DpExchange.Core.Types.OrderLeg (DpExchangeCore v0.3.10)

Copy Markdown View Source

One leg of a multi-leg order.

A spread is one instruction, and the venue treats it as one

A vertical, a straddle, an iron condor: the exchange accepts each as a single order and fills it as a unit or not at all. That is a fact about the venue's semantics, and this interface's job is to carry it across unchanged.

So legs are a field of an order rather than orders of their own, and supports_multi_leg_orders on Capabilities says whether a venue accepts them at all. A venue that does not must refuse rather than decompose: submitting the legs separately sends the exchange something the caller never asked for, and reports back as though it had. That is the substitution this contract exists to prevent — the interface would be describing an operation the venue never performed.

:ratio is not quantity

A leg's size is the order's quantity times this leg's ratio. A 1×2 ratio spread is two legs with ratios 1 and 2, submitted once with a single quantity. Carrying absolute quantities per leg would let them drift out of proportion, which for a spread means it stops being the strategy it was.

:position_effect is not derivable from :side

Buying can open a long or close a short, and the venue needs to know which — some require it, and some price or margin the two differently. nil means the caller did not say and the venue will apply its own default, not that the effect is "open".

Summary

Types

position_effect()
side()
t()

Functions

new(attrs)

Builds a t/0, failing closed if a required field is absent or nil.

Types

position_effect()

@type position_effect() :: :open | :close

side()

@type side() :: :buy | :sell

t()

@type t() :: %DpExchange.Core.Types.OrderLeg{
  instrument_type: atom() | nil,
  position_effect: position_effect() | nil,
  ratio: pos_integer(),
  side: side(),
  symbol: String.t()
}

Functions

new(attrs)

@spec new(keyword() | map()) :: t()

Builds a t/0, failing closed if a required field is absent or nil.

@enforce_keys guards presence, not nil — see DpExchange.Core.Types.Validate.