Merge pull request #107 from AsyncAlgoTrading/synth_cancel

fixing cancel bug

aat/core/engine/manager/order_entry.py

@@ -62,14 +62,14 @@ async def _onSold(self, strategy, trade: Trade):
 
     # TODO ugly private method
 
-    async def _onRejected(self, strategy, order: Order):
+    async def _onCanceled(self, strategy, order: Order):
         '''callback method for if your order fails to execute
 
         Args:
             order (Order): the order you attempted to make
         '''
         # push event to loop
-        ev = Event(type=Event.Types.REJECTED, target=order)
+        ev = Event(type=Event.Types.CANCELED, target=order)
         self._engine.pushTargetedEvent(strategy, ev)
 
         # synchronize state when engine processes this

aat/core/execution/execution.py

@@ -86,7 +86,7 @@ async def onCancel(self, event):
             _, strat = self._pending_orders[order.id]
 
             # TODO ugly private method
-            await self._manager._onRejected(strat, order)
+            await self._manager._onCanceled(strat, order)
             del self._pending_orders[order.id]
 
     async def onOpen(self, event: Event):

aat/core/risk/risk.py

@@ -26,6 +26,7 @@ def risk(self, position=None):
     # *********************
     async def newOrder(self, strategy, order: Order):
         # TODO
+        print('adding order: {}'.format(order))
         self._active_orders.append(order)  # TODO use strategy
         return order, True
 
@@ -89,4 +90,5 @@ async def onRejected(self, event: Event, strategy: Optional[EventHandler]):  # t
 
     async def onCanceled(self, event: Event, strategy: Optional[EventHandler]):  # type: ignore[override]
         order: Order = event.target  # type: ignore
+        print('cancelling order: {}'.format(order))
         self._active_orders.remove(order)

aat/exchange/synthetic/__init__.py

@@ -159,7 +159,15 @@ async def tick(self, snapshot=False):
             while self._pending_cancel_orders:
                 order = self._pending_cancel_orders.popleft()
                 self._jumptime(order)
-                self._orderbooks[order.instrument].cancel(order)
+
+                try:
+                    self._orderbooks[order.instrument].cancel(order)
+                except KeyboardInterrupt:
+                    raise
+                except BaseException:
+                    continue
+
+                yield Event(EventType.CANCEL, order)
                 await asyncio.sleep(self._sleep)
 
             while self._events: