order-execution-patterns

Order Execution Patterns

Advanced order execution algorithms to minimize slippage and optimize fill quality.

TWAP (Time-Weighted Average Price) Execution

import asyncio
from decimal import Decimal
from datetime import datetime, timedelta
from typing import List, Dict

class TWAPExecutor:
    """
    Time-Weighted Average Price execution
    Splits large order evenly over time to minimize market impact
    """

    def __init__(self, exchange_connector):
        self.exchange = exchange_connector
        self.active_executions = {}

    async def execute_twap(
        self,
        symbol: str,
        side: str,  # 'buy' or 'sell'
        total_amount: Decimal,
        duration_minutes: int,
        num_slices: int = None
    ) -> Dict:
        """
        Execute TWAP order

        Args:
            symbol: Trading pair (e.g., 'BTC/USDT')
            side: 'buy' or 'sell'
            total_amount: Total quantity to trade
            duration_minutes: Time window for execution
            num_slices: Number of slices (default: duration_minutes)

        Returns:
            Execution report with fills, average price, slippage
        """
        if num_slices is None:
            num_slices = duration_minutes

        slice_amount = total_amount / num_slices
        interval_seconds = (duration_minutes * 60) / num_slices

        execution_id = f"twap_{symbol}_{datetime.utcnow().timestamp()}"
        self.active_executions[execution_id] = {
            'symbol': symbol,
            'side': side,
            'total_amount': total_amount,
            'fills': [],
            'start_time': datetime.utcnow(),
            'status': 'active'
        }

        logger.info(
            f"Starting TWAP execution: {total_amount} {symbol} "
            f"over {duration_minutes}m in {num_slices} slices"
        )

        try:
            for slice_num in range(num_slices):
                # Get current mid price
                ticker = await self.exchange.fetch_ticker(symbol)
                mid_price = (ticker['bid'] + ticker['ask']) / 2

                # Place limit order at mid price (passive execution)
                order = await self.exchange.create_limit_order(
                    symbol=symbol,
                    side=side,
                    amount=float(slice_amount),
                    price=float(mid_price)
                )

                # Wait for partial fill or timeout
                fill = await self._wait_for_fill(
                    order['id'],
                    timeout_seconds=interval_seconds * 0.8  # 80% of interval
                )

                self.active_executions[execution_id]['fills'].append(fill)

                # If not fully filled, cancel and use market order for remainder
                if fill['filled'] < slice_amount:
                    await self.exchange.cancel_order(order['id'])
                    remainder = slice_amount - fill['filled']

                    if remainder > 0:
                        market_fill = await self.exchange.create_market_order(
                            symbol=symbol,
                            side=side,
                            amount=float(remainder)
                        )
                        self.active_executions[execution_id]['fills'].append(market_fill)

                # Wait until next slice
                if slice_num < num_slices - 1:
                    await asyncio.sleep(interval_seconds)

            # Calculate execution statistics
            report = self._generate_execution_report(execution_id)
            self.active_executions[execution_id]['status'] = 'completed'

            return report

        except Exception as e:
            logger.error(f"TWAP execution failed: {e}")
            self.active_executions[execution_id]['status'] = 'failed'
            raise

    async def _wait_for_fill(
        self,
        order_id: str,
        timeout_seconds: float
    ) -> Dict:
        """Wait for order to fill or timeout"""
        start_time = time.time()

        while time.time() - start_time < timeout_seconds:
            order = await self.exchange.fetch_order(order_id)

            if order['status'] in ['closed', 'filled']:
                return {
                    'filled': Decimal(str(order['filled'])),
                    'price': Decimal(str(order['average'])),
                    'timestamp': order['timestamp']
                }

            await asyncio.sleep(1)

        # Timeout - return partial fill
        order = await self.exchange.fetch_order(order_id)
        return {
            'filled': Decimal(str(order.get('filled', 0))),
            'price': Decimal(str(order.get('average', 0))),
            'timestamp': order['timestamp']
        }