593 lines
15 KiB
Python
593 lines
15 KiB
Python
from decimal import Decimal as D
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from pydantic import BaseModel
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class PositionLong(BaseModel):
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units: str
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averagePrice: str | None
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pl: str
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resettablePL: str
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financing: str
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dividendAdjustment: str
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guaranteedExecutionFees: str
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tradeIDs: list[str] | None
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unrealizedPL: str
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class PositionShort(BaseModel):
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units: str
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averagePrice: str | None
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pl: str
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resettablePL: str
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financing: str
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dividendAdjustment: str
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guaranteedExecutionFees: str
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tradeIDs: list[str] | None
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unrealizedPL: str
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class Position(BaseModel):
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instrument: str
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long: PositionLong
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short: PositionShort
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pl: str
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resettablePL: str
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financing: str
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commission: str
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dividendAdjustment: str
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guaranteedExecutionFees: str
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unrealizedPL: str
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marginUsed: str
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class OpenPositions(BaseModel):
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positions: list[Position]
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lastTransactionID: str
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def parse_prices(x):
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if float(x["long"]["units"]) > 0:
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return x["long"]["averagePrice"]
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elif float(x["short"]["units"]) < 0:
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return x["short"]["averagePrice"]
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else:
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return 0
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def parse_units(x):
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if float(x["long"]["units"]) > 0:
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return x["long"]["units"]
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elif float(x["short"]["units"]) < 0:
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return x["short"]["units"]
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else:
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return 0
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def parse_value(x):
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if float(x["long"]["units"]) > 0:
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return D(x["long"]["units"]) * D(x["long"]["averagePrice"])
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elif float(x["short"]["units"]) < 0:
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return D(x["short"]["units"]) * D(x["short"]["averagePrice"])
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else:
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return 0
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def parse_side(x):
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if float(x["long"]["units"]) > 0:
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return "long"
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elif float(x["short"]["units"]) < 0:
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return "short"
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else:
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return "unknown"
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def parse_trade_ids(x, sum=0):
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if float(x["long"]["units"]) > 0:
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return [str(int(y) + sum) for y in x["long"]["tradeIDs"]]
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elif float(x["short"]["units"]) < 0:
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return [str(int(y) + sum) for y in x["short"]["tradeIDs"]]
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else:
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return "unknown"
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OpenPositionsSchema = {
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"itemlist": (
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"positions",
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[
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{
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"symbol": "instrument",
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"unrealized_pl": "unrealizedPL",
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"trade_ids": parse_trade_ids, # actual value is lower by 1
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"price": parse_prices,
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"units": parse_units,
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"side": parse_side,
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"value": parse_value,
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}
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],
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)
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}
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class AccountDetailsNested(BaseModel):
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guaranteedStopLossOrderMode: str
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hedgingEnabled: bool
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id: str
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createdTime: str
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currency: str
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createdByUserID: int
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alias: str
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marginRate: str
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lastTransactionID: str
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balance: str
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openTradeCount: int
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openPositionCount: int
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pendingOrderCount: int
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pl: str
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resettablePL: str
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resettablePLTime: str
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financing: str
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commission: str
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dividendAdjustment: str
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guaranteedExecutionFees: str
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orders: list # Order
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positions: list # Position
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trades: list # Trade
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unrealizedPL: str
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NAV: str
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marginUsed: str
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marginAvailable: str
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positionValue: str
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marginCloseoutUnrealizedPL: str
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marginCloseoutNAV: str
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marginCloseoutMarginUsed: str
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marginCloseoutPositionValue: str
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marginCloseoutPercent: str
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withdrawalLimit: str
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marginCallMarginUsed: str
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marginCallPercent: str
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class AccountDetails(BaseModel):
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account: AccountDetailsNested
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lastTransactionID: str
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AccountDetailsSchema = {
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"guaranteedSLOM": "account.guaranteedStopLossOrderMode",
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"hedgingEnabled": "account.hedgingEnabled",
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"id": "account.id",
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"created_at": "account.createdTime",
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"currency": "account.currency",
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"createdByUserID": "account.createdByUserID",
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"alias": "account.alias",
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"marginRate": "account.marginRate",
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"lastTransactionID": "account.lastTransactionID",
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"balance": "account.balance",
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"openTradeCount": "account.openTradeCount",
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"openPositionCount": "account.openPositionCount",
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"pendingOrderCount": "account.pendingOrderCount",
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"pl": "account.pl",
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"resettablePL": "account.resettablePL",
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"resettablePLTime": "account.resettablePLTime",
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"financing": "account.financing",
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"commission": "account.commission",
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"dividendAdjustment": "account.dividendAdjustment",
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"guaranteedExecutionFees": "account.guaranteedExecutionFees",
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# "orders": "account.orders",
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# "positions": "account.positions",
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# "trades": "account.trades",
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"unrealizedPL": "account.unrealizedPL",
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"NAV": "account.NAV",
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"marginUsed": "account.marginUsed",
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"marginAvailable": "account.marginAvailable",
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"positionValue": "account.positionValue",
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"marginCloseoutUnrealizedPL": "account.marginCloseoutUnrealizedPL",
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"marginCloseoutNAV": "account.marginCloseoutNAV",
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"marginCloseoutMarginUsed": "account.marginCloseoutMarginUsed",
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"marginCloseoutPositionValue": "account.marginCloseoutPositionValue",
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"marginCloseoutPercent": "account.marginCloseoutPercent",
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"withdrawalLimit": "account.withdrawalLimit",
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"marginCallMarginUsed": "account.marginCallMarginUsed",
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"marginCallPercent": "account.marginCallPercent",
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}
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class AccountSummaryNested(BaseModel):
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marginCloseoutNAV: str
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marginUsed: str
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currency: str
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resettablePL: str
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NAV: str
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marginCloseoutMarginUsed: str
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marginCloseoutPositionValue: str
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openTradeCount: int
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id: str
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hedgingEnabled: bool
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marginCloseoutPercent: str
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marginCallMarginUsed: str
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openPositionCount: int
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positionValue: str
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pl: str
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lastTransactionID: str
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marginAvailable: str
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marginRate: str
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marginCallPercent: str
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pendingOrderCount: int
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withdrawalLimit: str
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unrealizedPL: str
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alias: str
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createdByUserID: int
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marginCloseoutUnrealizedPL: str
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createdTime: str
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balance: str
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class AccountSummary(BaseModel):
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account: AccountSummaryNested
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lastTransactionID: str
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AccountSummarySchema = {
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"marginCloseoutNAV": "account.marginCloseoutNAV",
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"marginUsed": "account.marginUsed",
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"currency": "account.currency",
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"resettablePL": "account.resettablePL",
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"NAV": "account.NAV",
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"marginCloseoutMarginUsed": "account.marginCloseoutMarginUsed",
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"marginCloseoutPositionValue": "account.marginCloseoutPositionValue",
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"openTradeCount": "account.openTradeCount",
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"id": "account.id",
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"hedgingEnabled": "account.hedgingEnabled",
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"marginCloseoutPercent": "account.marginCloseoutPercent",
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"marginCallMarginUsed": "account.marginCallMarginUsed",
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"openPositionCount": "account.openPositionCount",
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"positionValue": "account.positionValue",
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"pl": "account.pl",
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"lastTransactionID": "account.lastTransactionID",
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"marginAvailable": "account.marginAvailable",
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"marginRate": "account.marginRate",
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"marginCallPercent": "account.marginCallPercent",
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"pendingOrderCount": "account.pendingOrderCount",
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"withdrawalLimit": "account.withdrawalLimit",
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"unrealizedPL": "account.unrealizedPL",
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"alias": "account.alias",
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"createdByUserID": "account.createdByUserID",
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"marginCloseoutUnrealizedPL": "account.marginCloseoutUnrealizedPL",
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"createdTime": "account.createdTime",
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"balance": "account.balance",
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}
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class PositionDetailsNested(BaseModel):
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instrument: str
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long: PositionLong
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short: PositionShort
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pl: str
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resettablePL: str
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financing: str
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commission: str
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dividendAdjustment: str
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guaranteedExecutionFees: str
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unrealizedPL: str
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marginUsed: str | None
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class PositionDetails(BaseModel):
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position: PositionDetailsNested
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lastTransactionID: str
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PositionDetailsSchema = {
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"symbol": "position.instrument",
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"long": "position.long",
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"short": "position.short",
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"pl": "position.pl",
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"resettablePL": "position.resettablePL",
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"financing": "position.financing",
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"commission": "position.commission",
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"dividendAdjustment": "position.dividendAdjustment",
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"guaranteedExecutionFees": "position.guaranteedExecutionFees",
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"unrealizedPL": "position.unrealizedPL",
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"marginUsed": "position.marginUsed",
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"price": lambda x: parse_prices(x["position"]),
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"units": lambda x: parse_units(x["position"]),
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"side": lambda x: parse_side(x["position"]),
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"value": lambda x: parse_value(x["position"]),
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"trade_ids": lambda x: parse_trade_ids(
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x["position"], sum=0
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), # this value is correct
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}
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class InstrumentTag(BaseModel):
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type: str
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name: str
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class InstrumentFinancingDaysOfWeek(BaseModel):
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dayOfWeek: str
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daysCharged: int
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class InstrumentFinancing(BaseModel):
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longRate: str
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shortRate: str
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financingDaysOfWeek: list[InstrumentFinancingDaysOfWeek]
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class InstrumentGuaranteedRestriction(BaseModel):
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volume: str
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priceRange: str
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class Instrument(BaseModel):
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name: str
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type: str
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displayName: str
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pipLocation: int
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displayPrecision: int
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tradeUnitsPrecision: int
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minimumTradeSize: str
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maximumTrailingStopDistance: str
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minimumTrailingStopDistance: str
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maximumPositionSize: str
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maximumOrderUnits: str
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marginRate: str
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guaranteedStopLossOrderMode: str
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tags: list[InstrumentTag]
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financing: InstrumentFinancing
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guaranteedStopLossOrderLevelRestriction: InstrumentGuaranteedRestriction | None
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class AccountInstruments(BaseModel):
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instruments: list[Instrument]
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AccountInstrumentsSchema = {
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"itemlist": (
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"instruments",
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[
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{
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"name": "name",
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"type": "type",
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"displayName": "displayName",
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"pipLocation": "pipLocation",
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"displayPrecision": "displayPrecision",
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"tradeUnitsPrecision": "tradeUnitsPrecision",
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"minimumTradeSize": "minimumTradeSize",
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"maximumTrailingStopDistance": "maximumTrailingStopDistance",
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"minimumTrailingStopDistance": "minimumTrailingStopDistance",
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"maximumPositionSize": "maximumPositionSize",
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"maximumOrderUnits": "maximumOrderUnits",
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"marginRate": "marginRate",
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"guaranteedSLOM": "guaranteedStopLossOrderMode",
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"tags": "tags",
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"financing": "financing",
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"guaranteedSLOLR": "guaranteedStopLossOrderLevelRestriction",
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}
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],
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)
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}
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class OrderTransaction(BaseModel):
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id: str
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accountID: str
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userID: int
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batchID: str
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requestID: str
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time: str
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type: str
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instrument: str
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units: str
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timeInForce: str
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positionFill: str
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reason: str
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class OrderCreate(BaseModel):
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orderCreateTransaction: OrderTransaction
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OrderCreateSchema = {
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"id": "orderCreateTransaction.id",
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"accountID": "orderCreateTransaction.accountID",
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"userID": "orderCreateTransaction.userID",
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"batchID": "orderCreateTransaction.batchID",
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"requestID": "orderCreateTransaction.requestID",
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"time": "orderCreateTransaction.time",
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"type": "orderCreateTransaction.type",
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"symbol": "orderCreateTransaction.instrument",
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"units": "orderCreateTransaction.units",
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"timeInForce": "orderCreateTransaction.timeInForce",
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"positionFill": "orderCreateTransaction.positionFill",
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"reason": "orderCreateTransaction.reason",
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}
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class PriceBid(BaseModel):
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price: str
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liquidity: int
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class PriceAsk(BaseModel):
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price: str
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liquidity: int
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class PriceQuoteHomeConversionFactors(BaseModel):
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positiveUnits: str
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negativeUnits: str
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class Price(BaseModel):
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type: str
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time: str
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bids: list[PriceBid]
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asks: list[PriceAsk]
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closeoutBid: str
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closeoutAsk: str
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status: str
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tradeable: bool
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quoteHomeConversionFactors: PriceQuoteHomeConversionFactors
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instrument: str
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class PricingInfo(BaseModel):
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time: str
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prices: list[Price]
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PricingInfoSchema = {
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"time": "time",
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"prices": (
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"prices",
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[
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{
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"type": "type",
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"time": "time",
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"bids": "bids",
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"asks": "asks",
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"closeoutBid": "closeoutBid",
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"closeoutAsk": "closeoutAsk",
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"status": "status",
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"tradeable": "tradeable",
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"quoteHomeConversionFactors": "quoteHomeConversionFactors",
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"symbol": "instrument",
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}
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],
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),
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}
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class LongPositionCloseout(BaseModel):
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instrument: str
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units: str
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class Trade(BaseModel):
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tradeID: str
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clientTradeID: str
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units: str
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realizedPL: str
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financing: str
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baseFinancing: str
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price: str
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guaranteedExecutionFee: str
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quoteGuaranteedExecutionFee: str
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halfSpreadCost: str
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class HomeConversionFactors(BaseModel):
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gainQuoteHome: str
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lossQuoteHome: str
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gainBaseHome: str
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lossBaseHome: str
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class LongOrderFillTransaction(BaseModel):
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id: str
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accountID: str
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userID: int
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batchID: str
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requestID: str
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time: str
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type: str
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orderID: str
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instrument: str
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units: str
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requestedUnits: str
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price: str
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pl: str
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quotePL: str
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financing: str
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baseFinancing: str
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commission: str
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accountBalance: str
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gainQuoteHomeConversionFactor: str
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lossQuoteHomeConversionFactor: str
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guaranteedExecutionFee: str
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quoteGuaranteedExecutionFee: str
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halfSpreadCost: str
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fullVWAP: str
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reason: str
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tradesClosed: list[Trade]
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fullPrice: Price
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homeConversionFactors: HomeConversionFactors
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longPositionCloseout: LongPositionCloseout
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class OrderTransation(BaseModel):
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id: str
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accountID: str
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userID: int
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batchID: str
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requestID: str
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time: str
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type: str
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instrument: str
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units: str
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timeInForce: str
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positionFill: str
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reason: str
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longPositionCloseout: LongPositionCloseout
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longOrderFillTransaction: dict
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class PositionClose(BaseModel):
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longOrderCreateTransaction: OrderTransaction
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longOrderFillTransaction: OrderTransaction
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longOrderCancelTransaction: OrderTransaction
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shortOrderCreateTransaction: OrderTransaction
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shortOrderFillTransaction: OrderTransaction
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shortOrderCancelTransaction: OrderTransaction
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relatedTransactionIDs: list[str]
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lastTransactionID: str
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PositionCloseSchema = {
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"longOrderCreateTransaction": "longOrderCreateTransaction",
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"longOrderFillTransaction": "longOrderFillTransaction",
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"longOrderCancelTransaction": "longOrderCancelTransaction",
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"shortOrderCreateTransaction": "shortOrderCreateTransaction",
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"shortOrderFillTransaction": "shortOrderFillTransaction",
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"shortOrderCancelTransaction": "shortOrderCancelTransaction",
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"relatedTransactionIDs": "relatedTransactionIDs",
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"lastTransactionID": "lastTransactionID",
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}
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class ClientExtensions(BaseModel):
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id: str
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tag: str
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class TradeDetailsTrade(BaseModel):
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id: str
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instrument: str
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price: str
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openTime: str
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initialUnits: str
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initialMarginRequired: str
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state: str
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currentUnits: str
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realizedPL: str
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closingTransactionIDs: list[str]
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financing: str
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dividendAdjustment: str
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closeTime: str
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averageClosePrice: str
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clientExtensions: ClientExtensions
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class TradeDetails(BaseModel):
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trade: TradeDetailsTrade
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lastTransactionID: str
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TradeDetailsSchema = {
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"trade": "trade",
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"lastTransactionID": "lastTransactionID",
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}
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