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_all_equities()` `async`

Get the equity 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, trigger_after_ms=0)` `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.

`hedge_portfolio_delta(hedge_on='', by=markets.MARGIN_TOTAL, ord_type=markets.ORDER_TYPE_MARKET, **kwargs)` `async`

`init(include_funding=False)` `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_get_by_base()`

Gets mapping from base asset to exchange positions for all exchanges using the mirrored positions.

`positions_get_net_base()`

Gets the net positions for each base asset across all exchanges using the mirrored positions.

`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

quantpylib.hft.oms

OMS

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

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

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

cleanup() async

cloid_query(exc, cloid)

common_lot_precision(ex1, ticker1, ex2, ticker2)

common_min_notional(ex1, ticker1, ex2, ticker2)

common_price_precision(ex1, ticker1, ex2, ticker2)

contract_specs(exc, ticker)

get_all_balances() async

get_all_equities() async

get_balance(exc) async

get_position(exc, ticker)

hedge_order(maker_order, hedge_order, trigger_after_ms=0) async

hedge_portfolio_delta(hedge_on='', by=markets.MARGIN_TOTAL, ord_type=markets.ORDER_TYPE_MARKET, **kwargs) async

init(include_funding=False) async

lagged_price(exc, ticker)

limit_order(round_to_specs=False, **kwargs) async

lot_precision(exc, ticker)

market_order(round_to_specs=False, **kwargs) async

min_notional(exc, ticker)

oid_query(exc, oid)

order_delta_hedge()

orders_get(exc, **kwargs) async

orders_get_all() async

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

orders_peek(exc)

positions_get(exc, **kwargs) async

positions_get_all() async

positions_get_by_base()

positions_get_net_base()

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

positions_peek(exc)

price_precision(exc, ticker)

rand_cloid(exc, **kwargs)

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

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

`OMS`

`init(gateway, exchanges=None, pending_timeout=5000)`

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

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

`cleanup()` `async`

`cloid_query(exc, cloid)`

`common_lot_precision(ex1, ticker1, ex2, ticker2)`

`common_min_notional(ex1, ticker1, ex2, ticker2)`

`common_price_precision(ex1, ticker1, ex2, ticker2)`

`contract_specs(exc, ticker)`

`get_all_balances()` `async`

`get_all_equities()` `async`

`get_balance(exc)` `async`

`get_position(exc, ticker)`

`hedge_order(maker_order, hedge_order, trigger_after_ms=0)` `async`

`hedge_portfolio_delta(hedge_on='', by=markets.MARGIN_TOTAL, ord_type=markets.ORDER_TYPE_MARKET, **kwargs)` `async`

`init(include_funding=False)` `async`

`lagged_price(exc, ticker)`

`limit_order(round_to_specs=False, **kwargs)` `async`

`lot_precision(exc, ticker)`

`market_order(round_to_specs=False, **kwargs)` `async`

`min_notional(exc, ticker)`

`oid_query(exc, oid)`

`order_delta_hedge()`

`orders_get(exc, **kwargs)` `async`

`orders_get_all()` `async`

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

`orders_peek(exc)`

`positions_get(exc, **kwargs)` `async`

`positions_get_all()` `async`

`positions_get_by_base()`

`positions_get_net_base()`

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

`positions_peek(exc)`

`price_precision(exc, ticker)`

`rand_cloid(exc, **kwargs)`

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

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