Merge pull request #98 from ChocoShell/order-builder

Add Place Order models and validation

.gitignore

@@ -94,6 +94,9 @@ ENV/
 # Rope project settings
 .ropeproject
 
+# VS Code project settings
+.vscode
+
 # mkdocs documentation
 /site
 

tdameritrade/orders/__init__.py

@@ -0,0 +1,14 @@
+"""Orders Submodule
+
+This module is used to construct valid json for the place orders endpoint.
+https://developer.tdameritrade.com/account-access/apis/post/accounts/%7BaccountId%7D/orders-0
+
+The validation is done by the orders.models.base.BaseOrder class
+
+The order_builder file incudes sample order builder functions created from
+https://developer.tdameritrade.com/content/place-order-samples
+"""
+
+from . import order_builder
+
+__all__ = ["order_builder"]

tdameritrade/orders/constants.py

@@ -0,0 +1,258 @@
+"""Constants used in Orders
+"""
+from enum import Enum
+
+
+class ExtendedConstant(str, Enum):
+    """
+    Base Enum class used by all order Enums.
+    """
+
+    @classmethod
+    def list(cls):
+        """Lists all values in Enum
+
+        Found here: https://stackoverflow.com/questions/29503339/how-to-get-all-values-from-python-enum-class/54919285#54919285
+        """
+        return list(map(lambda c: c.value, cls))
+
+
+class Session(ExtendedConstant):
+    NORMAL = "NORMAL"
+    AM = "AM"
+    PM = "PM"
+    SEAMLESS = "SEAMLESS"
+
+
+class Duration(ExtendedConstant):
+    DAY = "DAY"
+    GOOD_TILL_CANCEL = "GOOD_TILL_CANCEL"
+    FILL_OR_KILL = "FILL_OR_KILL"
+
+
+class OrderType(ExtendedConstant):
+    MARKET = "MARKET"
+    LIMIT = "LIMIT"
+    STOP = "STOP"
+    STOP_LIMIT = "STOP_LIMIT"
+    TRAILING_STOP = "TRAILING_STOP"
+    MARKET_ON_CLOSE = "MARKET_ON_CLOSE"
+    EXERCISE = "EXERCISE"
+    TRAILING_STOP_LIMIT = "TRAILING_STOP_LIMIT"
+    NET_DEBIT = "NET_DEBIT"
+    NET_CREDIT = "NET_CREDIT"
+    NET_ZERO = "NET_ZERO"
+
+
+class ComplexOrderStrategyType(ExtendedConstant):
+    NONE = "NONE"
+    COVERED = "COVERED"
+    VERTICAL = "VERTICAL"
+    BACK_RATIO = "BACK_RATIO"
+    CALENDAR = "CALENDAR"
+    DIAGONAL = "DIAGONAL"
+    STRADDLE = "STRADDLE"
+    STRANGLE = "STRANGLE"
+    COLLAR_SYNTHETIC = "COLLAR_SYNTHETIC"
+    BUTTERFLY = "BUTTERFLY"
+    CONDOR = "CONDOR"
+    IRON_CONDOR = "IRON_CONDOR"
+    VERTICAL_ROLL = "VERTICAL_ROLL"
+    COLLAR_WITH_STOCK = "COLLAR_WITH_STOCK"
+    DOUBLE_DIAGONAL = "DOUBLE_DIAGONAL"
+    UNBALANCED_BUTTERFLY = "UNBALANCED_BUTTERFLY"
+    UNBALANCED_CONDOR = "UNBALANCED_CONDOR"
+    UNBALANCED_IRON_CONDOR = "UNBALANCED_IRON_CONDOR"
+    UNBALANCED_VERTICAL_ROLL = "UNBALANCED_VERTICAL_ROLL"
+    CUSTOM = "CUSTOM"
+
+
+class RequestedDestination(ExtendedConstant):
+    INET = "INET"
+    ECN_ARCA = "ECN_ARCA"
+    CBOE = "CBOE"
+    AMEX = "AMEX"
+    PHLX = "PHLX"
+    ISE = "ISE"
+    BOX = "BOX"
+    NYSE = "NYSE"
+    NASDAQ = "NASDAQ"
+    BATS = "BATS"
+    C2 = "C2"
+    AUTO = "AUTO"
+
+
+class StopPriceLinkBasis(ExtendedConstant):
+    MANUAL = "MANUAL"
+    BASE = "BASE"
+    TRIGGER = "TRIGGER"
+    LAST = "LAST"
+    BID = "BID"
+    ASK = "ASK"
+    ASK_BID = "ASK_BID"
+    MARK = "MARK"
+    AVERAGE = "AVERAGE"
+
+
+class StopPriceLinkType(ExtendedConstant):
+    VALUE = "VALUE"
+    PERCENT = "PERCENT"
+    TICK = "TICK"
+
+
+class StopType(ExtendedConstant):
+    STANDARD = "STANDARD"
+    BID = "BID"
+    ASK = "ASK"
+    LAST = "LAST"
+    MARK = "MARK"
+
+
+class PriceLinkBasis(ExtendedConstant):
+    MANUAL = "MANUAL"
+    BASE = "BASE"
+    TRIGGER = "TRIGGER"
+    LAST = "LAST"
+    BID = "BID"
+    ASK = "ASK"
+    ASK_BID = "ASK_BID"
+    MARK = "MARK"
+    AVERAGE = "AVERAGE"
+
+
+class PriceLinkType(ExtendedConstant):
+    VALUE = "VALUE"
+    PERCENT = "PERCENT"
+    TICK = "TICK"
+
+
+class TaxLotMethod(ExtendedConstant):
+    FIFO = "FIFO"
+    LIFO = "LIFO"
+    HIGH_COST = "HIGH_COST"
+    LOW_COST = "LOW_COST"
+    AVERAGE_COST = "AVERAGE_COST"
+    SPECIFIC_LOT = "SPECIFIC_LOT"
+
+
+class SpecialInstruction(ExtendedConstant):
+    ALL_OR_NONE = "ALL_OR_NONE"
+    DO_NOT_REDUCE = "DO_NOT_REDUCE"
+    ALL_OR_NONE_DO_NOT_REDUCE = "ALL_OR_NONE_DO_NOT_REDUCE"
+
+
+class OrderStrategyType(ExtendedConstant):
+    SINGLE = "SINGLE"
+    OCO = "OCO"
+    TRIGGER = "TRIGGER"
+
+
+class Status(ExtendedConstant):
+    AWAITING_PARENT_ORDER = "AWAITING_PARENT_ORDER"
+    AWAITING_CONDITION = "AWAITING_CONDITION"
+    AWAITING_MANUAL_REVIEW = "AWAITING_MANUAL_REVIEW"
+    ACCEPTED = "ACCEPTED"
+    AWAITING_UR_OUT = "AWAITING_UR_OUT"
+    PENDING_ACTIVATION = "PENDING_ACTIVATION"
+    QUEUED = "QUEUED"
+    WORKING = "WORKING"
+    REJECTED = "REJECTED"
+    PENDING_CANCEL = "PENDING_CANCEL"
+    CANCELED = "CANCELED"
+    PENDING_REPLACE = "PENDING_REPLACE"
+    REPLACED = "REPLACED"
+    FILLED = "FILLED"
+    EXPIRED = "EXPIRED"
+
+
+# Order Leg Constants
+
+
+class OrderLegType(ExtendedConstant):
+    EQUITY = "EQUITY"
+    OPTION = "OPTION"
+    INDEX = "INDEX"
+    MUTUAL_FUND = "MUTUAL_FUND"
+    CASH_EQUIVALENT = "CASH_EQUIVALENT"
+    FIXED_INCOME = "FIXED_INCOME"
+    CURRENCY = "CURRENCY"
+
+
+class Instruction(ExtendedConstant):
+    BUY = "BUY"
+    SELL = "SELL"
+    BUY_TO_COVER = "BUY_TO_COVER"
+    SELL_SHORT = "SELL_SHORT"
+    BUY_TO_OPEN = "BUY_TO_OPEN"
+    BUY_TO_CLOSE = "BUY_TO_CLOSE"
+    SELL_TO_OPEN = "SELL_TO_OPEN"
+    SELL_TO_CLOSE = "SELL_TO_CLOSE"
+    EXCHANGE = "EXCHANGE"
+
+
+class PositionEffect(ExtendedConstant):
+    OPENING = "OPENING"
+    CLOSING = "CLOSING"
+    AUTOMATIC = "AUTOMATIC"
+
+
+class QuantityType(ExtendedConstant):
+    ALL_SHARES = "ALL_SHARES"
+    DOLLARS = "DOLLARS"
+    SHARES = "SHARES"
+
+
+# Activity Enums
+
+
+class ActivityType(ExtendedConstant):
+    EXECUTION = "EXECUTION"
+    ORDER_ACTION = "ORDER_ACTION"
+
+
+class ExecutionType(ExtendedConstant):
+    FILL = "FILL"
+
+
+# Instrument Enums
+
+
+class InstrumentAssetType(ExtendedConstant):
+    EQUITY = "EQUITY"
+    OPTION = "OPTION"
+    INDEX = "INDEX"
+    MUTUAL_FUND = "MUTUAL_FUND"
+    CASH_EQUIVALENT = "CASH_EQUIVALENT"
+    FIXED_INCOME = "FIXED_INCOME"
+    CURRENCY = "CURRENCY"
+
+
+class MutualFundType(ExtendedConstant):
+    NOT_APPLICABLE = "NOT_APPLICABLE"
+    OPEN_END_NON_TAXABLE = "OPEN_END_NON_TAXABLE"
+    OPEN_END_TAXABLE = "OPEN_END_TAXABLE"
+    NO_LOAD_NON_TAXABLE = "NO_LOAD_NON_TAXABLE"
+    NO_LOAD_TAXABLE = "NO_LOAD_TAXABLE"
+
+
+class CashEquivalentType(ExtendedConstant):
+    SAVINGS = "SAVINGS"
+    MONEY_MARKET_FUND = "MONEY_MARKET_FUND"
+
+
+class OptionType(ExtendedConstant):
+    VANILLA = "VANILLA"
+    BINARY = "BINARY"
+    BARRIER = "BARRIER"
+
+
+class OptionPutCall(ExtendedConstant):
+    PUT = "PUT"
+    CALL = "CALL"
+
+
+class OptionDeliverableCurrencyType(ExtendedConstant):
+    USD = "USD"
+    CAD = "CAD"
+    EUR = "EUR"
+    JPY = "JPY"

tdameritrade/orders/leg_builder.py

@@ -0,0 +1,48 @@
+from .constants import Instruction, InstrumentAssetType
+from .models.instruments import EquityInstrument, OptionInstrument
+from .models.leg import OrderLeg
+
+
+def create_equity_order_leg(
+    instruction, quantity, symbol, description=None, cusip=None, **order_leg_kwargs,
+):
+    """Creates OrderLeg for equity orders
+    """
+    valid_instructions = [
+        Instruction("BUY"),
+        Instruction("SELL"),
+        Instruction("BUY_TO_COVER"),
+        Instruction("SELL_SHORT"),
+    ]
+
+    asset_type = InstrumentAssetType.EQUITY
+
+    if instruction not in valid_instructions:
+        raise Exception(
+            f"{instruction} not in valid instruction list for Equity Order Leg"
+        )
+
+    instrument = EquityInstrument(symbol=symbol, assetType=asset_type)
+    return OrderLeg(
+        instruction=instruction,
+        quantity=quantity,
+        instrument=instrument,
+        **order_leg_kwargs,
+    )
+
+
+def create_option_order_leg(
+    instruction, quantity, symbol, description=None, cusip=None, **order_leg_kwargs,
+):
+    """Creates Option OrderLeg
+    """
+    asset_type = InstrumentAssetType.OPTION
+
+    instrument = OptionInstrument(symbol=symbol, assetType=asset_type)
+
+    return OrderLeg(
+        instruction=instruction,
+        quantity=quantity,
+        instrument=instrument,
+        **order_leg_kwargs,
+    )

tdameritrade/orders/models/__init__.py

@@ -0,0 +1,8 @@
+from . import activities, instruments, leg, orders
+
+__all__ = [
+    "activities",
+    "instruments",
+    "leg",
+    "orders",
+]

tdameritrade/orders/models/activities.py

@@ -0,0 +1,34 @@
+from dataclasses import dataclass
+from typing import List
+
+from ..constants import ActivityType, ExecutionType
+from .base import BaseOrder
+
+
+@dataclass
+class OrderActivity(BaseOrder):
+    pass
+
+
+@dataclass(frozen=True)
+class ExecutionLeg(BaseOrder):
+    """ExecutionLeg used in Execution
+    """
+
+    legId: int = None
+    quantity: int = None
+    mismarkedQuantity: int = None
+    price: int = None
+    time: str = None
+
+
+@dataclass(frozen=True)
+class Execution(OrderActivity):
+    """Execution
+    """
+
+    activityType: ActivityType = None
+    executionType: ExecutionType = None
+    quantity: int = None
+    orderRemainingQuantity: int = None
+    executionLegs: List = None  # List[ExecutionLeg]. Issue with List[type] formatting