def orderBook(self, subscriptions: List[Instrument]):
'''fetch level 3 order book for each Instrument in our subscriptions'''
for sub in subscriptions:
# fetch the order book
# order book is of form:
# {'bids': [[price, volume, id]],
# 'asks': [[price, volume, id]],
# 'sequence': <some positive integer>}
ob = self._orderBook(sub.brokerId)
# set the last sequence number for when we
# connect to websocket later
self.seqnum[sub] = ob['sequence'] # type: ignore
# generate an open limit order for each bid
for (bid, qty, id) in ob['bids']:
o = Order(float(qty),
float(bid),
Side.BUY,
sub,
self.exchange,
order_type=OrderType.LIMIT)
yield Event(type=EventType.OPEN, target=o)
# generate an open limit order for each ask
for (bid, qty, id) in ob['asks']:
o = Order(float(qty),
float(bid),
Side.SELL,
sub,
self.exchange,
order_type=OrderType.LIMIT)
yield Event(type=EventType.OPEN, target=o)
async def onTrade(self, event: Event) -> None:
'''Called whenever a `Trade` event is received'''
trade: Trade = event.target # type: ignore
# no current orders, no past trades
if not self.orders(trade.instrument) and not self.trades(
trade.instrument):
req = Order(side=Side.BUY,
price=trade.price,
volume=math.ceil(1000 / trade.price),
instrument=trade.instrument,
order_type=Order.Types.MARKET,
exchange=trade.exchange)
print('requesting buy : {}'.format(req))
await self.newOrder(req)
else:
# no current orders, 1 past trades, and stop set
if not self.orders(trade.instrument) and len(self.trades(trade.instrument)) == 1 and \
trade.instrument in self._stop and \
(trade.price >= self._stop[trade.instrument][0] or
trade.price <= self._stop[trade.instrument][1]):
req = Order(side=Side.SELL,
price=trade.price,
volume=self._stop[trade.instrument][2],
instrument=trade.instrument,
order_type=Order.Types.MARKET,
exchange=trade.exchange)
print('requesting sell : {}'.format(req))
await self.newOrder(req)
async def newOrder(self, order: Order) -> bool:
"""given an aat Order, construct a coinbase order json"""
jsn: Dict[str, Union[str, int, float]] = {}
jsn["product_id"] = order.instrument.name
if order.order_type == OrderType.LIMIT:
jsn["type"] = "limit"
jsn["side"] = order.side.value.lower()
jsn["price"] = order.price
jsn["size"] = round(order.volume, 8)
# From the coinbase docs
if order.flag == OrderFlag.FILL_OR_KILL:
jsn["time_in_force"] = "FOK"
elif order.flag == OrderFlag.IMMEDIATE_OR_CANCEL:
jsn["time_in_force"] = "IOC"
else:
jsn["time_in_force"] = "GTC"
elif order.order_type == OrderType.MARKET:
jsn["type"] = "market"
jsn["side"] = order.side.value.lower()
jsn["size"] = round(order.volume, 8)
else:
stop_order: Order = order.stop_target # type: ignore
jsn["type"] = stop_order.side.value.lower()
jsn["price"] = stop_order.price
jsn["size"] = round(stop_order.volume, 8)
if stop_order.side == Side.BUY:
jsn["stop"] = "entry"
else:
jsn["stop"] = "loss"
jsn["stop_price"] = order.price
if stop_order.order_type == OrderType.LIMIT:
jsn["type"] = "limit"
if order.flag == OrderFlag.FILL_OR_KILL:
jsn["time_in_force"] = "FOK"
elif order.flag == OrderFlag.IMMEDIATE_OR_CANCEL:
jsn["time_in_force"] = "IOC"
else:
jsn["time_in_force"] = "GTC"
elif stop_order.order_type == OrderType.MARKET:
jsn["type"] = "market"
# submit the order json
id = self._newOrder(jsn)
if id != "":
# successful, set id on the order and return true
order.id = str(id)
self._order_map[order.id] = order
return True
# otherwise return false indicating rejected
return False
def newOrder(self, order: Order):
'''given an aat Order, construct a coinbase order json'''
jsn: Dict[str, Union[str, int, float]] = {}
jsn['product_id'] = order.instrument.name
if order.order_type == OrderType.LIMIT:
jsn['type'] = 'limit'
jsn['side'] = order.side.value.lower()
jsn['price'] = order.price
jsn['size'] = round(order.volume, 8)
# From the coinbase docs
if order.flag == OrderFlag.FILL_OR_KILL:
jsn['time_in_force'] = 'FOK'
elif order.flag == OrderFlag.IMMEDIATE_OR_CANCEL:
jsn['time_in_force'] = 'IOC'
else:
jsn['time_in_force'] = 'GTC'
elif order.order_type == OrderType.MARKET:
jsn['type'] = 'market'
jsn['side'] = order.side.value.lower()
jsn['size'] = round(order.volume, 8)
else:
stop_order: Order = order.stop_target # type: ignore
jsn['type'] = stop_order.side.value.lower()
jsn['price'] = stop_order.price
jsn['size'] = round(stop_order.volume, 8)
if stop_order.side == Side.BUY:
jsn['stop'] = 'entry'
else:
jsn['stop'] = 'loss'
jsn['stop_price'] = order.price
if stop_order.order_type == OrderType.LIMIT:
jsn['type'] = 'limit'
if order.flag == OrderFlag.FILL_OR_KILL:
jsn['time_in_force'] = 'FOK'
elif order.flag == OrderFlag.IMMEDIATE_OR_CANCEL:
jsn['time_in_force'] = 'IOC'
else:
jsn['time_in_force'] = 'GTC'
elif stop_order.order_type == OrderType.MARKET:
jsn['type'] = 'market'
# submit the order json
id = self._newOrder(jsn)
if id != "":
# successful, set id on the order and return true
order.id = id
self._order_map[id] = order
return True
# otherwise return false indicating rejected
return False
async def onTrade(self, event: Event) -> None:
pprint(event)
trade: Trade = event.target # type: ignore
if self._trade and trade.my_order is None:
await self.newOrder(
Order(
1,
trade.price,
Side.BUY,
trade.instrument,
trade.exchange,
))
self._trade = False
async def onTrade(self, event: Event) -> None:
if self._count < 5:
await self.newOrder(
Order(
1,
10000000,
Side.SELL,
self.instruments()[0],
order_type=OrderType.LIMIT,
))
self._count += 1
assert len(self.orders()) == self._count
else:
await self.cancelAll()
assert len(self.orders()) == 0
async def onTrade(self, event: Event) -> None:
'''Called whenever a `Trade` event is received'''
print('Trade:\n\t{}\n\tSlippage:{}\n\tTxnCost:{}'.format(event, event.target.slippage(), event.target.transactionCost()))
# no past trades, no current orders
if not self.orders(event.target.instrument) and not self.trades(event.target.instrument):
# TODO await self.buy(...) ?
req = Order(side=Side.BUY,
price=event.target.price + 10,
volume=1,
instrument=event.target.instrument,
order_type=Order.Types.MARKET,
exchange=event.target.exchange)
print("requesting buy : {}".format(req))
await self.newOrder(req)
async def onTrade(self, event: Event) -> None:
'''Called whenever a `Trade` event is received'''
trade: Trade = event.target # type: ignore
# no past trades, no current orders
if not self.orders(trade.instrument) and not self.trades(trade.instrument):
req = Order(side=Side.BUY,
price=trade.price,
volume=5000 // trade.price,
instrument=trade.instrument,
order_type=Order.Types.MARKET,
exchange=trade.exchange)
print('requesting buy : {}'.format(req))
await self.newOrder(req)
async def onTrade(self, event: Event) -> None:
'''Called whenever a `Trade` event is received'''
trade: Trade = event.target # type: ignore
if self.volume_ordered < self.target_volume:
now = datetime.now()
if now >= self.target_time and now < self.end_time:
req = Order(side=Side.BUY,
price=trade.price + self.price_limit,
volume=self.step,
instrument=trade.instrument,
order_type=Order.Types.MARKET,
exchange=trade.exchange)
print("requesting : {}".format(req))
self.target_time += timedelta(seconds=self.delay)
self.volume_ordered += self.step
await self.newOrder(req)
else:
print("Waiting for time window")
else:
print("Orders launched, do nothing! vol: {}".format(self.volume_processed))
async def onTrade(self, event: Event) -> None:
'''Called whenever a `Trade` event is received'''
print('Trade:\n{}'.format(event))
trade: Trade = event.target # type: ignore
# no past trades, no current orders
if not self.orders(trade.instrument) and not self.trades(trade.instrument):
req = Order(side=Side.BUY,
price=trade.price + 10,
volume=1,
instrument=trade.instrument,
order_type=Order.Types.MARKET,
exchange=trade.exchange)
print("requesting buy : {}".format(req))
await self.newOrder(req)
else:
print(self.positions())
print(self.risk())
async def onTrade(self, event: Event):
'''Called whenever a `Trade` event is received'''
trade: Trade = event.target # type: ignore
# append prices
self._long_ma_list.append(trade.price)
self._short_ma_list.append(trade.price)
# adding to list
self._long_ma_list = self._long_ma_list[-self._long_ma:]
self._short_ma_list = self._short_ma_list[-self._short_ma:]
if len(self._long_ma_list) < self._long_ma:
return
# dont trade in first 15 minutes
if self.now().hour == 9 and self.now().minute <= 45:
return
long_mvg_av = pd.Series(self._long_ma_list).rolling(
self._long_ma, min_periods=self._long_ma).mean().iloc[-1]
short_mvg_av = pd.Series(self._short_ma_list).rolling(
self._short_ma, min_periods=self._short_ma).mean().iloc[-1]
long_mvg_av = long_mvg_av + (long_mvg_av * .005)
# States
#
# Not Entered, Not Triggered -> if long_ma > short_ma -> Not Entered, Triggered (Wait for short av to move above)
# Not Entered, Not Triggered -> if long_ma <= short_ma -> Not Entered, Not Triggered (Not ready yet)
# Not Entered, Triggered -> if long_ma > short_ma -> Not Entered, Triggered (Wait for short to move above)
# Not Entered, Triggered -> if long_ma <= short_ma -> Entered, Triggered (BUY)
# Entered, Triggered -> if long_ma > short_ma -> Not Entered, Triggered (SELL)
# Entered, Triggered -> if long_ma <= short_ma -> Entered, Triggered (Wait for short to move below)
if not self._entered:
if not self._triggered:
if long_mvg_av > short_mvg_av:
# Not Entered, Not Triggered -> if long_ma > short_ma -> Not Entered, Triggered (Wait for short av to move above)
self._triggered = True
else:
# Not Entered, Not Triggered -> if long_ma <= short_ma -> Not Entered, Not Triggered (Not ready yet)
self._triggered = False
else:
if long_mvg_av > short_mvg_av:
# Not Entered, Triggered -> if long_ma > sh`ort_ma -> Not Entered, Triggered (Wait for short to move above)
pass
else:
# Not Entered, Triggered -> if long_ma <= short_ma -> Entered, Triggered (BUY)
if not self.orders(trade.instrument):
self._volume = math.ceil(1000 / trade.price)
self._buy_order = Order(side=Side.BUY,
price=trade.price,
volume=self._volume,
instrument=trade.instrument,
order_type=Order.Types.MARKET,
exchange=trade.exchange)
print('submitting buy order: {}'.format(
self._buy_order))
await self.newOrder(self._buy_order)
else:
if not self._triggered:
raise Exception('Never in this state')
else:
if long_mvg_av > short_mvg_av:
# Entered, Triggered -> if long_ma > short_ma -> Not Entered, Triggered (SELL)
if not self._sell_order:
self._sell_order = Order(side=Side.SELL,
price=trade.price,
volume=self._volume,
instrument=trade.instrument,
order_type=Order.Types.MARKET,
exchange=trade.exchange)
print('submitting sell order: {}'.format(
self._sell_order))
await self.newOrder(self._sell_order)
else:
# Entered, Triggered -> if long_ma <= short_ma -> Entered, Triggered (Wait for short to move below)
# exit if time to bail
if not self._sell_order and self.now(
).hour == self._bail_hour and self.now(
).minute >= self._bail_minute:
self._sell_order = Order(side=Side.SELL,
price=trade.price,
volume=self._volume,
instrument=trade.instrument,
order_type=Order.Types.MARKET,
exchange=trade.exchange)
print('submitting sell order: {}'.format(
self._sell_order))
await self.newOrder(self._sell_order)
async def websocket(self, subscriptions: List[Instrument]): # type: ignore
# copy the base subscription template
subscription = _SUBSCRIPTION.copy()
# for each subcription, add symbol to product_ids
for sub in subscriptions:
subscription["product_ids"].append(sub.brokerId) # type: ignore
# sign the message in a similar way to the rest api, but
# using the message of GET/users/self/verify
timestamp = str(time.time())
message = timestamp + "GET/users/self/verify"
hmac_key = base64.b64decode(self.secret_key)
signature = hmac.new(hmac_key, message.encode(), hashlib.sha256)
signature_b64 = base64.b64encode(signature.digest()).decode()
# update the subscription message with the signing info
subscription.update({
"signature": signature_b64,
"timestamp": timestamp,
"key": self.api_key,
"passphrase": self.passphrase,
})
# construct a new websocket session
session = aiohttp.ClientSession()
# connect to the websocket
async with session.ws_connect(self.ws_url) as ws:
# send the subscription
await ws.send_str(json.dumps(subscription))
# for each message returned
async for msg in ws:
# only handle text messages
if msg.type == aiohttp.WSMsgType.TEXT:
# load the data as json
x = json.loads(msg.data)
# skip earlier messages that our order book
# already reflects
if "sequence" in x:
inst = Instrument(x["product_id"], InstrumentType.PAIR,
self.exchange)
if x.get("sequence", float("inf")) < self.seqnum.get(
inst, 0):
# if msg has a sequence number, and that number is < the last sequence number
# of the order book snapshot, ignore
continue
# ignore subscription and heartbeat messages
if x["type"] in ("subscriptions", "heartbeat"):
# TODO yield heartbeats?
continue
elif x["type"] == "received":
# generate new Open events
# A valid order has been received and is now active.
# This message is emitted for every single valid order as
# soon as the matching engine receives it whether it fills
# immediately or not.
#
# The received message does not indicate a resting order on
# the order book. It simply indicates a new incoming order
# which as been accepted by the matching engine for processing.
# Received orders may cause match message to follow if they
# are able to begin being filled (taker behavior). Self-trade
# prevention may also trigger change messages to follow if the
# order size needs to be adjusted. Orders which are not fully
# filled or canceled due to self-trade prevention result in an
# open message and become resting orders on the order book.
#
# Market orders (indicated by the order_type field) may have
# an optional funds field which indicates how much quote currency
# will be used to buy or sell. For example, a funds field of
# 100.00 for the BTC-USD product would indicate a purchase of
# up to 100.00 USD worth of bitcoin.
#
# {
# "type": "received",
# "time": "2014-11-07T08:19:27.028459Z",
# "product_id": "BTC-USD",
# "sequence": 10,
# "order_id": "d50ec984-77a8-460a-b958-66f114b0de9b",
# "size": "1.34",
# "price": "502.1",
# "side": "buy",
# "order_type": "limit"
# }
# {
# "type": "received",
# "time": "2014-11-09T08:19:27.028459Z",
# "product_id": "BTC-USD",
# "sequence": 12,
# "order_id": "dddec984-77a8-460a-b958-66f114b0de9b",
# "funds": "3000.234",
# "side": "buy",
# "order_type": "market"
# }
id = x["order_id"]
# FIXME make sure we dont need this
# if id in self._order_map:
# # yield a received event and get order from dict
# o = self._order_map[id]
# yield Event(type=EventType.RECEIVED, target=o)
if x["order_type"] == "market":
if "size" in x and float(x["size"]) <= 0:
# ignore zero size orders
# TODO why do we even get these?
continue
elif "size" not in x and "funds" in x:
print("TODO: funds")
# TODO can't handle these yet, no mapping from funds to size/price
continue
# create a market data order from the event data
# TODO set something for price? float('inf') ?
o = Order(
float(x["size"]),
0.0,
Side(x["side"].upper()),
Instrument(x["product_id"],
InstrumentType.PAIR, self.exchange),
self.exchange,
id=id,
)
else:
# create limit order from the event data
o = Order(
float(x["size"]),
float(x["price"]),
Side(x["side"].upper()),
Instrument(x["product_id"],
InstrumentType.PAIR, self.exchange),
self.exchange,
)
# yield an open event for the new order
e = Event(type=EventType.OPEN, target=o)
yield e
elif x["type"] == "done":
# The order is no longer on the order book. Sent for
# all orders for which there was a received message.
# This message can result from an order being canceled
# or filled. There will be no more messages for this
# order_id after a done message. remaining_size indicates
# how much of the order went unfilled; this will
# be 0 for filled orders.
#
# market orders will not have a remaining_size or price
# field as they are never on the open order book at a
# given price.
#
# {
# "type": "done",
# "time": "2014-11-07T08:19:27.028459Z",
# "product_id": "BTC-USD",
# "sequence": 10,
# "price": "200.2",
# "order_id": "d50ec984-77a8-460a-b958-66f114b0de9b",
# "reason": "filled", // or "canceled"
# "side": "sell",
# "remaining_size": "0"
# }
if x["reason"] == "canceled":
id = x["order_id"]
# if cancelled
if "price" not in x:
# cancel this event if we have a full local order book
# where we can determine the original order
print("TODO: noprice")
continue
# FIXME don't use remaining_size, lookup original size in order book
o = Order(
float(x["remaining_size"]),
float(x["price"]),
Side(x["side"].upper()),
Instrument(
x["product_id"],
InstrumentType.PAIR,
self.exchange,
),
self.exchange,
id=id,
)
e = Event(type=EventType.CANCEL, target=o)
yield e
elif x["reason"] == "filled":
# Will have a match event
# TODO route these to full local order book
continue
else:
# TODO unhandled
# this should never print
print("TODO: unhandled", x)
elif x["type"] == "match":
# A trade occurred between two orders. The aggressor
# or taker order is the one executing immediately
# after being received and the maker order is a
# resting order on the book. The side field indicates
# the maker order side. If the side is sell this
# indicates the maker was a sell order and the match
# is considered an up-tick. A buy side match is a down-tick.
#
# If authenticated, and you were the taker, the message
# would also have the following fields:
# taker_user_id: "5844eceecf7e803e259d0365",
# user_id: "5844eceecf7e803e259d0365",
# taker_profile_id: "765d1549-9660-4be2-97d4-fa2d65fa3352",
# profile_id: "765d1549-9660-4be2-97d4-fa2d65fa3352",
# taker_fee_rate: "0.005"
#
# Similarly, if you were the maker, the message would have the following:
# maker_user_id: "5f8a07f17b7a102330be40a3",
# user_id: "5f8a07f17b7a102330be40a3",
# maker_profile_id: "7aa6b75c-0ff1-11eb-adc1-0242ac120002",
# profile_id: "7aa6b75c-0ff1-11eb-adc1-0242ac120002",
# maker_fee_rate: "0.001"
# {
# "type": "match",
# "trade_id": 10,
# "sequence": 50,
# "maker_order_id": "ac928c66-ca53-498f-9c13-a110027a60e8",
# "taker_order_id": "132fb6ae-456b-4654-b4e0-d681ac05cea1",
# "time": "2014-11-07T08:19:27.028459Z",
# "product_id": "BTC-USD",
# "size": "5.23512",
# "price": "400.23",
# "side": "sell"
# }
# Generate a trade event
# First, create an order from the event
if str(x.get("taker_order_id", "")) in self._order_map:
o = self._order_map[str(x.get("taker_order_id"))]
o.filled = float(x["size"])
# my order
mine = True
elif str(x.get("maker_order_id",
"")) in self._order_map:
o = self._order_map[str(x.get("maker_order_id"))]
# TODO filled?
# my order
mine = True
else:
o = Order(
float(x["size"]),
float(x["price"]),
Side(x["side"].upper()),
Instrument(x["product_id"],
InstrumentType.PAIR, self.exchange),
self.exchange,
)
# set filled to volume so we see it as "done"
o.filled = o.volume
# not my order
mine = False
# create a trader with this order as the taker
# makers would be accumulated via the
# `elif x['reason'] == 'filled'` block above
t = Trade(
float(x["size"]),
float(x["price"]),
taker_order=o,
maker_orders=[],
)
if mine:
t.my_order = o
e = Event(type=EventType.TRADE, target=t)
yield e
elif x["type"] == "open":
# The order is now open on the order book.
# This message will only be sent for orders
# which are not fully filled immediately.
# remaining_size will indicate how much of
# the order is unfilled and going on the book.
# {
# "type": "open",
# "time": "2014-11-07T08:19:27.028459Z",
# "product_id": "BTC-USD",
# "sequence": 10,
# "order_id": "d50ec984-77a8-460a-b958-66f114b0de9b",
# "price": "200.2",
# "remaining_size": "1.00",
# "side": "sell"
# }
# TODO how are these differentiated from received?
o = Order(
float(x["remaining_size"]),
float(x["price"]),
Side(x["side"].upper()),
Instrument(x["product_id"], InstrumentType.PAIR,
self.exchange),
self.exchange,
)
e = Event(type=EventType.OPEN, target=o)
yield e
elif x["type"] == "change":
# TODO
# An order has changed. This is the result
# of self-trade prevention adjusting the
# order size or available funds. Orders can
# only decrease in size or funds. change
# messages are sent anytime an order changes
# in size; this includes resting orders (open)
# as well as received but not yet open.
# change messages are also sent when a new
# market order goes through self trade prevention
# and the funds for the market order have changed.
# {
# "type": "change",
# "time": "2014-11-07T08:19:27.028459Z",
# "sequence": 80,
# "order_id": "ac928c66-ca53-498f-9c13-a110027a60e8",
# "product_id": "BTC-USD",
# "new_size": "5.23512",
# "old_size": "12.234412",
# "price": "400.23",
# "side": "sell"
# }
# {
# "type": "change",
# "time": "2014-11-07T08:19:27.028459Z",
# "sequence": 80,
# "order_id": "ac928c66-ca53-498f-9c13-a110027a60e8",
# "product_id": "BTC-USD",
# "new_funds": "5.23512",
# "old_funds": "12.234412",
# "price": "400.23",
# "side": "sell"
# }
print("TODO: change", x)
else:
# TODO unhandled
# this should never print
print("TODO: unhandled2", x)
async def onTrade(self, event: Event) -> None:
"""Called whenever a `Trade` event is received"""
trade: Trade = event.target # type: ignore
# set initial price to first trade
if (self._initial_price is None or self._initial_price == 0.0
or self._initial_price_day != trade.timestamp.day):
self._initial_price = trade.price
self._initial_price_day = trade.timestamp.day # type: ignore
# self last price to last traded price
self._last_price = trade.price
# determine if we trade
cur_perf = ((self._last_price - self._initial_price) /
self._initial_price # type: ignore
if self._initial_price != 0.0 else None)
if cur_perf is None:
# don't handle 0 price
return
if self._enter_trade is not None and self._exit_order is None:
# already traded, look for exit
if cur_perf > self._profit:
# close position with sell
print("exiting with sell order")
self._exit_order = Order(
side=Side.SELL,
price=trade.price,
volume=self._quantity,
instrument=trade.instrument,
order_type=Order.Types.MARKET,
exchange=trade.exchange,
)
await self.newOrder(self._exit_order)
elif cur_perf < self._stop:
# close to stop
print("exiting to stop loss")
side = (
Side.SELL if self._enter_order.side == Side.BUY else
Side.BUY # type: ignore
)
self._exit_order = Order(
side=side,
price=trade.price,
volume=self._quantity,
instrument=trade.instrument,
order_type=Order.Types.MARKET,
exchange=trade.exchange,
)
await self.newOrder(self._exit_order)
else:
# check if 15:45 or later
if (trade.timestamp.hour >= self._exit_hour
and trade.timestamp.minute >= self._exit_minute):
# exit
print("exiting at EOD")
self._exit_order = Order(
side=Side.SELL,
price=trade.price,
volume=self._quantity,
instrument=trade.instrument,
order_type=Order.Types.MARKET,
exchange=trade.exchange,
)
await self.newOrder(self._exit_order)
elif self._enter_trade is not None and self._exit_order is not None:
# already ordered, wait for execution
return
elif self._enter_trade is None and self._exit_order is not None:
raise Exception("Inconsistent state machine")
else:
if (trade.timestamp.hour >= self._exit_hour
and trade.timestamp.minute > self._exit_minute):
# no more trading today
return
if (trade.timestamp.hour <= self._enter_hour
and trade.timestamp.minute < self._enter_minute):
# no trading yet
return
if self._enter_order is not None:
# already trying to enter, wait for execution
return
if cur_perf > self._trigger:
# buy
print("entering with buy order")
if self._notional is not None:
self._quantity = max(self._notional // trade.price, 1)
else:
self._quantity = 1 # type: ignore
self._enter_order = Order(
side=Side.BUY,
price=trade.price,
volume=self._quantity,
instrument=trade.instrument,
order_type=Order.Types.MARKET,
exchange=trade.exchange,
)
await self.newOrder(self._enter_order)
