Source code for catalyst.finance.execution

#
# Copyright 2014 Quantopian, Inc.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
#     http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

import abc

from numpy import isfinite
from six import with_metaclass

from catalyst.errors import BadOrderParameters


[docs]class ExecutionStyle(with_metaclass(abc.ABCMeta)): """ Abstract base class representing a modification to a standard order. """ _exchange = None
[docs] @abc.abstractmethod def get_limit_price(self, is_buy): """ Get the limit price for this order. Returns either None or a numerical value >= 0. """ raise NotImplemented
[docs] @abc.abstractmethod def get_stop_price(self, is_buy): """ Get the stop price for this order. Returns either None or a numerical value >= 0. """ raise NotImplemented
@property def exchange(self): """ The exchange to which this order should be routed. """ return self._exchange
[docs]class MarketOrder(ExecutionStyle): """ Class encapsulating an order to be placed at the current market price. """ def __init__(self, exchange=None): self._exchange = exchange def get_limit_price(self, _is_buy): return None def get_stop_price(self, _is_buy): return None
[docs]class LimitOrder(ExecutionStyle): """ Execution style representing an order to be executed at a price equal to or better than a specified limit price. """ def __init__(self, limit_price, exchange=None): """ Store the given price. """ check_stoplimit_prices(limit_price, 'limit') self.limit_price = limit_price self._exchange = exchange def get_limit_price(self, is_buy): return asymmetric_round_price_to_penny(self.limit_price, is_buy) def get_stop_price(self, _is_buy): return None
[docs]class StopOrder(ExecutionStyle): """ Execution style representing an order to be placed once the market price reaches a specified stop price. """ def __init__(self, stop_price, exchange=None): """ Store the given price. """ check_stoplimit_prices(stop_price, 'stop') self.stop_price = stop_price self._exchange = exchange def get_limit_price(self, _is_buy): return None def get_stop_price(self, is_buy): return asymmetric_round_price_to_penny(self.stop_price, not is_buy)
[docs]class StopLimitOrder(ExecutionStyle): """ Execution style representing a limit order to be placed with a specified limit price once the market reaches a specified stop price. """ def __init__(self, limit_price, stop_price, exchange=None): """ Store the given prices """ check_stoplimit_prices(limit_price, 'limit') check_stoplimit_prices(stop_price, 'stop') self.limit_price = limit_price self.stop_price = stop_price self._exchange = exchange def get_limit_price(self, is_buy): return asymmetric_round_price_to_penny(self.limit_price, is_buy) def get_stop_price(self, is_buy): return asymmetric_round_price_to_penny(self.stop_price, not is_buy)
def asymmetric_round_price_to_penny(price, prefer_round_down, diff=(0.0095 - .005)): """ Modified the original function because we do not want to round prices on crypto exchange. Parameters ---------- price: float Returns ------- float """ # TODO: consider overriding outside of the original function return price def check_stoplimit_prices(price, label): """ Check to make sure the stop/limit prices are reasonable and raise a BadOrderParameters exception if not. """ try: if not isfinite(price): raise BadOrderParameters( msg="Attempted to place an order with a {} price " "of {}.".format(label, price) ) # This catches arbitrary objects except TypeError: raise BadOrderParameters( msg="Attempted to place an order with a {} price " "of {}.".format(label, type(price)) ) if price < 0: raise BadOrderParameters( msg="Can't place a {} order with a negative price.".format(label) )