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Fix generating cancel rejections for dYdX #1982

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merged 1 commit into from
Oct 4, 2024
Merged

Fix generating cancel rejections for dYdX #1982

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20 changes: 11 additions & 9 deletions nautilus_trader/adapters/dydx/execution.py
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Original file line number Diff line number Diff line change
Expand Up @@ -1196,7 +1196,7 @@ async def _cancel_all_orders(self, command: CancelAllOrders) -> None:
client_order_id=order.client_order_id,
)

async def _cancel_short_term_orders(self, orders: list[Order]) -> None:
async def _cancel_short_term_orders(self, orders: list[Order]) -> None: # noqa: C901
"""
Cancel multiple short order terms at once.
"""
Expand Down Expand Up @@ -1260,14 +1260,16 @@ async def _cancel_short_term_orders(self, orders: list[Order]) -> None:
)
if not retry_manager.result:
self._log.error(f"Failed to cancel batch of orders: {retry_manager.message}")
self.generate_order_cancel_rejected(
strategy_id=order.strategy_id,
instrument_id=order.instrument_id,
client_order_id=order.client_order_id,
venue_order_id=order.venue_order_id,
reason=retry_manager.message,
ts_event=self._clock.timestamp_ns(),
)

for order in orders:
self.generate_order_cancel_rejected(
strategy_id=order.strategy_id,
instrument_id=order.instrument_id,
client_order_id=order.client_order_id,
venue_order_id=order.venue_order_id,
reason=retry_manager.message,
ts_event=self._clock.timestamp_ns(),
)

async def _cancel_order_single(
self,
Expand Down
41 changes: 27 additions & 14 deletions nautilus_trader/adapters/dydx/grpc/account.py
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Original file line number Diff line number Diff line change
Expand Up @@ -382,14 +382,22 @@ async def batch_cancel_orders(
"""
Batch cancels orders for a subaccount.

Args:
wallet (Wallet): The wallet to use for signing the transaction.
wallet_address (str): The dYdX wallet address.
subaccount (int): The subaccount number.
short_term_cancels (List[OrderBatch]): List of OrderBatch objects containing the orders to cancel.
good_til_block (int): The last block the short term order cancellations can be executed at.
Parameters
----------
wallet : Wallet
The wallet to use for signing the transaction.
wallet_address : str
The dYdX wallet address.
subaccount : int
The subaccount number.
short_term_cancels : list[OrderBatch]
List of OrderBatch objects containing the orders to cancel.
good_til_block : int
The last block the short term order cancellations can be executed at.

Returns:
Returns
-------
BroadcastTxResponse
The response from the transaction broadcast.

"""
Expand Down Expand Up @@ -419,15 +427,20 @@ async def cancel_order(
"""
Cancel an order.

Args:
----
wallet (Wallet): The wallet to use for signing the transaction.
order_id (OrderId): The ID of the order to cancel.
good_til_block (int, optional): The block number until which the order is valid. Defaults to None.
good_til_block_time (int, optional): The block time until which the order is valid. Defaults to None.
Parameters
----------
wallet : Wallet
The wallet to use for signing the transaction.
order_id : OrderId
The ID of the order to cancel.
good_til_block : int, optional
The block number until which the order is valid. Defaults to None.
good_til_block_time: int, optional
The block time until which the order is valid. Defaults to None.

Returns:
Returns
-------
BroadcastTxResponse
The response from the transaction broadcast.

"""
Expand Down
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