The freeze_slicer synthetic order type: an order above the exchange's freeze quantity, split into even orders that each fit.
An exchange refuses any single futures or options order above its freeze quantity. UBI reads the limit that the broker it is sending to publishes, in that broker's own units, and splits the order into as few orders as fit below it, cut in whole lots as evenly as whole lots allow, so 55 NIFTY lots of 65 under a limit of 3,511 go as 28 and 27 lots. When the broker publishes no limit, the order goes whole, and an order whose single lot is already above the limit is refused with HTTP 400. By default UBI holds the whole order until the other side of the book reaches its price and then sends every slice together, answering HTTP 202 with an outcome of armed; with hold_limits False it is sent at once, and the answer carries a legs list with one entry per slice.
Typical usage example:
order = freeze_slicer.FreezeSlicerOrder( share, transaction_type="buy", product="nrml", order_type="limit", quantity=2500, price=120.0, dry_run=True, ) answer = order.place()
FreezeSlicerOrder(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)
Bases: SyntheticOrder
An order above the exchange's freeze quantity, split into even orders that each fit.
An exchange refuses any single futures or options order above its freeze quantity. UBI reads the limit that the broker it is sending to publishes, in that broker's own units, and splits the order into as few orders as fit below it, cut in whole lots as evenly as whole lots allow, so 55 NIFTY lots of 65 under a limit of 3,511 go as 28 and 27 lots. When the broker publishes no limit, the order goes whole, and an order whose single lot is already above the limit is refused with HTTP 400. By default UBI holds the whole order until the other side of the book reaches its price and then sends every slice together, answering HTTP 202 with an outcome of armed; with hold_limits False it is sent at once, and the answer carries a legs list with one entry per slice.
The order template's attributes are described on SyntheticOrder, and this type adds none of its own.
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
|
Source code in src/tradingmachine/orders/freeze_slicer.py
Gives this type's own settings, the fields of the synthetic object besides type.
Returns:
| Type | Description |
|---|---|
dict
|
An empty dict, because this type has no settings of its own. |
Examples:
Print the settings of a freeze slicer, which has none of its own:
from tradingmachine.assets import equities
from tradingmachine.orders import freeze_slicer
share = equities.Equity(exchange="nse", symbol="IDEA")
order = freeze_slicer.FreezeSlicerOrder(
share,
transaction_type="buy",
product="mis",
order_type="limit",
quantity=1,
price=13.0,
)
print(order.synthetic_fields())
Show that the synthetic object therefore holds only the type:
from tradingmachine.assets import equities
from tradingmachine.orders import freeze_slicer
share = equities.Equity(exchange="nse", symbol="IDEA")
order = freeze_slicer.FreezeSlicerOrder(
share,
transaction_type="sell",
product="mis",
order_type="limit",
quantity=5,
price=14.0,
)
print(order.synthetic)
Source code in src/tradingmachine/orders/freeze_slicer.py
Example programs¶
Preview and send a limit sell of three shares through the freeze slicer¶
Run it with .venv/bin/python examples/orders/freeze_slicer/freeze_slicer_order/preview_sliced_sell.py.
"""Preview and send a limit sell of three shares through the freeze slicer.
The program previews, then sends, a sell of three Vodafone Idea shares 3% above the market through the freeze slicer, and prints how many slices the parent has before cancelling it.
Typical usage example:
.venv/bin/python examples/orders/freeze_slicer/freeze_slicer_order/preview_sliced_sell.py
"""
import time
from tradingmachine.accounts import account
from tradingmachine.assets import equities
from tradingmachine.assets import instruments
from tradingmachine.orders import freeze_slicer
from tradingmachine.unified_broker_interface import exceptions
class SlicedLimitSell:
"""A limit sell sent through the freeze slicer.
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.freeze_slicer.FreezeSlicerOrder 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) -> freeze_slicer.FreezeSlicerOrder:
"""Builds a sell of three shares 3% above the market for the freeze slicer.
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.freeze_slicer.FreezeSlicerOrder, not yet placed.
Raises:
ValueError: UBI has no last price for a share.
"""
return freeze_slicer.FreezeSlicerOrder(
self.share,
transaction_type="sell",
product="mis",
order_type="limit",
quantity=3,
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 order, 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()
print(f"Legs: {answer.get('legs')}")
finally:
self.cancel_order()
if __name__ == "__main__":
SlicedLimitSell().run()
Send a limit buy through the freeze slicer and cancel it¶
Run it with .venv/bin/python examples/orders/freeze_slicer/freeze_slicer_order/sliced_limit_buy.py.
"""Send a limit buy through the freeze slicer and cancel it.
The program sends a buy of one Vodafone Idea share 3% below the market through the freeze slicer. A cash share has no freeze quantity, so it would go as one order, and UBI holds it until the best offer comes down to its price; the program prints the answer's legs and the parent, then cancels it.
Typical usage example:
.venv/bin/python examples/orders/freeze_slicer/freeze_slicer_order/sliced_limit_buy.py
"""
import time
from tradingmachine.accounts import account
from tradingmachine.assets import equities
from tradingmachine.assets import instruments
from tradingmachine.orders import freeze_slicer
from tradingmachine.unified_broker_interface import exceptions
class SlicedLimitBuy:
"""A limit buy sent through the freeze slicer.
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.freeze_slicer.FreezeSlicerOrder 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) -> freeze_slicer.FreezeSlicerOrder:
"""Builds a buy 3% below the market for the freeze slicer.
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.freeze_slicer.FreezeSlicerOrder, not yet placed.
Raises:
ValueError: UBI has no last price for a share.
"""
return freeze_slicer.FreezeSlicerOrder(
self.share,
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:
"""Places the order, prints the parent and its broker orders, 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()
print(f"Legs: {answer.get('legs')}")
finally:
self.cancel_order()
if __name__ == "__main__":
SlicedLimitBuy().run()