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add create_bracket_order() #14

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9407f30
add create_bracket_order()
flare9x Jun 11, 2023
739029c
Merge branch 'dm13450:main' into main
flare9x Jun 11, 2023
edaac34
Update orders_test.jl
flare9x Jun 11, 2023
888b679
fix create_order_params()
flare9x Jul 19, 2023
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15 changes: 7 additions & 8 deletions README.md
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Original file line number Diff line number Diff line change
Expand Up @@ -15,7 +15,7 @@ Once you've obtained the key and secret you can authenticate manually with

```julia
using AlpacaMarkets
AlpacaMarkets.select_account("PAPER")
AlpacaMarkets.trading_env("PAPER")
AlpacaMarkets.auth(KEY, SECRET)
```

Expand Down Expand Up @@ -49,13 +49,12 @@ So you can pull some historical data as and when needed.

Trading API functions are available up to account, orders and positions:

* `account`, `get_orders`, `place_order`, `place_market_order`
* `place_limit_order`, `place_stop_order`, `place_stop_limit_order`,
* `place_trailing_stop_order`, `place_bracket_order`,
* `place_oco_order`, `place_oto_order`, `replace_an_order`,
* `cancel_order`, `cancel_all_orders`, `get_orders_by_order_id`
* `get_orders_by_client_order_id`, `get_open_positions`,
* `get_position`, `close_all_positions`, `close_position`
* `account`, `create_market_order`, `create_limit_order`, `create_stop_order`
* `create_stop_limit_order`, `create_trailing_stop_order`, `create_bracket_order`,
* `get_orders`, `get_orders_by_order_id`, `get_orders_by_client_order_id`,
* `cancel_all_orders`, `cancel_order`, `replace_an_order`,
* `close_all_positions`, `close_position`, `get_all_positions`
* `get_position`

## To Do

Expand Down
62 changes: 43 additions & 19 deletions src/orders.jl
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@@ -1,12 +1,23 @@
function create_order_params(;symbol, side, qty=NaN, notional=NaN, time_in_force, type, extended_hours=false, client_order_id="none")

validate_order(side, time_in_force, qty, notional)

params = Dict("symbol" => symbol,
"side" => side,
"time_in_force" => time_in_force,
"type" => type,
"extended_hours" => extended_hours)
function create_order_params(;symbol, side, qty=NaN, notional=NaN, time_in_force, type, extended_hours=false, client_order_id="none", tp_limit_price=nothing, sl_stop_price=nothing, sl_limit_price=nothing,order_class=nothing)

validate_order(side, time_in_force, qty, notional, order_class, type)

if isnothing(order_class)
params = Dict("symbol" => symbol,
"side" => side,
"time_in_force" => time_in_force,
"type" => type,
"extended_hours" => extended_hours)
elseif !isnothing(order_class)
params = Dict("symbol" => symbol,
"side" => side,
"time_in_force" => time_in_force,
"type" => type,
"extended_hours" => extended_hours,
"order_class" => order_class,
"take_profit" => Dict("limit_price" => tp_limit_price),
"stop_loss" => Dict("stop_price" => sl_stop_price, "limit_price" => sl_limit_price))
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Error is thrown as these aren't passed into the function.
They don't need to be passed into the function, the tp/sl params are used in the bracket function.
Also duplication of code

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@flare9x flare9x Jul 12, 2023 •
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i will check - intention was if order_class=nothing it was the normal orders up to this point and if it was specified then would revert to the ifelse statement in the function. order_class="bracket" along with an assertion in utils : @assert order_class in ["simple", "bracket", "oco ", "oto"] "valid order class :: simple, bracket, oco, oto". i did this so that we could do a dict within dict for the tp,sl of these order types. i will verify what happened here. ok i realized where the error was solved see below.

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@flare9x flare9x Jul 14, 2023 •
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create_order_params() repaired and now should be able to extend to "bracket", "oco ", "oto"

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@flare9x flare9x Jul 19, 2023 •
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image

create_bracket_order(symbol="AAPL", side = "buy", qty = 1, time_in_force = "day", type = "limit", limit_price = 196.00, tp_limit_price=196.10, sl_stop_price=194.00, sl_limit_price = 193.60)

for brackets tested a few ways of executing the 'parent' order - market, limit and stop limit.

enter with limit order using bracket.

image

and if wish to enter on a stop limit bracket order::

create_bracket_order(symbol="AAPL", side = "buy", qty = 1, time_in_force = "day", type = "stop_limit", limit_price = 196.00, stop_price = 196.10, tp_limit_price=196.50, sl_stop_price=194.00, sl_limit_price = 193.60)

image

  "qty"            => 1
  "extended_hours" => false
  "limit_price"    => 196.0
  "symbol"         => "AAPL"
  "stop_loss"      => Dict("limit_price"=>193.6, "stop_price"=>194.0)
  "take_profit"    => Dict("limit_price"=>196.5)
  "order_class"    => "bracket"
  "stop_price"     => 196.1
  "side"           => "buy"
  "time_in_force"  => "day"
  "type"           => "stop_limit"

end

if client_order_id != "none"
params["client_order_id"] = client_order_id
Expand All @@ -31,36 +42,35 @@ end

function create_market_order(;symbol, side, qty=NaN, notional=NaN, time_in_force, extended_hours=false, client_order_id="none")
params = create_order_params(symbol=symbol, side=side, qty=qty, notional=notional, time_in_force = time_in_force, type = "market",
extended_hours=extended_hours, client_order_id=client_order_id)
extended_hours=extended_hours, client_order_id=client_order_id, order_class=nothing)
submit_order(params)
end

function create_limit_order(;symbol, side, qty=NaN, notional=NaN, limit_price, time_in_force, extended_hours=false, client_order_id="none")
params = create_order_params(symbol=symbol, side=side, qty=qty, notional=notional, time_in_force = time_in_force, type = "limit",
extended_hours=extended_hours, client_order_id=client_order_id)
extended_hours=extended_hours, client_order_id=client_order_id, order_class=nothing)
params["limit_price"] = limit_price
submit_order(params)
end

function create_stop_order(;symbol, side, qty=NaN, notional=NaN, stop_price, time_in_force, extended_hours=false, client_order_id="none")
params = create_order_params(symbol=symbol, side=side, qty=qty, notional=notional, time_in_force = time_in_force, type = "stop",
extended_hours=extended_hours, client_order_id=client_order_id)
extended_hours=extended_hours, client_order_id=client_order_id, order_class=nothing)
params["stop_price"] = stop_price
submit_order(params)
end

function create_stop_limit_order(;symbol, side, qty=NaN, notional=NaN, limit_price, stop_price, time_in_force, extended_hours=false, client_order_id="none")
params = create_order_params(symbol=symbol, side=side, qty=qty, notional=notional, time_in_force = time_in_force, type = "stop_limit",
extended_hours=extended_hours, client_order_id=client_order_id)
extended_hours=extended_hours, client_order_id=client_order_id, order_class=nothing)
params["stop_price"] = stop_price
params["limit_price"] = limit_price
submit_order(params)
end

function create_trailing_stop_order(;symbol, side, qty=NaN, notional=NaN, trail_price=NaN, trail_percent=NaN, time_in_force, extended_hours=false, client_order_id="none")

params = create_order_params(symbol=symbol, side=side, qty=qty, notional=notional, time_in_force = time_in_force, type = "stop_limit",
extended_hours=extended_hours, client_order_id=client_order_id)
extended_hours=extended_hours, client_order_id=client_order_id, order_class=nothing)
validate_size(trail_price, trail_percent)
if !isnan(trail_price)
params["trail_price"] = trail_price
Expand All @@ -73,8 +83,22 @@ function create_trailing_stop_order(;symbol, side, qty=NaN, notional=NaN, trail_
submit_order(params)
end

function create_bracket_order()
#nyi
function create_bracket_order(;symbol, side, type, qty=NaN, notional=NaN, limit_price=NaN, stop_price=NaN, tp_limit_price, sl_stop_price, sl_limit_price, time_in_force, extended_hours=false, client_order_id="none")
params = create_order_params(symbol=symbol, side=side, qty=qty, notional=notional, time_in_force = time_in_force, type = type, extended_hours=extended_hours, tp_limit_price=tp_limit_price, sl_stop_price=sl_stop_price,
sl_limit_price=sl_limit_price, client_order_id=client_order_id, order_class="bracket")

if !isnan(limit_price)
params["limit_price"] = limit_price
end

if !isnan(stop_price)
params["stop_price"] = stop_price
end

params["take_profit"]["limit_price"] = tp_limit_price
params["stop_loss"]["stop_price"] = sl_stop_price
params["stop_loss"]["limit_price"] = sl_limit_price
submit_order(params)
end

function create_oco_order()
Expand Down Expand Up @@ -141,7 +165,7 @@ function cancel_all_orders()::DataFrame
return resdf
end

function cancel_order(order_id::String)
function cancel_order(order_id::String)::DataFrame
url = join([TRADING_API_URL, "orders", order_id], "/")
res = HTTP.delete(url, headers = HEADERS[])
resdict = JSON.parse(String(res.body))
Expand All @@ -150,7 +174,7 @@ function cancel_order(order_id::String)
end


function replace_an_order(;order_id::String, params::Dict)
function replace_an_order(;order_id::String, params::Dict)::DataFrame

url = join([TRADING_API_URL, "orders", order_id], "/")

Expand Down
9 changes: 0 additions & 9 deletions src/positions.jl
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Expand Up @@ -27,15 +27,6 @@ function close_position(symbol::String; qty=NaN, percentage=NaN)::DataFrame
return resdf
end

function get_positions(symbol::String)::DataFrame
url = join([TRADING_API_URL, "positions", symbol], "/")

res = HTTP.get(url, headers = HEADERS[])
resdict = JSON.parse(String(res.body))
resdf = DataFrame(resdict)
return resdf
end

function get_positions()::DataFrame
url = join([TRADING_API_URL, "positions"], "/")

Expand Down
19 changes: 16 additions & 3 deletions src/utils.jl
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Expand Up @@ -95,16 +95,29 @@ function validate_side(side::String)
end

function validate_size(qty, notional)
@assert sum(isnan.([qty, notional])) == 1
@assert sum(isnan.([qty, notional])) == 1 "Either qty or notational - can not state both"
true
end

function validate_type(type::String)
@assert type in ["market", "limit", "stop", "stop_limit", "trailing_stop"] "valid types :: market, limit, stop, stop_limit, or trailing_stop"
true
end

function validate_order(side::String, tif::String, qty, notional)
function validate_class(order_class::Any)
if isnothing(order_class)
order_class = "simple"
end
@assert order_class in ["simple", "bracket", "oco ", "oto"] "valid order class :: simple, bracket, oco, oto"
true
end

function validate_order(side::String, tif::String, qty, notional, order_class, type::String)
validate_side(side)
validate_tif(tif)
validate_size(qty, notional)
validate_type(type)
validate_class(order_class)
true
end


7 changes: 5 additions & 2 deletions test/orders_test.jl
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Expand Up @@ -11,8 +11,11 @@

@test params["notional"] == 100
#@test !(["qty", "client_order_id"] in keys(params))


params = AlpacaMarkets.create_order_params(symbol="AAPL", side = "buy", qty = 1, time_in_force = "day", type = "market", tp_limit_price=196.10, sl_stop_price=194.00, sl_limit_price = 193.60, order_class = "bracket")

@test params["order_class"] == "bracket"

end

end
end