import logging
from decimal import Decimal
from tensortrade.core import Clock
from tensortrade.oms.wallets import Wallet
from tensortrade.oms.exchanges import ExchangeOptions
from tensortrade.oms.orders import Order, Trade, TradeType, TradeSide
from typing import Union
[docs]def execute_buy_order(order: 'Order',
base_wallet: 'Wallet',
quote_wallet: 'Wallet',
current_price: float,
options: 'ExchangeOptions',
clock: 'Clock') -> Union[None, 'Trade']:
"""Executes a buy order on the exchange.
Parameters
----------
order : `Order`
The order that is being filled.
base_wallet : `Wallet`
The wallet of the base instrument.
quote_wallet : `Wallet`
The wallet of the quote instrument.
current_price : float
The current price of the exchange pair.
options : `ExchangeOptions`
The exchange options.
clock : `Clock`
The clock for the trading process..
Returns
-------
`Trade`
The executed trade that was made.
"""
if order.type == TradeType.LIMIT and order.price < current_price:
return None
filled = order.remaining.contain(order.exchange_pair)
if order.type == TradeType.MARKET:
scale = order.price / max(current_price, order.price)
filled = scale * filled
commission = options.commission * filled
# If the user has specified a non-zero commission percentage, it has to be higher
# than the instrument precision, otherwise the minimum precision value is used.
minimum_commission = Decimal(10) ** -filled.instrument.precision
if options.commission > 0 and commission < minimum_commission:
logging.warning("Commission is > 0 but less than instrument precision. "
"Setting commission to the minimum allowed amount. "
"Consider defining a custom instrument with a higher precision.")
commission.size = minimum_commission
quantity = filled - commission
transfer = Wallet.transfer(
source=base_wallet,
target=quote_wallet,
quantity=quantity,
commission=commission,
exchange_pair=order.exchange_pair,
reason="BUY"
)
trade = Trade(
order_id=order.id,
step=clock.step,
exchange_pair=order.exchange_pair,
side=TradeSide.BUY,
trade_type=order.type,
quantity=transfer.quantity,
price=transfer.price,
commission=transfer.commission
)
return trade
[docs]def execute_sell_order(order: 'Order',
base_wallet: 'Wallet',
quote_wallet: 'Wallet',
current_price: float,
options: 'ExchangeOptions',
clock: 'Clock') -> Union[None, 'Trade']:
"""Executes a sell order on the exchange.
Parameters
----------
order : `Order`
The order that is being filled.
base_wallet : `Wallet`
The wallet of the base instrument.
quote_wallet : `Wallet`
The wallet of the quote instrument.
current_price : float
The current price of the exchange pair.
options : `ExchangeOptions`
The exchange options.
clock : `Clock`
The clock for the trading process..
Returns
-------
`Trade`
The executed trade that was made.
"""
if order.type == TradeType.LIMIT and order.price > current_price:
return None
filled = order.remaining.contain(order.exchange_pair)
commission = options.commission * filled
# If the user has specified a non-zero commission percentage, it has to be higher
# than the instrument precision, otherwise the minimum precision value is used.
minimum_commission = Decimal(10) ** -filled.instrument.precision
if options.commission > 0 and commission < minimum_commission:
logging.warning("Commission is > 0 but less than instrument precision. "
"Setting commission to the minimum allowed amount. "
"Consider defining a custom instrument with a higher precision.")
commission.size = minimum_commission
quantity = filled - commission
# Transfer Funds from Quote Wallet to Base Wallet
transfer = Wallet.transfer(
source=quote_wallet,
target=base_wallet,
quantity=quantity,
commission=commission,
exchange_pair=order.exchange_pair,
reason="SELL"
)
trade = Trade(
order_id=order.id,
step=clock.step,
exchange_pair=order.exchange_pair,
side=TradeSide.SELL,
trade_type=order.type,
quantity=transfer.quantity,
price=transfer.price,
commission=transfer.commission
)
return trade
[docs]def execute_order(order: 'Order',
base_wallet: 'Wallet',
quote_wallet: 'Wallet',
current_price: float,
options: 'Options',
clock: 'Clock') -> 'Trade':
"""Executes an order on the exchange.
Parameters
----------
order : `Order`
The order that is being filled.
base_wallet : `Wallet`
The wallet of the base instrument.
quote_wallet : `Wallet`
The wallet of the quote instrument.
current_price : float
The current price of the exchange pair.
options : `ExchangeOptions`
The exchange options.
clock : `Clock`
The clock for the trading process..
Returns
-------
`Trade`
The executed trade that was made.
"""
kwargs = {"order": order,
"base_wallet": base_wallet,
"quote_wallet": quote_wallet,
"current_price": current_price,
"options": options,
"clock": clock}
if order.is_buy:
trade = execute_buy_order(**kwargs)
elif order.is_sell:
trade = execute_sell_order(**kwargs)
else:
trade = None
return trade