Michael Halls-Moore
63 lines
1.8 KiB
Python
63 lines
1.8 KiB
Python
from abc import ABCMeta, abstractmethod
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import httplib
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import urllib
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class ExecutionHandler(object):
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"""
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Provides an abstract base class to handle all execution in the
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backtesting and live trading system.
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"""
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__metaclass__ = ABCMeta
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@abstractmethod
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def execute_order(self):
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"""
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Send the order to the brokerage.
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"""
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raise NotImplementedError("Should implement execute_order()")
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class SimulatedExecution(object):
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"""
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Provides a simulated execution handling environment. This class
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actually does nothing - it simply receives an order to execute.
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Instead, the Portfolio object actually provides fill handling.
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This will be modified in later versions.
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"""
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def execute_order(self, event):
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pass
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class OANDAExecutionHandler(ExecutionHandler):
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def __init__(self, domain, access_token, account_id):
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self.domain = domain
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self.access_token = access_token
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self.account_id = account_id
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self.conn = self.obtain_connection()
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def obtain_connection(self):
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return httplib.HTTPSConnection(self.domain)
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def execute_order(self, event):
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instrument = "%s_%s" % (event.instrument[:3], event.instrument[3:])
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headers = {
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"Content-Type": "application/x-www-form-urlencoded",
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"Authorization": "Bearer " + self.access_token
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}
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params = urllib.urlencode({
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"instrument" : instrument,
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"units" : event.units,
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"type" : event.order_type,
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"side" : event.side
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})
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self.conn.request(
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"POST",
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"/v1/accounts/%s/orders" % str(self.account_id),
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params, headers
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)
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response = self.conn.getresponse().read()
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print response
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