Brokers

boatwright endeavors to generalize automated trading strategies, without limiting users, which includes the type of orders and how order are managed with a broker. However, brokers do differ in the available orders types, order managament, backend logic for order placement on exchanges, and of course in their API call format. This is to say that the backtest broker will not exactly replicate any live broker, inheriently introducing error to backtests. Further, it makes it difficult to generalize what a broker is and can do.

The compromise implemented here is that the parent broker class imposes the most common order types / managment and the BacktestBroker contains models for these. Users seeking to implement more complex order flows offered by their broker can write their own instances of ‘backtest’ and ‘live’ broker API interfaces.

• BacktestBroker
• CoinbaseBroker
• AlpacaBroker

Broker

class src.boatwright.Brokers.Broker.Broker(key=None, secret_key=None, broker_name=None, quote_symbol='USD')

standardized class of broker interactions (place orders, check order, check accounts etc)

Note

supported broker functionality: * orders - market, limit, stop and trailing * time_in_force - good till cancelled “gtc”, good for day “gfd”, good till date (indicated by datetime object)

Parameters:

• key – API key (for live brokers), alternatively can provide broker_name

• secret_key – API secret key (for live brokers), alternatively can provide broker_name

• broker_name – (optional) providing the broker name will load the broker parameters from ~/boatwright/config.json

• quote_symbol (str) – brokers reference currency, defaults to “USD”

Variables:

orders – dictionary of orders, fills during a Backtest or LiveExecution

orders = {
    "OPEN": {order_id: open order, ...}, 
    "PARTIALLY_FILLED": {order_id: partially_filled order, ...},  
    "FILLED": {order_id: filled order, ...},  
    "CANCELLED": {order_id: cancelled order, ...},  
    "FAILED": {order_id: failed order, ...}  
}

calc_base_size(base_symbol, frac=1)

calculates the frac * available_base_amount truncated to base_increment where, if base_symbol=BTC-USD, base_symbol=BTC, quote_symbol=USD

calc_quote_size(base_symbol, quote_symbol, frac=1)

calculates the frac * (available_quote_amount) worth of product truncated to quote_increment where, if base_symbol=BTC-USD, base_symbol=BTC, quote_symbol=USD

abstract cancel_order(order_id)

cancels an open order returns “success” or “fail”

abstract get_account_balance(base_symbol)

Parameters:

base_symbol (str) – e.g. “BTC” or “AAPL”

Returns:

account info for the specified base_symbol (e.g. how much BTC does user have)

account_info = {
    "available_balance": account_response["available_balance"]["value"],
    "currency": account_response["available_balance"]["currency"]
}

abstract get_order_info(order_id)

Parameters:

order_id (str) – identifying string

Returns:

dict or order info

order_info = {
    "order_id": order_status["order_id"],
    "status": order_status["status"],
    "time_opened": ,
    "time_closed": ,
    "completion_percentage": order_status["completion_percentage"],
    "filled_size": order_status["filled_size"],
    "avg_price": order_status["average_filled_price"],
    "fee": order_status["total_fees"]
}

abstract get_product_info(base_symbol)

returns product info as:

product_info = {
    "base_symbol": response["base_symbol"],
    "price": response["price"],
    "volume": response["volume_24h"],
    "base": response["base_display_symbol"],
    "base_size_increment": response["base_increment"],
    "min_base_size": response["base_min_size"],
    "max_base_size": response["base_max_size"],
    "quote": response["quote_display_symbol"],
    "quote_size_increment": response["quote_increment"],
    "min_quote_size": response["quote_min_size"],
    "max_quote_size": response["quote_max_size"],
}

abstract limit_order(order)

place limit order

Parameters:

order (LimitOrder)

abstract market_order(order)

place market order

Parameters:

order (MarketOrder)

place_order(order)

handles the order according to its type, MARKET, LIMIT, STOP or TRAILING

Parameters:

order (Order) – order to be placed

step(data_row)

actions on each ‘step’ through a backtest, or live execution :return: None

abstract stop_order(order)

place stop order

Parameters:

order (StopOrder)

abstract trailing_order(order)

place trailing stop order

Parameters:

order (TrailingOrder)

abstract update_aum()

update values for cash, stock/crypto/forex etc assets, and total aum :return: None

abstract update_open_orders()

checks open orders to see if order get triggered, or was filled etc