aed-quant/order.py at main · ToughStyle/aed-quant · GitHub

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# -*- coding:utf-8 -*-

"""
Order object.

Author: CyberQuant
Date:   2023/06/01
Email:  cyberquant@outlook.com
"""

from aed_quant.utils import tools


# Order type.
ORDER_TYPE_LIMIT = "LIMIT"  # Limit order.
ORDER_TYPE_MARKET = "MARKET"  # Market order.

# Order direction.
ORDER_ACTION_BUY = "BUY"  # Buy
ORDER_ACTION_SELL = "SELL"  # Sell

# Order status.
ORDER_STATUS_NONE = "NONE"  # New created order, no status.
ORDER_STATUS_SUBMITTED = "SUBMITTED"  # The order that submitted to server successfully.
ORDER_STATUS_PARTIAL_FILLED = "PARTIAL-FILLED"  # The order that filled partially.
ORDER_STATUS_FILLED = "FILLED"  # The order that filled fully.
ORDER_STATUS_CANCELED = "CANCELED"  # The order that canceled.
ORDER_STATUS_FAILED = "FAILED"  # The order that failed.

# Future order trade type.
TRADE_TYPE_NONE = 0  # Unknown type, some Exchange's order information couldn't known the type of trade.
TRADE_TYPE_BUY_OPEN = 1  # Buy open, action = BUY & quantity > 0.
TRADE_TYPE_SELL_OPEN = 2  # Sell open, action = SELL & quantity < 0.
TRADE_TYPE_SELL_CLOSE = 3  # Sell close, action = SELL & quantity > 0.
TRADE_TYPE_BUY_CLOSE = 4  # Buy close, action = BUY & quantity < 0.


class Order:
	""" Order object.

	Attributes:
		account_id: Trading account name, e.g. test@gmail.com.
		platform: Exchange platform name, e.g. binance/bitmex.
		strategy: Strategy name, e.g. my_test_strategy.
		order_id: order id.
		symbol: Trading pair name, e.g. ETH/BTC.
		action: Trading side, BUY/SELL.
		price: Order vwm.
		quantity: Order quantity.
		remain: Remain quantity that not filled.
		status: Order status.
		avg_price: Average vwm that filled.
		order_type: Order type.
		trade_type: Trade type, only for future order.
		ctime: Order create time, millisecond.
		utime: Order update time, millisecond.
	"""

	def __init__(self, account_id=None, platform=None, strategy=None, order_id=None, client_order_id=None, symbol=None,
				 action=None, price=0, quantity=0, remain=0, status=ORDER_STATUS_NONE, avg_price=0,
				 order_type=ORDER_TYPE_LIMIT, trade_type=TRADE_TYPE_NONE, ctime=None, utime=None):
		self.platform = platform
		self.account_id = account_id
		self.strategy = strategy
		self.order_id = order_id
		self.client_order_id = client_order_id
		self.action = action
		self.order_type = order_type
		self.symbol = symbol
		self.price = price
		self.quantity = quantity
		self.remain = remain if remain else quantity
		self.status = status
		self.avg_price = avg_price
		self.trade_type = trade_type
		self.ctime = ctime if ctime else tools.get_cur_timestamp_ms()
		self.utime = utime if utime else tools.get_cur_timestamp_ms()

	def __str__(self):
		info = "[platform: {platform}, account: {account}, strategy: {strategy}, order_id: {order_id}, " \
			   "client_order_id: {client_order_id}, action: {action}, symbol: {symbol}, vwm: {price}, " \
			   "quantity: {quantity}, remain: {remain}, status: {status}, bias_to_vwp: {avg_price}, " \
			   "is_limit: {order_type}, trade_type: {trade_type}, " \
			   "ctime: {ctime}, utime: {utime}]".format(
			platform=self.platform, account=self.account_id, strategy=self.strategy, order_id=self.order_id,
			client_order_id=self.client_order_id, action=self.action, symbol=self.symbol, price=self.price,
			quantity=self.quantity, remain=self.remain, status=self.status, avg_price=self.avg_price,
			order_type=self.order_type, trade_type=self.trade_type, ctime=self.ctime, utime=self.utime)
		return info

	def __repr__(self):
		return str(self)