149 lines
6.2 KiB
YAML
149 lines
6.2 KiB
YAML
source_file: ./trader.py
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schema_version: v1.1
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factual_summary: >
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Implements the execution component responsible for placing and managing
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long and short trades, including associated hedge operations, across
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supported exchanges. Maintains order book state, open positions, fees,
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and profit and loss tracking while supporting both live trading and
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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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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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"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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"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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"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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description: >
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Returns a list of floating profit and loss summaries
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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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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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description: >
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Calculates the values of the long and short positions.
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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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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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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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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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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 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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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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process.
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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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process.
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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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holdings-related details.
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interpretive_summary: >
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Acts as the execution boundary between strategy decision logic and
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exchange interaction, encapsulating trade placement, position tracking,
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and operational mode handling. Designed to centralize execution-side
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concerns such as fee application, position state, and environment-aware
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behavior for live and simulated trading.
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invariants:
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- Trades must only be executed when trading is explicitly enabled.
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- Exchange-specific state must be initialized before order execution.
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- Position and profit tracking must remain consistent with executed trades.
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- Execution behavior must respect live versus backtest operating modes.
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tags:
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domain:
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- order_execution
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- exchange_integration
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- pnl_accounting
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trading_function:
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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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- service
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intent:
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- abstraction
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- safety
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- isolation
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data_type:
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- orders
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- positions
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- pnl
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- exchanges
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risk:
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- capital_loss
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- latency
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- data_corruption
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maturity:
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- production |