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Complex orders #107

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merged 8 commits into from
Nov 28, 2023
Merged

Complex orders #107

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dd88001
Rebased to roll back changes
Quenos Nov 17, 2023
09b3428
Complex orders added
Quenos Nov 27, 2023
f891ee8
update tests (#106)
Graeme22 Nov 24, 2023
5b48f54
Make additional market metrics optional (#105)
Mytak Nov 24, 2023
6a86faf
updated by fork
Quenos Nov 27, 2023
57d7b83
isorted
Quenos Nov 27, 2023
cb45c9c
lint errors fixed
Quenos Nov 27, 2023
dc339ef
add tests
Graeme22 Nov 28, 2023
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112 changes: 97 additions & 15 deletions tastytrade/account.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -5,8 +5,9 @@
import requests
from pydantic import BaseModel

from tastytrade.order import (InstrumentType, NewOrder, OrderStatus,
PlacedOrder, PlacedOrderResponse, PriceEffect)
from tastytrade.order import (InstrumentType, NewComplexOrder, NewOrder,
OrderStatus, PlacedComplexOrder, PlacedOrder,
PlacedOrderResponse, PriceEffect)
from tastytrade.session import ProductionSession, Session
from tastytrade.utils import (TastytradeError, TastytradeJsonDataclass,
validate_response)
Expand Down Expand Up @@ -456,7 +457,8 @@ def get_trading_status(self, session: Session) -> TradingStatus:
:return: a Tastytrade 'TradingStatus' object in JSON format.
"""
response = requests.get(
f'{session.base_url}/accounts/{self.account_number}/trading-status', # noqa: E501
(f'{session.base_url}/accounts/{self.account_number}/'
'trading-status'),
headers=session.headers
)
validate_response(response) # throws exception if not 200
Expand Down Expand Up @@ -511,7 +513,8 @@ def get_balance_snapshots(
}

response = requests.get(
f'{session.base_url}/accounts/{self.account_number}/balance-snapshots', # noqa: E501
(f'{session.base_url}/accounts/{self.account_number}/balance-'
'snapshots'),
headers=session.headers,
params={k: v for k, v in params.items() if v is not None}
)
Expand Down Expand Up @@ -650,7 +653,8 @@ def get_history(
results = []
while True:
response = requests.get(
f'{session.base_url}/accounts/{self.account_number}/transactions', # noqa: E501
(f'{session.base_url}/accounts/{self.account_number}/'
'transactions'),
headers=session.headers,
params={k: v for k, v in params.items() if v is not None}
)
Expand Down Expand Up @@ -682,7 +686,8 @@ def get_transaction(
:return: a Tastytrade 'Transaction' object in JSON format.
"""
response = requests.get(
f'{session.base_url}/accounts/{self.account_number}/transactions/{id}', # noqa: E501
(f'{session.base_url}/accounts/{self.account_number}/transactions'
f'/{id}'),
headers=session.headers
)
validate_response(response)
Expand All @@ -706,7 +711,8 @@ def get_total_fees(
"""
params: Dict[str, Any] = {'date': date}
response = requests.get(
f'{session.base_url}/accounts/{self.account_number}/transactions/total-fees', # noqa: E501
(f'{session.base_url}/accounts/{self.account_number}/transactions/'
'total-fees'),
headers=session.headers,
params=params
)
Expand Down Expand Up @@ -747,7 +753,8 @@ def get_net_liquidating_value_history(
params = {'time-back': time_back}

response = requests.get(
f'{session.base_url}/accounts/{self.account_number}/net-liq/history', # noqa: E501
(f'{session.base_url}/accounts/{self.account_number}/net-liq/'
'history'),
headers=session.headers,
params=params
)
Expand All @@ -766,7 +773,8 @@ def get_position_limit(self, session: Session) -> PositionLimit:
:return: a Tastytrade 'PositionLimit' object in JSON format.
"""
response = requests.get(
f'{session.base_url}/accounts/{self.account_number}/position-limit', # noqa: E501
(f'{session.base_url}/accounts/{self.account_number}/position-'
'limit'),
headers=session.headers
)
validate_response(response)
Expand All @@ -792,7 +800,8 @@ def get_effective_margin_requirements(
if symbol:
symbol = symbol.replace('/', '%2F')
response = requests.get(
f'{session.base_url}/accounts/{self.account_number}/margin-requirements/{symbol}/effective', # noqa: E501
(f'{session.base_url}/accounts/{self.account_number}/margin-'
f'requirements/{symbol}/effective'),
headers=session.headers
)
validate_response(response)
Expand All @@ -811,7 +820,8 @@ def get_margin_requirements(self, session: Session) -> MarginReport:
:return: a :class:`MarginReport` object.
"""
response = requests.get(
f'{session.base_url}/margin/accounts/{self.account_number}/requirements', # noqa: E501
(f'{session.base_url}/margin/accounts/{self.account_number}/'
'requirements'),
headers=session.headers
)
validate_response(response)
Expand All @@ -838,16 +848,41 @@ def get_live_orders(self, session: Session) -> List[PlacedOrder]:

return [PlacedOrder(**entry) for entry in data]

def get_complex_order(
self,
session: Session,
order_id: str
) -> PlacedComplexOrder:
"""
Gets a complex order with the given ID.

:param session: the session to use for the request.

:return:
a :class:`PlacedComplexOrder` object corresponding to the given ID
"""
response = requests.get(
(f'{session.base_url}/accounts/{self.account_number}/complex-'
f'orders/{order_id}'),
headers=session.headers
)
validate_response(response)

data = response.json()['data']

return PlacedComplexOrder(**data)

def get_order(self, session: Session, order_id: str) -> PlacedOrder:
"""
Gets an order with the given ID.

:param session: the session to use for the request.

:return: an :class:`Order` object corresponding to the given ID.
:return: a :class:`PlacedOrder` object corresponding to the given ID
"""
response = requests.get(
f'{session.base_url}/accounts/{self.account_number}/orders/{order_id}', # noqa: E501
(f'{session.base_url}/accounts/{self.account_number}/orders'
f'/{order_id}'),
headers=session.headers
)
validate_response(response)
Expand All @@ -856,6 +891,20 @@ def get_order(self, session: Session, order_id: str) -> PlacedOrder:

return PlacedOrder(**data)

def delete_complex_order(self, session: Session, order_id: str) -> None:
"""
Delete a complex order by ID.

:param session: the session to use for the request.
:param order_id: the ID of the order to delete.
"""
response = requests.delete(
(f'{session.base_url}/accounts/{self.account_number}/complex-'
f'orders/{order_id}'),
headers=session.headers
)
validate_response(response)

def delete_order(self, session: Session, order_id: str) -> None:
"""
Delete an order by ID.
Expand All @@ -864,7 +913,8 @@ def delete_order(self, session: Session, order_id: str) -> None:
:param order_id: the ID of the order to delete.
"""
response = requests.delete(
f'{session.base_url}/accounts/{self.account_number}/orders/{order_id}', # noqa: E501
(f'{session.base_url}/accounts/{self.account_number}/orders'
f'/{order_id}'),
headers=session.headers
)
validate_response(response)
Expand Down Expand Up @@ -978,6 +1028,37 @@ def place_order(

return PlacedOrderResponse(**data)

def place_complex_order(
self,
session: Session,
order: NewComplexOrder,
dry_run=True
) -> PlacedOrderResponse:
"""
Place the given order.

:param session: the session to use for the request.
:param order: the order to place.
:param dry_run: whether this is a test order or not.

:return: a :class:`PlacedOrderResponse` object for the placed order.
"""
url = (f'{session.base_url}/accounts/{self.account_number}'
'/complex-orders')
if dry_run:
url += '/dry-run'
headers = session.headers
# required because we're passing the JSON as a string
headers['Content-Type'] = 'application/json'
json = order.json(exclude_none=True, by_alias=True)

response = requests.post(url, headers=session.headers, data=json)
validate_response(response)

data = response.json()['data']

return PlacedOrderResponse(**data)

def replace_order(
self,
session: Session,
Expand All @@ -998,7 +1079,8 @@ def replace_order(
# required because we're passing the JSON as a string
headers['Content-Type'] = 'application/json'
response = requests.put(
f'{session.base_url}/accounts/{self.account_number}/orders/{old_order_id}', # noqa: E501
(f'{session.base_url}/accounts/{self.account_number}/orders'
f'/{old_order_id}'),
headers=headers,
data=new_order.json(
exclude={'legs'},
Expand Down
6 changes: 4 additions & 2 deletions tastytrade/instruments.py
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Original file line number Diff line number Diff line change
Expand Up @@ -600,7 +600,8 @@ def get_future_product(
"""
code = code.replace('/', '')
response = requests.get(
f'{session.base_url}/instruments/future-products/{exchange}/{code}', # noqa: E501
(f'{session.base_url}/instruments/future-products/{exchange}/'
f'{code}'),
headers=session.headers
)
validate_response(response)
Expand Down Expand Up @@ -768,7 +769,8 @@ def get_future_option_product(
"""
root_symbol = root_symbol.replace('/', '')
response = requests.get(
f'{session.base_url}/instruments/future-option-products/{exchange}/{root_symbol}', # noqa: E501
(f'{session.base_url}/instruments/future-option-products/'
f'{exchange}/{root_symbol}'),
headers=session.headers
)
validate_response(response)
Expand Down
6 changes: 4 additions & 2 deletions tastytrade/metrics.py
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Original file line number Diff line number Diff line change
Expand Up @@ -128,7 +128,8 @@ def get_dividends(
"""
symbol = symbol.replace('/', '%2F')
response = requests.get(
f'{session.base_url}/market-metrics/historic-corporate-events/dividends/{symbol}', # noqa: E501
(f'{session.base_url}/market-metrics/historic-corporate-events/'
f'dividends/{symbol}'),
headers=session.headers
)
validate_response(response)
Expand All @@ -155,7 +156,8 @@ def get_earnings(
symbol = symbol.replace('/', '%2F')
params: Dict[str, Any] = {'start-date': start_date}
response = requests.get(
f'{session.base_url}/market-metrics/historic-corporate-events/earnings-reports/{symbol}', # noqa: E501
(f'{session.base_url}/market-metrics/historic-corporate-events/'
f'earnings-reports/{symbol}'),
headers=session.headers,
params=params
)
Expand Down
50 changes: 37 additions & 13 deletions tastytrade/order.py
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Original file line number Diff line number Diff line change
Expand Up @@ -85,6 +85,14 @@ class OrderType(str, Enum):
NOTIONAL_MARKET = 'Notional Market'


class ComplexOrderType(str, Enum):
"""
This is an :class:`~enum.Enum` that contains the valid complex order types.
"""
OCO = 'OCO'
OTOCO = 'OTOCO'


class PriceEffect(str, Enum):
"""
This is an :class:`~enum.Enum` that shows the sign of a price effect, since
Expand All @@ -103,7 +111,7 @@ class FillInfo(TastytradeJsonDataclass):
quantity: Decimal
fill_price: Decimal
filled_at: datetime
destination_venue: str
destination_venue: Optional[str] = None
ext_group_fill_id: Optional[str] = None
ext_exec_id: Optional[str] = None

Expand All @@ -118,7 +126,7 @@ class Leg(TastytradeJsonDataclass):
instrument_type: InstrumentType
symbol: str
action: OrderAction
quantity: Decimal
quantity: Optional[Decimal] = None
remaining_quantity: Optional[Decimal] = None
fills: Optional[List[FillInfo]] = None

Expand Down Expand Up @@ -221,6 +229,22 @@ class NewOrder(TastytradeJsonDataclass):
rules: Optional[OrderRule] = None


class NewComplexOrder(TastytradeJsonDataclass):
"""
Dataclass containing information about a new OTOCO order.
Also used for modifying existing orders.
"""
orders: List[NewOrder]
source: str = f'tastyware/tastytrade:v{VERSION}'
trigger_order: Optional[NewOrder] = None
type: ComplexOrderType = ComplexOrderType.OCO

def __init__(self, **kwargs):
super().__init__(**kwargs)
if self.trigger_order is not None:
self.type = ComplexOrderType.OTOCO


class PlacedOrder(TastytradeJsonDataclass):
"""
Dataclass containing information about an existing order, whether it's
Expand All @@ -229,7 +253,6 @@ class PlacedOrder(TastytradeJsonDataclass):
account_number: str
time_in_force: OrderTimeInForce
order_type: OrderType
size: str
underlying_symbol: str
underlying_instrument_type: InstrumentType
status: OrderStatus
Expand All @@ -238,6 +261,7 @@ class PlacedOrder(TastytradeJsonDataclass):
edited: bool
updated_at: datetime
legs: List[Leg]
size: Optional[str] = None
id: Optional[str] = None
price: Optional[Decimal] = None
price_effect: Optional[PriceEffect] = None
Expand Down Expand Up @@ -265,20 +289,20 @@ class PlacedOrder(TastytradeJsonDataclass):
order_rule: Optional[OrderRule] = None


class ComplexOrder(TastytradeJsonDataclass):
class PlacedComplexOrder(TastytradeJsonDataclass):
"""
Dataclass containing information about a complex order.
Dataclass containing information about an already placed complex order.
"""
id: str
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I believe these lines are needed for previously placed complex orders, you can confirm by calling Account.get_history after placing a complex order. If so, this could be renamed to PlacedComplexOrder to maintain the naming convention.

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These lines are no longer in the return value of placing complex orders. If there are other complex orders than OTOCO and OCO, then maybe, but those 2 are the only one I found.

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Check the value after calling Account.get_history with a complex order in the history, that's why this is there in the first place

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Looks like it's for pairs trades!

account_number: str
type: str
terminal_at: str
ratio_price_threshold: Decimal
ratio_price_comparator: str
ratio_price_is_threshold_based_on_notional: bool
related_orders: List[Dict[str, str]]
orders: List[PlacedOrder]
trigger_order: PlacedOrder
id: Optional[str] = None
trigger_order: Optional[PlacedOrder] = None
terminal_at: Optional[str] = None
ratio_price_threshold: Optional[Decimal] = None
ratio_price_comparator: Optional[str] = None
ratio_price_is_threshold_based_on_notional: Optional[bool] = None
related_orders: Optional[List[Dict[str, str]]] = None


class BuyingPowerEffect(TastytradeJsonDataclass):
Expand Down Expand Up @@ -324,7 +348,7 @@ class PlacedOrderResponse(TastytradeJsonDataclass):
buying_power_effect: BuyingPowerEffect
fee_calculation: FeeCalculation
order: Optional[PlacedOrder] = None
complex_order: Optional[ComplexOrder] = None
complex_order: Optional[PlacedComplexOrder] = None
warnings: Optional[List[Message]] = None
errors: Optional[List[Message]] = None

Expand Down
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