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Accounts Specific to Orders

foundations.png
Summary: Learn about accounts specific to the context of orders. On this page: Rate, Actual Rate, Size, Percentage Filled, Fees Paid, and Lock.
Rate
Foundations->Node->Rate->Definition
rate.png
Rate is the rate at which the order is placed.
Foundations->Node->Rate->Content
By default, it is the rate at the close of the last candle at the moment the order is placed. All market orders have the default rate value.
In the case of limit orders, it is the rate as specified by the formula under the order rate node. If no such definition exists, then limit orders use the default value as well.
The rate is used by the system for all internal calculations affecting the accounts kept in both assets.
Actual Rate
Foundations->Node->Actual Rate->Definition
actual-rate.png
Actual rate is the number reported by the exchange as the rate at which an order was filled.
Foundations->Node->Actual Rate->Content
When the system consults the status of open orders with the exchange, the exchange responds with the size filled and the actual rate for the particular order. In case an order is filled incrementally, the value is updated accordingly.
The system uses the actual rate to update the calculation of balances, which are otherwise calculated with the original rate, by default.
Size
Foundations->Node->Size->Definition
size.png
Size is the size set for the order through a combination of formulas and configurations defined in the trading system, and is the value passed on to the exchange as the size of the order.
Foundations->Node->Size->Content
The system provides a flexible and robust infrastructure to control execution. The size of a single order results from the combination of multiple settings.
  • The target size in base asset or target size in quoted asset: The formulas under these nodes define the absolute maximum size allowed for the position. The implications of using one or the other are explained under the initial targets node in the open stage.
  • The configuration of the execution algorithm: The parameter percentageOfStageTargetSize determines what fraction of the target size the algorithm will attempt to execute.
  • The configuration of the order: The parameter percentageOfAlgorithmSize determines what fraction of the size handled by the algorithm the order shall be constrained to.
Percentage Filled
Foundations->Node->Percentage Filled->Definition
percentage-filled.png
Percentage filled represents the portion of the order that has been filled, expressed as a percentage.
Foundations->Node->Percentage Filled->Content
The formula: 
 percentage filled = size filled * 100 / size
Fees Paid
Foundations->Node->Fees Paid->Definition
fees-paid.png
Fees paid is the amount paid in fees.
Foundations->Node->Fees Paid->Content
The exchange does not explicitly indicate how much has been paid in fees for a given transaction. Instead, when Superalgos verifies if an order has been filled or not, the exchange reports the size filled and the actual rate only.
Exchanges deduct fees from the asset you are receiving. For instance, if you are selling BTC in the BTC-USDT market, then you are receiving USDT, and the exchange will deduct the fees directly from the amount of USDT you are receiving.
Lock
Foundations->Node->Lock->Definition
lock.png
Lock is an internal mechanism that blocks the data structure of the order at the trading engine when the definition of the order at the trading system disallows spawning multiple orders.
Foundations->Node->Lock->Content
Possible values for lock are open and closed.
The moment an order is closed, the system checks the spawnMultipleOrders parameter at the order's configuration in the trading system. If the value is false, the system sets the lock to closed so that the data structure may not be used again during the same position.
At the moment of opening an order, the system checks the spawnMultipleOrders parameter at the order's configuration in the trading system. If the value is false, the system checks the value of the lock. If the value is open, then it may create the order; if it is closed then the order may not be created.
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Accounts Specific to the Open and Close Stages
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Market Data

Trading Engine — TOC

You just read page 13 in the topic.

1. Trading Engine Hierarchy

2. Monitoring Runtime Data

3. Trading Bot Output

4. Temporal Context - Current and Last

5. Conceptual Context - Episode, Strategy, Position, Strategy Stages

6. Base Asset and Quoted Asset

7. Counters

8. Statistics

9. Distance-To-Trading-Events

10. Balances

11. Common Metrics - Hits, Fails, Hit Ratio, Profit Loss, ROI, Annualized Rate of Return

12. Accounts Specific to the Open and Close Stages

13. Accounts Specific to Orders

14. Market Data

15. Identity and Status