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trade ¤

LiveExecution ¤

LiveExecution(
    id: str,
    exchange: LiveExchange,
    data: LiveDataFeed,
    size: float,
    price: float,
    at: float,
    order_id: str | None = None,
    order: Order | None = None,
    position_id: str | None = None,
    position: Position | None = None,
    api: LiveAPI | None = None,
    raw: object | None = None,
    **kwargs
)

Bases: _LiveTrade, Execution

Execution for Live

Source code in lettrade/exchange/live/trade.py 
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def __init__(
    self,
    id: str,
    exchange: "LiveExchange",
    data: "LiveDataFeed",
    size: float,
    price: float,
    at: float,
    order_id: str | None = None,
    order: "Order | None" = None,
    position_id: str | None = None,
    position: "Position | None" = None,
    # tag: str | None = None,
    api: LiveAPI | None = None,
    raw: object | None = None,
    **kwargs,
):
    super().__init__(
        id=id,
        exchange=exchange,
        data=data,
        size=size,
        price=price,
        at=at,
        order_id=order_id,
        order=order,
        position_id=position_id,
        position=position,
        api=api,
        raw=raw,
        **kwargs,
    )

is_long property ¤

is_long: bool

True if side is long (size is positive).

Returns:

  • bool ( bool ) –

    True/False

is_short property ¤

is_short: bool

True if side is short (size is negative).

Returns:

  • bool ( bool ) –

    description

side property ¤

side: TradeSide

True if side is short (size is negative).

Returns:

from_raw abstractmethod classmethod ¤

from_raw(raw, exchange: LiveExchange) -> LiveExecution

Building new LiveExecution from live api raw object

Parameters:

  • raw (_type_) –

    description

  • exchange (LiveExchange) –

    description

Returns:

Source code in lettrade/exchange/live/trade.py 
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@classmethod
@abstractmethod
def from_raw(cls, raw, exchange: "LiveExchange") -> "LiveExecution":
    """Building new LiveExecution from live api raw object

    Args:
        raw (_type_): _description_
        exchange (LiveExchange): _description_

    Returns:
        LiveExecution: _description_
    """
    raise NotImplementedError(cls)

merge ¤

merge(other: Execution)

Merge to keep object handler but not overwrite for Strategy using when Strategy want to store object and object will be automatic update directly

Source code in lettrade/exchange/execution.py 
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def merge(self, other: "Execution"):
    """
    Merge to keep object handler but not overwrite for Strategy using when Strategy want to store object and object will be automatic update directly
    """
    if other is self:
        return

    if self.id != other.id:
        raise RuntimeError(f"Merge difference id {self.id} != {other.id} execution")

    self.price = other.price
    self.size = other.size

    if other.at:
        self.at = other.at
    if other.order_id:
        self.order_id = other.order_id
    if other.order:
        self.order = other.order
    if other.position_id:
        self.position_id = other.position_id
    if other.position:
        self.position = other.position

LiveOrder ¤

LiveOrder(
    id: str,
    exchange: LiveExchange,
    data: LiveDataFeed,
    size: float,
    state: OrderState = OrderState.Pending,
    type: OrderType = OrderType.Market,
    limit_price: float | None = None,
    stop_price: float | None = None,
    sl_price: float | None = None,
    tp_price: float | None = None,
    parent: Position | None = None,
    tag: str | None = None,
    api: LiveAPI | None = None,
    raw: object | None = None,
    **kwargs
)

Bases: _LiveTrade, Order

Source code in lettrade/exchange/live/trade.py 
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def __init__(
    self,
    id: str,
    exchange: "LiveExchange",
    data: "LiveDataFeed",
    size: float,
    state: OrderState = OrderState.Pending,
    type: OrderType = OrderType.Market,
    limit_price: float | None = None,
    stop_price: float | None = None,
    sl_price: float | None = None,
    tp_price: float | None = None,
    parent: "Position | None" = None,
    tag: str | None = None,
    api: LiveAPI | None = None,
    raw: object | None = None,
    **kwargs,
):
    super().__init__(
        id=id,
        exchange=exchange,
        data=data,
        size=size,
        state=state,
        type=type,
        limit_price=limit_price,
        stop_price=stop_price,
        sl_price=sl_price,
        tp_price=tp_price,
        parent=parent,
        tag=tag,
        api=api,
        raw=raw,
        **kwargs,
    )

is_closed property ¤

is_closed: bool

Flag to check Order closed

Returns:

  • bool ( bool ) –

    True if state in [OrderState.Filled, OrderState.Canceled]

is_long property ¤

is_long: bool

True if side is long (size is positive).

Returns:

  • bool ( bool ) –

    True/False

is_opening property ¤

is_opening: bool

Flag to check Order still alive

Returns:

  • bool ( bool ) –

    True if state in [OrderState.Pending, OrderState.Placed, OrderState.Partial]

is_short property ¤

is_short: bool

True if side is short (size is negative).

Returns:

  • bool ( bool ) –

    description

is_sl_order property ¤

is_sl_order: bool

Order is stop-loss order of a Position

Returns:

  • bool ( bool ) –

    description

is_tp_order property ¤

is_tp_order: bool

Order is take-profit order of a Position

Returns:

  • bool ( bool ) –

    description

limit property ¤

limit: float | None

Getter of limit_price

Returns:

  • float | None –

    float | None: float or None

place_price property ¤

place_price: float | None

Getter of place_price

Returns:

  • float | None –

    float | None: float or None

side property ¤

side: TradeSide

True if side is short (size is negative).

Returns:

sl property ¤

sl: float | None

Getter of sl_price

Returns:

  • float | None –

    float | None: float or None

stop property ¤

stop: float | None

Getter of stop_price

Returns:

  • float | None –

    float | None: float or None

tp property ¤

tp: float | None

Getter of tp_price

Returns:

  • float | None –

    float | None: float or None

cancel ¤

cancel(**kwargs) -> OrderResult

Cancel order

Returns:

Source code in lettrade/exchange/live/trade.py 
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def cancel(self, **kwargs) -> OrderResult:
    """Cancel order

    Returns:
        OrderResult: _description_
    """
    result = self._api.order_close(order=self, **kwargs)
    return super().cancel(raw=result)

fill ¤

fill(
    price: float, at: Timestamp, raw: object | None = None
) -> OrderResult

Fill Order. Set status to OrderState.Executed. Send event to Exchange

Parameters:

  • price (float) –

    Executed price

  • at (Timestamp) –

    Executed bar

Raises:

Returns:

Source code in lettrade/exchange/order.py 
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def fill(
    self,
    price: float,
    at: pd.Timestamp,
    raw: object | None = None,
) -> "OrderResult":
    """Fill `Order`.
    Set `status` to `OrderState.Executed`.
    Send event to `Exchange`

    Args:
        price (float): Executed price
        at (pd.Timestamp): Executed bar

    Raises:
        RuntimeError: _description_

    Returns:
        OrderResult: result of `Order`
    """
    if self.state != OrderState.Placed:
        raise RuntimeError(f"Order {self.id} state {self.state} is not Placed")

    self.filled_at = at
    self.filled_price = price
    self.state = OrderState.Filled
    self.exchange.on_order(self)
    return OrderResultOk(order=self, raw=raw)

from_position abstractmethod classmethod ¤

from_position(
    position: LivePosition, sl=None, tp=None
) -> LiveOrder

summary

Parameters:

  • position (LivePosition) –

    description

  • sl (_type_, default: None ) –

    description. Defaults to None.

  • tp (_type_, default: None ) –

    description. Defaults to None.

Returns:

Source code in lettrade/exchange/live/trade.py 
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@classmethod
@abstractmethod
def from_position(cls, position: "LivePosition", sl=None, tp=None) -> "LiveOrder":
    """_summary_

    Args:
        position (LivePosition): _description_
        sl (_type_, optional): _description_. Defaults to None.
        tp (_type_, optional): _description_. Defaults to None.

    Returns:
        LiveOrder: _description_
    """
    raise NotImplementedError(cls)

from_raw abstractmethod classmethod ¤

from_raw(raw, exchange: LiveExchange) -> LiveOrder

summary

Parameters:

  • raw (_type_) –

    description

  • exchange (LiveExchange) –

    description

Returns:

Source code in lettrade/exchange/live/trade.py 
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@classmethod
@abstractmethod
def from_raw(cls, raw, exchange: "LiveExchange") -> "LiveOrder":
    """_summary_

    Args:
        raw (_type_): _description_
        exchange (LiveExchange): _description_

    Returns:
        LiveOrder: _description_
    """
    raise NotImplementedError(cls)

merge ¤

merge(other: Order)

Update current Order variables by other Order

Parameters:

  • other (Order) –

    Merge source Order

Raises:

Source code in lettrade/exchange/order.py 
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def merge(self, other: "Order"):
    """Update current `Order` variables by other `Order`

    Args:
        other (Order): Merge source `Order`

    Raises:
        RuntimeError: Validate same id
    """
    if other is self:
        return

    if self.id != other.id:
        raise RuntimeError(f"Merge difference id {self.id} != {other.id} order")

    self.size = other.size
    self.sl_price = other.sl_price
    self.tp_price = other.tp_price

    if other.limit_price:
        self.limit_price = other.limit_price
    if other.stop_price:
        self.stop_price = other.stop_price
    if other.placed_at:
        self.placed_at = other.placed_at

    if other.filled_price:
        self.filled_price = other.filled_price
    if other.filled_at:
        self.filled_at = other.filled_at

    if other.parent:
        self.parent = other.parent

LivePosition ¤

LivePosition(
    id: str,
    exchange: LiveExchange,
    data: LiveDataFeed,
    size: float,
    parent: Order,
    tag: str | None = None,
    state: PositionState = PositionState.Open,
    entry_price: float | None = None,
    entry_fee: float = 0.0,
    entry_at: int | None = None,
    sl_order: Order | None = None,
    tp_order: Order | None = None,
    api: LiveAPI | None = None,
    raw: object | None = None,
    **kwargs
)

Bases: _LiveTrade, Position

Source code in lettrade/exchange/live/trade.py 
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def __init__(
    self,
    id: str,
    exchange: "LiveExchange",
    data: "LiveDataFeed",
    size: float,
    parent: Order,
    tag: str | None = None,
    state: PositionState = PositionState.Open,
    entry_price: float | None = None,
    entry_fee: float = 0.0,
    entry_at: int | None = None,
    sl_order: Order | None = None,
    tp_order: Order | None = None,
    api: LiveAPI | None = None,
    raw: object | None = None,
    **kwargs,
):
    super().__init__(
        id=id,
        exchange=exchange,
        data=data,
        size=size,
        parent=parent,
        tag=tag,
        state=state,
        entry_price=entry_price,
        entry_fee=entry_fee,
        entry_at=entry_at,
        sl_order=sl_order,
        tp_order=tp_order,
        api=api,
        raw=raw,
        **kwargs,
    )

fee property ¤

fee: float

Fee/Estimate Fee for trade

Returns:

  • float ( float ) –

    Fee

is_exited property ¤

is_exited: bool

Flag to check Position state.

Returns:

  • bool ( bool ) –

    True if the trade exited

is_long property ¤

is_long: bool

True if side is long (size is positive).

Returns:

  • bool ( bool ) –

    True/False

is_opening property ¤

is_opening: bool

Flag to check Position state.

Returns:

  • bool ( bool ) –

    True if the trade opening

is_short property ¤

is_short: bool

True if side is short (size is negative).

Returns:

  • bool ( bool ) –

    description

pl property ¤

pl: float

Estimate Profit or Loss of Position

Returns:

  • float ( float ) –

    PnL

side property ¤

side: TradeSide

True if side is short (size is negative).

Returns:

exit abstractmethod ¤

exit() -> PositionResult

summary

Returns:

Source code in lettrade/exchange/live/trade.py 
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@abstractmethod
def exit(self) -> PositionResult:
    """_summary_

    Returns:
        bool: _description_
    """
    raise NotImplementedError(type(self))

from_raw abstractmethod classmethod ¤

from_raw(
    raw,
    exchange: LiveExchange,
    state: PositionState = PositionState.Open,
    **kwargs
) -> LivePosition

summary

Parameters:

  • raw (_type_) –

    description

  • exchange (LiveExchange) –

    description

Returns:

Source code in lettrade/exchange/live/trade.py 
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@classmethod
@abstractmethod
def from_raw(
    cls,
    raw,
    exchange: "LiveExchange",
    state: PositionState = PositionState.Open,
    **kwargs,
) -> "LivePosition":
    """_summary_

    Args:
        raw (_type_): _description_
        exchange (LiveExchange): _description_

    Returns:
        LivePosition: _description_
    """
    raise NotImplementedError(cls)

merge ¤

merge(other: LivePosition) -> bool

Merge LivePosition from another

Parameters:

Returns:

  • bool ( bool ) –

    description

Source code in lettrade/exchange/live/trade.py 
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def merge(self, other: "LivePosition") -> bool:
    """Merge LivePosition from another

    Args:
        other (LivePosition): _description_

    Returns:
        bool: _description_
    """
    if not super().merge(other):
        return False
    self.raw = other.raw
    return True

update abstractmethod ¤

update(
    sl: float | None = None,
    tp: float | None = None,
    caller: float | None = None,
    **kwargs
) -> PositionResult

summary

Parameters:

  • sl (float | None, default: None ) –

    description. Defaults to None.

  • tp (float | None, default: None ) –

    description. Defaults to None.

  • caller (float | None, default: None ) –

    description. Defaults to None.

Raises:

Source code in lettrade/exchange/live/trade.py 
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@abstractmethod
def update(
    self,
    sl: float | None = None,
    tp: float | None = None,
    caller: float | None = None,
    **kwargs,
) -> PositionResult:
    """_summary_

    Args:
        sl (float | None, optional): _description_. Defaults to None.
        tp (float | None, optional): _description_. Defaults to None.
        caller (float | None, optional): _description_. Defaults to None.

    Raises:
        NotImplementedError: _description_
    """
    raise NotImplementedError(type(self))