def createStopLimitOrder(self, action, instrument, stopPrice, limitPrice, quantity):
#IB doesn't support buy to cover
if action == broker.Order.Action.BUY_TO_COVER:
action = broker.Order.Action.BUY
instrumentTraits = self.getInstrumentTraits(instrument)
return broker.StopLimitOrder(action, instrument, stopPrice,limitPrice, quantity, instrumentTraits)
def createStopLimitOrder(self,
action,
instrument,
stopPrice,
limitPrice,
quantity,
extra={}):
instrumentTraits = self.getInstrumentTraits(instrument)
quantity = instrumentTraits.roundQuantity(quantity)
return broker.StopLimitOrder(action,
instrument,
stopPrice,
limitPrice,
quantity,
instrumentTraits,
extra=extra)
def build_order_from_open_order(openOrder, instrumentTraits):
#order_id = openOrder.order.m_permId #we use the TWS id for the order rather than our id - not sure this is a good idea but its apparently consistent across sessions - https://www.interactivebrokers.com/en/software/api/apiguide/java/order.htm
order_id = openOrder.order.m_orderId
#doesn't seem to be a useable date/time for orders so going to use current time
order_time = dt.as_utc(datetime.datetime.now())
order_type = openOrder.order.m_orderType #stop, limit, stoplimit, market
order_action = openOrder.order.m_action
order_amount = openOrder.order.m_totalQuantity
order_limprice = openOrder.order.m_lmtPrice
order_auxprice = openOrder.order.m_auxPrice
contract_symbol = openOrder.contract.m_symbol
if order_action == 'BUY':
action = broker.Order.Action.BUY
elif order_action == 'SELL':
action = broker.Order.Action.SELL
elif order_action == 'SSHORT':
action = broker.Order.Action.SELL_SHORT
else:
raise Exception("Invalid order action")
if order_type == 'LMT': #Limit
ret = broker.LimitOrder(action, contract_symbol, order_limprice,
order_amount, instrumentTraits)
elif order_type == 'MKT': #Market
ret = broker.MarketOrder(action, contract_symbol, order_amount, False,
instrumentTraits)
elif order_type == 'MOC': #Market On Close
ret = broker.MarketOrder(action, contract_symbol, order_amount, True,
instrumentTraits)
elif order_type == 'STP': #Stop order
ret = broker.StopOrder(action, contract_symbol, order_auxprice,
order_amount, instrumentTraits)
elif order_type == 'STP LMT':
ret = broker.StopLimitOrder(action, contract_symbol, order_auxprice,
order_limprice, order_amount,
instrumentTraits)
else:
#Totally possible if you use pyalgotrade and TWS to manage the same account which is not really a good idea
raise Exception("Unsupported order type - %s" % order_type)
ret.setSubmitted(order_id, order_time)
ret.setState(broker.Order.State.ACCEPTED)
return ret
def build_order_from_open_order(openOrder,
instrumentTraits,
state=broker.Order.State.ACCEPTED):
if openOrder.isBuy():
if 'Close' in openOrder.getData().get(
'execInst', '') or openOrder.getExtra().get('close'):
action = broker.Order.Action.BUY_TO_COVER
else:
action = broker.Order.Action.BUY
elif openOrder.isSell():
if 'Close' in openOrder.getData().get(
'execInst', '') or openOrder.getExtra().get('close'):
action = broker.Order.Action.SELL
else:
action = broker.Order.Action.SELL_SHORT
else:
raise Exception("Invalid order side")
if openOrder.getType() in [
'Market', 'MarketIfTouched', 'MarketWithLeftOverAsLimit'
]:
ret = broker.MarketOrder(action, common.btc_symbol,
openOrder.getAmount(), True, instrumentTraits,
openOrder.getExtra())
elif openOrder.getType() in ['Limit', 'LimitIfTouched']:
ret = broker.LimitOrder(action,
common.btc_symbol, openOrder.getPrice(),
openOrder.getAmount(), instrumentTraits,
openOrder.getExtra())
elif openOrder.getType() == 'StopLimit':
ret = broker.StopLimitOrder(action, common.btc_symbol,
openOrder.getStopPrice(),
openOrder.getPrice(),
openOrder.getAmount(), instrumentTraits,
openOrder.getExtra())
elif openOrder.getType() == 'Stop':
ret = broker.StopOrder(action, common.btc_symbol,
openOrder.getStopPrice(), openOrder.getAmount(),
instrumentTraits, openOrder.getExtra())
else:
raise Exception("Invalid order type")
ret.setSubmitted(openOrder.getId(), openOrder.getDateTime())
ret.setState(state)
return ret