# Copyright 2020 The TensorTrade Authors.
#
# 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
from tensortrade.oms.instruments import ExchangePair
from tensortrade.oms.wallets import Portfolio
from tensortrade.oms.orders import Order, OrderSpec, TradeSide, TradeType
from tensortrade.oms.orders.criteria import Stop, Limit
[docs]def market_order(side: "TradeSide",
exchange_pair: "ExchangePair",
price: float,
size: float,
portfolio: "Portfolio") -> "Order":
"""Creates a market order.
Parameters
----------
side : `TradeSide`
The side of the order.
exchange_pair : `ExchangePair`
The exchange pair to perform the order for.
price : float
The current price.
size : float
The size of the order.
portfolio : `Portfolio`
The portfolio being used in the order.
Returns
-------
`Order`
A market order.
"""
instrument = side.instrument(exchange_pair.pair)
order = Order(
step=portfolio.clock.step,
side=side,
trade_type=TradeType.MARKET,
exchange_pair=exchange_pair,
price=price,
quantity=(size * instrument),
portfolio=portfolio
)
return order
[docs]def limit_order(side: "TradeSide",
exchange_pair: "ExchangePair",
limit_price: float,
size: float,
portfolio: 'Portfolio',
start: int = None,
end: int = None):
"""Creates a limit order.
Parameters
----------
side : `TradeSide`
The side of the order.
exchange_pair : `ExchangePair`
The exchange pair to perform the order for.
limit_price : float
The limit price of the order.
size : float
The size of the order.
portfolio : `Portfolio`
The portfolio being used in the order.
start : int, optional
The start time of the order.
end : int, optional
The end time of the order.
Returns
-------
`Order`
A limit order.
"""
side = TradeSide[side]
instrument = side.instrument(exchange_pair.pair)
order = Order(
step=portfolio.clock.step,
side=side,
trade_type=TradeType.LIMIT,
exchange_pair=exchange_pair,
price=limit_price,
quantity=(size * instrument),
start=start,
end=end,
portfolio=portfolio
)
return order
[docs]def hidden_limit_order(side: "TradeSide",
exchange_pair: "ExchangePair",
limit_price: float,
size: float,
portfolio: "Portfolio",
start: int = None,
end: int = None):
"""Creates a hidden limit order.
Parameters
----------
side : `TradeSide`
The side of the order.
exchange_pair : `ExchangePair`
The exchange pair to perform the order for.
limit_price : float
The limit price of the order.
size : float
The size of the order.
portfolio : `Portfolio`
The portfolio being used in the order.
start : int, optional
The start time of the order.
end : int, optional
The end time of the order.
Returns
-------
`Order`
A hidden limit order.
"""
side = TradeSide[side]
instrument = side.instrument(exchange_pair.pair)
order = Order(
step=portfolio.clock.step,
side=side,
trade_type=TradeType.MARKET,
exchange_pair=exchange_pair,
price=limit_price,
quantity=(size * instrument),
start=start,
end=end,
portfolio=portfolio,
criteria=Limit(limit_price=limit_price)
)
return order
[docs]def risk_managed_order(side: "TradeSide",
trade_type: "TradeType",
exchange_pair: "ExchangePair",
price: float,
quantity: "Quantity",
down_percent: float,
up_percent: float,
portfolio: "Portfolio",
start: int = None,
end: int = None):
"""Create a stop order that manages for percentages above and below the
entry price of the order.
Parameters
----------
side : `TradeSide`
The side of the order.
trade_type : `TradeType`
The type of trade to make when going in.
exchange_pair : `ExchangePair`
The exchange pair to perform the order for.
price : float
The current price.
down_percent: float
The percentage the price is allowed to drop before exiting.
up_percent : float
The percentage the price is allowed to rise before exiting.
quantity : `Quantity`
The quantity of the order.
portfolio : `Portfolio`
The portfolio being used in the order.
start : int, optional
The start time of the order.
end : int, optional
The end time of the order.
Returns
-------
`Order`
A stop order controlling for the percentages above and below the entry
price.
"""
side = TradeSide(side)
instrument = side.instrument(exchange_pair.pair)
order = Order(
step=portfolio.clock.step,
side=side,
trade_type=TradeType(trade_type),
exchange_pair=exchange_pair,
price=price,
start=start,
end=end,
quantity=quantity,
portfolio=portfolio
)
risk_criteria = Stop("down", down_percent) ^ Stop("up", up_percent)
risk_management = OrderSpec(
side=TradeSide.SELL if side == TradeSide.BUY else TradeSide.BUY,
trade_type=TradeType.MARKET,
exchange_pair=exchange_pair,
criteria=risk_criteria
)
order.add_order_spec(risk_management)
return order
[docs]def proportion_order(portfolio: 'Portfolio',
source: 'Wallet',
target: 'Wallet',
proportion: float) -> 'Order':
"""Creates an order that sends a proportion of funds from one wallet to
another.
Parameters
----------
portfolio : `Portfolio`
The portfolio that contains both wallets.
source : `Wallet`
The source wallet for the funds.
target : `Wallet`
The target wallet for the funds.
proportion : float
The proportion of funds to send.
"""
assert 0.0 < proportion <= 1.0
exchange = source.exchange
base_params = {
'step': portfolio.clock.step,
'portfolio': portfolio,
'trade_type': TradeType.MARKET,
'start': portfolio.clock.step,
'end': portfolio.clock.step + 1
}
pair = None
is_source_base = (source.instrument == portfolio.base_instrument)
is_target_base = (target.instrument == portfolio.base_instrument)
if is_source_base or is_target_base:
if is_source_base:
pair = source.instrument / target.instrument
else:
pair = target.instrument / source.instrument
exchange_pair = ExchangePair(exchange, pair)
balance = source.balance.as_float()
size = min(balance * proportion, balance)
quantity = (size * source.instrument).quantize()
params = {
**base_params,
'side': TradeSide.BUY if is_source_base else TradeSide.SELL,
'exchange_pair': exchange_pair,
'price': exchange_pair.price,
'quantity': quantity
}
return Order(**params)
pair = portfolio.base_instrument / source.instrument
exchange_pair = ExchangePair(exchange, pair)
balance = source.balance.as_float()
size = min(balance * proportion, balance)
quantity = (size * source.instrument).quantize()
params = {
**base_params,
'side': TradeSide.SELL,
'exchange_pair': exchange_pair,
'price': exchange_pair.price,
'quantity': quantity
}
order = Order(**params)
pair = portfolio.base_instrument / target.instrument
order.add_order_spec(OrderSpec(
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
exchange_pair=ExchangePair(exchange, pair),
criteria=None
))
return order