The bracket synthetic order type: an entry that arms a stop and a target behind itself on its first fill, even a partial one.
The exits are sized to what has filled and grown as more fills arrive, and once an exit fills the rest of the entry is cancelled and the other exit reduced. Give a stop, a target or both, and a stop always needs its limit, because every stop is a stop-limit. An entry that must never go out without a stop is a CoverOrder instead. By default UBI holds a limit entry in its virtual order book until the other side of the book reaches its price, answering HTTP 202 with an outcome of armed, while the exits rest at the broker as the entry fills; give hold_limits False to send the entry at once. An entry fill that arrives after both exits have finished sends the exits again for what it added, and a stop or target off the tick is refused with HTTP 400 before anything is sent, by a dry run as well. A stop or target you cancel by its order_id stays cancelled, and its unfilled quantity comes off its part, so a later entry fill is protected for the new quantity only; an exit the exchange cancels is likewise sent again only once a later entry fill grows it. An exit the broker refuses cancels the rest of the entry, and the parent ends failed, because the position is left without that exit.
Typical usage example:
order = bracket.BracketOrder( share, transaction_type="buy", product="mis", order_type="limit", quantity=10, price=1000.0, stop_price=990.0, stop_limit_price=988.0, target_price=1010.0, dry_run=True, ) answer = order.place()
BracketOrder(instrument, *, transaction_type, product, order_type, quantity, price=None, trigger_price=None, validity=None, disclosed_quantity=None, after_market=False, tag=None, price_reference=None, quantity_reference=None, closes_position=False, reduce_only=False, hold_limits=None, dry_run=False, stop_price=None, stop_limit_price=None, target_price=None)
Bases: SyntheticOrder
An entry that arms a stop and a target behind itself on its first fill, even a partial one.
The exits are sized to what has filled and grown as more fills arrive, and once an exit fills the rest of the entry is cancelled and the other exit reduced. Give a stop, a target or both, and a stop always needs its limit, because every stop is a stop-limit. An entry that must never go out without a stop is a CoverOrder instead. By default UBI holds a limit entry in its virtual order book until the other side of the book reaches its price, answering HTTP 202 with an outcome of armed, while the exits rest at the broker as the entry fills; give hold_limits False to send the entry at once. An entry fill that arrives after both exits have finished sends the exits again for what it added, and a stop or target off the tick is refused with HTTP 400 before anything is sent, by a dry run as well. A stop or target you cancel by its order_id stays cancelled, and its unfilled quantity comes off its part, so a later entry fill is protected for the new quantity only; an exit the exchange cancels is likewise sent again only once a later entry fill grows it. An exit the broker refuses cancels the rest of the entry, and the parent ends failed, because the position is left without that exit.
The order template's attributes are described on SyntheticOrder.
Attributes:
| Name | Type | Description |
|---|---|---|
stop_price |
The float trigger of the stop in rupees, or None for no stop. |
|
stop_limit_price |
The float limit of the stop in rupees, required whenever |
|
target_price |
The float limit of the target in rupees, or None for no target. |
Initialises the order template and this type's own settings.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
instrument
|
TradeableInstrument
|
The instruments.TradeableInstrument to place the order in. |
required |
transaction_type
|
str
|
The str side of the order, |
required |
product
|
str
|
The str product, |
required |
order_type
|
str
|
The str kind of order, |
required |
quantity
|
int | None
|
The int quantity in underlying units, not lots, or None when a quantity reference supplies it. |
required |
price
|
float | None
|
The float limit price in rupees, or None for an order type that takes no price or when a price reference supplies it. |
None
|
trigger_price
|
float | None
|
The float trigger price in rupees of the order itself, or None for an order type that takes no trigger. |
None
|
validity
|
str | None
|
The str validity, |
None
|
disclosed_quantity
|
int | None
|
The int quantity to show on the exchange, or None to disclose the whole order. |
None
|
after_market
|
bool
|
A bool that is True to send the order as an after-market order. |
False
|
tag
|
str | None
|
A str of up to twenty letters and digits to label the order with, or None. |
None
|
price_reference
|
dict | None
|
A dict describing the price for UBI to work out, such as |
None
|
quantity_reference
|
dict | None
|
A dict describing the quantity for UBI to work out, such as |
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
|
stop_price
|
float | None
|
The float trigger of the stop in rupees, or None for no stop. |
None
|
stop_limit_price
|
float | None
|
The float limit of the stop in rupees, required whenever |
None
|
target_price
|
float | None
|
The float limit of the target in rupees, or None for no target. |
None
|
Source code in src/tradingmachine/orders/bracket.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, where a value of None means the field is left out. |
Examples:
Print the stop and target of a bracket around a limit buy:
from tradingmachine.assets import equities
from tradingmachine.orders import bracket
share = equities.Equity(exchange="nse", symbol="IDEA")
order = bracket.BracketOrder(
share,
transaction_type="buy",
product="mis",
order_type="limit",
quantity=1,
price=13.0,
stop_price=12.5,
stop_limit_price=12.45,
target_price=13.6,
)
print(order.synthetic_fields())
Leave out the target and see that the synthetic object drops it:
from tradingmachine.assets import equities
from tradingmachine.orders import bracket
share = equities.Equity(exchange="nse", symbol="IDEA")
order = bracket.BracketOrder(
share,
transaction_type="buy",
product="mis",
order_type="limit",
quantity=1,
price=13.0,
stop_price=12.5,
stop_limit_price=12.45,
)
print(order.synthetic_fields())
print(order.synthetic)
Source code in src/tradingmachine/orders/bracket.py
Example programs¶
Rest a limit buy with a stop and a target that arm only when it fills¶
Run it with .venv/bin/python examples/orders/bracket/bracket_order/bracketed_limit_buy.py.
"""Rest a limit buy with a stop and a target that arm only when it fills.
The program rests a buy of one Vodafone Idea share 3% below the market, with a stop 5% below the market and a target 3% above it. Because the entry does not fill, neither exit is sent; the program prints the parent and cancels it. It passes `hold_limits=False`, so UBI sends the order to the broker at once instead of holding it until the market reaches its price.
Typical usage example:
.venv/bin/python examples/orders/bracket/bracket_order/bracketed_limit_buy.py
"""
import time
from tradingmachine.accounts import account
from tradingmachine.assets import equities
from tradingmachine.assets import instruments
from tradingmachine.orders import bracket
from tradingmachine.unified_broker_interface import exceptions
class BracketedLimitBuy:
"""A limit buy with its stop and target, run by the order engine as a bracket.
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.
order: The tradingmachine.orders.bracket.BracketOrder 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.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) -> bracket.BracketOrder:
"""Builds a buy 3% below the market with a stop 5% below and a target 3% above.
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.bracket.BracketOrder, not yet placed.
Raises:
ValueError: UBI has no last price for a share.
"""
stop_price = self.price_from_market(self.share, -5)
return bracket.BracketOrder(
self.share,
transaction_type="buy",
product="mis",
order_type="limit",
quantity=1,
price=self.price_from_market(self.share, -3),
stop_price=stop_price,
stop_limit_price=round(stop_price - 0.05, 2),
target_price=self.price_from_market(self.share, 3),
hold_limits=False,
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:
"""Places the bracket, prints the parent and its entry at the broker, then 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()
self.print_broker_orders()
finally:
self.cancel_order()
if __name__ == "__main__":
BracketedLimitBuy().run()
Preview and place a short sale with a target and no stop, held until the market reaches its price¶
Run it with .venv/bin/python examples/orders/bracket/bracket_order/short_bracket_with_target_only.py.
"""Preview and place a short sale with a target and no stop, held until the market reaches its price.
The program previews, then places, a sell of one Vodafone Idea share 3% above the market whose only exit is a target 3% below the market. UBI holds it in its virtual order book until the market reaches its price, answering HTTP 202 `armed`, so no broker order exists yet; the program prints the parent and cancels it before anything fills.
Typical usage example:
.venv/bin/python examples/orders/bracket/bracket_order/short_bracket_with_target_only.py
"""
import time
from tradingmachine.accounts import account
from tradingmachine.assets import equities
from tradingmachine.assets import instruments
from tradingmachine.orders import bracket
from tradingmachine.unified_broker_interface import exceptions
class TargetOnlyShortBracket:
"""A short sale with a profit target and no stop, run as a bracket.
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.
order: The tradingmachine.orders.bracket.BracketOrder 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.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) -> bracket.BracketOrder:
"""Builds a sell 3% above the market with a target 3% below it.
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.bracket.BracketOrder, not yet placed.
Raises:
ValueError: UBI has no last price for a share.
"""
return bracket.BracketOrder(
self.share,
transaction_type="sell",
product="mis",
order_type="limit",
quantity=1,
price=self.price_from_market(self.share, 3),
target_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:
"""Previews the bracket, places it, prints the 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.
"""
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()
finally:
self.cancel_order()
if __name__ == "__main__":
TargetOnlyShortBracket().run()