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orders.py
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orders.py
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import autopep8
import tda
from tda.orders.generic import OrderBuilder
from tda.orders.common import (
EquityInstrument,
OptionInstrument,
OrderStrategyType,
)
from collections import defaultdict
def _call_setters_with_values(order, builder):
'''
For each field in fields_and_setters, if it exists as a key in the order
object, pass its value to the appropriate setter on the order builder.
'''
for field_name, setter_name, enum_class in _FIELDS_AND_SETTERS:
try:
value = order[field_name]
except KeyError:
continue
if enum_class:
value = enum_class[value]
setter = getattr(builder, setter_name)
setter(value)
# Top-level fields
_FIELDS_AND_SETTERS = (
('session', 'set_session', tda.orders.common.Session),
('duration', 'set_duration', tda.orders.common.Duration),
('orderType', 'set_order_type', tda.orders.common.OrderType),
('complexOrderStrategyType', 'set_complex_order_strategy_type',
tda.orders.common.ComplexOrderStrategyType),
('quantity', 'set_quantity', None),
('requestedDestination', 'set_requested_destination',
tda.orders.common.Destination),
('stopPrice', 'copy_stop_price', None),
('stopPriceLinkBasis', 'set_stop_price_link_basis',
tda.orders.common.StopPriceLinkBasis),
('stopPriceLinkType', 'set_stop_price_link_type',
tda.orders.common.StopPriceLinkType),
('stopPriceOffset', 'set_stop_price_offset', None),
('stopType', 'set_stop_type', tda.orders.common.StopType),
('priceLinkBasis', 'set_price_link_basis',
tda.orders.common.PriceLinkBasis),
('priceLinkType', 'set_price_link_type',
tda.orders.common.PriceLinkType),
('price', 'copy_price', None),
('activationPrice', 'set_activation_price', None),
('specialInstruction', 'set_special_instruction',
tda.orders.common.SpecialInstruction),
('orderStrategyType', 'set_order_strategy_type',
tda.orders.common.OrderStrategyType),
)
def construct_repeat_order(historical_order):
builder = tda.orders.generic.OrderBuilder()
# Top-level fields
_call_setters_with_values(historical_order, builder)
# Composite orders
if 'orderStrategyType' in historical_order:
if historical_order['orderStrategyType'] == 'TRIGGER':
builder = tda.orders.common.first_triggers_second(
builder, construct_repeat_order(
historical_order['childOrderStrategies'][0]))
elif historical_order['orderStrategyType'] == 'OCO':
builder = tda.orders.common.one_cancels_other(
construct_repeat_order(
historical_order['childOrderStrategies'][0]),
construct_repeat_order(
historical_order['childOrderStrategies'][1]))
else:
raise ValueError('historical order is missing orderStrategyType')
# Order legs
if 'orderLegCollection' in historical_order:
for leg in historical_order['orderLegCollection']:
if leg['orderLegType'] == 'EQUITY':
builder.add_equity_leg(
tda.orders.common.EquityInstruction[leg['instruction']],
leg['instrument']['symbol'],
leg['quantity'])
elif leg['orderLegType'] == 'OPTION':
builder.add_option_leg(
tda.orders.common.OptionInstruction[leg['instruction']],
leg['instrument']['symbol'],
leg['quantity'])
else:
raise ValueError(
'unknown orderLegType {}'.format(leg['orderLegType']))
return builder
################################################################################
# AST generation
def code_for_builder(builder, var_name=None):
'''
Returns code that can be executed to construct the given builder, including
import statements.
:param builder: :class:`~tda.orders.generic.OrderBuilder` to generate.
:param var_name: If set, emit code that assigns the builder to a variable
with this name.
'''
ast = construct_order_ast(builder)
imports = defaultdict(set)
lines = []
ast.render(imports, lines)
import_lines = []
for module, names in imports.items():
line = 'from {} import {}'.format(
module, ', '.join(names))
if len(line) > 80:
line = 'from {} import (\n{}\n)'.format(
module, ',\n'.join(names))
import_lines.append(line)
if var_name:
var_prefix = f'{var_name} = '
else:
var_prefix = ''
return autopep8.fix_code(
'\n'.join(import_lines) +
'\n\n' +
var_prefix +
'\n'.join(lines))
class FirstTriggersSecondAST:
def __init__(self, first, second):
self.first = first
self.second = second
def render(self, imports, lines, paren_depth=0):
imports['tda.orders.common'].add('first_triggers_second')
lines.append('first_triggers_second(')
self.first.render(imports, lines, paren_depth + 1)
lines[-1] += ','
self.second.render(imports, lines, paren_depth + 2)
lines.append(')')
class OneCancelsOtherAST:
def __init__(self, one, other):
self.one = one
self.other = other
def render(self, imports, lines, paren_depth=0):
imports['tda.orders.common'].add('one_cancels_other')
lines.append('one_cancels_other(')
self.one.render(imports, lines, paren_depth + 1)
lines[-1] += ','
self.other.render(imports, lines, paren_depth + 2)
lines.append(')')
class FieldAST:
def __init__(self, setter_name, enum_type, value):
self.setter_name = setter_name
self.enum_type = enum_type
self.value = value
def render(self, imports, lines, paren_depth=0):
value = self.value
if self.enum_type:
imports[self.enum_type.__module__].add(self.enum_type.__qualname__)
value = self.enum_type.__qualname__ + '.' + value
lines.append(f'.{self.setter_name}({value})')
class EquityOrderLegAST:
def __init__(self, instruction, symbol, quantity):
self.instruction = instruction
self.symbol = symbol
self.quantity = quantity
def render(self, imports, lines, paren_depth=0):
imports['tda.orders.common'].add('EquityInstruction')
lines.append('.add_equity_leg(EquityInstruction.{}, "{}", {})'.format(
self.instruction, self.symbol, self.quantity))
class OptionOrderLegAST:
def __init__(self, instruction, symbol, quantity):
self.instruction = instruction
self.symbol = symbol
self.quantity = quantity
def render(self, imports, lines, paren_depth=0):
imports['tda.orders.common'].add('OptionInstruction')
lines.append('.add_option_leg(OptionInstruction.{}, "{}", {})'.format(
self.instruction, self.symbol, self.quantity))
class GenericBuilderAST:
def __init__(self, builder):
self.top_level_fields = []
for name, setter, enum_type in sorted(_FIELDS_AND_SETTERS):
value = getattr(builder, '_'+name)
if value is not None:
self.top_level_fields.append(FieldAST(setter, enum_type, value))
for leg in builder._orderLegCollection:
if leg['instrument']._assetType == 'EQUITY':
self.top_level_fields.append(EquityOrderLegAST(
leg['instruction'], leg['instrument']._symbol,
leg['quantity']))
elif leg['instrument']._assetType == 'OPTION':
self.top_level_fields.append(OptionOrderLegAST(
leg['instruction'], leg['instrument']._symbol,
leg['quantity']))
else:
raise ValueError('unknown leg asset type {}'.format(
leg['instrument']._assetType))
def render(self, imports, lines, paren_depth=0):
imports['tda.orders.generic'].add('OrderBuilder')
lines.append('OrderBuilder() \\')
for idx, field in enumerate(self.top_level_fields):
field.render(imports, lines, paren_depth)
if paren_depth == 0 and idx != len(self.top_level_fields) - 1:
lines[-1] += ' \\'
def construct_order_ast(builder):
if builder._orderStrategyType == 'OCO':
return OneCancelsOtherAST(
construct_order_ast(builder._childOrderStrategies[0]),
construct_order_ast(builder._childOrderStrategies[1]))
elif builder._orderStrategyType == 'TRIGGER':
return FirstTriggersSecondAST(
GenericBuilderAST(builder),
construct_order_ast(builder._childOrderStrategies[0]))
else:
return GenericBuilderAST(builder)