The scale_out synthetic order type: a bracket with several targets that take the position off in tranches, and a stop that moves to breakeven.
The targets share the position between them, and only the stop shrinks as each one fills, because the remaining targets already add up to what is left. Once breakeven_after targets have filled, the stop is moved to the average entry price rather than cancelled and replaced, so there is never a moment without a stop at the exchange. 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. The breakeven stop is rounded to the tick on the side that cannot lose, and a target or stop off the tick is refused with HTTP 400 when the order is placed, and by a dry run as well. 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 = scale_out.ScaleOutOrder( share, transaction_type="buy", product="mis", order_type="limit", quantity=9, price=1000.0, target_prices=[1010.0, 1020.0, 1030.0], stop_price=990.0, stop_limit_price=988.0, dry_run=True, ) answer = order.place()
ScaleOutOrder(instrument, *, transaction_type, product, order_type, quantity, target_prices, stop_price, stop_limit_price, 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, breakeven_after=None)
Bases: SyntheticOrder
A bracket with several targets that take the position off in tranches, and a stop that moves to breakeven.
The targets share the position between them, and only the stop shrinks as each one fills, because the remaining targets already add up to what is left. Once breakeven_after targets have filled, the stop is moved to the average entry price rather than cancelled and replaced, so there is never a moment without a stop at the exchange. 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. The breakeven stop is rounded to the tick on the side that cannot lose, and a target or stop off the tick is refused with HTTP 400 when the order is placed, and by a dry run as well. 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 |
|---|---|---|
target_prices |
The list of float target prices in rupees, at least two. |
|
stop_price |
The float trigger of the stop in rupees. |
|
stop_limit_price |
The float limit of the stop in rupees. |
|
breakeven_after |
The int number of targets that must fill before the stop moves to breakeven, or None to let UBI use 1. |
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 |
target_prices
|
list[float]
|
The list of float target prices in rupees, at least two. |
required |
stop_price
|
float
|
The float trigger of the stop in rupees. |
required |
stop_limit_price
|
float
|
The float limit of the stop in rupees. |
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
|
breakeven_after
|
int | None
|
The int number of targets that must fill before the stop moves to breakeven, or None to let UBI use 1. |
None
|
Source code in src/tradingmachine/orders/scale_out.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/scale_out.py
Example programs¶
Rest a buy that would scale out through three targets, then cancel it¶
Run it with .venv/bin/python examples/orders/scale_out/scale_out_order/long_with_three_targets.py.
"""Rest a buy that would scale out through three targets, then cancel it.
The program rests a limit buy of three Vodafone Idea shares 3% below the market. Once it filled, UBI would rest three limit sells of one share each at 3%, 4% and 5% above the market, and a stop-limit sell triggering 5% below the market that moves to the average entry price after the first target fills. A scale-out needs at least two targets, and three shares give each target one. The entry does not fill in the seconds it rests, so no exit is ever sent; the program prints the parent and the broker order and then cancels the parent. 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/scale_out/scale_out_order/long_with_three_targets.py
"""
import time
from tradingmachine.accounts import account
from tradingmachine.assets import equities
from tradingmachine.assets import instruments
from tradingmachine.orders import scale_out
from tradingmachine.unified_broker_interface import exceptions
class LongWithThreeTargets:
"""A buy whose position would be taken off in three tranches, with a stop that moves to breakeven.
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.scale_out.ScaleOutOrder 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) -> scale_out.ScaleOutOrder:
"""Builds a buy of three shares 3% below the market with targets 3%, 4% and 5% above it and a stop 5% 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.scale_out.ScaleOutOrder, not yet placed.
Raises:
ValueError: UBI has no last price for a share.
"""
return scale_out.ScaleOutOrder(
self.share,
transaction_type="buy",
product="mis",
order_type="limit",
quantity=3,
price=self.price_from_market(self.share, -3),
target_prices=[
self.price_from_market(self.share, 3),
self.price_from_market(self.share, 4),
self.price_from_market(self.share, 5),
],
stop_price=self.price_from_market(self.share, -5),
stop_limit_price=self.price_from_market(self.share, -6),
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 entry, prints the parent and the 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()
finally:
self.cancel_order()
if __name__ == "__main__":
LongWithThreeTargets().run()
Preview and place a short sale with two scale-out targets, held until the market reaches its price, then cancel it¶
Run it with .venv/bin/python examples/orders/scale_out/scale_out_order/preview_short_with_two_targets.py.
"""Preview and place a short sale with two scale-out targets, held until the market reaches its price, then cancel it.
The program previews, then places, a limit sell of two Vodafone Idea shares 3% above the market. Once it filled, UBI would rest two limit buys of one share each at 3% and 4% below the market, and a stop-limit buy triggering 5% above the market that moves to the average entry price only after both targets have filled. UBI holds it in its virtual order book until the market reaches its price, answering HTTP 202 `armed`, so no broker order exists yet, no short position is opened and no exit is ever sent; the program prints the parent and the broker orders, of which there are none, and then cancels the parent.
Typical usage example:
.venv/bin/python examples/orders/scale_out/scale_out_order/preview_short_with_two_targets.py
"""
import time
from tradingmachine.accounts import account
from tradingmachine.assets import equities
from tradingmachine.assets import instruments
from tradingmachine.orders import scale_out
from tradingmachine.unified_broker_interface import exceptions
class ShortWithTwoTargets:
"""A short sale whose position would be bought back in two tranches, with a stop that moves to breakeven late.
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.scale_out.ScaleOutOrder 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) -> scale_out.ScaleOutOrder:
"""Builds a sell of two shares 3% above the market with targets 3% and 4% below it and a stop 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.scale_out.ScaleOutOrder, not yet placed.
Raises:
ValueError: UBI has no last price for a share.
"""
return scale_out.ScaleOutOrder(
self.share,
transaction_type="sell",
product="mis",
order_type="limit",
quantity=2,
price=self.price_from_market(self.share, 3),
target_prices=[
self.price_from_market(self.share, -3),
self.price_from_market(self.share, -4),
],
stop_price=self.price_from_market(self.share, 5),
stop_limit_price=self.price_from_market(self.share, 6),
breakeven_after=2,
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 entry, places it, prints the parent and the 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.
"""
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__":
ShortWithTwoTargets().run()