def updateAction(self, action, level, state, orderbookIndex=None, force_execution=False):
if force_execution:
runtime = state.getT()
ot = OrderType.LIMIT_T_MARKET
else:
runtime = self.determineRuntime(state.getT())
ot = OrderType.LIMIT
if orderbookIndex is not None:
orderbookState = self.orderbook.getState(orderbookIndex)
action.setOrderbookState(orderbookState)
action.setOrderbookIndex(orderbookIndex)
if runtime <= 0 or level is None:
price = None
ot = OrderType.MARKET
else:
price = action.getOrderbookState().getPriceAtLevel(self.side, level)
order = Order(
orderType=ot,
orderSide=self.side,
cty=state.getI(),
price=price
)
action.setState(state)
action.setOrder(order)
return action
def createAction(self, level, state, orderbookIndex=None, force_execution=False):
# Determines whether to run and force execution of given t, or if
# segmentation of t into multiple runtimes is allowed.
if force_execution:
runtime = state.getT()
ot = OrderType.LIMIT_T_MARKET
else:
runtime = self.determineRuntime(state.getT())
ot = OrderType.LIMIT
if orderbookIndex is None:
orderbookState, orderbookIndex = self.getRandomOrderbookState()
else:
orderbookState = self.orderbook.getState(orderbookIndex)
if runtime <= 0.0 or level is None:
price = None
ot = OrderType.MARKET
else:
price = orderbookState.getPriceAtLevel(self.side, level)
order = Order(
orderType=ot,
orderSide=self.side,
cty=state.getI(),
price=price
)
action = Action(a=level, runtime=runtime)
action.setState(state)
action.setOrder(order)
action.setOrderbookState(orderbookState)
action.setOrderbookIndex(orderbookIndex)
action.setReferencePrice(orderbookState.getBestAsk())
return action
def _update_execution(self, execution, a):
runtime = self._determine_runtime(self.actionState.getT())
orderbookState = self.orderbook.getState(self.orderbookIndex)
if runtime <= 0.0 or a is None:
price = None
ot = OrderType.MARKET
else:
price = execution.getOrderbookState().getPriceAtLevel(self.side, a)
ot = OrderType.LIMIT
order = Order(orderType=ot,
orderSide=self.side,
cty=self.actionState.getI(),
price=price)
execution.setRuntime(runtime)
execution.setState(self.actionState)
execution.setOrder(order)
execution.setOrderbookState(orderbookState)
execution.setOrderbookIndex(self.orderbookIndex)
return execution
def _create_execution(self, a):
runtime = self._determine_runtime(self.actionState.getT())
orderbookState = self.orderbook.getState(self.orderbookIndex)
if runtime <= 0.0 or a is None:
price = None
ot = OrderType.MARKET
else:
price = orderbookState.getPriceAtLevel(self.side, a)
ot = OrderType.LIMIT
order = Order(orderType=ot,
orderSide=self.side,
cty=self.actionState.getI(),
price=price)
execution = Action(a=a, runtime=runtime)
execution.setState(self.actionState)
execution.setOrder(order)
execution.setOrderbookState(orderbookState)
execution.setOrderbookIndex(self.orderbookIndex)
execution.setReferencePrice(orderbookState.getBestAsk())
return execution