def cancel(self):
""" If we are asked to be cancelled, we mark ourselves as cancelled
and the make the real order also cancelled
"""
Base.cancel(self)
if self._current:
self._book.process(Cancel(self._current))
def __init__(self, side, price, volume):
""" Initializes order with price and volume
price is a limit price on which order can be traded
if there are no suitable orders, the limit order remains in the order book
"""
Base.__init__(self, side, volume)
self._price = price
def __init__(self, traders = [], strategy = None, PnL = 0, label = None, timeseries = []):
Base.__init__(self, PnL, timeseries)
self._traders = []
self.traders = traders
self.strategy = strategy
self._label = label if label else getLabel(self)
self.label = self._label
self._alias = [self._label]
def __init__(self, orderBook, strategy, label=None, amount = 0, PnL=0, timeseries = []):
Base.__init__(self, PnL, timeseries)
self._orderBook = orderBook
self._amount = amount
self.strategy = strategy
self._label = label
self.label = self._label
self._alias = [self._label]
def onOrderMatched(self, order, price, volume):
""" Called when a trader's 'order' is traded against 'other' order
at given 'price' and 'volume'
Trader's amount and P&L is updated and listeners are notified about the trade
"""
dVolume = volume if order.side == Side.Buy else -volume
self._amount += dVolume
Base.onOrderMatched(self, order, price, volume)
def __init__(self, side, price, volume):
""" Initializes order with 'price' and 'volume'
'limitOrderFactory' tells how to create limit orders
"""
Base.__init__(self, side, volume)
# we create a limit order
self._order = LimitFactory(side)(price, volume)
# translate its events to our listeners
self._order.on_matched += self.on_matched.fire
def __init__(self, orderBook, strategy, label=None, amount = 0, PnL=0, timeseries = []):
Base.__init__(self, PnL, timeseries)
self._orderBook = orderBook
self._amount = amount
self._strategy = strategy
self._subscription = event.subscribe(strategy.on_order_created, _(self).send, self)
self._label = label
self.label = self._label
self._alias = [self._label]
def __init__(self, order, delay, sched):
""" Initializes order with 'price' and 'volume'
'limitOrderFactory' tells how to create limit orders
"""
Base.__init__(self, order.side, order.volume)
self._delay = delay
# we create a limit order
self._order = order
# translate its events to our listeners
self._order.on_matched += self.on_matched.fire
self._scheduler = sched
def __init__(self, volumeLimit, orderFactory, *args):
""" Initializes iceberg order
volumeLimit -- maximal volume for order that can be sent
orderFactory -- factory to create real orders: *args -> Order
*args -- parameters to be passed to real orders
"""
self._args = unpack(args)
# we pretend that we are an order initially having given volume
Base.__init__(self, None, self._args._volume)
self._volumeLimit = volumeLimit
self._orderFactory = orderFactory
self._current = None
self._side = None
def __init__(self, side, volume):
""" Initializes order with volume to trade
"""
Base.__init__(self, side, volume)
def __init__(self, side, orderFactoryT, volume):
Base.__init__(self, side, volume)
self._factory = orderFactoryT(side)
self._current = None
def send(self, order):
Base.send(self, self._orderBook, order)
def send(self, order, unused = None):
Base.send(self, self._orderBook, order)
def copyTo(self, dst):
Base.copyTo(self, dst)
dst._price = self._price
