Qubx 0.2.69__cp311-cp311-manylinux_2_35_x86_64.whl → 0.2.70__cp311-cp311-manylinux_2_35_x86_64.whl

qubx/gathering/simplest.py

@@ -8,23 +8,66 @@ class SimplePositionGatherer(IPositionGathering):
     Default implementation of positions gathering by single orders through strategy context
     """
 
+    entry_order_id: str | None = None
+
+    def _cncl_order(self, ctx: StrategyContext, instrument: Instrument) -> None:
+        if self.entry_order_id:
+            logger.debug(
+                f"<green>{instrument.symbol}</green>: Cancelling previous entry order <red>{self.entry_order_id}</red>"
+            )
+            try:
+                ctx.cancel_order(self.entry_order_id)
+            except Exception as e:
+                logger.error(f"Cancelling entry order failed: {str(e)}")
+            self.entry_order_id = None
+
     def alter_position_size(self, ctx: StrategyContext, target: TargetPosition) -> float:
+        #  Here is default inplementation:
+        #  just trade it through the strategy context by using market (or limit) orders.
+        #  but in general it may have complex logic for position adjustment
         instrument, new_size, at_price = target.instrument, target.target_position_size, target.price
         current_position = ctx.positions[instrument.symbol].quantity
         to_trade = new_size - current_position
+
+        # - first cancel previous entry order if exists
+        self._cncl_order(ctx, instrument)
+
         if abs(to_trade) < instrument.min_size:
-            logger.warning(
-                f"{instrument.exchange}:{instrument.symbol}: Unable change position from {current_position} to {new_size} : too small difference"
-            )
+            if current_position != 0:
+                logger.warning(
+                    f"{instrument.exchange}:{instrument.symbol}: Unable change position from {current_position} to {new_size} : too small difference"
+                )
         else:
-            # - here is default inplementation:
-            #   just trade it through the strategy context by using market (or limit) orders.
-            # - but in general it may have complex logic for position adjustment
-            r = ctx.trade(instrument, to_trade, at_price)
-            # , fill_at_price=target.signal.options.get("fill_at_signal_price", False)
-            logger.debug(
-                f"<green>{instrument.symbol}</green>: Adjusting position from {current_position} to {new_size} : {r}"
-            )
+
+            # - check how it should be traded: market or limit or stop order
+            opts = {}
+            _is_stop_or_limit = False
+            if at_price:
+                # - we already havbe position but it's requested to change at a specific price
+                if abs(current_position) > instrument.min_size:
+                    logger.warning(
+                        f"<green>{instrument.symbol}</green>: Attempt to change current position {current_position} to {new_size} at {at_price} !"
+                    )
+
+                quote = ctx.quote(instrument.symbol)
+                if (to_trade > 0 and at_price > quote.ask) or (to_trade < 0 and at_price < quote.bid):
+                    opts["stop_type"] = "market"
+                    _is_stop_or_limit = True
+
+                if (to_trade > 0 and at_price <= quote.bid) or (to_trade < 0 and at_price >= quote.ask):
+                    _is_stop_or_limit = True
+
+            r = ctx.trade(instrument, to_trade, at_price, **opts)
+            if _is_stop_or_limit:
+                self.entry_order_id = r.id
+                logger.debug(
+                    f"<green>{instrument.symbol}</green>: Position may be adjusted from {current_position} to {new_size} at {at_price} : {r}"
+                )
+            else:
+                self.entry_order_id = None
+                logger.debug(
+                    f"<green>{instrument.symbol}</green>: Adjusting position from {current_position} to {new_size} : {r}"
+                )
 
             current_position = new_size
             # - TODO: need to check how fast position is being updated on live
@@ -33,7 +76,8 @@ class SimplePositionGatherer(IPositionGathering):
         return current_position
 
     def on_execution_report(self, ctx: StrategyContext, instrument: Instrument, deal: Deal):
-        pass
+        if deal.order_id == self.entry_order_id:
+            self.entry_order_id = None
 
 
 class SplittedOrdersPositionGatherer(IPositionGathering):

{qubx-0.2.69.dist-info → qubx-0.2.70.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: Qubx
-Version: 0.2.69
+Version: 0.2.70
 Summary: Qubx - quantitative trading framework
 Home-page: https://github.com/dmarienko/Qubx
 Author: Dmitry Marienko

{qubx-0.2.69.dist-info → qubx-0.2.70.dist-info}/RECORD

@@ -14,17 +14,17 @@ qubx/core/helpers.py,sha256=JAB1kcKO8l--gxg9_W2BzWW1N4x72sicw1oBszKYcbo,12657
 qubx/core/loggers.py,sha256=zpehm2-RdKG1ISe6t3DiM3RrL_zzGni3YFcxfgDkV24,16575
 qubx/core/lookups.py,sha256=qGOSb2SIxmgVPGJFLJnPDI1P9hCzFMVipRDcVLUm8qk,14599
 qubx/core/metrics.py,sha256=pL1obxnk8I7bDF41bQcOZ7MDsq4Wmj6g5cRiV7cFZKQ,38657
-qubx/core/series.cpython-311-x86_64-linux-gnu.so,sha256=AUiwJsO4tKI4lx_Yl6SDEwR5aOuD789lUAUkdCG8asc,779016
+qubx/core/series.cpython-311-x86_64-linux-gnu.so,sha256=MBbJM6pkp8I6FHCKYQy3PfmRAx58P9MRgmzRYisMHHo,779016
 qubx/core/series.pxd,sha256=kF7QeLFgCM-C2hDxVvJM97ZOmyw1v7JEI9WfPKtQ6xs,3002
 qubx/core/series.pyi,sha256=QeOSi57-NxHEfiP-i7IImf-06KrqSHob5dr6kp45mM4,2603
 qubx/core/series.pyx,sha256=UhZsnT7R3-UED05Fnp3mGxr4RSdMpWAHB4lkcz46MFo,32598
 qubx/core/strategy.py,sha256=tTXhDbFTH63yj53mLgVEDBZxYOxC51prcsyXWkdTgLs,10991
-qubx/core/utils.cpython-311-x86_64-linux-gnu.so,sha256=A58P0mVGB86hwX9hIuw9kzXljr1WTSvzi0LP-7m6u1s,82504
+qubx/core/utils.cpython-311-x86_64-linux-gnu.so,sha256=O86lbSsB9GOEQ-LWUIMLCUvyEEEc-BMSK5wYbqH5_zU,82504
 qubx/core/utils.pyi,sha256=DAjyRVPJSxK4Em-9wui2F0yYHfP5tI5DjKavXNOnHa8,276
 qubx/core/utils.pyx,sha256=-8ek58CrbqWZq0-OY7WSREsCXBoBeWrD_wEYbIBS9rI,1696
 qubx/data/helpers.py,sha256=A0NGzhpXYWD92-GeB8TghwMnR0NW8bjcNJOCXybQw3g,782
 qubx/data/readers.py,sha256=HzNkFI2W4Rkh2AZWsOnnsi9VlHmlBCKaigyMd0T0Jiw,39523
-qubx/gathering/simplest.py,sha256=8Awi2Dx74ErEE4PC319HwiR6a2iCGOY3l5Uo_el3Ubc,1886
+qubx/gathering/simplest.py,sha256=MTulwYqR5tLP6CP_jFPELUl0wQKG_RcRNMZBB2aajVI,3818
 qubx/impl/ccxt_connector.py,sha256=ja_0WJDyZfkzqhNvoV-c5CCg15YnbRIThxw0TTNdwcc,13066
 qubx/impl/ccxt_customizations.py,sha256=WUhDT9x2SYuFrOyBIbk2D9Q_U_5QZhtLomLq88Egf_c,6230
 qubx/impl/ccxt_trading.py,sha256=OW0s_kW7GZlbDz_pGBlzLCUT2iDK4dhaBtmIAvj7QDw,9889
@@ -35,7 +35,7 @@ qubx/pandaz/__init__.py,sha256=Iw5uzicYGSC3FEKZ-W1O5-7cXq_P0kH11-EcXV0zZhs,175
 qubx/pandaz/ta.py,sha256=NthiiueUoqWGRcjovcKKThcCcdImZn3JRdWDA2vL28k,85075
 qubx/pandaz/utils.py,sha256=XB28Zwv3cXWbKFXbcV5QGj_d6w-i8Yo4LYkX8aPuCHo,19613
 qubx/ta/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-qubx/ta/indicators.cpython-311-x86_64-linux-gnu.so,sha256=s5cqELNMc5N0CX3gecLHNwFeHAg2PKiINVi8-je7IPg,576168
+qubx/ta/indicators.cpython-311-x86_64-linux-gnu.so,sha256=VcXW5JKSl6PTfE9FIXCyQfYRlNezHSrYMahADOtTfQI,576168
 qubx/ta/indicators.pxd,sha256=YzPDhbbNPmy3m4NafwIRF5sNFsmkq-MM1gbeAygtBwM,4007
 qubx/ta/indicators.pyi,sha256=mM_7ISmGQDgjhwxCoZXDw7Rm9fynQSYjevV7fRoLdNc,1683
 qubx/ta/indicators.pyx,sha256=GuxB63YApFnA9IWNJDbBt90J1sOoxTf3jDWYQ3uD9So,24306
@@ -53,6 +53,6 @@ qubx/utils/misc.py,sha256=Av0mhrPCy5NZRrRmjOAhTKusa8wVdL7vCQtEy9bVnz4,10450
 qubx/utils/ntp.py,sha256=LZo4FPVY3rqLUV9VWkLcZaPOpUDFC8Qleynmfggg9No,1758
 qubx/utils/runner.py,sha256=Czo01KUCc9Oj9TIcs03d6Qh7fOpQV5w8oH6UDZ6Yqn0,9539
 qubx/utils/time.py,sha256=ioIos3VLA-iYI8LiQIn2m-t0Y37CEQAHFw_-C9Uwo0o,5188
-qubx-0.2.69.dist-info/METADATA,sha256=IMAIaSBDe5DDIXUiQEiGQ8-dLiFaX1ZO-w7i5ay916w,2573
-qubx-0.2.69.dist-info/WHEEL,sha256=MLOa6LysROdjgj4FVxsHitAnIh8Be2D_c9ZSBHKrz2M,110
-qubx-0.2.69.dist-info/RECORD,,
+qubx-0.2.70.dist-info/METADATA,sha256=9TR9KbFamJCbpShZLxQV6XvV8Hkbk2CqTEDRFB9WaQI,2573
+qubx-0.2.70.dist-info/WHEEL,sha256=MLOa6LysROdjgj4FVxsHitAnIh8Be2D_c9ZSBHKrz2M,110
+qubx-0.2.70.dist-info/RECORD,,