quantpylib.hft.oms

OMS

__init__(gateway, exchanges=None, pending_timeout=5000)

Intialize the Order Management System object.

Parameters:

Name	Type	Description	Default
gateway	Gateway	Initialized gateway object.	required
exchanges	list	The list of exchanges to subscribe to. If None, use the clients in the gateway.	None

add_clock_callback(callback, name='CLOCK', interval_ms=500) async

Add a callback to the event loop that is triggered every interval_ms. Can be used for clock-based trading agents. Callback is shutdown when OMS is cleaned up.

Parameters:

Name	Type	Description	Default
callback	coroutine	The callback to trigger.	required
name	str	The name of the callback. Defaults to 'CLOCK'.	'CLOCK'
interval_ms	int	The interval in milliseconds. Defaults to 500.	500

cancel_order(exc, ticker=None, oid=None, cloid=None) async

Cancel an order by order id or client order id. If both oid and cloid are None, cancel all open orders for given ticker.

Parameters:

Name	Type	Description	Default
exc	str	The exchange.	required
ticker	str	The ticker. Defaults to None.	None
oid	str	The order id. Defaults to None.	None
cloid	str	The client order id. Defaults to None.	None

cleanup() async

Clean up the OMS object.

cloid_query(exc, cloid)

Query order information by client order id.

Parameters:

Name	Type	Description	Default
exc	str	The exchange.	required
cloid	str	The client order id.	required

common_lot_precision(ex1, ticker1, ex2, ticker2)

Get the lot precision for trading on two different exchanges.

Parameters:

Name	Type	Description	Default
ex1	str	The first exchange.	required
ticker1	str	The first ticker.	required
ex2	str	The second exchange.	required
ticker2	str	The second ticker.	required

common_min_notional(ex1, ticker1, ex2, ticker2)

Get the minimum notional trade on two different exchanges.

Parameters:

Name	Type	Description	Default
ex1	str	The first exchange.	required
ticker1	str	The first ticker.	required
ex2	str	The second exchange.	required
ticker2	str	The second ticker.	required

common_price_precision(ex1, ticker1, ex2, ticker2)

Get the price precision for trading on two different exchanges.

Parameters:

Name	Type	Description	Default
ex1	str	The first exchange.	required
ticker1	str	The first ticker.	required
ex2	str	The second exchange.	required
ticker2	str	The second ticker.	required

contract_specs(exc, ticker)

Get the contract specifications for a given exchange and ticker.

Parameters:

Name	Type	Description	Default
exc	str	The exchange.	required
ticker	str	The ticker.	required

get_all_balances() async

Get the balances for all exchanges. Uses HTTP request.

get_balance(exc) async

Get the balance for a given exchange. Uses HTTP request.

get_position(exc, ticker)

Get the position for a given exchange and ticker. Uses socket.

Parameters:

Name	Type	Description	Default
exc	str	The exchange.	required
ticker	str	The ticker.	required

hedge_order(maker_order, hedge_order) async

Place a maker-taker order. The maker order is the order that is being hedged. The taker order is the order that hedges the maker order - taker order has no amount specified, size executed is contingent on the size of maker fills. Each order are dictionaries - and are passed as named arguments (**order) into the gateway as per the quantpylib.gateway.executor.limit_order and quantpylib.gateway.executor.market_order methods respectively.

init() async

Initialize the OMS object with information such as exchange contract trading specifications and metadata. To be called after the OMS has been created.

lagged_price(exc, ticker)

Get the lagged price for a given exchange and ticker.

Parameters:

Name	Type	Description	Default
exc	str	The exchange.	required
ticker	str	The ticker.	required

limit_order(round_to_specs=False, **kwargs) async

Place a limit order. If round_to_specs is True, round the order amount to the lot precision. Updates the orders page maintained by the OMS with a PENDING status.

Parameters:

Name	Type	Description	Default
round_to_specs	bool	Round the order amount to the lot precision. Defaults to False.	False
**kwargs		The order parameters. Parameter usage is same as the quantpylib.gateway.executor.limit_order method.	{}

lot_precision(exc, ticker)

Get the lot precision for a given exchange and ticker.

Parameters:

Name	Type	Description	Default
exc	str	The exchange.	required
ticker	str	The ticker.	required

market_order(round_to_specs=False, **kwargs) async

Place a market order. If round_to_specs is True, round the order amount to the lot precision. Updates the orders page maintained by the OMS with a PENDING status.

Parameters:

Name	Type	Description	Default
round_to_specs	bool	Round the order amount to the lot precision. Defaults to False.	False
**kwargs		The order parameters. Parameter usage is same as the quantpylib.gateway.executor.market_order method.	{}

min_notional(exc, ticker)

Get the minimum notional required to trade for a given exchange and ticker.

Parameters:

Name	Type	Description	Default
exc	str	The exchange.	required
ticker	str	The ticker.	required

oid_query(exc, oid)

Query order information by order id.

Parameters:

Name	Type	Description	Default
exc	str	The exchange.	required
oid	str	The order id.	required

order_delta_hedge()

Hedge order logic. Fill sizes on maker exchange that are not compatible with trading rules on taker exchange are hedged as much as possible, and size differences are submitted to a hedge balance that waits for future arriving fills to be hedged.

orders_get(exc, **kwargs) async

Get the orders for a given exchange. Uses HTTP request.

Parameters:

Name	Type	Description	Default
exc	str	The exchange.	required

orders_get_all() async

Get the orders for all exchanges.Uses HTTP request.

orders_mirror(exc, on_update=None, on_delta=None) async

Mirror the orders for a given exchange. Uses socket.

Parameters:

Name	Type	Description	Default
exc	str	The exchange.	required
on_update	coroutine	The update handler receives order page snapshots. Defaults to None.	None
on_delta	coroutine	The delta handler receives order page changes. Defaults to None.	None

orders_peek(exc)

Return the quantpylib.standards.portfolio.Orders object maintained for a given exchange.

positions_get(exc, **kwargs) async

Get the positions for a given exchange. Uses HTTP request.

Parameters:

Name	Type	Description	Default
exc	str	The exchange.	required

positions_get_all() async

Get the positions for all exchanges. Uses HTTP request.

Returns:

Name	Type	Description
dict		Dictionary of positions for all exchanges.

positions_mirror(exc, on_update=None, on_delta=None) async

Mirror the positions for a given exchange. Uses socket.

Parameters:

Name	Type	Description	Default
exc	str	The exchange.	required
on_update	coroutine	The update handler. Defaults to None.	None
on_delta	coroutine	The delta handler. Defaults to None.	None

positions_peek(exc)

Return the quantpylib.standards.portfolio.Positions object maintained for a given exchange.

price_precision(exc, ticker)

Get the price precision for a given exchange and ticker.

Parameters:

Name	Type	Description	Default
exc	str	The exchange.	required
ticker	str	The ticker.	required

rand_cloid(exc, **kwargs)

Generate a client order id.

Parameters:

Name	Type	Description	Default
exc	str	The exchange.	required
**kwargs		Exchange wrapper specific keyword arguments.	{}

rounded_lots(exc, ticker, amount, **kwargs)

Round an amount to the lot precision for a given exchange and ticker.

Parameters:

Name	Type	Description	Default
exc	str	The exchange.	required
ticker	str	The ticker.	required
amount	Decimal	The amount to round.	required

rounded_price(exc, ticker, price, **kwargs)

Round a price to the price precision for a given exchange and ticker.

Parameters:

Name	Type	Description	Default
exc	str	The exchange.	required
ticker	str	The ticker.	required
price	Decimal	The price to round.	required