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‎README.md

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@@ -219,10 +219,11 @@ The following order types are available (when possible on an exchange);
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- `Market`
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- `Limit`
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- `StopMarket`
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- `StopLimit`
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More will be added in due course including `StopLimit`, `MarketIfTouched`,
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`LimitIfTouched` and icebergs. Users are invited to open discussion issues to
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request specific order types or features.
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More will be added in due course including `MarketIfTouched`, `LimitIfTouched`
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and icebergs. Users are invited to open discussion issues to request specific
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order types or features.
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## Integrations
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‎docs/source/api_reference/model.rst

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:members:
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:member-order: bysource
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Stop-Limit Order
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----------------
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.. automodule:: nautilus_trader.model.order.stop_limit
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:show-inheritance:
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:inherited-members:
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:members:
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:member-order: bysource
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Bracket Order
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-------------
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‎examples/strategies/ema_cross_cython.pyx

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from decimal import Decimal
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from nautilus_trader.data.base cimport Data
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from nautilus_trader.core.message cimport Event
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from nautilus_trader.indicators.average.ema cimport ExponentialMovingAverage
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from nautilus_trader.model.bar cimport Bar
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self.submit_order(order)
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cpdef void on_data(self, data) except *:
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cpdef void on_data(self, Data data) except *:
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"""
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Actions to be performed when the strategy is running and receives a data object.
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Parameters
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----------
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data : object
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The data object received.
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data : Data
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The data received.
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"""
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pass

‎examples/strategies/ema_cross_stop_entry_trail.py

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class EMACrossStopEntryTrail(TradingStrategy):
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"""
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A simple moving average cross example strategy with a stop market entry and
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A simple moving average cross example strategy with a stop-market entry and
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trailing stop.
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When the fast EMA crosses the slow EMA then submits a stop market order one
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When the fast EMA crosses the slow EMA then submits a stop-market order one
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tick above the current bar for BUY, or one tick below the current bar
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for SELL.
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‎examples/strategies/ema_cross_trail.py

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class EMACrossWithTrailingStop(TradingStrategy):
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"""
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A simple moving average cross example strategy with a stop market entry and
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A simple moving average cross example strategy with a stop-market entry and
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trailing stop.
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When the fast EMA crosses the slow EMA then submits a stop market order one
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When the fast EMA crosses the slow EMA then submits a stop-market order one
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tick above the current bar for BUY, or one tick below the current bar
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for SELL.
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‎nautilus_trader/adapters/ccxt/providers.pyx

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@@ -109,6 +109,8 @@ cdef class CCXTInstrumentProvider(InstrumentProvider):
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for k, v in self._client.markets.items():
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symbol = Symbol(k, self.venue)
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instrument = self._parse_instrument(symbol, v)
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if instrument is None:
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continue # Something went wrong in parsing
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self._instruments[symbol.code] = instrument
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currency_type = self._parse_currency_type(code)
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currency = Currency.from_str_c(code)
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if currency is None:
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precision = values.get("precision")
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if precision is None:
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continue
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currency = Currency(
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code=code,
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precision=self._get_precision(values["precision"], precision_mode),
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precision=self._get_precision(precision, precision_mode),
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currency_type=currency_type,
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)
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if base_currency is not None:
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base_currency = Currency.from_str_c(values["base"])
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if base_currency is None:
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base_currency = self._currencies[values["base"]]
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base_currency = self._currencies.get(values["base"])
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if base_currency is None:
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return None
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quote_currency = Currency.from_str_c(values["quote"])
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if quote_currency is None:

‎nautilus_trader/adapters/ib/__init__.pxd

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# -------------------------------------------------------------------------------------------------
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# Copyright (C) 2015-2021 Nautech Systems Pty Ltd. All rights reserved.
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# https://nautechsystems.io
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#
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# Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
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# You may not use this file except in compliance with the License.
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# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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# -------------------------------------------------------------------------------------------------

‎nautilus_trader/adapters/ib/__init__.py

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# -------------------------------------------------------------------------------------------------
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# Copyright (C) 2015-2021 Nautech Systems Pty Ltd. All rights reserved.
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# https://nautechsystems.io
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#
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# Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
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# You may not use this file except in compliance with the License.
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# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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# -------------------------------------------------------------------------------------------------

‎nautilus_trader/adapters/ib/data.pxd

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# -------------------------------------------------------------------------------------------------
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# Copyright (C) 2015-2021 Nautech Systems Pty Ltd. All rights reserved.
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# https://nautechsystems.io
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#
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# Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
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# You may not use this file except in compliance with the License.
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# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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# -------------------------------------------------------------------------------------------------

‎nautilus_trader/adapters/ib/data.pyx

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# -------------------------------------------------------------------------------------------------
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# Copyright (C) 2015-2021 Nautech Systems Pty Ltd. All rights reserved.
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# https://nautechsystems.io
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#
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# Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
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# You may not use this file except in compliance with the License.
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# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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# -------------------------------------------------------------------------------------------------

‎nautilus_trader/adapters/ib/execution.pxd

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# -------------------------------------------------------------------------------------------------
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# Copyright (C) 2015-2021 Nautech Systems Pty Ltd. All rights reserved.
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# https://nautechsystems.io
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#
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# Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
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# You may not use this file except in compliance with the License.
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# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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# -------------------------------------------------------------------------------------------------

‎nautilus_trader/adapters/ib/execution.pyx

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# -------------------------------------------------------------------------------------------------
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# Copyright (C) 2015-2021 Nautech Systems Pty Ltd. All rights reserved.
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# https://nautechsystems.io
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#
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# Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
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# You may not use this file except in compliance with the License.
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# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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# -------------------------------------------------------------------------------------------------

‎nautilus_trader/adapters/ib/providers.pxd

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# -------------------------------------------------------------------------------------------------
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# Copyright (C) 2015-2021 Nautech Systems Pty Ltd. All rights reserved.
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# https://nautechsystems.io
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#
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# Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
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# You may not use this file except in compliance with the License.
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# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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# -------------------------------------------------------------------------------------------------
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from nautilus_trader.model.c_enums.asset_class cimport AssetClass
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from nautilus_trader.model.identifiers cimport Security
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from nautilus_trader.model.instrument cimport Future
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from nautilus_trader.model.instrument cimport Instrument
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cdef class IBInstrumentProvider:
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cdef dict _instruments
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cdef object _client
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cdef str _host
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cdef str _port
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cdef int _client_id
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cdef readonly int count
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"""The count of instruments held by the provider.\n\n:returns: `int`"""
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cpdef void connect(self)
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cpdef Future load_future(self, Security security, AssetClass asset_class=*)
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cpdef Instrument get(self, Security security)
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cdef inline int _tick_size_to_precision(self, double tick_size) except *
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cdef Future _parse_futures_contract(self, Security security, AssetClass asset_class, list details_list)

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