Close position in OMSType.HEDGING

[sidnvy]

Hi

In OMSType.HEDGING strategy, I'd like to place an order on specific side of futures position.
Take Binance for example ( I implemented binance futures api which similar to current nautilus_trader binance spot api).

precondition:

Enabled dualSidePosition on binance.com (which match to Nautilus OMSType.HEDGING mode I think).
Currently hold 2 positions which are 0.01 BTC/USDT LONG and 0.01 BTC/USDT SHORT

problem:

Now I want to close just SHORT position. Normally I will call nautilus_trader.common.factories.OrderFactory limit, market, stop_market, etc... , but none of these factory methods provide the option for side of position, If I buy 0.01 BTC/USDT without specify the "SHORT" position side, it will increase my LONG position by default.

So, how can NautilusTrader handle such situation? Should we consider add this kind of option for order factories?

[cjdsellers]

Hi @sidnvy

You're very close to having that working by the sounds of it. You're correct that this dualSidePosition option is just another term for a hedging account type or OMSType.HEDGING.

We're currently working on docs and so some of this could be much clearer, however something to highlight is that the only responsibility of the OrderFactory is to instantiate orders in an easier way than if you had to pass every parameter into the order classes themselves.

The orders however have no knowledge of positions, even though by consequence they result in changes to positions when executed.

Solution
So what you'd need to do is once you have your desired order from the factory, pass a position_id to the submit_order method in your strategy, along with the order. This is creating a command to submit that order specifically against that position (if it exists). e.g. the Cython definition:

cdef class SubmitOrder(TradingCommand):
    cdef readonly PositionId position_id
    """The position ID associated with the command.\n\n:returns: `PositionId` or ``None``"""
    cdef readonly Order order
    """The order for the command.\n\n:returns: `Order`"""

As you know implementing the Binance Futures integration is an open task for the project, and having a quick look at their API it seems that for the /fapi/v1/order endpoint there is a positionSide param. So in your execution client you'll need to do something like the following:

• When the SubmitOrder command arrives, you'll want to check if there is a position_id on that command.
• If there is then get the position from the cache with self.cache.position(position_id).
• If the position is None then log an error (cannot find position with ID).
• Then use the position.side value to determine what to pass as the positionSide param for the new order endpoint.

This should result in the order being submitted specifically against that position side for that market, and will either add or reduce to that position.

Hope that offers some clues for you. Feel free to continue the discussion and paste any code snippets if you like.

Let me know how it goes!

[sidnvy]

Really appreciate your solution here, now I understand the whole workflow even better!

Btw, I still not clear with PositionSide.FLAT, is that match with Binance One-way Mode or just simply means current position is flat (LONG+SHORT == 0)?

cpdef enum PositionSide:
    FLAT = 1
    LONG = 2
    SHORT = 3

[cjdsellers]

Correct, flat means neither long or short i.e. no position / out of the market.