def internal_send_order(self, order: Order): order_type = "Market" if order.limit_price is not None: order_type = "Limit" result = None if order.stop_price is not None: # conditional order base_side = 1 if order.amount < 0 else -1 # buy stops are triggered when price goes higher (so it is # considered lower before) result = self._execute( self.bybit.Conditional.Conditional_new( side=("Buy" if order.amount > 0 else "Sell"), symbol=self.symbol, order_type=order_type, qty=abs(order.amount), price=order.limit_price, stop_px=order.stop_price, order_link_id=order.id, base_price=order.stop_price + base_side, time_in_force="GoodTillCancel")) if result is not None: order.exchange_id = result['stop_order_id'] else: result = self._execute( self.bybit.Order.Order_newV2( side=("Buy" if order.amount > 0 else "Sell"), symbol=self.symbol, order_type=order_type, qty=abs(order.amount), price=order.limit_price, order_link_id=order.id, time_in_force="GoodTillCancel")) if result is not None: order.exchange_id = result['order_id']
def internal_send_order(self, order: Order): order_type = "Market" if order.limit_price is not None: order_type = "Limit" if order.stop_price is not None and (self.last - order.stop_price) * order.amount >= 0: order.stop_price = None # already triggered orderType = TradingBot.order_type_from_order_id(order.id) if order.stop_price is not None: # conditional order base_side = self.symbol_info.tickSize * ( 1 if order.amount < 0 else -1) # buy stops are triggered when price goes higher (so it is # considered lower before) normalizedStop = self.symbol_info.normalizePrice(order.stop_price, order.amount > 0) result = self._execute(self.bybit.LinearConditional.LinearConditional_new(side=("Buy" if order.amount > 0 else "Sell"), symbol=self.symbol, order_type=order_type, qty=strOrNone( self.symbol_info.normalizeSize( abs(order.amount))), price=strOrNone( self.symbol_info.normalizePrice( order.limit_price, order.amount < 0)), stop_px=strOrNone(normalizedStop), order_link_id=order.id, base_price=strOrNone(round( normalizedStop + base_side, self.symbol_info.pricePrecision)), time_in_force="GoodTillCancel", reduce_only= orderType != OrderType.ENTRY, close_on_trigger= orderType != OrderType.ENTRY)) if result is not None: order.exchange_id = result['stop_order_id'] else: result = self._execute(self.bybit.LinearOrder.LinearOrder_new(side=("Buy" if order.amount > 0 else "Sell"), symbol=self.symbol, order_type=order_type, qty=strOrNone( self.symbol_info.normalizeSize( abs(order.amount))), price=strOrNone( self.symbol_info.normalizePrice(order.limit_price, order.amount < 0)), order_link_id=order.id, time_in_force="GoodTillCancel", reduce_only= orderType != OrderType.ENTRY, close_on_trigger= orderType != OrderType.ENTRY)) if result is not None: order.exchange_id = result['order_id']
def orderDictToOrder(o): sideMulti = 1 if o["side"] == "Buy" else -1 ext = o['ext_fields'] if 'ext_fields' in o.keys() else None stop = o['trigger_price'] if 'trigger_price' in o.keys() else None if stop is None: stop = o['stop_px'] if 'stop_px' in o.keys() else None if stop is None and ext is not None and 'trigger_price' in ext.keys(): stop = ext['trigger_price'] order = Order( orderId=o["order_link_id"], stop=float(stop) if stop is not None else None, limit=float(o["price"]) if o['order_type'] == 'Limit' else None, amount=float(o["qty"] * sideMulti)) if "order_status" in o.keys(): order.stop_triggered = o[ "order_status"] == "New" and stop is not None order.active = o['order_status'] == 'New' or o[ 'order_status'] == 'Untriggered' elif "stop_order_status" in o.keys(): order.stop_triggered = o["stop_order_status"] == 'Triggered' or o[ 'stop_order_status'] == 'Active' order.active = o['stop_order_status'] == 'Triggered' or o[ 'stop_order_status'] == 'Untriggered' exec = o['cum_exec_qty'] if 'cum_exec_qty' in o.keys() else 0 order.executed_amount = float(exec) * sideMulti order.tstamp = parse_utc_timestamp(o['timestamp'] if 'timestamp' in o.keys() else o['created_at']) order.exchange_id = o["order_id"] if 'order_id' in o.keys( ) else o['stop_order_id'] order.executed_price = None if 'cum_exec_value' in o.keys() and 'cum_exec_qty' in o.keys( ) and float(o['cum_exec_value']) != 0: order.executed_price = o['cum_exec_qty'] / float( o["cum_exec_value"]) # cause of inverse return order
def internal_send_order(self, order: Order): order_type = "Market" if order.stop_price is not None and ( self.last - order.stop_price) * order.amount >= 0: order.stop_price = None # already triggered if order.limit_price is not None: if order.stop_price is not None: order_type = "StopLimit" else: order_type = "Limit" elif order.stop_price is not None: order_type = "Stop" if (order.stop_price >= self.last and order.amount < 0) or \ (order.stop_price <= self.last and order.amount > 0): # prevent error of "would trigger immediatly" order_type = "Market" params = dict(symbol=self.symbol, clOrdID=order.id, side="Buy" if order.amount > 0 else "Sell", orderQty=abs(order.amount), ordType=order_type, stopPxEp=self.scale_price(order.stop_price), priceEp=self.scale_price(order.limit_price), triggerType="ByLastPrice" if order.stop_price is not None else None) result = self.client.place_order(params) if "data" in result.keys() and "orderID" in result["data"]["orderID"]: order.exchange_id = result["data"]["orderID"]
def internal_send_order(self, order: Order): if order.limit_price is not None: order.limit_price = round(order.limit_price, self.symbol_object.pricePrecision) if order.stop_price is not None: order.stop_price = round(order.stop_price, self.symbol_object.pricePrecision) order_type = OrderType.STOP else: order_type = OrderType.LIMIT elif order.stop_price is not None: order.stop_price = round(order.stop_price, self.symbol_object.pricePrecision) order_type = OrderType.STOP_MARKET else: order_type = OrderType.MARKET order.amount = round(order.amount, self.symbol_object.quantityPrecision) quantityFormat = "{:." + str(self.symbol_object.quantityPrecision) + "f}" priceFormat = "{:." + str(self.symbol_object.pricePrecision) + "f}" # yes have to send the price and quantity in as str (although it wants float) cause otherwise it converts it # inernally and that sometimes f**k up the precision (0.023 -> 0.02299999999) resultOrder: binance_f.model.Order = self.client.post_order( symbol=self.symbol, side=OrderSide.BUY if order.amount > 0 else OrderSide.SELL, ordertype=order_type, timeInForce=TimeInForce.GTC if order_type in [OrderType.LIMIT, OrderType.STOP] else None, quantity=quantityFormat.format(abs(order.amount)), price=priceFormat.format(order.limit_price) if order.limit_price is not None else None, stopPrice=priceFormat.format(order.stop_price) if order.stop_price is not None else None, newClientOrderId=order.id) order.exchange_id = resultOrder.orderId
def internal_send_order(self, order: Order): order_type = "Market" if order.limit_price is not None: order_type = "Limit" if order.stop_price is not None and ( self.last - order.stop_price) * order.amount >= 0: order.stop_price = None # already triggered if order.stop_price is not None: # conditional order base_side = self.symbol_info.tickSize * ( 1 if order.amount < 0 else -1 ) # buy stops are triggered when price goes higher (so it is # considered lower before) normalizedStop = self.symbol_info.normalizePrice( order.stop_price, order.amount > 0) result = self.handle_result( lambda: self.pybit.place_conditional_order( side=("Buy" if order.amount > 0 else "Sell"), symbol=self.symbol, order_type=order_type, qty=strOrNone(int(abs(order.amount))), price=strOrNone( self.symbol_info.normalizePrice( order.limit_price, order.amount < 0)), stop_px=strOrNone(normalizedStop), order_link_id=order.id, base_price=strOrNone( round(normalizedStop + base_side, self.symbol_info. pricePrecision)), time_in_force="GoodTillCancel")) if result is not None: order.exchange_id = result['stop_order_id'] else: result = self.handle_result(lambda: self.pybit.place_active_order( side=("Buy" if order.amount > 0 else "Sell"), symbol=self.symbol, order_type=order_type, qty=strOrNone(int(abs(order.amount))), price=strOrNone( self.symbol_info.normalizePrice(order.limit_price, order. amount < 0)), order_link_id=order.id, time_in_force="GoodTillCancel")) if result is not None: order.exchange_id = result['order_id']
def orderDictToOrder(self, o) -> Order: """ { "bizError": 0, "orderID": "9cb95282-7840-42d6-9768-ab8901385a67", "clOrdID": "7eaa9987-928c-652e-cc6a-82fc35641706", "symbol": "BTCUSD", "side": "Buy", "actionTimeNs": 1580533011677666800, "transactTimeNs": 1580533011677666800, "orderType": null, "priceEp": 84000000, "price": 8400, "orderQty": 1, "displayQty": 1, "timeInForce": null, "reduceOnly": false, "stopPxEp": 0, "closedPnlEv": 0, "closedPnl": 0, "closedSize": 0, "cumQty": 0, "cumValueEv": 0, "cumValue": 0, "leavesQty": 0, "leavesValueEv": 0, "leavesValue": 0, "stopPx": 0, "stopDirection": "Falling", "ordStatus": "Untriggered" }, """ sideMult = -1 if o['side'] == Client.SIDE_SELL else 1 stop = self.noneIfZero( o['stopPx']) if 'stopPx' in o else self.noneIfZero( o['stopPxEp'], True) price = self.noneIfZero( o['price']) if 'price' in o else self.noneIfZero( o['priceEp'], True) order = Order(orderId=o['clOrdID'], stop=stop, limit=price, amount=o['orderQty'] * sideMult) order.exchange_id = o['orderID'] order.tstamp = o['actionTimeNs'] / 1000000000 order.active = o['ordStatus'] in [ Client.ORDER_STATUS_NEW, Client.ORDER_STATUS_UNTRIGGERED, Client.ORDER_STATUS_TRIGGERED ] order.executed_amount = o['cumQty'] * sideMult val = o['cumValue'] if 'cumValue' in o else o[ 'cumValueEv'] / self.valueScale order.executed_price = o['cumQty'] / val if val != 0 else 0 if order.executed_amount != 0: order.execution_tstamp = o['transactTimeNs'] / 1000000000 order.stop_triggered = order.stop_price is not None and o[ 'ordStatus'] == Client.ORDER_STATUS_TRIGGERED return order
def convertOrder(self, apiOrder: binance_f.model.Order) -> Order: direction = 1 if apiOrder.side == OrderSide.BUY else -1 order = Order(orderId=apiOrder.clientOrderId, amount=apiOrder.origQty * direction, limit=apiOrder.price, stop=apiOrder.stopPrice) order.executed_amount = apiOrder.executedQty * direction order.executed_price = apiOrder.avgPrice order.active = apiOrder.status in ["NEW", "PARTIALLY_FILLED"] order.exchange_id = apiOrder.orderId return order
def get_orders(self) -> List[Order]: mexOrders = self.bitmex.open_orders() result: List[Order] = [] for o in mexOrders: sideMulti = 1 if o["side"] == "Buy" else -1 order = Order(orderId=o["clOrdID"], stop=o["stopPx"], limit=o["price"], amount=o["orderQty"] * sideMulti) order.stop_triggered = o["triggered"] == "StopOrderTriggered" order.executed_amount = (o["cumQty"]) * sideMulti order.tstamp = parse_utc_timestamp(o['timestamp']) order.execution_tstamp = order.tstamp order.active = o['ordStatus'] == 'New' order.exchange_id = o["orderID"] order.executed_price = o["avgPx"] result.append(order) return result
def internal_send_order(self, order: Order): if order.limit_price is not None: if order.stop_price is not None: order_type = OrderType.STOP else: order_type = OrderType.LIMIT else: order_type = OrderType.STOP_MARKET resultOrder: binance_f.model.Order = self.client.post_order( symbol=self.symbol, side=OrderSide.BUY if order.amount > 0 else OrderSide.SELL, ordertype=order_type, timeInForce=TimeInForce.GTC, quantity=abs(order.amount), price=order.limit_price, stopPrice=order.stop_price, newClientOrderId=order.id) order.exchange_id = resultOrder.orderId