Spread Level Configuration
Spread level parameters define the general execution configuration. See the Leg Configuration to parametrize each leg individually
dir (OrderDir)
Designate your order as buy or sell with the binary enums OrderDir.BUY or OrderDir.SELL
quantity (decimal)
The quantity to execute. The algorithm terminates when each leg i is filled to the nearest lot less than or equal to quantity * quantity_ratio[i]
limit_price (decimal)
The most aggressive price the spread will take or quote at defined as a spread price.
leg1 (LegParams)
leg2 (LegParams)
taking_parameters (TakingParameters)
See TakingParameters
missed_hedge_policy (MissedTakePolicy)
Specify how you want to deal with missed hedges or takes on one leg. Either MissedTakePolicy.Halt to pause the autospreader, or MissedTakePolicy.Continue to ignore and continue
missed_hedge_wait_time (HumanDuration)
Specify a certain amount of time an unfilled hedge waits before your configured MissedTakePolicy triggers
TakingParameters
min_quantity_threshold (decimal, optional)
Minimum quantity needed on the spread quantity for the spread before firing. However, if the remaining spread quantity is below this threshold, the min_quantity_threshold will be ignored so that the spread can submit the remainder of its order
max_fire_quantity (decimal, optional)
Maximum fire/take quantity at once
take_lockout (HumanDuration)
Specify a certain amount of time before another spread-taking order can fire again
from architect_py import (
SpreaderParams,
LegParams,
QuotingParameters,
TakingParameters,
MissedTakePolicy,
OrderDir,
HumanDuration,
)
symbol1 = 'NQ 20251219 CME Future'
symbol2 = 'MNQ 20251219 CME Future'
tp1 = f"{symbol1}/USD"
tp2 = f"{symbol2}/USD"
account = "PAPER:[email protected]"
venue = "CME"
params = SpreaderParams.new(
dir=OrderDir.BUY,
quantity=100,
limit_price=10,
leg1=LegParams.new(
symbol=tp1,
marketdata_venue=venue,
execution_venue=venue,
quantity_ratio=1,
price_multiplier=1,
price_offset=0,
chase_ticks=0,
quoting_parameters=QuotingParameters.new(max_quote_quantity=2),
),
leg2=LegParams.new(
symbol=tp2,
marketdata_venue=venue,
execution_venue=venue,
quantity_ratio=-10,
price_multiplier=-1,
price_offset=0,
chase_ticks=0,
quoting_parameters=QuotingParameters.new(max_quote_quantity=20),
),
taking_parameters=TakingParameters.new(
min_quantity_threshold=None,
max_fire_quantity=None,
take_lockout=None,
),
missed_hedge_policy=MissedTakePolicy.Halt,
missed_hedge_wait_time=HumanDuration('30s'),
)
order = await client.place_algo_order(params=params, account=account)Last updated