v4.5.91 - Fix live bar pagination + crypto-futures close_position #1164
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| Original file line number | Diff line number | Diff line change |
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@@ -2644,6 +2644,8 @@ def modify_order(self, order, stop_price: Union[float, None] = None, limit_price | |
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| def submit_order(self, order) -> Order: | ||
| """Conform an order for an asset to broker constraints and submit it.""" | ||
| if order is None: | ||
| raise ValueError("Cannot submit a null order") | ||
| self.resolve_option_order_intent(order) | ||
| self._conform_order(order) | ||
| return self._submit_order(order) | ||
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@@ -2878,16 +2880,33 @@ def sell_all(self, strategy_name, cancel_open_orders=True, strategy=None, is_mul | |
| if position.quantity == 0: | ||
| continue | ||
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| order = None | ||
| if strategy is not None: | ||
| if strategy.quote_asset != position.asset: | ||
| order = self._create_position_closing_order(position, quote_asset=strategy.quote_asset) | ||
| else: | ||
| order = self._create_position_closing_order(position) | ||
| if order is not None: | ||
| orders.append(order) | ||
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| self.submit_orders(orders, is_multileg=is_multileg) | ||
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| def _create_position_closing_order(self, position, quote_asset=None): | ||
| """Build a close order, including reduce-only crypto-futures fallback.""" | ||
| order = position.get_selling_order(quote_asset=quote_asset) | ||
| if order is not None or position.quantity == 0: | ||
| return order | ||
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| order = Order( | ||
| position.strategy, | ||
| position.asset, | ||
| abs(position.quantity), | ||
| side=Order.OrderSide.SELL if position.quantity > 0 else Order.OrderSide.BUY, | ||
| quote=quote_asset, | ||
| ) | ||
| order.reduce_only = True | ||
| return order | ||
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| def close_position(self, strategy_name: str, asset: Asset, fraction: float = 1.00): | ||
| """ | ||
| Close a position for a given strategy and asset by submitting a sell order. | ||
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@@ -2907,6 +2926,10 @@ def close_position(self, strategy_name: str, asset: Asset, fraction: float = 1.0 | |
| The sell order submitted to close the position, or None if no open position exists | ||
| or the position quantity is zero. | ||
| """ | ||
| fraction_value = float(fraction) | ||
| if not 0 < fraction_value <= 1: | ||
| raise ValueError("fraction must be greater than 0 and no more than 1") | ||
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| pos = self.get_tracked_position(strategy_name, asset) | ||
| if pos and pos.quantity != 0: | ||
| self.logger.info( | ||
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@@ -2916,9 +2939,17 @@ def close_position(self, strategy_name: str, asset: Asset, fraction: float = 1.0 | |
| fraction, | ||
| pos.quantity, | ||
| ) | ||
| quote_asset = next(iter(self.quote_assets), None) | ||
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There was a problem hiding this comment. 🗄️ Data Integrity & Integration | 🟡 Minor | ⚡ Quick win 🔎 Supported by static analysis🤖 get_repo_knowledge executed:
Length of output: 47820 🏁 Script executed: #!/bin/bash
set -eu
printf '%s\n' '--- changed hunk context ---'
sed -n '2615,2675p' lumibot/brokers/broker.py
sed -n '2860,2965p' lumibot/brokers/broker.py
printf '%s\n' '--- strategy quote asset registration ---'
sed -n '190,240p' lumibot/strategies/strategy.py
printf '%s\n' '--- quote_assets and close_position references ---'
rg -n -C 3 'quote_assets|close_position\(' lumibot/brokers lumibot/strategies | head -240
printf '%s\n' '--- broker subclasses and close-order consumers ---'
rg -n -C 4 'def _submit_order|def submit_order|quote_asset|is_crypto|crypto.?futures|reduce_only' lumibot/brokers | head -320Repository: Lumiwealth/lumibot Length of output: 43986 🏁 Script executed: #!/bin/bash
set -eu
printf '%s\n' '--- broker.py close_position exact region ---'
cat -n lumibot/brokers/broker.py | sed -n '2868,2960p'
printf '%s\n' '--- strategy.py exact quote registration ---'
cat -n lumibot/strategies/strategy.py | sed -n '205,230p'
printf '%s\n' '--- all quote_assets definitions and direct uses ---'
rg -n -C 5 'quote_assets' lumibot tests 2>/dev/null | head -300Repository: Lumiwealth/lumibot Length of output: 22425 🏁 Script executed: #!/bin/bash
set -eu
git status --short
git diff -- lumibot/brokers/broker.py lumibot/strategies/strategy.py | sed -n '1,240p'Repository: Lumiwealth/lumibot Length of output: 156 🌐 Web query:
💡 Result: In the context of the Lumibot trading framework, quote_assets and close_position are related components used for managing trading operations and portfolio valuation [1][2]. quote_assets: This refers to a collection of assets (typically a set) defined within a broker instance that represent the base currencies or cash equivalents used to value positions and measure portfolio performance (e.g., USDT, USD, USDC) [1][2][3]. The quote asset is the currency in which a strategy's portfolio value is denominated [1]. When a position is closed, the framework may use these defined quote assets to determine the currency in which the trade proceeds are settled [2]. close_position: This is a method available in both the strategy and broker classes used to exit an open trading position [1][2]. - Strategy Level: When calling self.close_position(asset) within a strategy, it triggers the corresponding broker's close_position method for that specific asset [1]. It supports closing a fraction of the position (default is 1.0, or 100%) [1][2]. - Broker Level: The broker implementation executes the logic to close the position [2]. For standard assets, this is typically achieved by submitting a market sell order [1][2]. For specific crypto futures brokers (such as Bitunix), the implementation may utilize specialized, high-performance API endpoints, such as a flash-close or reduce-only order, to exit the position immediately [1][4]. If no open position exists for the specified asset, the close_position method generally does not take any action [1][2]. Citations:
🏁 Script executed: #!/bin/bash
set -eu
printf '%s\n' '--- position closing order implementation ---'
rg -n -C 8 'def get_selling_order|class Position' lumibot/entities/position.py lumibot/entities
printf '%s\n' '--- crypto-futures quote consumption ---'
rg -n -C 6 'order\.quote|quote\.symbol|quote_asset|CRYPTO_FUTURE|reduce_only' lumibot/brokers lumibot/entities/order.py | head -360
printf '%s\n' '--- close-position tests ---'
cat -n tests/test_strategy_close_position.py | sed -n '1,180p'Repository: Lumiwealth/lumibot Length of output: 39482 🏁 Script executed: #!/bin/bash
set -eu
cat -n lumibot/entities/position.py | sed -n '300,390p'
rg -n -C 5 'get_selling_order' lumibot testsRepository: Lumiwealth/lumibot Length of output: 7868 🏁 Script executed: #!/bin/bash
set -eu
printf '%s\n' '--- Position.get_selling_order body ---'
cat -n lumibot/entities/position.py | sed -n '182,235p'
printf '%s\n' '--- Order quote initialization ---'
cat -n lumibot/entities/order.py | sed -n '430,530p'
printf '%s\n' '--- base broker conformance and quote consumers ---'
rg -n -C 8 'def _conform_order|order\.quote|quote=order\.quote|quote_asset' lumibot/brokers/broker.py lumibot/brokers/bitunix.py lumibot/entities/order.pyRepository: Lumiwealth/lumibot Length of output: 23087 🏁 Script executed: #!/bin/bash
set -eu
cat -n lumibot/brokers/broker.py | sed -n '2045,2125p'
printf '%s\n' '--- crypto-future broker implementations ---'
rg -n -l 'CRYPTO_FUTURE|crypto_future' lumibot/brokersRepository: Lumiwealth/lumibot Length of output: 4145 Scope the close-order quote to
🤖 Prompt for AI Agents |
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| order = self._create_position_closing_order(pos, quote_asset=quote_asset) | ||
| if order is None: | ||
| self.logger.warning( | ||
| "close_position(strategy=%s, asset=%s) could not build a close order", | ||
| strategy_name, | ||
| getattr(asset, "symbol", asset), | ||
| ) | ||
| return None | ||
| if fraction != 1.00: | ||
| order.quantity = order.quantity * fraction_value | ||
| order_id = getattr(order, "identifier", None) or getattr(order, "id", None) or getattr(order, "order_id", None) | ||
| self.logger.info( | ||
| "close_position(strategy=%s) submitting order %s qty=%s side=%s type=%s", | ||
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🩺 Stability & Availability | 🟠 Major | ⚡ Quick win
Reject null entries in
submit_orders.submit_orders([None])bypassessubmit_order()and reachesProjectX._submit_order(None)through the generic fallback. That method dereferencesorder.asset, causing a null-order failure. Add the guard beforeresolve_option_order_intent().Proposed fix
def submit_orders(self, orders, **kwargs) -> Union[Order, list[Order]]: """Submit orders""" resolved_orders = [] for order in orders: + if order is None: + raise ValueError("Cannot submit a null order") self.resolve_option_order_intent(order, additional_active_orders=resolved_orders) resolved_orders.append(order)📝 Committable suggestion
🤖 Prompt for AI Agents