Trader

Constructors:

Trader(username)

Member Functions:

connect(cfg_file, password)
disconnect()
isConnected()
submitOrder(order)
submitCancellation(order)
getPortfolioSummary()
getPortfolioItems()
getPortfolioItem(symbol)
getSubmittedOrdersSize()
getSubmittedOrders()
getOrder(order_id)
getWaitingListSize()
getWaitingList()
cancelAllPendingOrders()
getClosePrice(symbol, buy, size)
getLastPrice(symbol)
getLastSize(symbol)
getLastTradeTime()
getBestPrice(symbol)
getOrderBook(symbol, type, max_level=99)
getOrderBookWithDestination(symbol, type)
getStockList()
requestCompanyNames()
getCompanyNames()
getCompanyName(symbol)
requestSamplePrices(symbols, sampling_frequency=1, sampling_window=31)
cancelSamplePricesRequest(symbols)
cancelAllSamplePricesRequests()
getSamplePricesSize(symbol)
getSamplePrices(symbol, mid_prices=False)
getLogReturnsSize(symbol)
getLogReturns(symbol, mid_prices=False)
subOrderBook(symbol)
unsubOrderBook(symbol)
subAllOrderBook()
unsubAllOrderBook()
getSubscribedOrderBookList()

Trader(userName)

Parameters

username : str

The username used to log in to the server.

Return Value

None

Example

Usage of the constructor Trader(userName) with username "FooBar":
import shift
trader = shift.Trader("FooBar")

connect(cfg_file, password)

This method connects to the server.

Parameters

cfg_file : str

The path to the configuration file, usually named initiator.cfg.
password : str

The password required for login.

Return Value

bool : True if successfully connected, False otherwise.

Example

The following example shows the usage of the connect(cfg_file, password) method:
trader.connect("initiator.cfg", "password")

disconnect()

This method disconnects from the server.

Parameters

NA

Return Value

bool : True if successfully disconnected, False otherwise.

Example

The following example shows the usage of the disconnect() method:
trader.disconnect()

isConnected()

This method returns the status of the connection to the server.

Parameters

NA

Return Value

bool : True if there is a stablished connection with the server, False otherwise.

Example

The following example shows the usage of the isConnected() method:
trader.isConnected()

submitOrder(order)

This method submits an order to the server.

Parameters

shift.Order: shift.Order

Return Value

NA

Example

The following example shows the usage of the submitOrder(order) method:
limitBuy = shift.Order(shift.Order.LIMIT_BUY, "AAPL", 1, 10.00)
trader.submitOrder(limitBuy)

submitCancellation(order)

This method converts a limit order into a cancel order, and submits it to the server. Order ID and price are kept the same, and the size of the order is subtracted by its executed size.

Parameters

shift.Order: shift.Order

Return Value

NA

Example

The following example shows the usage of the submitCancellation(order) method:
for order in trader.getWaitingList():
    trader.submitCancellation(order)

getPortfolioSummary()

This method returns the current summary of the portfolio, which consists of the total buying power, total amount of traded shares, and total realized P&L.

Parameters

NA

Return Value

shift.PortfolioSummary : The current portfolio summary, see also shift.PortfolioSummary.

Example

The following example shows the usage of the getPortfolioSummary() method:

print("Buying Power\tTotal Shares\tTotal P&L\tTimestamp")
print("%12.2f\t%12d\t%9.2f\t%26s" % (trader.getPortfolioSummary().getTotalBP(),
                                     trader.getPortfolioSummary().getTotalShares(),
                                     trader.getPortfolioSummary().getTotalRealizedPL(),
                                     trader.getPortfolioSummary().getTimestamp()))
Buying Power	Total Shares	Total P&L	Timestamp
   975810.00	         600	     3.00	2019-02-06 14:12:21.069935

getPortfolioItems()

This method returns the items in the portfolio, the items are in the form of a dictionary with keys as symbol and corresponding traded price, amount of traded shares, and realized P&L.

Parameters

NA

Return Value

Dict[str, shift.PortfolioItem] : The current portfolio items, with tickers as keys to the dictionary, see also shift.PortfolioItem.

Example

The following example shows the usage of the getPortfolioItems() method:

print("Symbol\t\tShares\t\tPrice\t\tP&L\t\tTimestamp")
for item in trader.getPortfolioItems().values():
    print("%6s\t\t%6d\t%9.2f\t%7.2f\t\t%26s" %
          (item.getSymbol(), item.getShares(), item.getPrice(), item.getRealizedPL(), item.getTimestamp()))
Symbol		Shares	    Price	    P&L		Timestamp
  AAPL		  -100	   166.92	   0.00		2019-02-06 14:12:21.069960
   XOM		  -100	    75.01	   3.00		2019-02-06 14:12:21.068282

getPortfolioItem(symbol)

This method returns an item in the portfolio, given a user provided symbol. The item contains information such as traded price, amount of traded shares, and realized P&L.

Parameters

symbol: str

The symbol of the requested portfolio item.

Return Value

shift.PortfolioItem : The portfolio item for the requested symbol, see also shift.PortfolioItem.

Example

The following example shows the usage of the getPortfolioItem(symbol) method:

item = trader.getPortfolioItem("AAPL")
print("Symbol\t\tShares\t\tPrice\t\tP&L\t\tTimestamp")
print("%6s\t\t%6d\t%9.2f\t%7.2f\t\t%26s" %
      (item.getSymbol(), item.getShares(), item.getPrice(), item.getRealizedPL(), item.getTimestamp()))
Symbol		Shares	    Price	    P&L		Timestamp
  AAPL		  -100	   166.92	   0.00		2019-02-06 14:12:21.069960

getSubmittedOrdersSize()

This method returns the number of orders in the submitted orders list.

Parameters

NA

Return Value

int : Number of orders in the submitted orders list.

Example

The following example shows the usage of the getSubmittedOrdersSize() method:
print("Submitted orders size: %d" % trader.getSubmittedOrdersSize())
Submitted orders size: 9

getSubmittedOrders()

This method returns the submitted orders and their information such as symbol, price, size, type, and id. This list contains all previous submitted orders, both executed or not, but does not include cancellation requests.

Parameters

NA

Return Value

List[shift.Order] : List of submitted orders, see also shift.Order.

Example

The following example shows the usage of the getSubmittedOrders() method:

print("Symbol\t\t\t\t\t Type\t  Price\t\tSize\tID\t\t\t\t\t\t\t\t\t\tTimestamp")
for order in trader.getSubmittedOrders():
    print("%6s\t%21s\t%7.2f\t\t%4d\t%36s\t%26s" %
          (order.symbol, order.type, order.price, order.size, order.id, order.timestamp))
Symbol			 Type	  Price		Size	ID					Timestamp
  AAPL	  OrderType.LIMIT_BUY	  10.00		   1	7a4c180d-eb7d-4b5c-ad8a-811dace2bb80	2019-02-06 14:08:36.910916
  AAPL	  OrderType.LIMIT_BUY	  10.00		  10	fdc63be9-14db-498d-a9aa-2747ac944eb8	2019-02-06 14:08:39.024619
   XOM	  OrderType.LIMIT_BUY	  10.00		  10	0ac9874c-62dd-439d-afc0-c859fb91fb90	2019-02-06 14:08:39.024905
  AAPL	 OrderType.MARKET_BUY	   0.00		   1	d7608d65-1e88-4bee-b554-67369c516db0	2019-02-06 14:10:41.599557
   XOM	 OrderType.MARKET_BUY	   0.00		   1	3552989b-e547-4fa3-88e7-ee6dff3021a2	2019-02-06 14:10:41.599861
  AAPL	OrderType.MARKET_SELL	   0.00		   1	9b8282c0-be5c-4045-b8b2-dcfa02e68488	2019-02-06 14:11:59.011548
   XOM	OrderType.MARKET_SELL	   0.00		   1	52779f1e-35b0-418c-86de-0ead3c87f348	2019-02-06 14:11:59.011790
  AAPL	OrderType.MARKET_SELL	   0.00		   1	854832a7-bad3-49e4-9e86-e8d574ac471e	2019-02-06 14:12:21.016001
   XOM	OrderType.MARKET_SELL	   0.00		   1	1a34cafd-6652-48b7-8808-9e5629e505bf	2019-02-06 14:12:21.017010

getOrder(order_id)

This method returns a previously submitted order, given a user provided order ID.

Parameters

order_id: str

The id of a previously submitted order.

Return Value

shift.Order : The order corresponding to the provided order ID, see also shift.Order.

Example

The following example shows the usage of the getOrder(order_id) method:

order = trader.getOrder("7a4c180d-eb7d-4b5c-ad8a-811dace2bb80")
print("%6s\t%21s\t%7.2f\t\t%4d\t%36s\t%26s" %
      (order.symbol, order.type, order.price, order.size, order.id, order.timestamp))
Symbol			 Type	  Price		Size	ID					Timestamp
  AAPL	  OrderType.LIMIT_BUY	  10.00		   1	7a4c180d-eb7d-4b5c-ad8a-811dace2bb80	2019-02-06 14:08:36.910916

getWaitingListSize()

This method returns the number of orders in the waiting list, in other words the orders which are not being executed yet.

Parameters

NA

Return Value

int : Number of orders in the waiting list.

Example

The following example shows the usage of the getWaitingListSize() method:
print("Waiting list size: %d" % trader.getWaitingListSize())
Waiting list size: 3

getWaitingList()

This method returns orders in the waiting list and their information such as symbol, price, size, type, and id. The list contains all previous submitted orders that are yet to be executed.

Parameters

NA

Return Value

List[shift.Order] : List of orders in the waiting list, see also shift.Order.

Example

The following example shows the usage of the getWaitingList() method:

print("Symbol\t\t\t\t\t Type\t  Price\t\tSize\tID\t\t\t\t\t\t\t\t\t\tTimestamp")
for order in trader.getWaitingList():
    print("%6s\t%21s\t%7.2f\t\t%4d\t%36s\t%26s" %
          (order.symbol, order.type, order.price, order.size, order.id, order.timestamp))
Symbol			 Type	  Price		Size	ID					Timestamp
   XOM	  OrderType.LIMIT_BUY	  10.00		  10	0ac9874c-62dd-439d-afc0-c859fb91fb90	2019-02-06 14:08:39.106050
  AAPL	  OrderType.LIMIT_BUY	  10.00		   1	7a4c180d-eb7d-4b5c-ad8a-811dace2bb80	2019-02-06 14:08:39.106052
  AAPL	  OrderType.LIMIT_BUY	  10.00		  10	fdc63be9-14db-498d-a9aa-2747ac944eb8	2019-02-06 14:08:39.106053

cancelAllPendingOrders()

This method cancels all pending orders (i.e. the current orders in the waiting list).

Parameters

NA

Return Value

NA

Example

The following example shows the usage of the cancelAllPendingOrders() method:
trader.cancelAllPendingOrders()

getClosePrice(symbol, buy, size)

This method returns what would be the closing price of a position if you were to buy/sell (a boolean parameter) a given amount of stocks (size) at the moment of the function call for a given symbol.

Parameters

symbol: str

The symbol of the requested close price.
buy: bool

True if user wants to buy, False if user wants to sell.
size: int

The size of the position to close (1 size = 100 shares).

Return Value

float: The close price for the requested symbol, position side, and size.

Example

The following example shows the usage of the getClosePrice(symbol, buy, size) method:
trader.getClosePrice("AAPL", True, 5)
166.89

getLastPrice(symbol)

This method returns the last traded price for a given symbol. Synchronization with getLastSize(symbol) is not guaranteed.

Parameters

symbol: str

The symbol of the requested last price.

Return Value

float : The last traded price for the requested symbol.

Example

The following example shows the usage of the getLastPrice(symbol) method:
trader.getLastPrice("AAPL")
166.75

getLastSize(symbol)

This method returns the last traded size for a given symbol. Synchronization with getLastPrice(symbol) is not guaranteed.

Parameters

symbol: str

The symbol of the requested last price.

Return Value

int : The last traded size for the requested symbol (1 size = 100 shares).

Example

The following example shows the usage of the getLastSize(symbol) method:
trader.getLastSize("AAPL")
2

getLastTradeTime()

This method returns the time of the last trade in the simulation.

Parameters

NA

Return Value

datetime.datetime : The time of the last trade in the simulation.

Example

The following example shows the usage of the getLastTradeTime() method:
trader.getLastTradeTime()
datetime.datetime(2018, 12, 17, 9, 56, 30)

getBestPrice(symbol)

This method returns a shift.BestPrice object for a given symbol. In other words, it returns the best bid and ask prices and their corresponding volume information.

Parameters

symbol: str

The symbol of the requested best price object.

Return Value

shift.BestPrice : The best price object for the requested symbol, see also shift.BestPrice.

Example

The following example shows the usage of the getBestPrice(symbol) method:
bp = trader.getBestPrice("AAPL")
bp.getBidPrice()
166.64
bp.getBidSize()
28
bp.getAskPrice()
178.68
bp.getAskSize()
12

getOrderBook(symbol, type, max_level=99)

This method is used to get the order book for a corresponding symbol and type.

Parameters

symbol: str

The symbol of the requested order book.
type: shift::OrderBook::Type

The type of the requested order book. The possible values are:
- shift.OrderBookType.GLOBAL_BID
- shift.OrderBookType.GLOBAL_ASK
- shift.OrderBookType.LOCAL_BID
- shift.OrderBookType.LOCAL_ASK
max_level: int

The display length, i.e. the number of top prices that will be returned (default = 99).

Return Value

List[shift.OrderBookEntry] : List of order book entries, see also shift.OrderBookEntry.

Example

The following example shows the usage of the getOrderBook(symbol, type, max_level) method:

print("  Price\t\tSize\t  Dest\t\tTime")
for order in trader.getOrderBook("AAPL", shift.OrderBookType.GLOBAL_BID, 5):
    print("%7.2f\t\t%4d\t%6s\t\t%19s" %
          (order.price, order.size, order.destination, order.time))
 Price		Size	  Dest		Time
168.06		  22	Market		2018-12-17 11:23:06
168.05		  22	Market		2018-12-17 11:21:32
168.04		  18	Market		2018-12-17 11:21:31
168.03		  23	Market		2018-12-17 11:21:31
168.02		  16	Market		2018-12-17 11:21:28

getOrderBookWithDestination(symbol, type)

This method is used to get the order book for a corresponding symbol and type, with routing (destination) information.

Parameters

symbol: str

The symbol of the requested order book.
type: shift::OrderBook::Type

The type of the requested order book. The possible values are:
- shift.OrderBookType.GLOBAL_BID
- shift.OrderBookType.GLOBAL_ASK
- shift.OrderBookType.LOCAL_BID
- shift.OrderBookType.LOCAL_ASK

Return Value

List[shift.OrderBookEntry] : List of order book entries, see also shift.OrderBookEntry.

Example

The following example shows the usage of the getOrderBookWithDestination(symbol, type) method:

print("  Price\t\tSize\t  Dest\t\tTime")
for order in trader.getOrderBookWithDestination("AAPL", shift.OrderBookType.GLOBAL_BID):
    print("%7.2f\t\t%4d\t%6s\t\t%19s" %
          (order.price, order.size, order.destination, order.time))
  Price		Size	  Dest		Time
 168.04		   1	   NAS		2018-12-17 11:24:30
 168.03		   1	   BAT		2018-12-17 11:24:30
 168.03		   1	   PSE		2018-12-17 11:24:30
 168.03		   3	   NAS		2018-12-17 11:24:30
 168.03		   4	   NAS		2018-12-17 11:24:30
 168.03		   2	   PSE		2018-12-17 11:24:30
 168.03		   1	   BAT		2018-12-17 11:24:30
 168.02		   9	   NYS		2018-12-17 11:24:30
 168.02		   3	   NAS		2018-12-17 11:24:30
 168.02		   2	   BAT		2018-12-17 11:24:30
 168.02		   1	   DEA		2018-12-17 11:24:30
 168.02		   2	   DEA		2018-12-17 11:24:30
...

getStockList()

This method returns a list of all current tradable symbols.

Parameters

NA

Return Value

List[str]: List of symbols.

Example

The following example shows the usage of the getStockList() method:

trader.getStockList()
['AAPL','AXP','BA','CAT','CSCO','CVX','DIS','DWDP','GS','HD','IBM','INTC','JNJ','JPM','KO','MCD',
'MMM','MRK','MSFT','NKE','PFE','PG','TRV','UNH','UTX','V','VZ','WBA','WMT','XOM']

requestCompanyNames()

This method requests the download of company names for the current tradable symbols.

Parameters

NA

Return Value

NA

Example

The following example shows the usage of the requestCompanyNames() method
trader.requestCompanyNames()   

getCompanyNames()

This method returns the company names for all the current tradable symbols. A call to requestCompanyNames() is required before using this function.

Parameters

NA

Return Value

Dict[str, str] : Dictionary of symbols as keys and company names as values.

Example

The following example shows the usage of getCompanyNames() method:

trader.getCompanyNames()
{'AAPL': 'Apple Inc.',  
'AXP': 'American Express Company',  
'BA': 'The Boeing Company',  
'CAT': 'Caterpillar Inc.',  
'CSCO': 'Cisco Systems, Inc.',  
'CVX': 'Chevron Corporation',  
'DIS': 'The Walt Disney Company',  
'DWDP': 'DowDuPont Inc.',  
'GS': 'The Goldman Sachs Group, Inc.',  
'HD': 'The Home Depot, Inc.',  
'IBM': 'International Business Machines Corporation',  
'INTC': 'Intel Corporation',  
'JNJ': 'Johnson & Johnson',  
'JPM': 'JPMorgan Chase & Co.',  
'KO': 'The Coca-Cola Company',  
'MCD': "McDonald's Corporation",  
'MMM': '3M Company',  
'MRK': 'Merck & Co., Inc.',  
'MSFT': 'Microsoft Corporation',  
'NKE': 'NIKE, Inc.',  
'PFE': 'Pfizer Inc.',  
'PG': 'The Procter & Gamble Company',  
'TRV': 'The Travelers Companies, Inc.',  
'UNH': 'UnitedHealth Group Incorporated',  
'UTX': 'United Technologies Corporation',  
'V': 'Visa Inc.',  
'VZ': 'Verizon Communications Inc.',  
'WBA': 'Walgreens Boots Alliance, Inc.',  
'WMT': 'Walmart Inc.',  
'XOM': 'Exxon Mobil Corporation'}

getCompanyName(symbol)

This method returns the company name for the requested symbol. A call to requestCompanyNames() is required before using this function.

Parameters

symbol: str

The symbol of the requested company name.

Return Value

str: The company name of the requested symbol.

Example

The following example shows the usage of the getCompanyName(symbol) method
trader.getCompanyName("AAPL")   
'Apple Inc.'  

requestSamplePrices(symbols, sampling_frequency=1, sampling_window=31)

This method creates a separate thread that sample prices for a given list of symbols. These sample prices can then be used to compute statistics.

Parameters

symbols: List[str]

List of requested symbols.
sampling_frequency: float

The sampling frequency, in seconds (default = 1).
sampling_window: int

The sampling window size, i.e. the number of sample prices that will be kept in memory (default = 31).

Return Value

bool : True if request was accepted, False otherwise (it will be refused if all the requested symbols are already being processed by another thread).

Example

The following example shows the usage of the requestSamplePrices(symbols, sampling_frequency, sampling_window) method
trader.requestSamplePrices(["AAPL", "CSCO", "INTC", "MSFT"])

cancelSamplePricesRequest(symbols)

This method cancels all current price sampling processes for the specified symbols.

Parameters

symbols: List[str]

List of symbols for which the user wishes to cancel their price sampling processes.

Return Value

bool : True if successfully cancelled, False otherwise (e.g. there were no processes to cancel).

Example

The following example shows the usage of the cancelSamplePricesRequest(symbols) method:
trader.cancelSamplePricesRequest(["AAPL", "CSCO", "INTC", "MSFT"])

cancelAllSamplePricesRequests()

This method cancels all current price sampling processes.

Parameters

NA

Return Value

bool : True if successfully cancelled, False otherwise (e.g. there were no processes to cancel).

Example

The following example shows the usage of the cancelAllSamplePricesRequests() method:
trader.cancelAllSamplePricesRequests()  

getSamplePricesSize(symbol)

This method returns the number of prices currently sampled for the requested symbol. A call to requestSamplePrices(symbols, samplingFrequency, samplingWindow) is required before using this function. The result will not exceed the samplingWindow size of the sample prices request.

Parameters

symbol: str

The symbol of the requested sample prices size.

Return Value

int : Number of prices currently sampled for the requested symbol. It will not exceed the samplingWindow size of the sample prices request.

Example

The following example shows the usage of the getSamplePricesSize(symbol) method:
trader.getSamplePricesSize("AAPL")  
31

getSamplePrices(symbol, mid_prices=False)

This method returns all current sampled prices for the requested symbol. A call to requestSamplePrices(symbols, samplingFrequency, samplingWindow) is required before using this function.

Parameters

symbol: str

The symbol of the requested sample prices.
mid_prices: bool

True for mid prices, False for last prices (default = False).

Return Value

List[float] : List of sample prices.

Example

The following example shows the usage of the getSamplePrices(symbol, mid_prices) method:
trader.getSamplePrices("AAPL")
[166.19, 166.19, 166.19, 166.2, 166.19, 166.18, 166.15, 166.15, 166.12, 166.13, 166.08, 166.08, 166.06, 166.06..

getLogReturnsSize(symbol)

This method returns the number of log returns currently sampled for the requested symbol. A call to requestSamplePrices(symbols, samplingFrequency, samplingWindow) is required before using this function. The result will not exceed the samplingWindow size of the sample prices request, minus 1.

Parameters

symbol: str

The symbol of the requested sample log returns size.

Return Value

int : Number of log returns currently sampled for the requested symbol. It will not exceed the samplingWindow size of the sample prices request, minus 1.

Example

The following example shows the usage of the getLogReturnsSize(symbol) method
trader.getLogReturnsSize("AAPL")  
30

getLogReturns(symbol, mid_prices=False)

This method returns all current sampled log returns for the requested symbol. A call to requestSamplePrices(symbols, samplingFrequency, samplingWindow) is required before using this function.

Parameters

symbol: str

The symbol of the requested sample log returns.
mid_prices: bool

True for using mid prices to compute log returns, False for using last prices (default = False).

Return Value

List[float] : List of sample log returns.

Example

The following example shows the usage of the getLogReturns(symbol, mid_prices) method:
trader.getLogReturns("AAPL")
[0.0001205182285284323, 0.0, -0.00030132280940353695, 0.00012054001943262449, 0.0, -0.000241094570513134..

subOrderBook(symbol)

This method subscribes to the order book data stream of the requested symbol.

Parameters

symbol: str

The symbol of the order book subscribe request.

Return Value

bool : True if subscription request was accepted, False otherwise (it will be refused if the symbol is already subscribed).

Example

The following example shows the usage of the subOrderBook(symbol) method:
trader.subOrderBook("AAPL")

unsubOrderBook(symbol)

This method unsubscribes to the order book data stream of the requested symbol.

Parameters

symbol: str

The symbol of the order book unsubscribe request.

Return Value

bool : True if unsubscription request was accepted, False otherwise (it will be refused if the symbol is already unsubscribed).

Example

The following example shows the usage of the unsubOrderBook(symbol) method:
trader.unsubOrderBook("AAPL")

subAllOrderBook()

This method subscribes to all order book data streams.

Parameters

NA

Return Value

bool : True if subscription request was accepted, False otherwise (it will be refused if tall requested symbols are already subscribed).

Example

The following example shows the usage of the subAllOrderBook() method:
trader.subAllOrderBook()

unsubAllOrderBook()

This method unsubscribes from all order book data streams.

Parameters

NA

Return Value

bool : True if unsubscription request was accepted, False otherwise (it will be refused if all requested symbols are already unsubscribed).

Example

The following example shows the usage of the unsubAllOrderBook() method:
trader.unsubAllOrderBook()

getSubscribedOrderBookList()

This method returns the list of all symbols for which an order book data stream subscription is active.

Parameters

NA

Return Value

List[str] : List of all symbols for which an order book data stream subscription is active.

Example

The following example shows the usage of the getSubscribedOrderBookList() method:
trader.getSubscribedOrderBookList()

Overview

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