INNER CODE UNIT · Python
on_hedge_filled_message
keanekwa/Optiver-Ready-Trader-Go · arbitrage.py:37
def on_hedge_filled_message(self, client_order_id: int, price: int, volume: int) -> None:
"""Called when one of your hedge orders is filled.
The price is the average price at which the order was (partially) filled,
which may be better than the order's limit price. The volume is
the number of lots filled at that price.
"""
self.logger.info("received hedge filled for order %d with average price %d and volume %d", client_order_id,
price, volume)
def on_order_book_update_message(self, instrument: int, sequence_number: int, ask_prices: List[int],
ask_volumes: List[int], bid_prices: List[int], bid_volumes: List[int]) -> None:
"""Called periodically to report the status of an order book.
The sequence number can be used to detect missed or out-of-order
messages. The five best available ask (i.e. sell) and bid (i.e. buy)
prices are reported along with the volume available at each of those
price levels.