33 lines
1.7 KiB
Python
33 lines
1.7 KiB
Python
from .instrument_type import EQUITY_OPTION
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from .order_action import BUY_TO_CLOSE, BUY_TO_OPEN, SELL_TO_CLOSE, SELL_TO_OPEN
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from .order_type import LIMIT, STOP_LIMIT
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from .price_effect import CREDIT, DEBIT
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from .time_in_force import GTC
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def create_leg(instrument_type: str, symbol: str, action: str, quantity: int):
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return {'instrument-type': instrument_type, 'symbol': symbol, 'action': action, 'quantity': quantity}
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def create_order(order_type: str, time_in_force: str, price: float, price_effect: str, legs: list,
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stop_trigger: float = None):
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order = {
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'order-type': order_type,
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'time-in-force': time_in_force,
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'price': price,
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'price-effect': price_effect,
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'legs': legs
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}
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if stop_trigger:
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order['stop-trigger'] = stop_trigger
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return order
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def create_credit_spread(short_contract: str, long_contract: str, price: float, quantity: int,
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instrument_type: str = EQUITY_OPTION, time_in_force: str = GTC):
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short_leg = create_leg(instrument_type, short_contract, SELL_TO_OPEN, quantity)
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long_leg = create_leg(instrument_type, long_contract, BUY_TO_OPEN, quantity)
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return create_order(LIMIT, time_in_force, price, CREDIT, [short_leg, long_leg])
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def create_stop_limit_order(short_contract: str, long_contract: str, stop_trigger: float, limit_price: float,
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quantity: int, instrument_type: str = EQUITY_OPTION, time_in_force: str = GTC):
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short_leg = create_leg(instrument_type, short_contract, BUY_TO_CLOSE, quantity)
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long_leg = create_leg(instrument_type, long_contract, SELL_TO_CLOSE, quantity)
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return create_order(STOP_LIMIT, time_in_force, limit_price, DEBIT, [short_leg, long_leg], stop_trigger) |