-
-
Notifications
You must be signed in to change notification settings - Fork 11
/
Orders.ts
607 lines (504 loc) · 20.9 KB
/
Orders.ts
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500
501
502
503
504
505
506
507
508
509
510
511
512
513
514
515
516
517
518
519
520
521
522
523
524
525
526
527
528
529
530
531
532
533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
570
571
572
573
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591
592
593
594
595
596
597
598
599
600
601
602
603
604
605
606
607
import IB from '@stoqey/ib';
import isEmpty from 'lodash/isEmpty';
import findIndex from 'lodash/findIndex';
import compact from 'lodash/compact';
import {
ORDER,
OrderState,
CreateSale,
OrderWithContract,
OrderStatus,
OrderStatusType,
OrderStock,
} from './orders.interfaces';
import {publishDataToTopic, IbkrEvents, IBKREVENTS} from '../events';
import IBKRConnection from '../connection/IBKRConnection';
import {log, verbose} from '../log';
import {createSymbolAndTickerId} from './Orders.util';
import {handleEventfulError} from '../events/HandleError';
const ibkrEvents = IbkrEvents.Instance;
// Place Order + Cancel Order
// Get Filled open orders
interface SymbolTickerOrder {
id: string;
tickerId: number;
orderPermId?: number; // for reference when closing it
symbol: string;
stockOrderRequest: OrderStock;
orderStatus?: OrderStatusType;
}
export class Orders {
ib: IB = null;
// StockOrders
tickerId = 0;
processing = false;
/**
* Orders to be taken from nextValidId
* These are always deleted after order is submitted to IB
*/
stockOrders: OrderStock[] = [];
timeoutRetries: {[x: string]: NodeJS.Timeout[]} = {};
/**
* A ledger of orders that are being executed,
* This is to avoid duplicate orders
* @unique
* new order overrides old one
* only filled, canceled, error orders can be overridden
*/
tickersAndOrders: SymbolTickerOrder[] = [];
/**
* Redundant orderIdNext recorded
*/
orderIdNext: number = null;
// OPEN ORDERS
// public openOrders: {[x: string]: OrderWithContract} = {};
public openedOrders: OrderWithContract[] = [];
public receivedOrders = false; // stopper
private static _instance: Orders;
public static get Instance(): Orders {
return this._instance || (this._instance = new this());
}
private constructor() {
const self = this;
// only when connected createSale
ibkrEvents.on(IBKREVENTS.CONNECTED, async () => {
self.init();
});
ibkrEvents.emit(IBKREVENTS.PING); // ping connection
}
/**
* init
*/
public init = async (): Promise<void> => {
const self = this;
if (!self.ib) {
const ib = IBKRConnection.Instance.getIBKR();
self.ib = ib;
ib.on('openOrderEnd', () => {
// Initialise OrderTrader
// OrderTrade.Instance.init();
publishDataToTopic({
topic: IBKREVENTS.OPEN_ORDERS,
data: self.openedOrders,
});
});
ib.on(
'orderStatus',
(
id,
status,
filled,
remaining,
avgFillPrice,
permId,
parentId,
lastFillPrice,
clientId,
whyHeld
) => {
const currentOrder = self.openedOrders.find((oo) => oo.orderId === id);
const orderStatus: OrderStatus = {
status,
filled,
remaining,
avgFillPrice,
permId,
parentId,
lastFillPrice,
clientId,
whyHeld,
};
publishDataToTopic({
topic: IBKREVENTS.ORDER_STATUS, //push to topic below,
data: {
order: currentOrder,
orderStatus,
},
});
verbose(
`Orders > orderStatus ${currentOrder && currentOrder.symbol}`,
JSON.stringify({
id,
status,
filled,
remaining,
symbol: currentOrder && currentOrder.symbol,
})
);
}
);
ib.on('openOrder', (orderId, contract, order: ORDER, orderState: OrderState) => {
// 1. Update OpenOrders
// Orders that need to be filled
// -----------------------------------------------------------------------------------
self.receivedOrders = true;
const openedOrders = self.openedOrders;
const currentOrderindex = findIndex(openedOrders, {orderId});
openedOrders[currentOrderindex] = {
// OrderId + orderState
orderId,
orderState,
// Add order
...order,
// Add contract
...contract,
};
// update orders
self.openedOrders = compact(openedOrders);
// Delete order from openOrders list
if (orderState.status === 'Filled') {
log(
`Filled -----> DELETE FROM OPEN ORDERS -------> symbol=${
contract && contract.symbol
}`
);
// update orders
self.openedOrders = compact(
(self.openedOrders || []).filter((i) => i.orderId !== orderId)
);
}
// Delete order from openOrders list
if (['PendingCancel', 'Cancelled', 'ApiCancelled'].includes(orderState.status)) {
log(
`${orderState.status} -----> DELETE FROM OPEN ORDERS -------> ${
contract && contract.symbol
}`
);
self.openedOrders = compact(
(self.openedOrders || []).filter((i) => i.orderId !== orderId)
);
}
const openOrdersArr = self.openedOrders;
log(`OPEN ORDERS ${openOrdersArr && openOrdersArr.length}`);
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
// 2. Update OrderStocks
// Orders requests to send to transmit
// Using ticker Ids
// -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
const allTickerOrder: SymbolTickerOrder[] = self.tickersAndOrders;
const thisOrderTicker = allTickerOrder.find(
(tickerOrder) => tickerOrder.tickerId === orderId
);
// Add permId to orderTickObject
if (!isEmpty(thisOrderTicker)) {
let updatedSymbolTicker: SymbolTickerOrder = null;
// update this symbolTickerOrder
self.tickersAndOrders = self.tickersAndOrders.map((i) => {
if (i.tickerId === orderId) {
const updatedSymbolTickerX = {
...i,
orderPermId: order.permId,
symbol: thisOrderTicker.symbol,
orderStatus: orderState.status, // update order state
};
updatedSymbolTicker = updatedSymbolTickerX;
return updatedSymbolTickerX;
}
return i;
});
// create sale if order is filled
if (orderState.status === 'Filled') {
// Order is filled we can record it
// Check if we can create new trade
// on if stockOrderRequest is present
// that.symbolsTickerOrder[thisOrderTicker.symbol]
if (!isEmpty(updatedSymbolTicker.stockOrderRequest)) {
const {stockOrderRequest} = updatedSymbolTicker;
const {exitTrade, exitParams, symbol, capital} = stockOrderRequest;
const dataSaleSymbolOrder: OrderWithContract = {
...order,
...contract,
orderState,
orderId,
};
if (exitTrade) {
const {exitPrice, exitTime, entryTime, entryPrice} = exitParams;
// If this trade is for exiting then record the sale
// create sale now
const newSale: CreateSale = {
capital,
exitPrice,
exitTime,
entryTime,
entryPrice,
symbol,
profit: entryPrice - exitPrice,
};
log(
`AccountOrderStock.openOrder`,
`FILLED, TO CREATE SALE -> ${contract.symbol} ${order.action} ${order.totalQuantity} ${orderState.status}`
);
return publishDataToTopic({
topic: IBKREVENTS.ORDER_FILLED,
data: {sale: newSale, order: dataSaleSymbolOrder},
});
}
log(
`AccountOrderStock.openOrder`,
`FILLED, but no sale created -> ${contract.symbol} ${order.action} ${order.totalQuantity} ${orderState.status}`
);
publishDataToTopic({
topic: IBKREVENTS.ORDER_FILLED,
data: {sale: null, order: dataSaleSymbolOrder},
});
}
}
}
});
// placeOrder event
ibkrEvents.on(
IBKREVENTS.PLACE_ORDER,
async ({stockOrder}: {stockOrder: OrderStock}) => {
await self.placeOrder(stockOrder);
}
);
}
};
public getOpenOrders = async (): Promise<OrderWithContract[]> => {
const self = this;
const openedOrders: OrderWithContract[] = [];
return new Promise((resolve) => {
let done = false;
// listen for account summary
const handleOpenOrders = (ordersData) => {
if (!done) {
self.ib.off('openOrder', handleOpenOrders);
self.ib.off('openOrderEnd', openOrderEnd);
done = true;
// update openedOrders
self.openedOrders = ordersData;
return resolve(ordersData);
}
};
const openOrderEnd = () => {
handleOpenOrders(openedOrders);
};
self.ib.once('openOrderEnd', openOrderEnd);
self.ib.on('openOrder', function (
orderId,
contract,
order: ORDER,
orderState: OrderState
) {
// Only check pending orders
if (['PendingSubmit', 'PreSubmitted', 'Submitted'].includes(orderState.status)) {
openedOrders.push({
// OrderId + orderState
orderId,
orderState,
// Add order
...order,
// Add contract
...contract,
});
}
});
self.ib.reqAllOpenOrders(); // refresh orders
return;
});
};
public isActive = (): boolean => {
return this.receivedOrders;
};
/**
* Place Order
* Order is added to queue if is already processing one order
* @stockOrder
* @options ? {}
* @when Until IBKR releases a new OrderId, then order is placed and process can pick other orders
*/
public placeOrder = async (
stockOrder: OrderStock,
options?: {unique: boolean}
): Promise<any> => {
const self = this;
const ib = self.ib;
const {symbol} = stockOrder;
const shouldBeUniqueOrder = (options && options.unique) || false;
const success = (): boolean => {
ib.off('nextValidId', handleOrderIdNext);
self.processing = false; // reset processing
return true;
};
// eslint-disable-next-line @typescript-eslint/no-unused-vars
const erroredOut = (error?: Error): boolean => {
ib.off('nextValidId', handleOrderIdNext);
self.processing = false; // reset processing
return false;
};
const checkPending = (): boolean => {
// -1 Validate size
const orderSize = stockOrder.size;
const orderIsPending = () => {
log(
'placingOrderNow',
`*********************** Order is already being processed for ${stockOrder.action} symbol=${symbol} `
);
return erroredOut();
};
if (Number.isNaN(orderSize)) {
log(
'placingOrderNow.checkPending',
`*********************** orderSize is NaN size=${orderSize} action=${stockOrder.action} symbol=${symbol}`
);
return erroredOut();
}
/**
* Check existing orders from tickersAndOrders
*/
const currentOpenOrders = self.tickersAndOrders;
const currentOpenOrdersSymbolId = currentOpenOrders.filter(
(cos) => cos.symbol === symbol
);
verbose(
'currentOpenOrdersSymbolId',
JSON.stringify(currentOpenOrdersSymbolId.map((o) => o.symbol))
);
// Should check whether orders in queue should be unique/ no duplicates
if (!isEmpty(currentOpenOrdersSymbolId)) {
const existingOrdersStatuses = currentOpenOrdersSymbolId.map((i) => i.orderStatus);
const allOrdersThatArePending = existingOrdersStatuses.filter((status) =>
['PreSubmitted', 'Submitted', 'PendingSubmit'].includes(status)
);
if (shouldBeUniqueOrder) {
if (!isEmpty(allOrdersThatArePending)) {
return orderIsPending();
}
}
}
/**
* Check existing opened placed orders
*/
const checkExistingOrders = self.openedOrders;
log(
'placingOrderNow',
`Existing orders in queue -> ${(checkExistingOrders || []).map((i) => i.symbol)}`
);
if (!isEmpty(checkExistingOrders)) {
// check if we have the same order from here
const findMatchingAction = checkExistingOrders.filter(
(exi) => exi.action === stockOrder.action && exi.symbol === stockOrder.symbol
);
if (!isEmpty(findMatchingAction)) {
if (shouldBeUniqueOrder) {
log(
'placingOrderNow',
`Order already exist for ${stockOrder.action}, ${findMatchingAction[0].symbol} -> @${stockOrder.parameters[0]}`
);
return erroredOut();
}
}
}
return true;
};
const handleOrderIdNext = (orderIdNext: number) => {
const tickerToUse = ++orderIdNext;
const currentOrders = self.stockOrders;
if (isEmpty(currentOrders)) {
log('handleOrderIdNext', `Stock Orders are empty`);
return erroredOut();
}
// get order by it's tickerId
const stockOrder = self.stockOrders.shift();
if (isEmpty(stockOrder)) {
log('handleOrderIdNext', `First Stock Orders Item is empty`);
return erroredOut();
}
const {symbol, size} = stockOrder;
// eslint-disable-next-line @typescript-eslint/ban-types
const orderCommand: Function = ib.order[stockOrder.type];
const args = stockOrder.parameters;
if (isEmpty(args)) {
log('handleOrderIdNext', `Arguments cannot be null`);
return erroredOut();
}
const tickerIdWithSymbol = createSymbolAndTickerId(symbol, tickerToUse);
const oldTickerSymbol = self.tickersAndOrders.find((t) => t.id === tickerIdWithSymbol);
if (oldTickerSymbol) {
log('handleOrderIdNext', `Order already exists`);
return erroredOut();
}
// Just save tickerId and stockOrder
const tickerNOrder: SymbolTickerOrder = {
id: tickerIdWithSymbol,
tickerId: tickerToUse,
symbol,
orderStatus: 'PendingSubmit',
stockOrderRequest: stockOrder, // for reference when closing trade,
};
// Place order
ib.placeOrder(
tickerToUse,
ib.contract.stock(stockOrder.symbol),
orderCommand(stockOrder.action, ...args)
);
// Add it
self.tickersAndOrders.push(tickerNOrder);
self.tickerId = tickerToUse;
ib.reqAllOpenOrders(); // refresh orders
log(
'handleOrderIdNext',
`Placing order for ... tickerToUse=${tickerToUse} orderIdNext=${orderIdNext} tickerId=${self.tickerId} symbol=${symbol} size=${size}`
);
return success();
};
function placingOrderNow(): void {
if (isEmpty(stockOrder.symbol)) {
erroredOut(new Error('Please enter order'));
return;
}
self.stockOrders.push(stockOrder);
self.ib.reqIds(++self.orderIdNext);
verbose(
'placingOrderNow',
`Order > placeOrder -> tickerId=${self.tickerId} symbol=${stockOrder.symbol}`
);
}
async function run(): Promise<void> {
const canProceed = await checkPending();
if (canProceed === true) {
if (self.processing) {
return log(
`Broker is already processing an order for ${self.tickerId}`,
symbol
);
}
// Start -----------------------------
self.processing = true;
ib.on('nextValidId', handleOrderIdNext); // start envs
return placingOrderNow();
}
}
return run();
};
/**
* cancelOrder
* @param orderId: number
*/
cancelOrder = async (orderId: number): Promise<boolean> => {
const self = this;
const ib = self.ib;
return new Promise((res) => {
const handleResults = (r: boolean) => {
if (r) {
// update orders
self.openedOrders = compact(
(self.openedOrders || []).filter((i) => i.orderId !== orderId)
);
}
res(r);
handleError();
};
// handleError
const handleError = handleEventfulError(
undefined,
[`OrderId ${orderId} that needs to be cancelled is not found`],
() => handleResults(false)
);
ib.cancelOrder(orderId);
setTimeout(() => handleResults(true), 2000);
});
};
}
export default Orders;