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Don't submit limits on alerts

syseng_tweaks
Tyler Goodlet 2021-04-29 08:17:40 -04:00
parent ecd94ce24d
commit 4d03d62641
1 changed files with 29 additions and 20 deletions
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49
piker/clearing/_ems.py
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@ -179,31 +179,40 @@ async def execute_triggers(
# majority of iterations will be non-matches
continue
# submit_price = price + price*percent_away
submit_price = price + abs_diff_away
action = cmd['action']
log.info(
f'Dark order triggered for price {price}\n'
f'Submitting order @ price {submit_price}')
if action != 'alert':
# executable order submission
reqid = await client.submit_limit(
oid=oid,
# submit_price = price + price*percent_away
submit_price = price + abs_diff_away
# this is a brand new order request for the
# underlying broker so we set out "broker request
# id" (brid) as nothing so that the broker
# client knows that we aren't trying to modify
# an existing order.
brid=None,
log.info(
f'Dark order triggered for price {price}\n'
f'Submitting order @ price {submit_price}')
symbol=sym,
action=cmd['action'],
price=submit_price,
size=cmd['size'],
)
reqid = await client.submit_limit(
oid=oid,
# register broker request id to ems id
book._broker2ems_ids[reqid] = oid
# this is a brand new order request for the
# underlying broker so we set out "broker request
# id" (brid) as nothing so that the broker
# client knows that we aren't trying to modify
# an existing order.
brid=None,
symbol=sym,
action=cmd['action'],
price=submit_price,
size=cmd['size'],
)
# register broker request id to ems id
book._broker2ems_ids[reqid] = oid
else:
# alerts have no broker request id
reqid = ''
resp = {
'resp': 'dark_executed',