The participation synthetic order type: an order that trades a fixed share of the volume the market itself trades.
Trading as a share of volume keeps the order inconspicuous, because it is never a large part of what is going through. It answers HTTP 202 with an outcome of armed and sends nothing to a broker until it fires, so keep the parent_id from the answer. Each slice is rounded down to whole lots, and only the volume a slice accounts for is used up, so the part it could not send counts towards the next slice; when the day's volume falls, as it can when another broker's quote takes over, counting starts again from there.
Typical usage example:
order = participation.ParticipationOrder( share, transaction_type="buy", product="cnc", order_type="limit", quantity=600, price_reference={"kind": "marketable"}, participation_percent=10.0, dry_run=True, ) answer = order.place()
ParticipationOrder(instrument, *, transaction_type, product, order_type, quantity, participation_percent, 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, most_slices=None)
Bases: SyntheticOrder
An order that trades a fixed share of the volume the market itself trades.
Trading as a share of volume keeps the order inconspicuous, because it is never a large part of what is going through. It answers HTTP 202 with an outcome of armed and sends nothing to a broker until it fires, so keep the parent_id from the answer. Each slice is rounded down to whole lots, and only the volume a slice accounts for is used up, so the part it could not send counts towards the next slice; when the day's volume falls, as it can when another broker's quote takes over, counting starts again from there.
The order template's attributes are described on SyntheticOrder.
Attributes:
| Name | Type | Description |
|---|---|---|
participation_percent |
The float share of the market's volume to trade, above zero and at most 100. |
|
most_slices |
The int largest number of slices to send, or None to let UBI use 60. |
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 |
participation_percent
|
float
|
The float share of the market's volume to trade, above zero and at most 100. |
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
|
most_slices
|
int | None
|
The int largest number of slices to send, or None to let UBI use 60. |
None
|
Source code in src/tradingmachine/orders/participation.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/participation.py
Example programs¶
Preview and arm a one-slice sell of a tiny share of volume, then cancel it¶
Run it with .venv/bin/python examples/orders/participation/participation_order/preview_single_slice_sell.py.
"""Preview and arm a one-slice sell of a tiny share of volume, then cancel it.
The program previews, then arms, a participation sell of one Vodafone Idea share that takes 0.0000001% of the volume the market trades and sends at most one slice. UBI answers HTTP 202 `armed`, and a slice would be a limit two ticks past the best bid, which trades at once. At this percentage the one share is earned only after a billion shares have traded, which is more than Vodafone Idea usually trades in a whole day, so no slice is sent and no short position is opened in the seconds the program waits; it prints the parent and cancels it.
Typical usage example:
.venv/bin/python examples/orders/participation/participation_order/preview_single_slice_sell.py
"""
import time
from tradingmachine.accounts import account
from tradingmachine.assets import equities
from tradingmachine.assets import instruments
from tradingmachine.orders import participation
from tradingmachine.unified_broker_interface import exceptions
class SingleSliceSell:
"""A percentage-of-volume sell limited to one slice and set so small that it cannot send it while the program runs.
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.participation.ParticipationOrder 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) -> participation.ParticipationOrder:
"""Builds a sell of one share that takes 0.0000001% of the market's volume in at most one slice.
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.participation.ParticipationOrder, not yet placed.
Raises:
ValueError: UBI has no last price for a share.
"""
return participation.ParticipationOrder(
self.share,
transaction_type="sell",
product="mis",
order_type="limit",
quantity=1,
price=self.price_from_market(self.share, 3),
participation_percent=0.0000001,
most_slices=1,
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 order, arms it, prints the parent and the broker orders, of which there are none, 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.
"""
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__":
SingleSliceSell().run()
Arm a buy that takes a tiny share of volume, then cancel it¶
Run it with .venv/bin/python examples/orders/participation/participation_order/tiny_share_of_volume_buy.py.
"""Arm a buy that takes a tiny share of volume, then cancel it.
The program arms a participation buy of one Vodafone Idea share that takes 0.0000001% of the volume the market trades from now on. UBI answers HTTP 202 `armed`, and each slice it later sends is a limit two ticks past the best offer, which trades at once whatever price the order was given. At this percentage the one share is earned only after a billion shares have traded, which is more than Vodafone Idea usually trades in a whole day, so no slice is sent in the seconds the program waits; it prints the parent and cancels it.
Typical usage example:
.venv/bin/python examples/orders/participation/participation_order/tiny_share_of_volume_buy.py
"""
import time
from tradingmachine.accounts import account
from tradingmachine.assets import equities
from tradingmachine.assets import instruments
from tradingmachine.orders import participation
from tradingmachine.unified_broker_interface import exceptions
class TinyShareOfVolumeBuy:
"""A percentage-of-volume buy set so small that it cannot send a slice while the program runs.
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.participation.ParticipationOrder 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) -> participation.ParticipationOrder:
"""Builds a buy of one share that takes 0.0000001% of the market's volume.
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.participation.ParticipationOrder, not yet placed.
Raises:
ValueError: UBI has no last price for a share.
"""
return participation.ParticipationOrder(
self.share,
transaction_type="buy",
product="mis",
order_type="limit",
quantity=1,
price=self.price_from_market(self.share, -3),
participation_percent=0.0000001,
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:
"""Arms the order, prints the parent and the broker orders, of which there are none, 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__":
TinyShareOfVolumeBuy().run()