exchange.market_order requires a price ?

[asmodehn]

I was wondering what was the logic behind requiring a price for a market order here :
https://github.com/garethdmm/gryphon/blob/master/gryphon/execution/harness/exchange_coordinator.pyx#L247

As far as I understand, market orders take the current market price, so requiring one in the API is useless/confusing...

[garethdmm]

This is likely because market_order(mode, volume) doesn't have a reasonable default implementation in ExchangeAPIWrapper yet. Individual integrations can override it if their exchange does have a market order order type, but we just haven't coded the default such that it'll work on any exchange.

Such an implementation would be as simple as: get current orderbook, get price quote for desired volume, place limit order at that price. Here's where it would go:

gryphon/gryphon/lib/exchange/exchange_api_wrapper.pyx

Lines 112 to 116 in 8963d07

	def market_order(self, mode, volume):
	"""
	Place a market order on the exchange.
	"""
	return self.place_order(mode, volume, order_type=order_types.MARKET_ORDER)

[asmodehn]

Thanks I ll have a look at that eventually, I'm in need of more order types and need to understand this part better...

[asmodehn]

Hmmm, I might be wrong but it looks like even if the exchange integration has different order methods following the api_wrapper design, it will not be called by the coordinator ?

Looks like both market_order() and limit_order() from the exchange are calling the place_order() from the exchange api integration :
https://github.com/garethdmm/gryphon/blob/master/gryphon/execution/harness/exchange_coordinator.pyx#L355

Maybe this needs some careful api changes if one is to implement more order types (market without price, stop loss are the ones I'm missing currently...)

[asmodehn]

This might also be an opportunity to check and get closer to what ccxt does : https://github.com/ccxt/ccxt/blob/master/python/ccxt/base/exchange.py#L1608