def onBars(self, broker_, bars):
self.__volumeUsed = {}
self.__volumeLeft = {}
# Reset volumes.
for bar in bars.getBars():
instrument = bar.getInstrument()
self.__volumeUsed[instrument] = 0.0
if self.__volumeLimit is not None:
# For TRADE bars we can use all the volume available.
if bar.getFrequency() == pyalgotrade.bar.Frequency.TRADE:
volumeLeft = bar.getVolume()
else:
volumeLeft = self.__instrumentTraits.round(
bar.getVolume() * self.__volumeLimit,
bar.getInstrument().symbol,
roundDown=True)
self.__volumeLeft[instrument] = volumeLeft
def fillStopOrder(self, broker_, order, bar):
assert bar.getInstrument() == order.getInstrument()
ret = None
# First check if the stop price was hit so the market order becomes active.
stopPriceTrigger = None
if not order.getStopHit():
stopPriceTrigger = get_stop_price_trigger(
order.getAction(), order.getStopPrice(),
broker_.getUseAdjustedValues(), bar)
order.setStopHit(stopPriceTrigger is not None)
# If the stop price was hit, check if we can fill the market order.
if order.getStopHit():
# Calculate the fill size for the order.
fillSize = self.__calculateFillSize(broker_, order, bar)
if fillSize == 0:
broker_.getLogger().debug(
"Not enough volume to fill %s stop order [%s] for %s share/s"
% (order.getInstrument(), order.getId(),
order.getRemaining()))
return None
# If we just hit the stop price we'll use it as the fill price.
# For the remaining bars we'll use the open price.
if stopPriceTrigger is not None:
price = stopPriceTrigger
else:
price = bar.getOpen(broker_.getUseAdjustedValues())
assert price is not None
# Don't slip prices when the bar represents the trading activity of a single trade.
if bar.getFrequency() != pyalgotrade.bar.Frequency.TRADE:
price = self.__slippageModel.calculatePrice(
order, price, fillSize, bar,
self.__volumeUsed[bar.getInstrument()])
ret = FillInfo(price, fillSize)
return ret
def fillMarketOrder(self, broker_, order, bar):
assert bar.getInstrument() == order.getInstrument()
# Calculate the fill size for the order.
fillSize = self.__calculateFillSize(broker_, order, bar)
if fillSize == 0:
broker_.getLogger().debug(
"Not enough volume to fill %s market order [%s] for %s share/s"
% (order.getInstrument(), order.getId(), order.getRemaining()))
return None
# Unless its a fill-on-close order, use the open price.
if order.getFillOnClose():
price = bar.getClose(broker_.getUseAdjustedValues())
else:
price = bar.getOpen(broker_.getUseAdjustedValues())
assert price is not None
# Don't slip prices when the bar represents the trading activity of a single trade.
if bar.getFrequency() != pyalgotrade.bar.Frequency.TRADE:
price = self.__slippageModel.calculatePrice(
order, price, fillSize, bar,
self.__volumeUsed[bar.getInstrument()])
return FillInfo(price, fillSize)
def __calculateFillSize(self, broker_, order, bar):
ret = 0
# If self.__volumeLimit is None then allow all the order to get filled.
if self.__volumeLimit is not None:
maxVolume = self.__instrumentTraits.round(
self.__volumeLeft.get(bar.getInstrument(), 0),
order.getInstrument().symbol)
else:
maxVolume = order.getRemaining()
if not order.getAllOrNone():
ret = min(maxVolume, order.getRemaining())
elif order.getRemaining() <= maxVolume:
ret = order.getRemaining()
return ret
def fillLimitOrder(self, broker_, order, bar):
assert bar.getInstrument() == order.getInstrument()
# Calculate the fill size for the order.
fillSize = self.__calculateFillSize(broker_, order, bar)
if fillSize == 0:
broker_.getLogger().debug(
"Not enough volume to fill %s limit order [%s] for %s share/s"
% (order.getInstrument(), order.getId(), order.getRemaining()))
return None
ret = None
price = get_limit_price_trigger(order.getAction(),
order.getLimitPrice(),
broker_.getUseAdjustedValues(), bar)
if price is not None:
ret = FillInfo(price, fillSize)
return ret
def fillStopLimitOrder(self, broker_, order, bar):
assert bar.getInstrument() == order.getInstrument()
ret = None
# First check if the stop price was hit so the limit order becomes active.
stopPriceTrigger = None
if not order.getStopHit():
stopPriceTrigger = get_stop_price_trigger(
order.getAction(), order.getStopPrice(),
broker_.getUseAdjustedValues(), bar)
order.setStopHit(stopPriceTrigger is not None)
# If the stop price was hit, check if we can fill the limit order.
if order.getStopHit():
# Calculate the fill size for the order.
fillSize = self.__calculateFillSize(broker_, order, bar)
if fillSize == 0:
broker_.getLogger().debug(
"Not enough volume to fill %s stop limit order [%s] for %s share/s"
% (order.getInstrument(), order.getId(),
order.getRemaining()))
return None
price = get_limit_price_trigger(order.getAction(),
order.getLimitPrice(),
broker_.getUseAdjustedValues(),
bar)
if price is not None:
# If we just hit the stop price, we need to make additional checks.
if stopPriceTrigger is not None:
if order.isBuy():
# If the stop price triggered is lower than the limit price, then use that one.
# Else use the limit price.
price = min(stopPriceTrigger, order.getLimitPrice())
else:
# If the stop price triggered is greater than the limit price, then use that one.
# Else use the limit price.
price = max(stopPriceTrigger, order.getLimitPrice())
ret = FillInfo(price, fillSize)
return ret