def FillClosePriceParams(baseOrder: Order, maxPctVol: float, riskAversion: str, startTime: str, forceCompletion: bool, monetaryValue: float): baseOrder.AlgoStrategy = "ClosePx" baseOrder.AlgoParams = [] baseOrder.AlgoParams.append(TagValue("maxPctVol", maxPctVol)) baseOrder.AlgoParams.append(TagValue("riskAversion", riskAversion)) baseOrder.AlgoParams.append(TagValue("startTime", startTime)) baseOrder.AlgoParams.append(TagValue("forceCompletion", int(forceCompletion))) baseOrder.AlgoParams.append(TagValue("monetaryValue", monetaryValue))
def FillTimeVariantPctVolParams(baseOrder: Order, startPctVol: float, endPctVol: float, startTime: str, endTime: str, noTakeLiq: bool, monetaryValue: float): baseOrder.AlgoStrategy = "PctVolTm" baseOrder.AlgoParams = [] baseOrder.AlgoParams.append(TagValue("startPctVol", startPctVol)) baseOrder.AlgoParams.append(TagValue("endPctVol", endPctVol)) baseOrder.AlgoParams.append(TagValue("startTime", startTime)) baseOrder.AlgoParams.append(TagValue("endTime", endTime)) baseOrder.AlgoParams.append(TagValue("noTakeLiq", int(noTakeLiq))) baseOrder.AlgoParams.append(TagValue("monetaryValue", monetaryValue))
def FillPriceVariantPctVolParams(baseOrder: Order, pctVol: float, deltaPctVol: float, minPctVol4Px: float, maxPctVol4Px: float, startTime: str, endTime: str, noTakeLiq: bool, monetaryValue: float): baseOrder.AlgoStrategy = "PctVolPx" baseOrder.AlgoParams = [] baseOrder.AlgoParams.append(TagValue("pctVol", pctVol)) baseOrder.AlgoParams.append(TagValue("deltaPctVol", deltaPctVol)) baseOrder.AlgoParams.append(TagValue("minPctVol4Px", minPctVol4Px)) baseOrder.AlgoParams.append(TagValue("maxPctVol4Px", maxPctVol4Px)) baseOrder.AlgoParams.append(TagValue("startTime", startTime)) baseOrder.AlgoParams.append(TagValue("endTime", endTime)) baseOrder.AlgoParams.append(TagValue("noTakeLiq", int(noTakeLiq))) baseOrder.AlgoParams.append(TagValue("monetaryValue", monetaryValue))