Alpaca multi leg options and tweaks#702
Alpaca multi leg options and tweaks#702GrizzlyEnglish wants to merge 11 commits intoLumiwealth:devfrom
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GrizzlyEnglish
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A few things need to be updated to use existing functions for handling Options Symbols. Also, "legs" don't seem to be working correctly.
lumibot/brokers/alpaca.py
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| else: | ||
| # Submit each order | ||
| for order in orders: | ||
| self._submit_order(order) |
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_submit_order() returns an order object with the Identifier filled in. This is "usually" the same as the order object passed in, but it is an important thing to track so that the proper items get passed to lifecycle methods like "on_new_order()" or "on_filled_order()" later. Please collect all of the orders passed back by _submit_order() and return them as well.
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I think I got this as well, I take the newly submitted orders and return those, rather than the passed in orders
lumibot/brokers/alpaca.py
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| "stop_price": str(order.stop_price) if order.stop_price else None, | ||
| "trail_price": str(order.trail_price) if order.trail_price else None, | ||
| "trail_percent": order.trail_percent, | ||
| "legs": order.legs |
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The only place that I can see where "legs" was ever set was in the other submit function "_submit_multileg_order()". It seems like this will never be valid at this point in time and that child_orders should be referenced instead to build out the required legs.
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I commented on the other, but the same thing applies here. As I understand alpacapy wants the legs in the order submission, not as an array of orders. I could be wrong though
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All of that is fine, you do have to Send it to Alpaca in the legs format it expects. However, you don't need to Store it in the order as "order.legs". This is because the structure of "legs" is different for each broker and it can be confusing months from now if there are updates that need to be made. I just think that "legs" should just live inside the alpaca.py file and not be a generic item in Order. Whenever a legs item is needed, it can just be created on the fly from order.child_orders (and each other broker can do the same thing for their own legs format)
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Yeah I am with you almost got it.
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Ok should all be fixed. Added tests for spread and condor
Moved to child ordres. Let me know what you think. I am opening it for real I think its good.
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Review by Korbit AI
Korbit automatically attempts to detect when you fix issues in new commits.
| Category | Issue | Fix Detected |
|---|---|---|
 |
Sequential Order Submission ▹ view |
Files scanned
| File Path | Reviewed |
|---|---|
| lumibot/data_sources/alpaca_data.py | ✅ |
| lumibot/brokers/alpaca.py | ✅ |
| lumibot/entities/order.py | ✅ |
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| for order in orders: | ||
| submittted_order = self._submit_order(order) | ||
| submittted_orders.append(submittted_order) |
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Sequential Order Submission 
Tell me more
What is the issue?
Orders are submitted sequentially in a loop, which could be slow for large batches of orders.
Why this matters
Sequential order submission increases total execution time and could cause delays in high-frequency trading scenarios.
Suggested change ∙ Feature Preview
Implement concurrent order submission using asyncio:
async def _submit_orders_concurrent(self, orders):
tasks = [self._submit_order(order) for order in orders]
return await asyncio.gather(*tasks)
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Description by Korbit AI
What change is being made?
Enhance the Alpaca broker integration by adding support for multi-leg options orders, refining options symbol parsing, and updating order management logic.
Why are these changes being made?
These changes aim to expand the trading capabilities by including complex options strategies, address issues with options symbol handling, and improve the order submission process to align with current Alpaca functionalities. By introducing multi-leg order support and updating the parser for options symbols, the PR ensures better handling of options-related transactions and aligns with the latest Alpaca API updates.