Merge pull request #112 from AsyncAlgoTrading/ib_partial_fill

Ib partial fill

aat/core/models/order.py

@@ -34,6 +34,7 @@ class Order(object):
         "__order_type",
         "__flag",
         "__stop_target",
+        "__force_done",
     ]
 
     # for convenience
@@ -77,6 +78,7 @@ def __init__(self, volume, price, side, instrument, exchange=ExchangeType(""), n
         self.__stop_target = stop_target
 
         self.__filled = 0.0
+        self.__force_done = False
 
     # TODO
     # @validator("notional")
@@ -124,6 +126,14 @@ def flag(self) -> OrderFlag:
     def stop_target(self) -> Union['Order', None]:
         return self.__stop_target
 
+    def finished(self) -> bool:
+        return (self.volume == self.filled) or self.__force_done
+
+    def finish(self) -> None:
+        '''force this order to mark itself as "finished", even if it
+        isn't fully filled (e.g. with certain flags)'''
+        self.__force_done = True
+
     # ***********#
     # Read/write #
     # ***********#

aat/core/models/trade.py

@@ -94,6 +94,9 @@ def side(self) -> Side:
     def notional(self):
         return self.price * self.volume
 
+    def finished(self):
+        return self.taker_order.finished
+
     # ***********#
     # Read/write #
     # ***********#

aat/cpp/include/aat/core/exchange/exchange.hpp

@@ -31,7 +31,6 @@ namespace core {
     str_t name;
   };
 
-
   static ExchangeType NullExchange = ExchangeType("");
 
 }  // namespace core

aat/cpp/include/aat/core/models/order.hpp

@@ -19,6 +19,9 @@ namespace core {
       ExchangeType& exchange = NullExchange, double notional = 0.0, OrderType order_type = OrderType::MARKET,
       OrderFlag flag = OrderFlag::NONE, std::shared_ptr<Order> stop_target = nullptr);
 
+    bool finished() const;
+    void finish();
+
     virtual str_t toString() const;
     virtual json toJson() const;
     virtual json perspectiveSchema() const;
@@ -39,6 +42,7 @@ namespace core {
     double notional = 0.0;
 
     double filled = 0.0;
+    bool force_done = false;
   };
 
 }  // namespace core

aat/cpp/include/aat/core/models/trade.hpp

@@ -43,6 +43,8 @@ namespace core {
       return 0.0;
     }
 
+    bool finished() const;
+
     virtual str_t toString() const;
     virtual json toJson() const;
     virtual json perspectiveSchema() const;

aat/cpp/include/aat/python/binding.hpp

@@ -191,6 +191,8 @@ PYBIND11_MODULE(binding, m) {
       py::arg("exchange").none(false), py::arg("notional").none(false), py::arg("order_type").none(false),
       py::arg("flag").none(false), py::arg("stop_target").none(true))
     .def("__repr__", &Order::toString)
+    .def("finished", &Order::finished)
+    .def("finish", &Order::finish)
     .def("toJson", &Order::toJson)
     .def("perspectiveSchema", &Order::perspectiveSchema)
     .def_readwrite("id", &Order::id)
@@ -212,6 +214,7 @@ PYBIND11_MODULE(binding, m) {
     .def("__repr__", &Trade::toString)
     .def("slippage", &Trade::slippage)
     .def("transactionCost", &Trade::transactionCost)
+    .def("finished", &Trade::finished)
     .def("toJson", &Trade::toJson)
     .def("perspectiveSchema", &Trade::perspectiveSchema)
     .def_readwrite("id", &Trade::id)

aat/cpp/src/core/models/order.cpp

@@ -36,6 +36,16 @@ namespace core {
     }
   }
 
+  bool
+  Order::finished() const {
+    return (volume == filled) || force_done;
+  }
+
+  void
+  Order::finish() {
+    force_done = true;
+  }
+
   str_t
   Order::toString() const {
     sstream_t ss;

aat/cpp/src/core/models/trade.cpp

@@ -8,6 +8,11 @@ using namespace aat::common;
 
 namespace aat {
 namespace core {
+  bool
+  Trade::finished() const {
+    return taker_order->finished();
+  }
+
   str_t
   Trade::toString() const {
     sstream_t ss;

aat/engine/dispatch/execution/execution.py

@@ -79,7 +79,9 @@ async def onTrade(self, event):
             else:
                 # TODO ugly private method
                 await self._manager._onBought(strat, event.target)
-            del self._pending_orders[order.id]
+
+            if order.finished():
+                del self._pending_orders[order.id]
 
     async def onCancel(self, event):
         order = event.target

aat/exchange/public/ib/ib.py

@@ -4,9 +4,11 @@
 from queue import Queue
 from random import randint
 
+from ibapi.contract import Contract  # type: ignore
 from ibapi.client import EClient  # type: ignore
+from ibapi.execution import Execution, ExecutionFilter  # type: ignore
+from ibapi.commission_report import CommissionReport  # type: ignore
 from ibapi.wrapper import EWrapper  # type: ignore
-from ibapi.contract import Contract  # type: ignore
 
 from aat.exchange import Exchange
 from aat.config import EventType, TradingType, Side
@@ -64,14 +66,15 @@ def orderStatus(self, orderId, status, filled, remaining, avgFillPrice, permId,
         self._order_event_queue.put(dict(orderId=orderId,
                                          status=status,
                                          filled=filled,
-                                         remaining=remaining,
+                                         #  remaining=remaining,  # TODO not used
                                          avgFillPrice=avgFillPrice,
-                                         permId=permId,
-                                         parentId=parentId,
-                                         lastFillPrice=lastFillPrice,
-                                         clientId=clientId,
-                                         whyHeld=whyHeld,
-                                         mktCapPrice=mktCapPrice))
+                                         #  permId=permId,  # TODO not used
+                                         #  parentId=parentId,  # TODO not used
+                                         #  lastFillPrice=lastFillPrice,  # TODO not used
+                                         #  clientId=clientId,  # TODO not used
+                                         #  whyHeld=whyHeld,  # TODO not used
+                                         #  mktCapPrice=mktCapPrice  # TODO not used
+                                         ))
 
     def subscribeMarketData(self, instrument):
         contract = _constructContract(instrument)
@@ -90,6 +93,33 @@ def cancelMarketData(self, contract):
         del self._mkt_data_map_rev[contract]
         del self._mkt_data_map[id]
 
+    def reqExecutions(self):
+        super().reqExecutions(self.nextReqId, ExecutionFilter())
+        self.nextReqId += 1
+
+    def execDetails(self, reqId: int, contract: Contract, execution: Execution):
+        super().execDetails(reqId, contract, execution)
+        self._order_event_queue.put(dict(orderId=execution.orderId,
+                                         status="Execution",
+                                         filled=execution.cumQty,
+                                         #  remaining=-1,  # TODO not available here
+                                         avgFillPrice=execution.avgPrice,  # TODO execution.price?
+                                         #  permId=permId,  # TODO not used
+                                         #  parentId=parentId,  # TODO not used
+                                         #  lastFillPrice=lastFillPrice,  # TODO not used
+                                         #  clientId=clientId,  # TODO not used
+                                         #  whyHeld=whyHeld,  # TODO not used
+                                         #  mktCapPrice=mktCapPrice  # TODO not used
+                                         ))
+
+    def commissionReport(self, commissionReport: CommissionReport):
+        super().commissionReport(commissionReport)
+        # TODO?
+
+    def execDetailsEnd(self, reqId: int):
+        super().execDetailsEnd(reqId)
+        # TODO?
+
     def tickPrice(self, reqId, tickType, price, attrib):
         # TODO implement more of order book
 
@@ -217,6 +247,18 @@ async def tick(self):
                     yield e
 
                 elif status in ('Filled',):
+                    # this is the filled from orderStatus, but we
+                    # want to use the one from execDetails
+
+                    # From the IB Docs:
+                    # "There are not guaranteed to be orderStatus
+                    # callbacks for every change in order status"
+                    # It is recommended to use execDetails
+
+                    # ignore
+                    pass
+
+                elif status in ('Execution',):
                     # set filled
                     order.filled = order_data['filled']
 

azure-pipelines.yml

@@ -79,7 +79,7 @@ jobs:
 
 - job: 'Mac'
   pool:
-    vmImage: 'macos-10.14'
+    vmImage: 'macos-10.15'
 
   strategy:
     matrix: