Gary Fung

How to close orders by orderRef?

Programming

Hey there! I have a backtest script containing multiple strategies. 
I managed the orders in a way that orders opened from the same strategy will have the same order reference. 
Sometime when a strategy doesn't performance well. I would like to close all outstanding orders created by that strategy. 

Instead of keep track of all trade ID and close 1 by 1, is there a way that I can close all orders with the same order reference?
1 0
Posted on : 2023-11-24 08:04:03.074929
 
admin

We support close orders by 'orderRef'. You can refer to sample12 under the "Place Order" section in tech doc. (i.e. https://algogene.com/TechDoc#PlaceOrder)

However, this feature is only supported when position netting is set to false.

Here is a quick example for your reference. Let's say we keep opening new orders every day. Also, we assign orderRef=1 for the first 10 orders. Then we want to close the first ten orders on day 20.


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from AlgoAPI import AlgoAPIUtil, AlgoAPI_Backtest, PATH_CO_CLIENT
from datetime import datetime, timedelta

class AlgoEvent:
    def __init__(self): 
        self.timer = datetime(1970,1,1)
        self.cnt = 0
    
    def start(self, mEvt): 
        self.evt = AlgoAPI_Backtest.AlgoEvtHandler(self, mEvt)
        self.evt.start()
    
    def on_marketdatafeed(self, md, ab):
        if md.timestamp>=self.timer+timedelta(hours=24):
            self.timer = md.timestamp
            self.cnt+=1

            # assign order reference
            if self.cnt<=10:
                orderRef = 1
            else:
                orderRef = 2

            # open order
            order = AlgoAPIUtil.OrderObject(
                orderRef = orderRef,
                instrument = md.instrument,
                buysell = 1,
                volume = 0.01,
                ordertype = 0,
                openclose = 'open'
            )
            self.evt.sendOrder(order)

            # close all orders with the same order reference
            if self.cnt==20:
                order = AlgoAPIUtil.OrderObject(
                    openclose='close',
                    orderRef=1
                )
                self.evt.sendOrder(order)


0 0
Posted on : 2023-11-25 06:46:13.152162



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