AnyOneOrder for Quantopian

any_one_order.py

"""
This is an example of a one-or-the-other order, generalised as an any-one order. Useful when setting orders around a price point, such that if one order is triggered (begins to fill) the other orders are cancelled.
"""
class AnyOneOrder(object):
    """ A group of orders where when one order is triggered, all other open orders are cancelled. """
    
    def __init__(self, *orders_or_ids):
        self.order_ids = set(
            map(self._get_id, orders_or_ids)
        )
        
    def update(self, context, data):
        """ If any orders are filling, cancel all other orders. """
        
        # Get all filling or filled orders
        ex_orders = self.executing_orders()
        
        # All unfilled orders should be cancelled
        if ex_orders: self.cancel_pending()

        # To be helpful, return the list of executing orders
        return ex_orders
    
    def executing_orders(self):
        return set( filter( self._is_executing_order, self.orders() ) )
    
    def pending_orders(self):
        return set( filter( self._is_pending_order, self.orders() ) )
        
    def add(self, order_or_id):
        order_or_id = self._get_id(order_or_id)
        return self.order_ids.add(order_or_id)
    
    def remove(self, order_or_id):
        order_or_id = self._get_id(order_or_id)
        return self.order_ids.remove(order_or_id)
    
    def orders(self):
        """ Return all orders, as Orders, for this AnyOne order. """
        return set( map(get_order, self.order_ids) )
    
    def cancel(self):
        """ Cancel this AnyOne order, which cancels all child orders. """
        for order in self.orders():
            cancel_order(order)
        pass
    
    def cancel_pending(self):
        """ Cancel any pending (e.g. not filled or filling) orders. """
        for order in self.pending_orders():
            cancel_order(order)
        pass

    @staticmethod
    def _get_id(obj_or_id):
        """ Helper to return the order ID, whether given as an Order or as an ID. """
        try:
            return obj_or_id.id
        except AttributeError:
            return obj_or_id

    @classmethod
    def _is_open_order(klass, order):
        """ Helper to find all orders that considered open. """
        return order.status == 0

    @classmethod
    def _is_executing_order(klass, order):
        """ Helper to find all orders that are filling or filled. """
        return order.filled != 0 and klass._is_open_order(order)

    @classmethod
    def _is_pending_order(klass, order):
        """ Helper to find all orders that are filling or filled. """
        return order.filled == 0 and klass._is_open_order(order)