root
102 lines
3.3 KiB
Python
102 lines
3.3 KiB
Python
"""Pure-function payload builders for IBKR complex orders (bracket/OCO/OTO).
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No HTTP. Tests are deterministic.
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"""
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from __future__ import annotations
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import secrets
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from dataclasses import dataclass
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from typing import Literal
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@dataclass
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class OrderSpec:
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conid: int
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sec_type: str # "STK" | "OPT" | "FUT" | "CASH"
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side: Literal["BUY", "SELL"]
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qty: float
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order_type: Literal["MKT", "LMT", "STP", "STP_LMT"]
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price: float | None = None # limit price
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aux_price: float | None = None # stop price
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tif: str = "GTC"
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exchange: str = "SMART"
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def _to_order_dict(spec: OrderSpec, *, oca_group: str | None = None,
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oca_type: int | None = None,
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parent_id: str | None = None) -> dict:
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o: dict = {
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"conid": spec.conid,
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"secType": f"{spec.conid}:{spec.sec_type}",
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"orderType": spec.order_type,
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"side": spec.side,
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"quantity": spec.qty,
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"tif": spec.tif,
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"listingExchange": spec.exchange,
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}
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if spec.price is not None:
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o["price"] = spec.price
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if spec.aux_price is not None:
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o["auxPrice"] = spec.aux_price
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if oca_group:
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o["ocaGroup"] = oca_group
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if oca_type is not None:
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o["ocaType"] = oca_type
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if parent_id:
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o["parentId"] = parent_id
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return o
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def _new_oca_group() -> str:
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return f"oca-{secrets.token_hex(4)}"
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def build_bracket_payload(
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*, conid: int, sec_type: str, side: str, qty: float,
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entry_price: float, stop_loss: float, take_profit: float,
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tif: str = "GTC", exchange: str = "SMART",
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) -> dict:
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"""Bracket: parent LMT entry + child STP (loss) + child LMT (profit), OCA-linked."""
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side = side.upper()
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opposite = "SELL" if side == "BUY" else "BUY"
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oca = _new_oca_group()
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parent = OrderSpec(conid=conid, sec_type=sec_type, side=side, qty=qty, # type: ignore[arg-type]
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order_type="LMT", price=entry_price,
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tif=tif, exchange=exchange)
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sl = OrderSpec(conid=conid, sec_type=sec_type, side=opposite, qty=qty, # type: ignore[arg-type]
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order_type="STP", aux_price=stop_loss,
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tif=tif, exchange=exchange)
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tp = OrderSpec(conid=conid, sec_type=sec_type, side=opposite, qty=qty, # type: ignore[arg-type]
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order_type="LMT", price=take_profit,
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tif=tif, exchange=exchange)
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return {
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"orders": [
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_to_order_dict(parent, oca_group=oca, oca_type=2),
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_to_order_dict(sl, oca_group=oca, oca_type=2),
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_to_order_dict(tp, oca_group=oca, oca_type=2),
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]
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}
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def build_oco_payload(legs: list[OrderSpec]) -> dict:
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"""OCO: N legs, all sharing same ocaGroup with ocaType=1 (one-cancels-all)."""
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if len(legs) < 2:
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raise ValueError("OCO requires at least 2 legs")
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oca = _new_oca_group()
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return {
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"orders": [
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_to_order_dict(l, oca_group=oca, oca_type=1) for l in legs
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]
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}
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def build_oto_first_payload(trigger: OrderSpec) -> dict:
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"""OTO step 1: place trigger as standalone."""
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return {"orders": [_to_order_dict(trigger)]}
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def build_oto_child_payload(child: OrderSpec, parent_order_id: str) -> dict:
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"""OTO step 2: child references parentId from step-1 order_id."""
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return {"orders": [_to_order_dict(child, parent_id=parent_order_id)]}
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