def SendTrade(self, _price_, _int_price_, _size_requested_, _buysell_):
#self.Dump()
#print('SendTrade Called')
#print _price_, _int_price_, _size_requested_, _buysell_
#exit()
print('Send'),
if (_size_requested_ <= 0):
print 'SendTrade: _size_requested_ <= 0'
return
order_ = BaseOrder()
order_.security_name_ = self.shortcode_
order_.buysell_ = _buysell_
order_.price_ = _price_
order_.int_price_ = _int_price_
order_.size_requested_ = _size_requested_
order_.size_remaining_ = _size_requested_
order_.order_status_ = 'Conf' # In original order_manager_, this would have been 'None' -> 'Seqd' -> 'Conf',
#we assume that once an order is sent to the exchange, it will always get confirmed, also we assume delay to be zero!!
order_.client_assigned_order_sequence_ = self.client_assigned_order_sequence_
self.client_assigned_order_sequence_ += 1
# since we will have only one client, so caos and saos will be same (so we don't need the sequenced thingy!)
if (_buysell_ == 'B'): # Buy
t_bid_index_ = self.GetBidIndex(_int_price_)
#self.sum_bid_unconfirmed_[t_bid_index_] += _size_requested_
#self.AdjustTopBottomUnconfirmedBidIndexes(t_bid_index_)
#self.unsequenced_bids_.append(order_)
#self.num_unconfirmed_orders_ += 1
self.bid_order_vec_[t_bid_index_].append(order_)
order_.server_assigned_order_sequence_ = order_.client_assigned_order_sequence_ # hack
self.AdjustTopBottomOrderVecBidIndexes(t_bid_index_)
self.sum_bid_confirmed_[t_bid_index_] += order_.size_requested_
self.AdjustTopBottomConfirmedBidIndexes(t_bid_index_)
self.sum_bid_sizes_ += _size_requested_
else:
t_ask_index_ = self.GetAskIndex(_int_price_)
# self.sum_ask_unconfirmed_[t_ask_index_] += _size_requested_
# self.AdjustTopBottomUnconfirmedAskIndexes(t_ask_index_)
# self.unsequenced_bids_.append(order_)
# self.num_unconfirmed_orders_ += 1
self.ask_order_vec_[t_ask_index_].append(order_)
order_.server_assigned_order_sequence_ = order_.client_assigned_order_sequence_ # hack
self.AdjustTopBottomOrderVecAskIndexes(t_ask_index_)
self.sum_ask_confirmed_[t_ask_index_] += order_.size_requested_
self.AdjustTopBottomConfirmedAskIndexes(t_ask_index_)
self.sum_ask_sizes_ += _size_requested_
order_.dump()
#self.Dump()
self.base_trader_.SendTrade(order_)
self.total_size_placed_ += _size_requested_
self.send_order_count_ += 1
def SendOrderExch(self, _server_assigned_client_id_, _security_name_,
_buysell_, _price_, _size_requested_, _int_price_,
_client_assigned_order_sequence_):
#print 'SendOrderExch'
order_ = BaseOrder()
order_.security_name_ = _security_name_
order_.buysell_ = _buysell_
order_.price_ = _price_
order_.size_remaining_ = _size_requested_
order_.int_price_ = _int_price_
order_.order_status_ = 'Conf'
order_.size_requested_ = _size_requested_ # Check
order_.num_events_seen_ = 0
order_.client_assigned_order_sequence_ = _client_assigned_order_sequence_
order_.server_assigned_order_sequence_ = self.server_assigned_order_sequence_
order_.server_assigned_client_id_ = _server_assigned_client_id_
self.server_assigned_order_sequence_ += 1
# Not keeping masked_from_market_data_asks_map_ and alone_above_best_market
if (order_.buysell_ == 'B'):
order_.queue_size_behind_ = 0
order_.queue_size_ahead_ = 0
if (order_.int_price_ >=
self.dep_market_view_.bestask_int_price()):
order_.int_price_ = self.dep_market_view_.bestask_int_price()
order_.price_ = self.dep_market_view_.bestask_price()
if (self.dep_market_view_.bestask_size() >=
order_.size_remaining()):
size_executed_ = order_.ExecuteRemaining()
self.client_position_map_[
_server_assigned_client_id_] += size_executed_
#self.global_position_to_send_map_[_server_assigned_client_id_] += size_executed_
self.BroadcastExecNotification(_server_assigned_client_id_,
order_)
print('executed')
else:
size_executed_ = order_.MatchPartial(
self.dep_market_view_.bestask_size())
self.client_position_map_[
_server_assigned_client_id_] += size_executed_
#self.global_position_to_send_map_[_server_assigned_client_id_] += size_executed_
self.BroadcastExecNotification(_server_assigned_client_id_,
order_)
if (not order_.int_price_
in self.intpx_to_bid_order_vec_.keys()):
self.intpx_to_bid_order_vec_[order_.int_price_] = []
self.intpx_to_bid_order_vec_[order_.int_price_].append(
order_)
print('liquidity')
else:
#print 'Adding Buy Liquidity order'
if (not order_.int_price_
in self.intpx_to_bid_order_vec_.keys()):
self.intpx_to_bid_order_vec_[order_.int_price_] = []
self.intpx_to_bid_order_vec_[order_.int_price_].append(order_)
print('liquidity')
else:
order_.queue_size_behind_ = 0
order_.queue_size_ahead_ = 0
if (order_.int_price_ <=
self.dep_market_view_.bestbid_int_price()):
order_.int_price_ = self.dep_market_view_.bestbid_int_price()
order_.price_ = self.dep_market_view_.bestbid_price()
if ((self.dep_market_view_.bestbid_size()) >=
order_.size_remaining()):
size_executed = order_.ExecuteRemaining()
self.client_position_map_[
_server_assigned_client_id_] -= size_executed
#self.global_position_to_send_map_[_server_assigned_client_id_] += size_executed
self.BroadcastExecNotification(_server_assigned_client_id_,
order_)
print('executed')
else:
size_executed_ = order_.MatchPartial(
self.dep_market_view.bestbid_size())
self.client_position_map_[
_server_assigned_client_id_] -= size_executed_
#self.global_position_to_send_map_[_server_assigned_client_id_] += size_executed_
self.BroadcastExecNotification(_server_assigned_client_id_,
order_)
if (not order_.int_price_
in self.intpx_to_ask_order_vec_.keys()):
self.intpx_to_ask_order_vec_[order_.int_price_] = []
self.intpx_to_ask_order_vec_[order_.int_price_].append(
order_)
print('liquidity')
else:
if (not order_.int_price_
in self.intpx_to_ask_order_vec_.keys()):
self.intpx_to_ask_order_vec_[order_.int_price_] = []
self.intpx_to_ask_order_vec_[order_.int_price_].append(order_)
print('liquidity')
def SendOrderExch(
self,
_server_assigned_client_id_,
_security_name_,
_buysell_,
_price_,
_size_requested_,
_int_price_,
_client_assigned_order_sequence_,
):
# print 'SendOrderExch'
order_ = BaseOrder()
order_.security_name_ = _security_name_
order_.buysell_ = _buysell_
order_.price_ = _price_
order_.size_remaining_ = _size_requested_
order_.int_price_ = _int_price_
order_.order_status_ = "Conf"
order_.size_requested_ = _size_requested_ # Check
order_.num_events_seen_ = 0
order_.client_assigned_order_sequence_ = _client_assigned_order_sequence_
order_.server_assigned_order_sequence_ = self.server_assigned_order_sequence_
order_.server_assigned_client_id_ = _server_assigned_client_id_
self.server_assigned_order_sequence_ += 1
# Not keeping masked_from_market_data_asks_map_ and alone_above_best_market
if order_.buysell_ == "B":
order_.queue_size_behind_ = 0
order_.queue_size_ahead_ = 0
if order_.int_price_ >= self.dep_market_view_.bestask_int_price():
order_.int_price_ = self.dep_market_view_.bestask_int_price()
order_.price_ = self.dep_market_view_.bestask_price()
if self.dep_market_view_.bestask_size() >= order_.size_remaining():
size_executed_ = order_.ExecuteRemaining()
self.client_position_map_[_server_assigned_client_id_] += size_executed_
# self.global_position_to_send_map_[_server_assigned_client_id_] += size_executed_
self.BroadcastExecNotification(_server_assigned_client_id_, order_)
print ("executed")
else:
size_executed_ = order_.MatchPartial(self.dep_market_view_.bestask_size())
self.client_position_map_[_server_assigned_client_id_] += size_executed_
# self.global_position_to_send_map_[_server_assigned_client_id_] += size_executed_
self.BroadcastExecNotification(_server_assigned_client_id_, order_)
if not order_.int_price_ in self.intpx_to_bid_order_vec_.keys():
self.intpx_to_bid_order_vec_[order_.int_price_] = []
self.intpx_to_bid_order_vec_[order_.int_price_].append(order_)
print ("liquidity")
else:
# print 'Adding Buy Liquidity order'
if not order_.int_price_ in self.intpx_to_bid_order_vec_.keys():
self.intpx_to_bid_order_vec_[order_.int_price_] = []
self.intpx_to_bid_order_vec_[order_.int_price_].append(order_)
print ("liquidity")
else:
order_.queue_size_behind_ = 0
order_.queue_size_ahead_ = 0
if order_.int_price_ <= self.dep_market_view_.bestbid_int_price():
order_.int_price_ = self.dep_market_view_.bestbid_int_price()
order_.price_ = self.dep_market_view_.bestbid_price()
if (self.dep_market_view_.bestbid_size()) >= order_.size_remaining():
size_executed = order_.ExecuteRemaining()
self.client_position_map_[_server_assigned_client_id_] -= size_executed
# self.global_position_to_send_map_[_server_assigned_client_id_] += size_executed
self.BroadcastExecNotification(_server_assigned_client_id_, order_)
print ("executed")
else:
size_executed_ = order_.MatchPartial(self.dep_market_view.bestbid_size())
self.client_position_map_[_server_assigned_client_id_] -= size_executed_
# self.global_position_to_send_map_[_server_assigned_client_id_] += size_executed_
self.BroadcastExecNotification(_server_assigned_client_id_, order_)
if not order_.int_price_ in self.intpx_to_ask_order_vec_.keys():
self.intpx_to_ask_order_vec_[order_.int_price_] = []
self.intpx_to_ask_order_vec_[order_.int_price_].append(order_)
print ("liquidity")
else:
if not order_.int_price_ in self.intpx_to_ask_order_vec_.keys():
self.intpx_to_ask_order_vec_[order_.int_price_] = []
self.intpx_to_ask_order_vec_[order_.int_price_].append(order_)
print ("liquidity")
