Add support of stop limit and stop market orders for dYdX #2069

Saransh-Bhandari · 2024-11-22T16:25:18Z

This PR introduces support for Stop Limit and Stop Market order types in the nautilus_trader dYdX adapter. Key updates include:

Added the is_conditional_order flag to identify conditional orders.
Mapped new DYDXOrderStatus.UNTRIGGERED to OrderStatus.ACCEPTED.
Updated _submit_order_single to support STOP_LIMIT and STOP_MARKET order types, including handling trigger_price.
Introduced a new method calculate_conditional_order_trigger_subticks to compute trigger prices in subticks for conditional orders.
Extended the create_order method to include conditional_order_trigger_subticks and trigger_price.

See release notes.

CLAassistant · 2024-11-22T16:25:26Z

All committers have signed the CLA.

davidsblom

Thanks for the PR! Much appreciated. Did you manage to test this with the testnet or production network?

davidsblom · 2024-11-22T16:55:45Z

nautilus_trader/adapters/dydx/execution.py

@@ -1027,7 +1027,7 @@ async def _submit_order_single(self, order) -> None:
            )
            return

-        if dydx_order_tags.is_short_term_order:
+        if dydx_order_tags.is_short_term_order and not dydx_order_tags.is_conditional_order:


Wondering why an additional order tag is required. Can we also use the order type directly?

we can create a condition with order type. but as the structure followed in the code with the order tag we used the same if required we can change it .
please let us know what you suggest.

I thought to keep it simple for users and to have minimal changes between the nautilus api and dydx specific tags. Can also change it in a follow up commit.

davidsblom · 2024-11-22T16:56:56Z

nautilus_trader/adapters/dydx/execution.py

@@ -1071,11 +1078,18 @@ async def _submit_order_single(self, order) -> None:
        }

        price = 0
+        trigger_price = 0


Perhaps merge the latest develop branch into your branch. I've made similar changes too but haven't gotten to thoroughly testing it yet.

yes we merged the develop branch in to ours.
we are currently testing it.

Great! Thanks.

cjdsellers · 2024-12-05T07:01:02Z

Hi @Saransh-Bhandari and @Akshay-deqode

Thanks for the contribution! we just need the CLA signing to be able to merge (see the CLAassistant comment above).

davidsblom · 2024-12-06T06:02:22Z

nautilus_trader/adapters/dydx/execution.py

@@ -1090,7 +1098,10 @@ async def _submit_order_single(self, order: Order) -> None:
        if order.order_type == OrderType.LIMIT:
            price = order.price.as_double()
        elif order.order_type == OrderType.MARKET:
-            price = 0
+            if order.side == OrderSide.BUY:


I think we need to make this more generic. This the explanation from support of dydx:

There are a few possible reasons why the SDK allows setting a price for a market order:

Price slippage protection: By setting a price for a market order, you can limit the potential price slippage. For example, if you set a price of $100 for a market buy order, the order will only be executed if the market price is at or below $100. If the market price is above $100, the order will not be executed.

yes actually I just added this to test if it working or not.
for a fix we can have a oracle price with +- 0.1% (configurable) slippage.

davidsblom · 2024-12-07T07:53:25Z

nautilus_trader/adapters/dydx/grpc/order_builder.py

@@ -240,6 +240,7 @@ def create_order(
        good_til_block: int | None = None,
        good_til_block_time: int | None = None,
        execution: OrderExecution = OrderExecution.DEFAULT,
+        conditional_order_trigger_subticks: int = 0,


I believe conditional_order_trigger_subticks can be removed. It is overwritten by trigger_price.

davidsblom · 2024-12-07T07:54:17Z

nautilus_trader/adapters/dydx/common/common.py

@@ -24,6 +24,7 @@ class DYDXOrderTags(NautilusConfig, frozen=True, repr_omit_defaults=True):

    is_short_term_order: bool = True
    num_blocks_open: int = 20
+    is_conditional_order: bool = False


This flag is probably not necessary. Only checking the order type is more robust if the end user forgets to set this property.

Yes , I feel so ,this can be simplified using the order type only I am updating it accordingly

codspeed-hq · 2024-12-07T16:12:54Z

CodSpeed Performance Report

Merging #2069 will not alter performance

_{Comparing Alfred-hq:master (f978a3b) with develop (865517b)}

Summary

✅ 52 untouched benchmarks

cjdsellers added 30 commits July 31, 2023 11:54

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cjdsellers and others added 3 commits November 4, 2024 03:07

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Add support of stop limit and stop market

b160996

davidsblom reviewed Nov 22, 2024

View reviewed changes

Merge branch 'develop' of https://github.com/Alfred-hq/nautilus_trader

36b2a5e

cjdsellers changed the base branch from master to develop December 5, 2024 06:59

fix: add hotfix for market order

6bbac59

cjdsellers changed the title ~~[WIP] Add support of stop limit and stop market dydx~~ Add support of stop limit and stop market orders for dYdX Dec 6, 2024

davidsblom reviewed Dec 6, 2024

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Merge branch 'develop' into master

9550f4d

davidsblom reviewed Dec 7, 2024

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refactor: update conditional order handling logic

0215bba

davidsblom approved these changes Dec 7, 2024

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Akshay-deqode added 2 commits December 7, 2024 19:29

fix: corrected cancellation logic for stop limit and stop market orders

155979e

chore: apply formatting

f978a3b

cjdsellers merged commit 4fb320b into nautechsystems:develop Dec 7, 2024
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Add support of stop limit and stop market orders for dYdX #2069

Add support of stop limit and stop market orders for dYdX #2069

Saransh-Bhandari commented Nov 22, 2024

CLAassistant commented Nov 22, 2024 •

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codspeed-hq bot commented Dec 7, 2024

Add support of stop limit and stop market orders for dYdX #2069

Add support of stop limit and stop market orders for dYdX #2069

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Saransh-Bhandari commented Nov 22, 2024

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codspeed-hq bot commented Dec 7, 2024

Merging #2069 will not alter performance

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CLAassistant commented Nov 22, 2024 •

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davidsblom Dec 7, 2024 •

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