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order ¤

Order ¤

Order(
    id: str,
    exchange: Exchange,
    data: DataFeed,
    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,
    expiration: datetime | None = None,
    tag: str | None = None,
    placed_at: datetime | None = None,
    **kwargs
)

Bases: BaseTransaction

Parameters:

  • id (str) –

    description

  • exchange (Exchange) –

    description

  • data (DataFeed) –

    description

  • size (float) –

    description

  • state (OrderState, default: Pending ) –

    description. Defaults to OrderState.Pending.

  • type (OrderType, default: Market ) –

    description. Defaults to OrderType.Market.

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

    description. Defaults to None.

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

    description. Defaults to None.

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

    description. Defaults to None.

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

    description. Defaults to None.

  • parent (Position | None, default: None ) –

    description. Defaults to None.

  • expiration (datetime | None, default: None ) –

    description. Defaults to None.

  • tag (str | None, default: None ) –

    description. Defaults to None.

  • placed_at (datetime | None, default: None ) –

    description. Defaults to None.

Source code in lettrade/exchange/order.py 
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def __init__(
    self,
    id: str,
    exchange: "Exchange",
    data: "DataFeed",
    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,
    expiration: datetime | None = None,
    tag: str | None = None,
    placed_at: datetime | None = None,
    **kwargs,
):
    """_summary_

    Args:
        id (str): _description_
        exchange (Exchange): _description_
        data (DataFeed): _description_
        size (float): _description_
        state (OrderState, optional): _description_. Defaults to OrderState.Pending.
        type (OrderType, optional): _description_. Defaults to OrderType.Market.
        limit_price (float | None, optional): _description_. Defaults to None.
        stop_price (float | None, optional): _description_. Defaults to None.
        sl_price (float | None, optional): _description_. Defaults to None.
        tp_price (float | None, optional): _description_. Defaults to None.
        parent (Position | None, optional): _description_. Defaults to None.
        expiration (datetime | None, optional): _description_. Defaults to None.
        tag (str | None, optional): _description_. Defaults to None.
        placed_at (datetime | None, optional): _description_. Defaults to None.
    """
    super().__init__(
        id=id,
        exchange=exchange,
        data=data,
        size=size,
        **kwargs,
    )

    self.type: OrderType = type
    self.state: OrderState = state
    self.limit_price: float | None = limit_price
    self.stop_price: float | None = stop_price
    self.sl_price: float | None = sl_price
    self.tp_price: float | None = tp_price
    self.parent: "Position | None" = parent
    self.expiration: datetime | None = expiration
    self.tag: str | None = tag
    self.placed_at: pd.Timestamp | None = placed_at
    self.filled_at: pd.Timestamp | None = None
    self.filled_price: float | None = None

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.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(raw: object | None = None, **kwargs) -> OrderResult

Cancel Order Set status to OrderState.Canceled. Send event to Exchange

Raises:

Returns:

Source code in lettrade/exchange/order.py 
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def cancel(self, raw: object | None = None, **kwargs) -> "OrderResult":
    """Cancel `Order`
    Set `status` to `OrderState.Canceled`.
    Send event to `Exchange`

    Raises:
        RuntimeError: Validate state is `OrderState.Placed`

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

    self.state = OrderState.Canceled
    self.exchange.on_order(self)
    return OrderResultOk(order=self, raw=raw)

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)

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

place ¤

place(
    at: Timestamp, raw: object | None = None
) -> OrderResult

Place Order Set status to OrderState.Placed. Send event to Exchange

Raises:

Returns:

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

    Raises:
        RuntimeError: _description_

    Returns:
        OrderResult: result of `Order`
    """
    self.validate()

    if self.state != OrderState.Pending:
        raise RuntimeError(f"Order {self.id} state {self.state} is not Pending")

    self.state = OrderState.Placed
    self.placed_at = at

    logger.info("Placing new order: %s", self)

    self.exchange.on_order(self)
    return OrderResultOk(order=self, raw=raw)

update ¤

update(
    limit_price: float | None = None,
    stop_price: float | None = None,
    sl: float | None = None,
    tp: float | None = None,
    raw: object | None = None,
) -> OrderResult

Update Order

Parameters:

  • limit_price (float, default: None ) –

    description. Defaults to None.

  • stop_price (float, default: None ) –

    description. Defaults to None.

  • sl (float, default: None ) –

    description. Defaults to None.

  • tp (float, default: None ) –

    description. Defaults to None.

Raises:

Source code in lettrade/exchange/order.py 
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def update(
    self,
    limit_price: float | None = None,
    stop_price: float | None = None,
    sl: float | None = None,
    tp: float | None = None,
    raw: object | None = None,
) -> "OrderResult":
    """Update Order

    Args:
        limit_price (float, optional): _description_. Defaults to None.
        stop_price (float, optional): _description_. Defaults to None.
        sl (float, optional): _description_. Defaults to None.
        tp (float, optional): _description_. Defaults to None.

    Raises:
        RuntimeError: _description_
    """
    if self.is_closed:
        raise RuntimeError(f"Update a closed order {self}")

    # TODO: validate parameters
    if limit_price is not None:
        self.limit_price = limit_price
    if stop_price is not None:
        self.stop_price = stop_price

    if sl is not None:
        self.sl_price = sl
    if tp is not None:
        self.tp_price = tp

    self.exchange.on_order(self)
    return OrderResultOk(order=self, raw=raw)

OrderResult ¤

OrderResult(
    ok: bool = True,
    order: Order | None = None,
    raw: object | None = None,
)

Result of Order

Parameters:

  • ok (bool | None, default: True ) –

    Flag to check Order is success or not. Defaults to True.

  • order (Order | None, default: None ) –

    Order own the result. Defaults to None.

  • raw (object | None, default: None ) –

    Raw object of Order. Defaults to None.

Source code in lettrade/exchange/order.py 
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def __init__(
    self,
    ok: bool = True,
    order: "Order | None" = None,
    raw: object | None = None,
) -> None:
    """_summary_

    Args:
        ok (bool | None, optional): Flag to check `Order` is success or not. Defaults to True.
        order (Order | None, optional): Order own the result. Defaults to None.
        raw (object | None, optional): Raw object of `Order`. Defaults to None.
    """
    self.ok: bool = ok
    self.order: "Order | None" = order
    self.raw: object | None = raw

OrderResultError ¤

OrderResultError(
    error: str,
    order: Order | None = None,
    raw: object | None = None,
)

Bases: OrderResult

Result of a error Order

Parameters:

  • error (str) –

    Error message

  • order (Order | None, default: None ) –

    Order own the result. Defaults to None.

  • raw (object | None, default: None ) –

    Raw object of Order. Defaults to None.

Source code in lettrade/exchange/order.py 
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def __init__(
    self,
    error: str,
    order: "Order | None" = None,
    raw: object | None = None,
) -> None:
    """_summary_

    Args:
        error (str): Error message
        order (Order | None, optional): Order own the result. Defaults to None.
        raw (object | None, optional): Raw object of `Order`. Defaults to None.
    """
    super().__init__(ok=False, order=order, raw=raw)
    self.error: str = error

OrderResultOk ¤

OrderResultOk(
    order: Order | None = None, raw: object | None = None
)

Bases: OrderResult

Result of a success Order

Parameters:

  • order (Order | None, default: None ) –

    Order own the result. Defaults to None.

  • raw (object | None, default: None ) –

    Raw object of Order. Defaults to None.

Source code in lettrade/exchange/order.py 
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def __init__(
    self,
    order: "Order | None" = None,
    raw: object | None = None,
) -> None:
    """_summary_

    Args:
        order (Order | None, optional): Order own the result. Defaults to None.
        raw (object | None, optional): Raw object of `Order`. Defaults to None.
    """
    super().__init__(ok=True, order=order, raw=raw)