The basket synthetic order type: orders on several instruments placed in one request, each reported on its own.
Each candidate is one order on its own instrument, and the template's fields are the defaults each candidate may override. UBI places every candidate and does nothing afterwards. It never resolves price or quantity references for a basket, so give real numbers. The first candidate's instrument anchors the request, and a dry run prepares only that first candidate. A refused leg does not stop the legs after it, and a leg UBI refuses after another was placed, even for a reason that might pass later such as a contract size the brokers disagree on, answers HTTP 207 with the placed legs still watched. The same instrument may not appear twice.
Typical usage example:
order = basket.BasketOrder( candidates=[ order_candidate.OrderCandidate(reliance, price=1450.0), order_candidate.OrderCandidate(infosys, price=1500.0), ], transaction_type="buy", product="cnc", order_type="limit", quantity=1, dry_run=True, ) answer = order.place()
BasketOrder(*, candidates, transaction_type, product, order_type, quantity, price=None, trigger_price=None, validity=None, after_market=False, tag=None, closes_position=False, reduce_only=False, hold_limits=None, dry_run=False, hedge_benefit=False)
Bases: SyntheticOrder
Orders on several instruments placed in one request, each reported on its own.
Each candidate is one order on its own instrument, and the template's fields are the defaults each candidate may override. UBI places every candidate and does nothing afterwards. It never resolves price or quantity references for a basket, so give real numbers. The first candidate's instrument anchors the request, and a dry run prepares only that first candidate. A refused leg does not stop the legs after it, and a leg UBI refuses after another was placed, even for a reason that might pass later such as a contract size the brokers disagree on, answers HTTP 207 with the placed legs still watched. The same instrument may not appear twice.
The order template's attributes are described on SyntheticOrder, where instrument is the first candidate's.
Attributes:
| Name | Type | Description |
|---|---|---|
candidates |
The list of order_candidate.OrderCandidate, one per instrument. |
|
hedge_benefit |
A bool that is True to have UBI price options and futures on one underlying and expiry together, as a hedged whole, when it checks that the broker can afford the legs. |
Initialises the candidates, the template they default to and this type's own settings.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
candidates
|
list[OrderCandidate]
|
The list of order_candidate.OrderCandidate, from 1 to 25, each on a different instrument. |
required |
transaction_type
|
str
|
The str default side for every candidate, |
required |
product
|
str
|
The str default product for every candidate, |
required |
order_type
|
str
|
The str default kind of order for every candidate, |
required |
quantity
|
int
|
The int default quantity in underlying units for every candidate. |
required |
price
|
float | None
|
The float default limit price in rupees for every candidate, or None. It is carried into a candidate that sets |
None
|
trigger_price
|
float | None
|
The float default trigger price in rupees for every candidate, or None. |
None
|
validity
|
str | None
|
The str default validity, |
None
|
after_market
|
bool
|
A bool that is True to send the orders as after-market orders. |
False
|
tag
|
str | None
|
A str default label of up to twenty letters and digits, or None. |
None
|
closes_position
|
bool
|
A bool that is True when every order this type sends closes a position, so it may use the share of a broker's daily order cap kept for exits. |
False
|
reduce_only
|
bool
|
A bool that is True to have UBI refuse, with HTTP 409, any leg that is not on the closing side of the net position held when it is sent or is bigger than that position. |
False
|
hold_limits
|
bool | None
|
A bool that is True to have UBI hold each order that would rest at the broker at a fixed limit price until the other side of the book reaches it, False to send them as they come, or None to let UBI use the type's default. |
None
|
dry_run
|
bool
|
A bool that is True to have UBI check the order and answer with the |
False
|
hedge_benefit
|
bool
|
A bool that is True to have UBI price options and futures on one underlying and expiry together, as a hedged whole, when it checks that the broker can afford the legs, rather than adding every leg's margin up. |
False
|
Raises:
| Type | Description |
|---|---|
ValueError
|
No candidate was given, so there is no instrument to anchor the request. |
Source code in src/tradingmachine/orders/basket.py
Gives this type's own settings, the fields of the synthetic object besides type.
Returns:
| Type | Description |
|---|---|
dict
|
A dict of UBI field names to values, holding the candidates as UBI reads them, where a value of None means the field is left out. |
Examples:
Print the candidate objects of a basket buying one share of each of two companies:
from tradingmachine.assets import equities
from tradingmachine.orders import basket
from tradingmachine.orders import order_candidate
share = equities.Equity(exchange="nse", symbol="IDEA")
second_share = equities.Equity(exchange="nse", symbol="YESBANK")
order = basket.BasketOrder(
candidates=[
order_candidate.OrderCandidate(share, price=13.0),
order_candidate.OrderCandidate(second_share, price=19.0),
],
transaction_type="buy",
product="mis",
order_type="limit",
quantity=1,
)
print(order.synthetic_fields())
Count the legs of a basket in which one candidate overrides the side and the quantity:
from tradingmachine.assets import equities
from tradingmachine.orders import basket
from tradingmachine.orders import order_candidate
share = equities.Equity(exchange="nse", symbol="IDEA")
second_share = equities.Equity(exchange="nse", symbol="YESBANK")
order = basket.BasketOrder(
candidates=[
order_candidate.OrderCandidate(share, price=13.0),
order_candidate.OrderCandidate(
second_share,
transaction_type="sell",
quantity=2,
price=21.0,
),
],
transaction_type="buy",
product="mis",
order_type="limit",
quantity=1,
)
candidates = order.synthetic_fields()["candidates"]
print(f"{len(candidates)} legs")
for candidate in candidates:
print(candidate)
Source code in src/tradingmachine/orders/basket.py
Example programs¶
Rest a bid in one share and an offer in another in one basket¶
Run it with .venv/bin/python examples/orders/basket/basket_order/bid_and_offer_basket.py.
"""Rest a bid in one share and an offer in another in one basket.
The program previews and then sends a basket whose first candidate buys one Vodafone Idea share 3% below the market and whose second overrides the side to sell one Yes Bank share 3% above it. It prints the parent's legs and the broker orders, then cancels the basket.
Typical usage example:
.venv/bin/python examples/orders/basket/basket_order/bid_and_offer_basket.py
"""
import time
from tradingmachine.accounts import account
from tradingmachine.assets import equities
from tradingmachine.assets import instruments
from tradingmachine.orders import basket
from tradingmachine.orders import order_candidate
from tradingmachine.unified_broker_interface import exceptions
class BidAndOfferBasket:
"""A basket that buys one share and sells another, each away from the market.
Attributes:
trading_account: The tradingmachine.accounts.account.Account, used to read the engine's answer when it comes late.
share: The tradingmachine.assets.equities.Equity for Vodafone Idea on the NSE.
second_share: The tradingmachine.assets.equities.Equity for Yes Bank on the NSE.
order: The tradingmachine.orders.basket.BasketOrder the program places, or None before run() builds it.
"""
def __init__(self):
"""Looks up the shares the program trades.
Raises:
tradingmachine.assets.exceptions.InstrumentError: A share could not be found in UBI.
"""
self.trading_account = account.Account()
self.share = equities.Equity(exchange="nse", symbol="IDEA")
self.second_share = equities.Equity(exchange="nse", symbol="YESBANK")
self.order = None
def price_from_market(
self,
instrument: instruments.TradeableInstrument,
percent: float,
) -> float:
"""Gives a price a percentage away from an instrument's last price, rounded to its tick size.
Args:
instrument: The tradingmachine.assets.instruments.TradeableInstrument to price.
percent: The float percentage to move from the last price, negative for a price below the market.
Returns:
The float price in rupees.
Raises:
ValueError: UBI has no last price for the instrument.
"""
last_price = instrument.last_price
if last_price is None:
raise ValueError(f"UBI has no last price for {instrument!r}")
tick_size = 0.05
if instrument.tick_size is not None:
tick_size = float(instrument.tick_size)
ticks = round(last_price * (1 + percent / 100) / tick_size)
return round(ticks * tick_size, 2)
def build_order(self, dry_run: bool) -> basket.BasketOrder:
"""Builds a basket of a bid for Vodafone Idea and an offer of Yes Bank.
Args:
dry_run: A bool that is True to build the order as a dry run, which UBI only checks and prices.
Returns:
The tradingmachine.orders.basket.BasketOrder, not yet placed.
Raises:
ValueError: UBI has no last price for a share.
"""
return basket.BasketOrder(
candidates=[
order_candidate.OrderCandidate(
self.share,
price=self.price_from_market(self.share, -3),
),
order_candidate.OrderCandidate(
self.second_share,
transaction_type="sell",
price=self.price_from_market(self.second_share, 3),
),
],
transaction_type="buy",
product="mis",
order_type="limit",
quantity=1,
price=self.price_from_market(self.share, -3),
dry_run=dry_run,
)
def print_parent(self) -> None:
"""Prints the state the order engine holds the order in and each leg it has.
Returns:
None.
Raises:
tradingmachine.unified_broker_interface.exceptions.UnifiedBrokerInterfaceError: UBI could not read the parent.
"""
parent = self.order.parent
print(f"Parent state: {parent['state']}")
for leg in parent["legs"]:
print(
f" leg {leg.get('role')}: {leg.get('transaction_type')} "
f"{leg.get('quantity')} at {leg.get('price')} "
f"trigger {leg.get('trigger_price')}, {leg.get('state')}"
)
def print_broker_orders(self) -> None:
"""Prints the broker orders the order has placed so far.
Returns:
None.
Raises:
tradingmachine.unified_broker_interface.exceptions.UnifiedBrokerInterfaceError: UBI could not read the order book.
"""
broker_orders = self.order.orders
if broker_orders is None:
print("No broker order has been placed yet.")
return
for row in broker_orders.to_dict("records"):
print(
f" order {row.get('order_id')}: {row.get('transaction_type')} "
f"{row.get('quantity')} at {row.get('price')}, {row.get('status')}"
)
def place_order(self) -> dict:
"""Places the order, sending it again when a broker refuses it, and reading the engine's stored answer when the engine answers too late, so that the order can always be cancelled.
Returns:
The dict answer of the placement, whose `parent_id` is also kept on the order.
Raises:
tradingmachine.unified_broker_interface.exceptions.OrderRejectedError: Brokers refused the order three times.
tradingmachine.unified_broker_interface.exceptions.OrderOutcomeUnknownError: The engine's answer could not be read within thirty seconds.
tradingmachine.unified_broker_interface.exceptions.UnifiedBrokerInterfaceError: UBI refused the order or could not be reached.
"""
for attempt in range(3):
try:
return self.order.place()
except exceptions.OrderRejectedError as error:
if attempt == 2:
raise
print(f"A broker refused the order, so it is sent again: {error}")
time.sleep(1)
except exceptions.OrderOutcomeUnknownError as error:
return self.read_late_answer(error)
return {}
def read_late_answer(
self,
error: exceptions.OrderOutcomeUnknownError,
) -> dict:
"""Reads the order engine's stored answer to a placement it answered too late, and keeps its parent id.
Args:
error: The tradingmachine.unified_broker_interface.exceptions.OrderOutcomeUnknownError the placement raised.
Returns:
The dict answer the placement would have given.
Raises:
tradingmachine.unified_broker_interface.exceptions.OrderOutcomeUnknownError: The engine's answer could not be read within thirty seconds.
"""
intent_id = error.detail.get("intent_id")
print(f"The engine answered late, so intent {intent_id} is read.")
for attempt in range(15):
time.sleep(2)
try:
stored = self.trading_account.intent(intent_id)
except exceptions.NotFoundError:
continue
answer = stored["response"]
self.order.parent_id = answer.get("parent_id")
return answer
raise error
def cancel_order(self) -> None:
"""Cancels the order in the order engine, with every leg it still has at a broker, and prints the result.
A broker can refuse or be slow to answer one leg's cancel, which leaves the parent `cancelling`, and the engine itself can answer late, so the cancel is sent again until the parent is `cancelled`, up to five times.
Returns:
None.
Raises:
RuntimeError: The parent was still not cancelled after five attempts, so a leg may still be live.
tradingmachine.unified_broker_interface.exceptions.UnifiedBrokerInterfaceError: UBI refused the cancel or could not be reached.
"""
if self.order is None or self.order.parent_id is None:
print("No order was placed, so there is nothing to cancel.")
return
for attempt in range(5):
try:
answer = self.order.cancel()
except exceptions.ConflictError:
print(f"The parent has already finished: {self.order.parent['state']}")
return
except exceptions.OrderOutcomeUnknownError:
print("The engine answered the cancel late, so it is sent again.")
time.sleep(3)
continue
print(
f"Cancelled: state {answer['state']}, "
f"{len(answer['cancelled_legs'])} legs cancelled"
)
for leg in answer["cancelled_legs"]:
print(
f" {leg.get('broker')} {leg.get('order_id')}: {leg.get('outcome')}"
)
if answer["state"] == "cancelled":
return
time.sleep(3)
raise RuntimeError(
f"Parent {self.order.parent_id} is still not cancelled, so check it by hand"
)
def run(self) -> None:
"""Previews the basket, places it, prints its legs and orders and cancels it.
Returns:
None.
Raises:
ValueError: UBI has no last price for a share.
tradingmachine.unified_broker_interface.exceptions.UnifiedBrokerInterfaceError: UBI refused a request or could not be reached.
"""
preview = self.build_order(dry_run=True).place()
print("A dry run, which sends and records nothing, says UBI would send:")
print(preview.get("request", preview))
self.order = self.build_order(dry_run=False)
answer = self.place_order()
print(
f"Placed a {self.order.SYNTHETIC_TYPE} order: outcome "
f"{answer.get('outcome')}, parent {self.order.parent_id}"
)
try:
time.sleep(2)
self.print_parent()
self.print_broker_orders()
finally:
self.cancel_order()
if __name__ == "__main__":
BidAndOfferBasket().run()
Rest bids for two shares in one basket request, then cancel both¶
Run it with .venv/bin/python examples/orders/basket/basket_order/two_share_basket.py.
"""Rest bids for two shares in one basket request, then cancel both.
The program sends one basket that rests a buy of one Vodafone Idea share and one Yes Bank share, each 3% below its own market. It prints the combined answer's orders and the parent, then cancels the basket, which cancels both bids.
Typical usage example:
.venv/bin/python examples/orders/basket/basket_order/two_share_basket.py
"""
import time
from tradingmachine.accounts import account
from tradingmachine.assets import equities
from tradingmachine.assets import instruments
from tradingmachine.orders import basket
from tradingmachine.orders import order_candidate
from tradingmachine.unified_broker_interface import exceptions
class TwoShareBasket:
"""A basket of bids for two cheap shares placed in one request.
Attributes:
trading_account: The tradingmachine.accounts.account.Account, used to read the engine's answer when it comes late.
share: The tradingmachine.assets.equities.Equity for Vodafone Idea on the NSE.
second_share: The tradingmachine.assets.equities.Equity for Yes Bank on the NSE.
order: The tradingmachine.orders.basket.BasketOrder the program places, or None before run() builds it.
"""
def __init__(self):
"""Looks up the shares the program trades.
Raises:
tradingmachine.assets.exceptions.InstrumentError: A share could not be found in UBI.
"""
self.trading_account = account.Account()
self.share = equities.Equity(exchange="nse", symbol="IDEA")
self.second_share = equities.Equity(exchange="nse", symbol="YESBANK")
self.order = None
def price_from_market(
self,
instrument: instruments.TradeableInstrument,
percent: float,
) -> float:
"""Gives a price a percentage away from an instrument's last price, rounded to its tick size.
Args:
instrument: The tradingmachine.assets.instruments.TradeableInstrument to price.
percent: The float percentage to move from the last price, negative for a price below the market.
Returns:
The float price in rupees.
Raises:
ValueError: UBI has no last price for the instrument.
"""
last_price = instrument.last_price
if last_price is None:
raise ValueError(f"UBI has no last price for {instrument!r}")
tick_size = 0.05
if instrument.tick_size is not None:
tick_size = float(instrument.tick_size)
ticks = round(last_price * (1 + percent / 100) / tick_size)
return round(ticks * tick_size, 2)
def build_order(self, dry_run: bool) -> basket.BasketOrder:
"""Builds a basket of two bids, each 3% below its share's market.
Args:
dry_run: A bool that is True to build the order as a dry run, which UBI only checks and prices.
Returns:
The tradingmachine.orders.basket.BasketOrder, not yet placed.
Raises:
ValueError: UBI has no last price for a share.
"""
return basket.BasketOrder(
candidates=[
order_candidate.OrderCandidate(
self.share,
price=self.price_from_market(self.share, -3),
),
order_candidate.OrderCandidate(
self.second_share,
price=self.price_from_market(self.second_share, -3),
),
],
transaction_type="buy",
product="mis",
order_type="limit",
quantity=1,
price=self.price_from_market(self.share, -3),
dry_run=dry_run,
)
def print_parent(self) -> None:
"""Prints the state the order engine holds the order in and each leg it has.
Returns:
None.
Raises:
tradingmachine.unified_broker_interface.exceptions.UnifiedBrokerInterfaceError: UBI could not read the parent.
"""
parent = self.order.parent
print(f"Parent state: {parent['state']}")
for leg in parent["legs"]:
print(
f" leg {leg.get('role')}: {leg.get('transaction_type')} "
f"{leg.get('quantity')} at {leg.get('price')} "
f"trigger {leg.get('trigger_price')}, {leg.get('state')}"
)
def place_order(self) -> dict:
"""Places the order, sending it again when a broker refuses it, and reading the engine's stored answer when the engine answers too late, so that the order can always be cancelled.
Returns:
The dict answer of the placement, whose `parent_id` is also kept on the order.
Raises:
tradingmachine.unified_broker_interface.exceptions.OrderRejectedError: Brokers refused the order three times.
tradingmachine.unified_broker_interface.exceptions.OrderOutcomeUnknownError: The engine's answer could not be read within thirty seconds.
tradingmachine.unified_broker_interface.exceptions.UnifiedBrokerInterfaceError: UBI refused the order or could not be reached.
"""
for attempt in range(3):
try:
return self.order.place()
except exceptions.OrderRejectedError as error:
if attempt == 2:
raise
print(f"A broker refused the order, so it is sent again: {error}")
time.sleep(1)
except exceptions.OrderOutcomeUnknownError as error:
return self.read_late_answer(error)
return {}
def read_late_answer(
self,
error: exceptions.OrderOutcomeUnknownError,
) -> dict:
"""Reads the order engine's stored answer to a placement it answered too late, and keeps its parent id.
Args:
error: The tradingmachine.unified_broker_interface.exceptions.OrderOutcomeUnknownError the placement raised.
Returns:
The dict answer the placement would have given.
Raises:
tradingmachine.unified_broker_interface.exceptions.OrderOutcomeUnknownError: The engine's answer could not be read within thirty seconds.
"""
intent_id = error.detail.get("intent_id")
print(f"The engine answered late, so intent {intent_id} is read.")
for attempt in range(15):
time.sleep(2)
try:
stored = self.trading_account.intent(intent_id)
except exceptions.NotFoundError:
continue
answer = stored["response"]
self.order.parent_id = answer.get("parent_id")
return answer
raise error
def cancel_order(self) -> None:
"""Cancels the order in the order engine, with every leg it still has at a broker, and prints the result.
A broker can refuse or be slow to answer one leg's cancel, which leaves the parent `cancelling`, and the engine itself can answer late, so the cancel is sent again until the parent is `cancelled`, up to five times.
Returns:
None.
Raises:
RuntimeError: The parent was still not cancelled after five attempts, so a leg may still be live.
tradingmachine.unified_broker_interface.exceptions.UnifiedBrokerInterfaceError: UBI refused the cancel or could not be reached.
"""
if self.order is None or self.order.parent_id is None:
print("No order was placed, so there is nothing to cancel.")
return
for attempt in range(5):
try:
answer = self.order.cancel()
except exceptions.ConflictError:
print(f"The parent has already finished: {self.order.parent['state']}")
return
except exceptions.OrderOutcomeUnknownError:
print("The engine answered the cancel late, so it is sent again.")
time.sleep(3)
continue
print(
f"Cancelled: state {answer['state']}, "
f"{len(answer['cancelled_legs'])} legs cancelled"
)
for leg in answer["cancelled_legs"]:
print(
f" {leg.get('broker')} {leg.get('order_id')}: {leg.get('outcome')}"
)
if answer["state"] == "cancelled":
return
time.sleep(3)
raise RuntimeError(
f"Parent {self.order.parent_id} is still not cancelled, so check it by hand"
)
def run(self) -> None:
"""Places the basket, prints its parent and cancels it.
Returns:
None.
Raises:
ValueError: UBI has no last price for a share.
tradingmachine.unified_broker_interface.exceptions.UnifiedBrokerInterfaceError: UBI refused a request or could not be reached.
"""
self.order = self.build_order(dry_run=False)
answer = self.place_order()
print(
f"Placed a {self.order.SYNTHETIC_TYPE} order: outcome "
f"{answer.get('outcome')}, parent {self.order.parent_id}"
)
try:
time.sleep(2)
self.print_parent()
finally:
self.cancel_order()
if __name__ == "__main__":
TwoShareBasket().run()