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))
