# Copyright 2019 The TensorTrade Authors.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License
from enum import Enum
from tensortrade.base import TimedIdentifiable
[docs]class TradeType(Enum):
LIMIT = 'limit'
MARKET = 'market'
def __str__(self):
return str(self.value)
[docs]class TradeSide(Enum):
BUY = 'buy'
SELL = 'sell'
[docs] def instrument(self, pair: 'TradingPair') -> 'Instrument':
return pair.base if self == TradeSide.BUY else pair.quote
def __str__(self):
return str(self.value)
[docs]class Trade(TimedIdentifiable):
"""A trade object for use within trading environments."""
[docs] def __init__(self,
order_id: str,
exchange_id: str,
step: int,
pair: 'TradingPair',
side: TradeSide,
trade_type: TradeType,
quantity: 'Quantity',
price: float,
commission: 'Quantity'):
"""
Arguments:
order_id: The id of the order that created the trade.
exchange_id: The id of the exchange the trade was executed on.
step: The timestep the trade was made during the trading episode.
pair: The trading pair of the instruments in the trade.
(e.g. BTC/USDT, ETH/BTC, ADA/BTC, AAPL/USD, NQ1!/USD, CAD/USD, etc)
side: Whether the quote instrument is being bought or sold.
(e.g. BUY = trade the `base_instrument` for the `quote_instrument` in the pair. SELL = trade the `quote_instrument` for the `base_instrument`)
size: The size of the base instrument in the trade.
(e.g. 1000 shares, 6.50 satoshis, 2.3 contracts, etc).
price: The price paid per quote instrument in terms of the base instrument.
(e.g. 10000 represents $10,000.00 if the `base_instrument` is "USD").
commission: The commission paid for the trade in terms of the base instrument.
(e.g. 10000 represents $10,000.00 if the `base_instrument` is "USD").
"""
super().__init__()
self.order_id = order_id
self.exchange_id = exchange_id
self.step = step
self.pair = pair
self.side = side
self.type = trade_type
self.quantity = quantity
self.price = price
self.commission = commission
@property
def base_instrument(self) -> 'Instrument':
return self.pair.base
@property
def quote_instrument(self) -> 'Instrument':
return self.pair.quote
@property
def size(self) -> float:
if self.pair.base is self.quantity.instrument:
return round(self.quantity.size, self.pair.base.precision)
return round(self.quantity.size * self.price, self.pair.base.precision)
@property
def price(self) -> float:
return self._price
@price.setter
def price(self, price: float):
self._price = price
@property
def commission(self) -> 'Quantity':
return self._commission
@commission.setter
def commission(self, commission: 'Quantity'):
self._commission = commission.size * self.pair.base
@property
def is_buy(self) -> bool:
return self.side == TradeSide.BUY
@property
def is_sell(self) -> bool:
return self.side == TradeSide.SELL
@property
def is_limit_order(self) -> bool:
return self.type == TradeType.LIMIT
@property
def is_market_order(self) -> bool:
return self.type == TradeType.MARKET
[docs] def to_dict(self):
return {'id': self.id,
'order_id': self.order_id,
'step': self.step,
'base_symbol': self.pair.base.symbol,
'quote_symbol': self.pair.quote.symbol,
'side': self.side,
'type': self.type,
'size': self.size,
'quantity': self.quantity,
'price': self.price,
'commission': self.commission,
"created_at": self.created_at
}
[docs] def to_json(self):
return {'id': str(self.id),
'order_id': str(self.order_id),
'step': int(self.step),
'base_symbol': str(self.pair.base.symbol),
'quote_symbol': str(self.pair.quote.symbol),
'side': str(self.side),
'type': str(self.type),
'size': float(self.size),
'quantity': str(self.quantity),
'price': float(self.price),
'commission': str(self.commission),
"created_at": str(self.created_at)
}
def __str__(self):
data = ['{}={}'.format(k, v) for k, v in self.to_dict().items()]
return '<{}: {}>'.format(self.__class__.__name__, ', '.join(data))
def __repr__(self):
return str(self)