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definitions.py
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import datetime
from enum import Enum
class order_side(Enum):
unknown = 0
buy = 1
sell = 2
class order_type(Enum):
unknown = 0
mkt = 1
limit = 2
stop = 3
class api_result:
def __init__(self):
self.success = False
self.msg = ""
class order_request:
def __init__(self):
self.instrument_name = ""
self.quantity = 0.0
self.price = 0.0
self.side = order_side.unknown
self.type = order_type.unknown
self.orderid = ""
self.timestamp = datetime.datetime.now().timestamp()
class exchange_order:
def __init__(self):
self.instrument_name = ""
self.quantity = 0.0
self.filled_quantity = 0.0
self.price = 0.0
self.side = order_side.unknown
self.type = order_type.unknown
self.exchange_orderid = ""
class exchange_orders:
def __init__(self):
self.exchange = ""
self.instrument = ""
self.bids = [] # exchange_order is expected
self.asks = [] # exchange_order is expected
class fill:
def __init__(self):
self.exchange = ""
self.instrument = ""
self.orderid = ""
self.fillid = ""
self.fill_price = 0.0
self.qty = 0.0
self.timestamp = ""
self.fees = 0.0
self.is_funding = False
self.type = order_type.unknown
class tob:
def __init__(self):
self.exchange = ""
self.product = ""
self.best_bid_price = None
self.best_bid_qty = None
self.best_ask_price = None
self.best_ask_qty = None
self.timestamp = 0.0
class new_order_ack:
def __init__(self):
self.orderid = ""
self.instrument_name = ""
self.quantity = 0.0
self.price = 0.0
self.side = order_side.unknown
self.type = order_type.unknown
self.timestamp = datetime.datetime.now().timestamp()
class new_order_nack:
def __init__(self):
self.orderid = ""
self.exchange_orderid = ""
self.rejection_reason = ""
# self.timestamp = None
class order_elim_ack:
def __init__(self):
self.orderid = ""
# self.timestamp = None
class order_elim_nack:
def __init__(self):
self.orderid = ""
self.rejection_reason = ""
# self.timestamp = None
class order_fill_ack:
def __init__(self):
self.exchange = ""
self.instrument = ""
self.orderid = ""
self.exchangeid = ""
self.fillid = ""
self.side = ""
self.order_type = ""
self.order_qty = 0.0
self.price = 0.0
self.fill_price = 0.0
self.running_fill_qty = 0.0
self.incremental_fill_qty = 0.0
self.timestamp = ""
self.fee = 0.0
class order_full_fill_ack:
def __init__(self):
self.exchange = ""
self.instrument = ""
self.orderid = ""
self.exchangeid = ""
self.fillid = ""
self.side = ""
self.order_type = ""
self.order_qty = 0.0
self.price = 0.0
self.fill_price = 0.0
self.running_fill_qty = 0.0
self.incremental_fill_qty = 0.0
self.timestamp = ""
self.fee = 0.0
class amend_ack_on_partial:
def __init__(self):
self.exchange = ""
self.instrument = ""
self.orderid = ""
self.exchangeid = ""
self.fillid = ""
self.side = ""
self.order_type = ""
self.order_qty = 0.0
self.price = 0.0
self.running_fill_qty = 0.0
self.timestamp = ""
self.fee = 0.0
class amend_ack:
def __init__(self):
self.orderid = ""
self.instrument_name = ""
self.quantity = 0.0
self.price = 0.0
self.side = order_side.unknown
self.type = order_type.unknown
self.timestamp = datetime.datetime.now().timestamp()
class amend_nack:
def __init__(self):
self.orderid = ""
self.rejection_reason = ""