def market_order_wait_till_execution3(cls, side, total_size):
size = []
price = []
max_wait = 10
num = 0
bid = TickData.get_bid_price()
ask = TickData.get_ask_price()
try:
cls.num_private_access += 1
order_id = cls.bf.create_order(
symbol='BTC/JPY',
type='market',
side=side,
amount=total_size,
params={'product_code': 'FX_BTC_JPY'})
except Exception as e:
print('market order failed! ' + str(e))
LogMaster.add_log('market order failed! ' + str(e), None)
LineNotification.send_error('market order failed! ' + str(e))
cls.check_exception(e)
return -1, 0, 0, ''
order_id = order_id['info']['child_order_acceptance_id']
print('waiting for market order execution...')
start = time.time()
while sum(size) < total_size:
exe_data = TickData.get_exe_data()[-100:]
if time.time() - start > max_wait:
exe_data = cls.get_executions()
exe_data = TickData.get_exe_data()[-100:]
for exec in exe_data:
if exec[side + "_child_order_acceptance_id"] == order_id:
size.append(exec["size"])
price.append(exec["price"])
if time.time() - start > max_wait:
print(
'can not complete Trade - check_and_wait_till_all_execution!'
)
LogMaster.add_log(
'can not complete Trade - check_and_wait_till_all_execution!',
None)
LineNotification.send_error(
'can not complete Trade - check_and_wait_till_all_execution!'
)
return -1, sum(size), round(
sum(price[i] * size[i]
for i in range(len(price))) / sum(size)), order_id
num += 1
ave_p = round(
sum(price[i] * size[i] for i in range(len(price))) / sum(size))
print('market order has been successfully executed.' + 'side=' + side +
', ave price=' + str(ave_p) + ', size=' +
str(round(sum(size), 2)))
sp = ask - ave_p if side == 'buy' else ave_p - bid
print('market order spread loss/profit = ' + str(sp))
cls.spread_loss_profit += sp
cls.spread_loss_profit_log.append(sp)
return 0, round(sum(size), 2), ave_p, order_id
def __check_execution_ws(order_id):
exec_size = []
exec_price = []
exe_data = TickData.get_exe_data()[-30:]
for exec in exe_data:
if exec[side +
'_child_order_acceptance_id'] == order_id and exec[
'id'] not in checked_exec_id:
exec_size.append(exec['size'])
exec_price.append(exec['price'])
checked_exec_id.append(exec['id'])
return exec_size, exec_price
def check_pt_order_exeution(self):
executions = None
if datetime.now().second >=57:
executions = Trade.get_executions()
else:
executions = TickData.get_exe_data()[-30:]
if self.pt_order_id != '':
for i in range(len(executions)):
if executions[i]['child_order_acceptance_id'] == self.pt_order_id and executions[i]['id'] not in self.pt_checked_exec_id:
side = executions[i]['side'].ilower()
price = executions[i]['price']
size = executions[i]['size']
self.pt_checked_exec_id.append(executions[i]['id'])
self.executions_hist_log.append(executions[i])
self.calc_pl(executions[i])
self.update_holding(side, price, size)
self.pt_outstanding_size -= size
if self.pt_outstanding_size <= 0:
print('pt order has been fully executed!')
self.initialize_pt_order()
def __calc_price_move():
executions = TickData.get_exe_data()[-3:]
change = executions[-1]['price'] - executions[0]['price']
return change
