The oco synthetic order type: a stop and a target resting together on a position already held, each shrinking as the other fills.
Set transaction_type to the side that opened the position, so a long position is protected by asking for buy, and both exits are sells. When one exit fills in part, the other is reduced by the same amount rather than cancelled, so the position is never left unprotected. Both exits rest at the exchange, so in a fast market both can fill before the reduction lands; no exchange offers an order that prevents that. Give a stop, a target or both, and a stop always needs its limit, because every stop is a stop-limit. Both exits go to the broker that holds the position, whatever the broker selector would choose, and UBI refuses with HTTP 409 a position held at more than one broker or one smaller than the order's quantity, since a fill could then open a position the other way.
Typical usage example:
order = one_cancels_other.OneCancelsOtherOrder( 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()
OneCancelsOtherOrder(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
A stop and a target resting together on a position already held, each shrinking as the other fills.
Set transaction_type to the side that opened the position, so a long position is protected by asking for buy, and both exits are sells. When one exit fills in part, the other is reduced by the same amount rather than cancelled, so the position is never left unprotected. Both exits rest at the exchange, so in a fast market both can fill before the reduction lands; no exchange offers an order that prevents that. Give a stop, a target or both, and a stop always needs its limit, because every stop is a stop-limit. Both exits go to the broker that holds the position, whatever the broker selector would choose, and UBI refuses with HTTP 409 a position held at more than one broker or one smaller than the order's quantity, since a fill could then open a position the other way.
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/one_cancels_other.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. |
Source code in src/tradingmachine/orders/one_cancels_other.py
Example programs¶
Preview and place a stop-only one-cancels-other order on an intraday long¶
Run it with .venv/bin/python examples/orders/one_cancels_other/one_cancels_other_order/preview_stop_only_for_long.py.
"""Preview and place a stop-only one-cancels-other order on an intraday long.
An `oco` order may carry a stop alone. UBI refuses one with HTTP 409 when no position is held on the side that opened it, so the program previews the order, then opens its own position by buying one Vodafone Idea share at the best offer as an intraday position. It places a reduce-only `oco` order with `transaction_type` `buy` whose only exit is a stop-limit sell triggering 5% below the market, which cannot trigger in the seconds it rests. It prints the parent and the broker order, cancels the parent and sells the share back. It refuses to start when Vodafone Idea is already held intraday, so that it never acts on a position it did not open.
Typical usage example:
.venv/bin/python examples/orders/one_cancels_other/one_cancels_other_order/preview_stop_only_for_long.py
"""
import time
from tradingmachine.accounts import account
from tradingmachine.assets import equities
from tradingmachine.assets import instruments
from tradingmachine.orders import one_cancels_other
from tradingmachine.unified_broker_interface import exceptions
class StopOnlyProtectedLong:
"""An intraday long in one share protected by a stop alone, sent as a one-cancels-other order.
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.
quantity_before: The int intraday quantity of Vodafone Idea held before the program bought its share.
order: The tradingmachine.orders.one_cancels_other.OneCancelsOtherOrder 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.quantity_before = 0
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) -> one_cancels_other.OneCancelsOtherOrder:
"""Builds a reduce-only stop-limit sell triggering 5% below the market, with no target.
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.one_cancels_other.OneCancelsOtherOrder, not yet placed.
Raises:
ValueError: UBI has no last price for a share.
"""
stop_limit_price = self.price_from_market(self.share, -6)
return one_cancels_other.OneCancelsOtherOrder(
self.share,
transaction_type="buy",
product="mis",
order_type="limit",
quantity=1,
price=stop_limit_price,
stop_price=self.price_from_market(self.share, -5),
stop_limit_price=stop_limit_price,
reduce_only=True,
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 held_quantity(self) -> int:
"""Gives the net intraday quantity of Vodafone Idea held now.
Returns:
The int quantity, positive when long, negative when short and 0 when nothing is held.
Raises:
tradingmachine.unified_broker_interface.exceptions.UnifiedBrokerInterfaceError: UBI could not read the positions.
"""
positions = self.share.net_positions
if positions is None:
return 0
total = 0
for row in positions.to_dict("records"):
if row["product"] == "intraday":
total = total + int(row["quantity"])
return total
def open_position(self) -> None:
"""Buys one share at the best offer as an intraday position and waits until UBI reports it.
The buy is a marketable limit half a percent above the best offer rather than a market order, because brokers refuse market orders sent through an API, and it is immediate-or-cancel so that nothing is left resting if it cannot fill at once. UBI chooses the broker for each order, so a buy one broker refuses is sent again up to four times, and a buy the engine answers late is not sent again but waited for.
Returns:
None.
Raises:
TimeoutError: The position did not appear within thirty seconds.
tradingmachine.unified_broker_interface.exceptions.UnifiedBrokerInterfaceError: UBI refused the order or could not be reached.
"""
for attempt in range(4):
try:
answer = self.share.buy_at_marketable_price(
quantity=1,
product="mis",
validity="ioc",
buffer_percent=0.5,
)
except exceptions.OrderRejectedError as error:
print(f"A broker refused the buy, so it is sent again: {error}")
continue
except exceptions.OrderOutcomeUnknownError:
print("The engine answered the buy late, so the position is watched.")
break
print(f"Opened with marketable buy {answer.get('order_id')}")
break
for attempt in range(30):
if self.held_quantity() > self.quantity_before:
print(f"Now holding {self.held_quantity()} intraday")
return
time.sleep(1)
raise TimeoutError("The buy did not show as a position within 30 seconds")
def close_position(self) -> None:
"""Sells back the share this program bought, if the position shows that it was bought, trying up to five times.
The sell is sent with `reduce_position`, whose quantity reference UBI sizes and routes against the broker that actually holds the position, so the account is left as it was found rather than long at one broker and short at another. It is a limit half a percent below the last price, because brokers refuse market orders sent through an API.
Returns:
None.
Raises:
tradingmachine.unified_broker_interface.exceptions.UnifiedBrokerInterfaceError: UBI could not be reached.
"""
for attempt in range(5):
if self.held_quantity() <= self.quantity_before:
print(f"Back to {self.held_quantity()} intraday, as before.")
return
try:
answer = self.share.reduce_position(
quantity=1,
product="mis",
price=self.price_from_market(self.share, -0.5),
)
except exceptions.OrderRejectedError as error:
print(f"A broker refused the sell, so it is sent again: {error}")
time.sleep(2)
continue
except exceptions.OrderOutcomeUnknownError:
print(
"The engine answered the sell late, so the position is read again."
)
time.sleep(10)
continue
print(f"Reducing the position with sell {answer.get('order_id')}")
time.sleep(4)
print("The position could still be open, so check it by hand.")
def run(self) -> None:
"""Previews the stop, opens the position, places the stop, prints it, cancels it and closes the position.
Returns:
None.
Raises:
RuntimeError: Vodafone Idea was already held intraday, so the program does not touch it.
ValueError: UBI has no last price for a share.
TimeoutError: The opening buy did not show as a position in time.
tradingmachine.unified_broker_interface.exceptions.UnifiedBrokerInterfaceError: UBI refused a request or could not be reached.
"""
self.quantity_before = self.held_quantity()
if self.quantity_before != 0:
raise RuntimeError(
f"Vodafone Idea is already held intraday ({self.quantity_before}), so the program leaves that position alone"
)
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))
try:
self.open_position()
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()
finally:
self.close_position()
if __name__ == "__main__":
StopOnlyProtectedLong().run()
Protect a one-share intraday long with a stop and a target, then close it¶
Run it with .venv/bin/python examples/orders/one_cancels_other/one_cancels_other_order/stop_and_target_for_long.py.
"""Protect a one-share intraday long with a stop and a target, then close it.
An `oco` order protects a position already held, and UBI refuses it with HTTP 409 when no position is held on the side that opened it, so the program opens its own: it buys one Vodafone Idea share at the best offer as an intraday position. It then places a reduce-only `oco` order with `transaction_type` `buy`, the side that opened the position, so both exits are sells: a stop-limit sell triggering 5% below the market and a limit sell 5% above it, neither of which can trade in the seconds they rest. It prints the parent and both broker orders, cancels the parent, which cancels both exits, and sells the share back. It refuses to start when Vodafone Idea is already held intraday, so that it never acts on a position it did not open.
Typical usage example:
.venv/bin/python examples/orders/one_cancels_other/one_cancels_other_order/stop_and_target_for_long.py
"""
import time
from tradingmachine.accounts import account
from tradingmachine.assets import equities
from tradingmachine.assets import instruments
from tradingmachine.orders import one_cancels_other
from tradingmachine.unified_broker_interface import exceptions
class ProtectedLongWithStopAndTarget:
"""An intraday long in one share protected by a stop and a target, each shrinking as the other fills.
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.
quantity_before: The int intraday quantity of Vodafone Idea held before the program bought its share.
order: The tradingmachine.orders.one_cancels_other.OneCancelsOtherOrder 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.quantity_before = 0
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) -> one_cancels_other.OneCancelsOtherOrder:
"""Builds a reduce-only stop-limit sell triggering 5% below the market and a reduce-only limit sell 5% above 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.one_cancels_other.OneCancelsOtherOrder, not yet placed.
Raises:
ValueError: UBI has no last price for a share.
"""
target_price = self.price_from_market(self.share, 5)
return one_cancels_other.OneCancelsOtherOrder(
self.share,
transaction_type="buy",
product="mis",
order_type="limit",
quantity=1,
price=target_price,
stop_price=self.price_from_market(self.share, -5),
stop_limit_price=self.price_from_market(self.share, -6),
target_price=target_price,
reduce_only=True,
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 held_quantity(self) -> int:
"""Gives the net intraday quantity of Vodafone Idea held now.
Returns:
The int quantity, positive when long, negative when short and 0 when nothing is held.
Raises:
tradingmachine.unified_broker_interface.exceptions.UnifiedBrokerInterfaceError: UBI could not read the positions.
"""
positions = self.share.net_positions
if positions is None:
return 0
total = 0
for row in positions.to_dict("records"):
if row["product"] == "intraday":
total = total + int(row["quantity"])
return total
def open_position(self) -> None:
"""Buys one share at the best offer as an intraday position and waits until UBI reports it.
The buy is a marketable limit half a percent above the best offer rather than a market order, because brokers refuse market orders sent through an API, and it is immediate-or-cancel so that nothing is left resting if it cannot fill at once. UBI chooses the broker for each order, so a buy one broker refuses is sent again up to four times, and a buy the engine answers late is not sent again but waited for.
Returns:
None.
Raises:
TimeoutError: The position did not appear within thirty seconds.
tradingmachine.unified_broker_interface.exceptions.UnifiedBrokerInterfaceError: UBI refused the order or could not be reached.
"""
for attempt in range(4):
try:
answer = self.share.buy_at_marketable_price(
quantity=1,
product="mis",
validity="ioc",
buffer_percent=0.5,
)
except exceptions.OrderRejectedError as error:
print(f"A broker refused the buy, so it is sent again: {error}")
continue
except exceptions.OrderOutcomeUnknownError:
print("The engine answered the buy late, so the position is watched.")
break
print(f"Opened with marketable buy {answer.get('order_id')}")
break
for attempt in range(30):
if self.held_quantity() > self.quantity_before:
print(f"Now holding {self.held_quantity()} intraday")
return
time.sleep(1)
raise TimeoutError("The buy did not show as a position within 30 seconds")
def close_position(self) -> None:
"""Sells back the share this program bought, if the position shows that it was bought, trying up to five times.
The sell is sent with `reduce_position`, whose quantity reference UBI sizes and routes against the broker that actually holds the position, so the account is left as it was found rather than long at one broker and short at another. It is a limit half a percent below the last price, because brokers refuse market orders sent through an API.
Returns:
None.
Raises:
tradingmachine.unified_broker_interface.exceptions.UnifiedBrokerInterfaceError: UBI could not be reached.
"""
for attempt in range(5):
if self.held_quantity() <= self.quantity_before:
print(f"Back to {self.held_quantity()} intraday, as before.")
return
try:
answer = self.share.reduce_position(
quantity=1,
product="mis",
price=self.price_from_market(self.share, -0.5),
)
except exceptions.OrderRejectedError as error:
print(f"A broker refused the sell, so it is sent again: {error}")
time.sleep(2)
continue
except exceptions.OrderOutcomeUnknownError:
print(
"The engine answered the sell late, so the position is read again."
)
time.sleep(10)
continue
print(f"Reducing the position with sell {answer.get('order_id')}")
time.sleep(4)
print("The position could still be open, so check it by hand.")
def run(self) -> None:
"""Opens the position, places both exits, prints them, cancels them and closes the position.
Returns:
None.
Raises:
RuntimeError: Vodafone Idea was already held intraday, so the program does not touch it.
ValueError: UBI has no last price for a share.
TimeoutError: The opening buy did not show as a position in time.
tradingmachine.unified_broker_interface.exceptions.UnifiedBrokerInterfaceError: UBI refused a request or could not be reached.
"""
self.quantity_before = self.held_quantity()
if self.quantity_before != 0:
raise RuntimeError(
f"Vodafone Idea is already held intraday ({self.quantity_before}), so the program leaves that position alone"
)
try:
self.open_position()
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()
finally:
self.close_position()
if __name__ == "__main__":
ProtectedLongWithStopAndTarget().run()