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Implement more validation and conversion

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This commit is contained in:
Mark Veidemanis
2022-11-04 07:20:14 +00:00
parent d34ac39d68
commit 60979652d9
8 changed files with 294 additions and 158 deletions
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88
core/lib/schemas/alpaca_s.py
View File

@@ -24,6 +24,32 @@ class GetAllAssets(BaseModel):
itemlist: list[Asset]
GetAllAssetsSchema = {
"itemlist": (
"itemlist",
[
{
"id": "id",
"class": "class",
"exchange": "exchange",
"symbol": "symbol",
"name": "name",
"status": "status",
"tradable": "tradable",
"marginable": "marginable",
"maintenance_margin_requirement": "maintenanceMarginRequirement",
"shortable": "shortable",
"easy_to_borrow": "easyToBorrow",
"fractionable": "fractionable",
"min_order_size": "minOrderSize",
"min_trade_increment": "minTradeIncrement",
"price_increment": "priceIncrement",
}
],
)
}
# get_open_position
class GetOpenPosition(BaseModel):
asset_id: str
@@ -72,31 +98,6 @@ class GetAllPositions(BaseModel):
itemlist: list[Position]
{
"itemlist": [
{
"asset_id": "64bbff51-59d6-4b3c-9351-13ad85e3c752",
"symbol": "BTCUSD",
"exchange": "FTXU",
"asset_class": "crypto",
"asset_marginable": False,
"qty": "0.009975",
"avg_entry_price": "20714",
"side": "long",
"market_value": "204.297975",
"cost_basis": "206.62215",
"unrealized_pl": "-2.324175",
"unrealized_plpc": "-0.0112484310128416",
"unrealized_intraday_pl": "-0.269325",
"unrealized_intraday_plpc": "-0.001316559391457",
"current_price": "20481",
"lastday_price": "20508",
"change_today": "-0.001316559391457",
"qty_available": "0.009975",
}
]
}
GetAllPositionsSchema = {
"itemlist": (
"itemlist",
@@ -152,4 +153,39 @@ class GetAccount(BaseModel):
balance_asof: str
GetAccountSchema = {"": ""}
GetAccountSchema = {
"id": "id",
"account_number": "account_number",
"status": "status",
"crypto_status": "crypto_status",
"currency": "currency",
"buying_power": "buying_power",
"regt_buying_power": "regt_buying_power",
"daytrading_buying_power": "daytrading_buying_power",
"effective_buying_power": "effective_buying_power",
"non_marginable_buying_power": "non_marginable_buying_power",
"bod_dtbp": "bod_dtbp",
"cash": "cash",
"accrued_fees": "accrued_fees",
"pending_transfer_in": "pending_transfer_in",
"portfolio_value": "portfolio_value",
"pattern_day_trader": "pattern_day_trader",
"trading_blocked": "trading_blocked",
"transfers_blocked": "transfers_blocked",
"account_blocked": "account_blocked",
"created_at": "created_at",
"trade_suspended_by_user": "trade_suspended_by_user",
"multiplier": "multiplier",
"shorting_enabled": "shorting_enabled",
"equity": "equity",
"last_equity": "last_equity",
"long_market_value": "long_market_value",
"short_market_value": "short_market_value",
"position_market_value": "position_market_value",
"initial_margin": "initial_margin",
"maintenance_margin": "maintenance_margin",
"last_maintenance_margin": "last_maintenance_margin",
"sma": "sma",
"daytrade_count": "daytrade_count",
"balance_asof": "balance_asof",
}

268
core/lib/schemas/oanda_s.py
View File

@@ -1,42 +1,5 @@
from pydantic import BaseModel
a = {
"positions": [
{
"instrument": "EUR_USD",
"long": {
"units": "1",
"averagePrice": "0.99361",
"pl": "-0.1014",
"resettablePL": "-0.1014",
"financing": "0.0000",
"dividendAdjustment": "0.0000",
"guaranteedExecutionFees": "0.0000",
"tradeIDs": ["71"],
"unrealizedPL": "-0.0002",
},
"short": {
"units": "0",
"pl": "0.0932",
"resettablePL": "0.0932",
"financing": "0.0000",
"dividendAdjustment": "0.0000",
"guaranteedExecutionFees": "0.0000",
"unrealizedPL": "0.0000",
},
"pl": "-0.0082",
"resettablePL": "-0.0082",
"financing": "0.0000",
"commission": "0.0000",
"dividendAdjustment": "0.0000",
"guaranteedExecutionFees": "0.0000",
"unrealizedPL": "-0.0002",
"marginUsed": "0.0286",
}
],
"lastTransactionID": "71",
}
class PositionLong(BaseModel):
units: str
@@ -79,44 +42,6 @@ class OpenPositions(BaseModel):
lastTransactionID: str
{
"positions": [
{
"instrument": "EUR_USD",
"long": {
"units": "1",
"averagePrice": "0.99361",
"pl": "-0.1014",
"resettablePL": "-0.1014",
"financing": "-0.0002",
"dividendAdjustment": "0.0000",
"guaranteedExecutionFees": "0.0000",
"tradeIDs": ["71"],
"unrealizedPL": "-0.0044",
},
"short": {
"units": "0",
"pl": "0.0932",
"resettablePL": "0.0932",
"financing": "0.0000",
"dividendAdjustment": "0.0000",
"guaranteedExecutionFees": "0.0000",
"unrealizedPL": "0.0000",
},
"pl": "-0.0082",
"resettablePL": "-0.0082",
"financing": "-0.0002",
"commission": "0.0000",
"dividendAdjustment": "0.0000",
"guaranteedExecutionFees": "0.0000",
"unrealizedPL": "-0.0044",
"marginUsed": "0.0287",
}
],
"lastTransactionID": "73",
}
def parse_prices(x):
if float(x["long"]["units"]) > 0:
return x["long"]["averagePrice"]
@@ -168,3 +93,196 @@ OpenPositionsSchema = {
],
)
}
class AccountDetailsNested(BaseModel):
guaranteedStopLossOrderMode: str
hedgingEnabled: bool
id: str
createdTime: str
currency: str
createdByUserID: int
alias: str
marginRate: str
lastTransactionID: str
balance: str
openTradeCount: int
openPositionCount: int
pendingOrderCount: int
pl: str
resettablePL: str
resettablePLTime: str
financing: str
commission: str
dividendAdjustment: str
guaranteedExecutionFees: str
orders: list # Order
positions: list # Position
trades: list # Trade
unrealizedPL: str
NAV: str
marginUsed: str
marginAvailable: str
positionValue: str
marginCloseoutUnrealizedPL: str
marginCloseoutNAV: str
marginCloseoutMarginUsed: str
marginCloseoutPositionValue: str
marginCloseoutPercent: str
withdrawalLimit: str
marginCallMarginUsed: str
marginCallPercent: str
class AccountDetails(BaseModel):
account: AccountDetailsNested
lastTransactionID: str
AccountDetailsSchema = {
"guaranteedSLOM": "account.guaranteedStopLossOrderMode",
"hedgingEnabled": "account.hedgingEnabled",
"id": "account.id",
"created_at": "account.createdTime",
"currency": "account.currency",
"createdByUserID": "account.createdByUserID",
"alias": "account.alias",
"marginRate": "account.marginRate",
"lastTransactionID": "account.lastTransactionID",
"balance": "account.balance",
"openTradeCount": "account.openTradeCount",
"openPositionCount": "account.openPositionCount",
"pendingOrderCount": "account.pendingOrderCount",
"pl": "account.pl",
"resettablePL": "account.resettablePL",
"resettablePLTime": "account.resettablePLTime",
"financing": "account.financing",
"commission": "account.commission",
"dividendAdjustment": "account.dividendAdjustment",
"guaranteedExecutionFees": "account.guaranteedExecutionFees",
# "orders": "account.orders",
# "positions": "account.positions",
# "trades": "account.trades",
"unrealizedPL": "account.unrealizedPL",
"NAV": "account.NAV",
"marginUsed": "account.marginUsed",
"marginAvailable": "account.marginAvailable",
"positionValue": "account.positionValue",
"marginCloseoutUnrealizedPL": "account.marginCloseoutUnrealizedPL",
"marginCloseoutNAV": "account.marginCloseoutNAV",
"marginCloseoutMarginUsed": "account.marginCloseoutMarginUsed",
"marginCloseoutPositionValue": "account.marginCloseoutPositionValue",
"marginCloseoutPercent": "account.marginCloseoutPercent",
"withdrawalLimit": "account.withdrawalLimit",
"marginCallMarginUsed": "account.marginCallMarginUsed",
"marginCallPercent": "account.marginCallPercent",
}
class PositionDetailsNested(BaseModel):
instrument: str
long: PositionLong
short: PositionShort
pl: str
resettablePL: str
financing: str
commission: str
dividendAdjustment: str
guaranteedExecutionFees: str
unrealizedPL: str
marginUsed: str
class PositionDetails(BaseModel):
position: PositionDetailsNested
lastTransactionID: str
PositionDetailsSchema = {
"symbol": "position.instrument",
"long": "position.long",
"short": "position.short",
"pl": "position.pl",
"resettablePL": "position.resettablePL",
"financing": "position.financing",
"commission": "position.commission",
"dividendAdjustment": "position.dividendAdjustment",
"guaranteedExecutionFees": "position.guaranteedExecutionFees",
"unrealizedPL": "position.unrealizedPL",
"marginUsed": "position.marginUsed",
"price": lambda x: parse_prices(x["position"]),
"units": lambda x: parse_units(x["position"]),
"side": lambda x: parse_side(x["position"]),
"value": lambda x: parse_value(x["position"]),
}
class InstrumentTag(BaseModel):
type: str
name: str
class InstrumentFinancingDaysOfWeek(BaseModel):
dayOfWeek: str
daysCharged: int
class InstrumentFinancing(BaseModel):
longRate: str
shortRate: str
financingDaysOfWeek: list[InstrumentFinancingDaysOfWeek]
class InstrumentGuaranteedRestriction(BaseModel):
volume: str
priceRange: str
class Instrument(BaseModel):
name: str
type: str
displayName: str
pipLocation: int
displayPrecision: int
tradeUnitsPrecision: int
minimumTradeSize: str
maximumTrailingStopDistance: str
minimumTrailingStopDistance: str
maximumPositionSize: str
maximumOrderUnits: str
marginRate: str
guaranteedStopLossOrderMode: str
tags: list[InstrumentTag]
financing: InstrumentFinancing
guaranteedStopLossOrderLevelRestriction: InstrumentGuaranteedRestriction | None
class AccountInstruments(BaseModel):
instruments: list[Instrument]
AccountInstrumentsSchema = {
"itemlist": (
"instruments",
[
{
"name": "name",
"type": "type",
"displayName": "displayName",
"pipLocation": "pipLocation",
"displayPrecision": "displayPrecision",
"tradeUnitsPrecision": "tradeUnitsPrecision",
"minimumTradeSize": "minimumTradeSize",
"maximumTrailingStopDistance": "maximumTrailingStopDistance",
"minimumTrailingStopDistance": "minimumTrailingStopDistance",
"maximumPositionSize": "maximumPositionSize",
"maximumOrderUnits": "maximumOrderUnits",
"marginRate": "marginRate",
"guaranteedSLOM": "guaranteedStopLossOrderMode",
"tags": "tags",
"financing": "financing",
"guaranteedSLOLR": "guaranteedStopLossOrderLevelRestriction",
}
],
)
}