def execute_report(start_date, end_date, security, market, account,
market_database, time_zone_database, service_locator_client,
order_execution_client):
orders = []
activity_log = []
if account is not None:
order_queue = beam.Queue()
nexus.order_execution_service.query_daily_order_submissions(
account, start_date, end_date, market_database, time_zone_database,
order_execution_client, order_queue)
account_orders = []
beam.flush(order_queue, account_orders)
for order in account_orders:
if security is not None and security != order.info.fields.security:
continue
if market is not None and market != order.info.fields.security.market:
continue
orders.append(order)
execution_reports = order.get_publisher().get_snapshot()
for execution_report in execution_reports:
activity_log.append((order.info.fields, execution_report))
else:
accounts = service_locator_client.load_all_accounts()
for account in accounts:
(account_orders, account_log) = execute_report(
start_date, end_date, security, market, account,
market_database, time_zone_database, service_locator_client,
order_execution_client)
orders += account_orders
activity_log += account_log
orders.sort(key=lambda value: value.info.timestamp)
activity_log.sort(key=lambda value: value[1].timestamp)
return (orders, activity_log)
def main():
parser = argparse.ArgumentParser(
description='v1.0 Copyright (C) 2020 Spire Trading Inc.')
parser.add_argument('-c',
'--config',
type=str,
help='Configuration file',
default='config.yml')
parser.add_argument('-d',
'--date',
type=parse_date,
help='Date',
required=True)
parser.add_argument('-m',
'--destination',
type=str,
help='Destination',
required=True)
args = parser.parse_args()
try:
stream = open(args.config, 'r').read()
config = yaml.load(stream, yaml.SafeLoader)
except IOError:
sys.stderr.write('%s not found\n' % args.config)
exit(1)
except yaml.YAMLError as e:
report_yaml_error(e)
exit(1)
date = beam.time_service.to_utc_time(args.date)
section = config['service_locator']
address = parse_ip_address(section['address'])
username = section['username']
password = section['password']
service_clients = nexus.ApplicationServiceClients(address, username,
password)
service_clients.open()
market_database = \
service_clients.get_definitions_client().load_market_database()
time_zone_database = \
service_clients.get_definitions_client().load_time_zone_database()
for account in \
service_clients.get_service_locator_client().load_all_accounts():
queue = beam.Queue()
nexus.order_execution_service.query_daily_order_submissions(
account, date, date, market_database, time_zone_database,
service_clients.get_order_execution_client(), queue)
orders = []
beam.flush(queue, orders)
for order in orders:
if order.info.fields.destination != args.destination:
continue
execution_reports = order.get_publisher().get_snapshot()
if not nexus.is_terminal(execution_reports[-1].status):
cancel_report = \
nexus.order_execution_service.ExecutionReport.build_updated_report(
execution_reports[-1], nexus.OrderStatus.CANCELED,
service_clients.get_time_client().get_time())
service_clients.get_order_execution_client().update(
order.info.order_id, cancel_report)
def cancel_account(service_clients, account, region, begin, end, message):
market_database = \
service_clients.get_definitions_client().load_market_database()
time_zone_database = \
service_clients.get_definitions_client().load_time_zone_database()
queue = beam.Queue()
nexus.order_execution_service.query_daily_order_submissions(
account, begin, end, market_database, time_zone_database,
service_clients.get_order_execution_client(), queue)
orders = []
beam.flush(queue, orders)
for order in orders:
if nexus.Region(order.info.fields.security) <= region:
cancel_order(service_clients, order, message)
def execute_report(start_date, end_date, currency_database, market_database,
time_zone_database, service_locator_client,
administration_client, order_execution_client):
trading_group_entries = administration_client.load_managed_trading_groups(
service_locator_client.account)
for trading_group_entry in trading_group_entries:
print(trading_group_entry.name)
group_profit_and_loss = defaultdict(lambda: nexus.Money.ZERO)
trading_group = administration_client.load_trading_group(
trading_group_entry)
for trader in trading_group.traders:
account_portfolio = nexus.accounting.TrueAveragePortfolio(
market_database)
account_volumes = Counter()
order_queue = beam.Queue()
nexus.order_execution_service.query_daily_order_submissions(
trader, start_date, end_date, market_database,
time_zone_database, order_execution_client, order_queue)
orders = []
beam.flush(order_queue, orders)
for order in orders:
execution_reports = order.get_publisher().get_snapshot()
for execution_report in execution_reports:
account_portfolio.update(order.info.fields,
execution_report)
account_volumes[order.info.fields.currency.value] += \
execution_report.last_quantity
if sum(account_volumes.itervalues()) > 0:
print('\t%s' % trader.name)
for currency_value in account_volumes.iterkeys():
currency = nexus.CurrencyId(currency_value)
account_totals = account_portfolio.bookkeeper.get_total(
currency)
net_profit_and_loss = nexus.accounting.get_realized_profit_and_loss(
account_totals)
group_profit_and_loss[
currency.value] += net_profit_and_loss
print('\t\tCurrency: %s' %
currency_database.from_id(currency).code)
print('\t\t\tVolume: %s' % account_volumes[currency.value])
print('\t\t\tP/L: %s\n' % net_profit_and_loss)
if len(group_profit_and_loss) > 0:
print('\tTotals')
for currency_value in group_profit_and_loss.iterkeys():
currency = nexus.CurrencyId(currency_value)
print('\t\t%s: %s' % (currency_database.from_id(currency).code,
group_profit_and_loss[currency.value]))
print('')
def execute_report(account, start_date, end_date, fee_table, service_clients):
definitions_client = service_clients.get_definitions_client()
market_database = definitions_client.load_market_database()
time_zone_database = definitions_client.load_time_zone_database()
order_execution_client = service_clients.get_order_execution_client()
order_queue = beam.Queue()
nexus.order_execution_service.query_daily_order_submissions(
account, start_date, end_date, market_database, time_zone_database,
order_execution_client, order_queue)
orders = []
beam.flush(order_queue, orders)
fee_state = nexus.ConsolidatedTmxFeeTable.State()
for order in orders:
if order.info.fields.security.country != nexus.default_countries.CA:
continue
if order.info.fields.destination == nexus.default_destinations.MOE:
continue
execution_reports = order.get_publisher().get_snapshot()
for execution_report in execution_reports:
calculated_fee = nexus.order_execution_service.ExecutionReport(
execution_report)
calculated_fee.execution_fee = nexus.Money.ZERO
calculated_fee.processing_fee = nexus.Money.ZERO
calculated_fee.commission = nexus.Money.ZERO
calculated_fee = nexus.calculate_fee(fee_table, fee_state, order,
calculated_fee)
if (calculated_fee.execution_fee, calculated_fee.processing_fee,
calculated_fee.commission) != \
(execution_report.execution_fee, execution_report.processing_fee,
execution_report.commission):
print(
'%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s' %
(order.info.order_id, execution_report.sequence,
order.info.fields.security.symbol,
order.info.fields.security.market, order.info.fields.side,
execution_report.last_price,
execution_report.last_quantity,
execution_report.last_market,
execution_report.liquidity_flag,
execution_report.execution_fee,
execution_report.processing_fee,
execution_report.commission, calculated_fee.execution_fee,
calculated_fee.processing_fee, calculated_fee.commission))
sys.stdout.flush()