Update order regression fix

wtindall1 · Nov 10, 2024 · c1bddde · c1bddde
1 parent e7226f5
commit c1bddde
Showing 1 changed file with 6 additions and 3 deletions.
diff --git a/Algorithm.Python/UpdateOrderRegressionAlgorithm.py b/Algorithm.Python/UpdateOrderRegressionAlgorithm.py
@@ -81,15 +81,15 @@ def on_data(self, data):
             ticket = self.tickets[-1]
 
             if self.time.day > 8 and self.time.day < 14:
-                if len(ticket.update_requests) == 0 and ticket.status is not OrderStatus.FILLED:
+                if len(ticket.update_requests) == 0 and self.is_open(ticket):
                     self.log("TICKET:: {0}".format(ticket))
                     update_order_fields = UpdateOrderFields()
                     update_order_fields.quantity = ticket.quantity + copysign(self.delta_quantity, self.quantity)
                     update_order_fields.tag = "Change quantity: {0}".format(self.time.day)
                     ticket.update(update_order_fields)
 
             elif self.time.day > 13 and self.time.day < 20:
-                if len(ticket.update_requests) == 1 and ticket.status is not OrderStatus.FILLED:
+                if len(ticket.update_requests) == 1 and self.is_open(ticket):
                     self.log("TICKET:: {0}".format(ticket))
                     update_order_fields = UpdateOrderFields()
                     update_order_fields.limit_price = self.security.price*(1 - copysign(self.limit_percentage_delta, ticket.quantity)) \
@@ -99,7 +99,7 @@ def on_data(self, data):
                     update_order_fields.tag = "Change prices: {0}".format(self.time.day)
                     ticket.update(update_order_fields)
             else:
-                if len(ticket.update_requests) == 2 and ticket.status is not OrderStatus.FILLED:
+                if len(ticket.update_requests) == 2 and self.is_open(ticket):
                     self.log("TICKET:: {0}".format(ticket))
                     ticket.cancel("{0} and is still open!".format(self.time.day))
                     self.log("CANCELLED:: {0}".format(ticket.cancel_request))
@@ -126,3 +126,6 @@ def on_order_event(self, orderEvent):
         else:
             self.log(orderEvent.to_string())
             self.log("TICKET:: {0}".format(ticket))
+
+    def is_open(self, order_ticket):
+        return order_ticket.status not in (OrderStatus.FILLED, OrderStatus.CANCELED, OrderStatus.INVALID)