feat: yaml files for llm reasoning
This commit is contained in:
Danny
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source_file: ./live.py
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schema_version: v1.1
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factual_summary: >
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Provides the runtime framework for executing a market making strategy
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in either paper or live trading modes. Responsible for initializing
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exchanges, loading symbol universes, configuring execution components,
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processing real-time market data, and coordinating the continuous
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operation of the trading system.
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methods:
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main() -> None:
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description: >
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Asynchronous entry point that orchestrates system initialization,
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strategy and trader setup, exchange connectivity, optional logging
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and metrics configuration, and continuous processing of incoming
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market data events.
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interpretive_summary: >
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Acts as the top-level execution driver for the trading system, wiring
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together strategy logic, execution components, and exchange data feeds
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into a single long-running process. Designed to support both simulated
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and live trading environments while enabling observability and
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operational control during runtime.
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invariants:
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- Trading mode must be explicitly selected before execution begins.
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- Exchanges must be initialized prior to processing market data.
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- Strategy and trader instances must be fully constructed before
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entering the main processing loop.
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- Market data processing must run continuously until the process
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terminates.
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- Logging and metrics configuration must not interfere with execution.
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tags:
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domain:
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- market_data
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- strategy_execution
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- order_execution
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- exchange_integration
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trading_function:
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- data_ingest
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- entry_logic
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- exit_logic
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strategy_layer:
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- execution
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system_layer:
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- worker
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intent:
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- orchestration
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- isolation
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- safety
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data_type:
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- signals
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- orders
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- exchanges
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risk:
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- latency
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- data_corruption
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- capital_loss
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maturity:
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- production
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@@ -9,94 +9,94 @@ factual_summary: >
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backtesting modes.
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methods:
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_getBracket(exch: str, sym: str) -> List[]:
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"_getBracket(exch: str, sym: str) -> List[]":
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description: >
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Retrieves the current bid and ask information for a given symbol
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on a specified exchange using maintained order book state.
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startBidding(exch: str, sym: str, ts: float, entryPrice: float or None) -> None:
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description: >
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Used in the Strat class to update the entry price of a symbol on a particular exchange. Logic for updating the
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entry price is contained there.
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"startBidding(exch: str, sym: str, ts: float, entryPrice: float or None) -> None":
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description: >
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Used in the Strat class to update the entry price of a symbol on a particular exchange. Logic for updating the
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entry price is contained there.
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stopBidding(exch: str, sym: str, ts: float) -> None:
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description: >
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Halts the bidding by removing the order from the limitBuy dictionary.
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"stopBidding(exch: str, sym: str, ts: float) -> None":
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description: >
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Halts the bidding by removing the order from the limitBuy dictionary.
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updateBracket(exch: str, sym: str, bidQuote: float, askQuote: float) -> None:
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description: >
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Updates the bracketed strings in our brackets dictionary.
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"updateBracket(exch: str, sym: str, bidQuote: float, askQuote: float) -> None":
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description: >
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Updates the bracketed strings in our brackets dictionary.
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startOffering(exch: str, sym: str, ts: float, entryPrice: float or None) -> None:
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description: >
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Executes the trades when we are going short.
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"startOffering(exch: str, sym: str, ts: float, entryPrice: float or None) -> None":
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description: >
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Executes the trades when we are going short.
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stopOffering(exch: str, sym: str, ts: float) -> None:
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description: >
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Stops the short position.
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"stopOffering(exch: str, sym: str, ts: float) -> None":
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description: >
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Stops the short position.
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logIntradayPnl(val: float) -> None:
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description: >
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Updates the value of our account to our pnl database
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"logIntradayPnl(val: float) -> None":
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description: >
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Updates the value of our account to our pnl database
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fpnl() -> None:
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"fpnl() -> None":
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description: >
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Returns a list of floating profit and loss summaries
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posCounts() -> dict:
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"posCounts() -> dict":
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description: >
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Returns a python dictionary of the total positions we have on each exchange.
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logFee(fee: float) -> None:
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"logFee(fee: float) -> None":
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description: >
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Updates our fees in our database
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posValueAtExchOld(exch: str, sym: str) -> int:
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"posValueAtExchOld(exch: str, sym: str) -> int":
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description: >
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Calculates the values of the long and short positions.
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fpnlnotional() -> int:
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"fpnlnotional() -> int":
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description: >
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This method calculates the profit/loss (P&L) based on the notional value of long and short positions for each
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unique symbol across different exchanges. It computes the average price of long positions, sums the notional
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This method calculates the profit/loss (P&L) based on the notional value of long and short positions for each
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unique symbol across different exchanges. It computes the average price of long positions, sums the notional
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values of both long and short positions, and then uses these to compute the P&L.
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fillLong(exch: str, sym: str, price: float, quan: float, ts: int, tag: str, feeType: str) -> None:
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"fillLong(exch: str, sym: str, price: float, quan: float, ts: int, tag: str, feeType: str) -> None":
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description: >
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The fillLong method handles the process of filling a buy order for a specified asset on an exchange. It updates
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the trader's position with the new quantity and calculates the average price if necessary. If there was a short
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position, it also calculates the profit/loss from buying back some or all of the shorted amount. Additionally,
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The fillLong method handles the process of filling a buy order for a specified asset on an exchange. It updates
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the trader's position with the new quantity and calculates the average price if necessary. If there was a short
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position, it also calculates the profit/loss from buying back some or all of the shorted amount. Additionally,
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it logs the trade, applies fees, and ensures data integrity by asserting non-negative values.
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fillShort(exch: str, sym: str, price: float, quan: float, ts: int, tag: str, feeType: str) -> None:
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"fillShort(exch: str, sym: str, price: float, quan: float, ts: int, tag: str, feeType: str) -> None":
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description: >
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The fillShort method handles the process of filling a sell order for a specified asset on an exchange. It updates
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the trader's position with the new quantity and calculates the average price if necessary. If there was a long
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position, it also calculates the profit/loss from selling some or all of the held amount. Additionally, it logs
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The fillShort method handles the process of filling a sell order for a specified asset on an exchange. It updates
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the trader's position with the new quantity and calculates the average price if necessary. If there was a long
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position, it also calculates the profit/loss from selling some or all of the held amount. Additionally, it logs
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the trade, applies fees, and ensures data integrity by asserting non-negative values.
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hedgeLong(exch: str, sym: str, price: float, quan: float, ts: int, force: bool) -> Exchange:
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"hedgeLong(exch: str, sym: str, price: float, quan: float, ts: int, force: bool) -> Exchange":
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description: >
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The hedgeLong method finds an appropriate exchange to hedge a long position by executing a corresponding sell
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order. It iterates over possible exchanges, calculates adjusted bid prices based on offsets, and selects the
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highest bid price for execution. If no suitable exchange is found without forcing, it forces hedging. The method
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ensures that the hedge does not exceed maximum allowed positions and logs relevant information throughout the
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The hedgeLong method finds an appropriate exchange to hedge a long position by executing a corresponding sell
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order. It iterates over possible exchanges, calculates adjusted bid prices based on offsets, and selects the
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highest bid price for execution. If no suitable exchange is found without forcing, it forces hedging. The method
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ensures that the hedge does not exceed maximum allowed positions and logs relevant information throughout the
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process.
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hedgeShort(exch: str, sym: str, price: float, quan: float, ts: int, force: bool) -> Exchange:
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"hedgeShort(exch: str, sym: str, price: float, quan: float, ts: int, force: bool) -> Exchange":
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description: >
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The hedgeShort method finds an appropriate exchange to hedge a short position by executing a corresponding buy
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order. It iterates over possible exchanges, calculates adjusted ask prices based on offsets, and selects the
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lowest ask price for execution. If no suitable exchange is found without forcing, it forces hedging. The method
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ensures that the hedge does not exceed maximum allowed positions and logs relevant information throughout the
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The hedgeShort method finds an appropriate exchange to hedge a short position by executing a corresponding buy
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order. It iterates over possible exchanges, calculates adjusted ask prices based on offsets, and selects the
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lowest ask price for execution. If no suitable exchange is found without forcing, it forces hedging. The method
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ensures that the hedge does not exceed maximum allowed positions and logs relevant information throughout the
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process.
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processTrade(exch: str, sym: str, price: float, tradeDir: list) -> None:
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"processTrade(exch: str, sym: str, price: float, tradeDir: list) -> None":
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description: >
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The first half of the processTrade method handles the scenario where a market sell order results in hitting a
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limit buy order. It processes the fill, hedges the position, and logs various portfolio and holdings-related
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details. The second half of the processTrade method handles the scenario where a market buy order results in
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hitting a limit sell order. It processes the fill, hedges the position, and logs various portfolio and
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The first half of the processTrade method handles the scenario where a market sell order results in hitting a
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limit buy order. It processes the fill, hedges the position, and logs various portfolio and holdings-related
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details. The second half of the processTrade method handles the scenario where a market buy order results in
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hitting a limit sell order. It processes the fill, hedges the position, and logs various portfolio and
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holdings-related details.
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