some change
This commit is contained in:
46
order.py
46
order.py
@@ -1,5 +1,11 @@
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import time
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from collections import deque
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from enum import Enum
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class Dir(str, Enum):
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BUY = "BUY"
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SELL = "SELL"
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class OrderManager:
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@@ -27,13 +33,13 @@ class OrderManager:
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self.positions = {s: 0 for s in symbols}
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self.future_positions = {s: 0 for s in symbols}
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def add_order(self, order_id: int, symbol: str, size: int):
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self.orders[order_id] = size
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def add_order(self, order_id: int, symbol: str, quantity: int):
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self.orders[order_id] = {"symbol": symbol, "quantity": quantity}
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def get_order(self, order_id: int):
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return self.orders.get(order_id)
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def _next_order(self):
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def next_order(self):
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self._order_size += 1
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return self._order_size
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@@ -55,6 +61,9 @@ class OrderManager:
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# 전송 조건 통과 시 실제 통신 수행
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if action_type == "add":
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size = kwargs["size"]
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dir = kwargs["dir"]
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if dir == Dir.SELL:
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size = -size
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if (
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self.future_positions[kwargs["symbol"]] + size
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> self.POSITIONS_LIMIT[kwargs["symbol"]]
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@@ -72,12 +81,22 @@ class OrderManager:
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self._send_timestamps.append(now)
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return True
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def sell(self, symbol: str, price: int, size: int):
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def sell(self, symbol: str, dir: Dir, price: int, size: int):
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return self._attempt_send(
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"add",
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order_id=self._next_order(),
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order_id=self.next_order(),
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symbol=symbol,
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dir="SELL",
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dir=dir,
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price=price,
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size=size,
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)
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def buy(self, symbol: str, dir: Dir, price: int, size: int):
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return self._attempt_send(
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"add",
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order_id=self.next_order(),
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symbol=symbol,
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dir=dir,
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price=price,
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size=size,
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)
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@@ -89,7 +108,7 @@ class OrderManager:
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self.positions["VALE"] -= size
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self.positions["VALBZ"] += size
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return self.exchange.send_convert_message(
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order_id=self._next_order(),
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order_id=self.next_order(),
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symbol=symbol,
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dir="BUY",
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size=size,
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@@ -102,19 +121,18 @@ class OrderManager:
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self.positions["VALE"] += size
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self.positions["VALBZ"] -= size
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return self.exchange.send_convert_message(
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order_id=self._next_order(),
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order_id=self.next_order(),
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symbol=symbol,
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dir="SELL",
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size=size,
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)
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def buy(self, symbol: str, price: int, size: int):
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def convert(self, symbol: str, dir: str, size: int):
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return self._attempt_send(
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"add",
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order_id=self._next_order(),
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"convert",
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order_id=self.next_order(),
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symbol=symbol,
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dir="BUY",
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price=price,
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dir=dir,
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size=size,
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)
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@@ -131,4 +149,4 @@ class OrderManager:
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self.orders[order_id]["quantity"] = new_size
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def check_pos_limit(self, symbol: str) -> bool:
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return abs(self.positions[symbol]) < self.POSITIONS_LIMIT[symbol]
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return abs(self.positions[symbol]) < self.POSITIONS_LIMIT[symbol]
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