)[1] )
rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, rpt_counter_order ) )
UserEmail.create( session = session,
user_id = counter_order.user_id,
subject = generate_email_subject_and_body(counter_order, trade)[0],
body = generate_email_subject_and_body(counter_order, trade)[1] )
execution_reports.append( ( counter_order.user_id, rpt_counter_order ) )
#
# let's do the partial cancels
#
# Cancel the qty from the current order
if qty_to_cancel_from_order:
order.cancel_qty(qty_to_cancel_from_order)
# generate a cancel report
cancel_rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, cancel_rpt_order ) )
if qty_to_cancel_from_counter_order:
counter_order.cancel_qty(qty_to_cancel_from_counter_order)
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, cancel_rpt_counter_order ) )
if counter_order.has_leaves_qty:
is_last_match_a_partial_execution_on_counter_order = True
md_entry_type = '0' if order.is_buy else '1'
counter_md_entry_type = '1' if order.is_buy else '0'
# let's include the order in the book if the order is not fully executed.
if order.has_leaves_qty:
insert_pos = bisect.bisect_right(self_side, order)
self_side.insert( insert_pos, order )
MdSubscriptionHelper.publish_new_order( self.symbol, md_entry_type , insert_pos, order)
# don't send the first execution report (NEW) if the order was fully cancelled
if order.is_cancelled and order.cum_qty == 0:
execution_reports.pop(0)
# Publish all execution reports
for user_id, execution_report in execution_reports:
execution_report_signal( user_id, execution_report )
# Publish Market Data for the counter order
if execution_counter:
if is_last_match_a_partial_execution_on_counter_order:
del other_side[0: execution_counter-1]
MdSubscriptionHelper.publish_executions( self.symbol,
counter_md_entry_type,
execution_counter - 1,
other_side[0] )
else:
del other_side[0: execution_counter]
MdSubscriptionHelper.publish_executions( self.symbol,
counter_md_entry_type,
execution_counter )
def match(self, session, order):
other_side = []
self_side = []
if order.is_buy:
self_side = self.buy_side
other_side = self.sell_side
elif order.is_sell:
other_side = self.buy_side
self_side = self.sell_side
execution_reports = []
trades_to_publish = []
execution_side = '1' if order.is_buy else '2'
rpt_order = ExecutionReport(order, execution_side)
execution_reports.append((order.user_id, rpt_order))
is_last_match_a_partial_execution_on_counter_order = False
execution_counter = 0
for execution_counter in xrange(0, len(other_side) + 1):
if execution_counter == len(other_side):
break # workaround to make the execution_counter be counted until the last order.
counter_order = other_side[execution_counter]
if not order.has_match(counter_order):
break
# check for self execution
if order.account_id == counter_order.account_id:
# self execution.... let's cancel the counter order
counter_order.cancel_qty(counter_order.leaves_qty)
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport(
counter_order, execution_side)
execution_reports.append(
(counter_order.user_id, cancel_rpt_counter_order))
# go to the next order
is_last_match_a_partial_execution_on_counter_order = False
continue
# Get the desired executed price and qty, by matching agains the counter_order
executed_qty = order.match(counter_order, order.leaves_qty)
executed_price = counter_order.price
# let's get the available qty to execute on the order side
available_qty_on_order_side = order.get_available_qty_to_execute(
'1' if order.is_buy else '2', executed_qty, executed_price)
qty_to_cancel_from_order = 0
if available_qty_on_order_side < executed_qty:
# ops ... looks like the order.user didn't have enough to execute the order
executed_qty = available_qty_on_order_side
# cancel the remaining qty
qty_to_cancel_from_order = order.leaves_qty - executed_qty
# check if the order got fully cancelled
if not executed_qty:
order.cancel_qty(qty_to_cancel_from_order)
cancel_rpt_order = ExecutionReport(order, execution_side)
execution_reports.append((order.user_id, cancel_rpt_order))
break
# let's get the available qty to execute on the counter side
available_qty_on_counter_side = counter_order.get_available_qty_to_execute(
'1' if counter_order.is_buy else '2', executed_qty,
executed_price)
qty_to_cancel_from_counter_order = 0
if available_qty_on_counter_side < executed_qty:
if qty_to_cancel_from_order:
qty_to_cancel_from_order -= executed_qty - available_qty_on_order_side
# ops ... looks like the counter_order.user didn't have enough to execute the order
executed_qty = available_qty_on_counter_side
# cancel the remaining qty
qty_to_cancel_from_counter_order = counter_order.leaves_qty - executed_qty
# check if the counter order was fully cancelled due the lack
if not executed_qty:
# just cancel the counter order, and go to the next order.
counter_order.cancel_qty(qty_to_cancel_from_counter_order)
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport(
counter_order, execution_side)
execution_reports.append(
(counter_order.user_id, cancel_rpt_counter_order))
# go to the next order
is_last_match_a_partial_execution_on_counter_order = False
continue
# lets perform the execution
if executed_qty:
order.execute(executed_qty, executed_price)
counter_order.execute(executed_qty, executed_price)
# create a Trade record
buyer_username = order.user.username
seller_username = counter_order.user.username
if order.is_sell:
tmp_username = buyer_username
buyer_username = seller_username
seller_username = tmp_username
trade = Trade(id=str(order.id) + '.' + str(counter_order.id),
order_id=order.id,
counter_order_id=counter_order.id,
buyer_username=buyer_username,
seller_username=seller_username,
side=order.side,
symbol=self.symbol,
size=executed_qty,
price=executed_price,
created=datetime.datetime.now())
session.add(trade)
trades_to_publish.append(trade)
rpt_order = ExecutionReport(order, execution_side)
execution_reports.append((order.user_id, rpt_order))
def generate_email_subject_and_body(order, trade):
formatted_btc = u'฿ {:,.8f}'.format(order.order_qty /
1.e8)
formatted_btc = formatted_btc.replace(',', '#')
formatted_btc = formatted_btc.replace('.', ',')
formatted_btc = formatted_btc.replace('#', '.')
formatted_brl = u'R$ {:,.2f}'.format(order.order_price /
1.e5)
formatted_brl = formatted_brl.replace(',', '#')
formatted_brl = formatted_brl.replace('.', ',')
formatted_brl = formatted_brl.replace('#', '.')
formatted_total_price = u'R$ {:,.2f}'.format(
order.order_qty / 1.e8 * order.order_price / 1.e5)
formatted_total_price = formatted_total_price.replace(
',', '#')
formatted_total_price = formatted_total_price.replace(
'.', ',')
formatted_total_price = formatted_total_price.replace(
'#', '.')
email_subject = u"Sua oferta número #%s de %s à %s foi executada!" % (
order.id, formatted_btc, formatted_brl)
email_body = u"""Olá %s
Houve nova atividade em sua conta Bitex.
Detalhes:
Número da Ordem: %d
Número da execução: %s
Ordem Executada em: %s (UTC)
Quantidade: %s
Preço: %s
Total %s""" % (order.user.username, order.id, trade.id, trade.created,
formatted_btc, formatted_brl, formatted_total_price)
return email_subject, email_body
UserEmail.create(
session=session,
user_id=order.user_id,
subject=generate_email_subject_and_body(order, trade)[0],
body=generate_email_subject_and_body(order, trade)[1])
rpt_counter_order = ExecutionReport(counter_order,
execution_side)
execution_reports.append(
(counter_order.user_id, rpt_counter_order))
UserEmail.create(session=session,
user_id=counter_order.user_id,
subject=generate_email_subject_and_body(
counter_order, trade)[0],
body=generate_email_subject_and_body(
counter_order, trade)[1])
execution_reports.append(
(counter_order.user_id, rpt_counter_order))
#
# let's do the partial cancels
#
# Cancel the qty from the current order
if qty_to_cancel_from_order:
order.cancel_qty(qty_to_cancel_from_order)
# generate a cancel report
cancel_rpt_order = ExecutionReport(order, execution_side)
execution_reports.append((order.user_id, cancel_rpt_order))
if qty_to_cancel_from_counter_order:
counter_order.cancel_qty(qty_to_cancel_from_counter_order)
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport(
counter_order, execution_side)
execution_reports.append(
(counter_order.user_id, cancel_rpt_counter_order))
if counter_order.has_leaves_qty:
is_last_match_a_partial_execution_on_counter_order = True
md_entry_type = '0' if order.is_buy else '1'
counter_md_entry_type = '1' if order.is_buy else '0'
# let's include the order in the book if the order is not fully executed.
if order.has_leaves_qty:
insert_pos = bisect.bisect_right(self_side, order)
self_side.insert(insert_pos, order)
MdSubscriptionHelper.publish_new_order(self.symbol, md_entry_type,
insert_pos, order)
# don't send the first execution report (NEW) if the order was fully cancelled
if order.is_cancelled and order.cum_qty == 0:
execution_reports.pop(0)
# Publish all execution reports
for user_id, execution_report in execution_reports:
execution_report_signal(user_id, execution_report)
# Publish Market Data for the counter order
if execution_counter:
if is_last_match_a_partial_execution_on_counter_order:
del other_side[0:execution_counter - 1]
MdSubscriptionHelper.publish_executions(
self.symbol, counter_md_entry_type, execution_counter - 1,
other_side[0])
else:
del other_side[0:execution_counter]
MdSubscriptionHelper.publish_executions(
self.symbol, counter_md_entry_type, execution_counter)
