Modified the position handling to fix a pricing bug, so that locally handled Portfolio values match those of OANDA (up to slippage).

data/streaming.py

@@ -38,12 +38,13 @@ class StreamingForexPrices(PriceHandler):
 
     def connect_to_stream(self):
         pairs_oanda = ["%s_%s" % (p[:3], p[3:]) for p in self.pairs]
+        pair_list = ",".join(pairs_oanda)
         try:
             requests.packages.urllib3.disable_warnings()
             s = requests.Session()
             url = "https://" + self.domain + "/v1/prices"
             headers = {'Authorization' : 'Bearer ' + self.access_token}
-            params = {'instruments' : pairs_oanda, 'accountId' : self.account_id}
+            params = {'instruments' : pair_list, 'accountId' : self.account_id}
             req = requests.Request('GET', url, headers=headers, params=params)
             pre = req.prepare()
             resp = s.send(pre, stream=True, verify=False)

portfolio/portfolio.py

@@ -126,51 +126,65 @@ class Portfolio(object):
             print(out_line[:-2])
             self.backtest_file.write(out_line)
 
-    def execute_signal(self, signal_event):       
-        side = signal_event.side
-        currency_pair = signal_event.instrument
-        units = int(self.trade_units)
-        time = signal_event.time
-        
-        # If there is no position, create one
-        if currency_pair not in self.positions:
-            if side == "buy":
-                position_type = "long"
+    def execute_signal(self, signal_event):
+        # Check that the prices ticker contains all necessary
+        # currency pairs prior to executing an order
+        execute = True
+        tp = self.ticker.prices
+        for pair in tp:
+            if tp[pair]["ask"] is None or tp[pair]["bid"] is None:
+                execute = False
+
+        # All necessary pricing data is available,
+        # we can execute
+        if execute:
+            side = signal_event.side
+            currency_pair = signal_event.instrument
+            units = int(self.trade_units)
+            time = signal_event.time
+            
+            # If there is no position, create one
+            if currency_pair not in self.positions:
+                if side == "buy":
+                    position_type = "long"
+                else:
+                    position_type = "short"
+                self.add_new_position(
+                    position_type, currency_pair, 
+                    units, self.ticker
+                )
+
+            # If a position exists add or remove units
             else:
-                position_type = "short"
-            self.add_new_position(
-                position_type, currency_pair, 
-                units, self.ticker
-            )
+                ps = self.positions[currency_pair]
 
-        # If a position exists add or remove units
+                if side == "buy" and ps.position_type == "long":
+                    add_position_units(currency_pair, units)
+
+                elif side == "sell" and ps.position_type == "long":
+                    if units == ps.units:
+                        self.close_position(currency_pair)
+                    # TODO: Allow units to be added/removed
+                    elif units < ps.units:
+                        return
+                    elif units > ps.units:
+                        return
+
+                elif side == "buy" and ps.position_type == "short":
+                    if units == ps.units:
+                        self.close_position(currency_pair)
+                    # TODO: Allow units to be added/removed
+                    elif units < ps.units:
+                        return
+                    elif units > ps.units:
+                        return
+                        
+                elif side == "sell" and ps.position_type == "short":
+                    add_position_units(currency_pair, units)
+
+            order = OrderEvent(currency_pair, units, "market", side)
+            self.events.put(order)
+            print("Balance: ", self.balance)
         else:
-            ps = self.positions[currency_pair]
-
-            if side == "buy" and ps.position_type == "long":
-                add_position_units(currency_pair, units)
-
-            elif side == "sell" and ps.position_type == "long":
-                if units == ps.units:
-                    self.close_position(currency_pair)
-                # TODO: Allow units to be added/removed
-                elif units < ps.units:
-                    return
-                elif units > ps.units:
-                    return
-
-            elif side == "buy" and ps.position_type == "short":
-                if units == ps.units:
-                    self.close_position(currency_pair)
-                # TODO: Allow units to be added/removed
-                elif units < ps.units:
-                    return
-                elif units > ps.units:
-                    return
-                    
-            elif side == "sell" and ps.position_type == "short":
-                add_position_units(currency_pair, units)
-
-        order = OrderEvent(currency_pair, units, "market", side)
-        self.events.put(order)
+            print("Unable to execute order as price data was insufficient.")
         

portfolio/portfolio_test.py

@@ -212,7 +212,7 @@ class TestPortfolio(unittest.TestCase):
         )
         self.assertTrue(rpu)
         self.assertEqual(ps.units, Decimal("7000"))
-        self.assertEqual(self.port.balance, Decimal("99988.84"))
+        self.assertEqual(self.port.balance, Decimal("99988.83"))
 
     def test_close_position_long(self):
         position_type = "long"
@@ -265,7 +265,7 @@ class TestPortfolio(unittest.TestCase):
         cp = self.port.close_position(currency_pair)
         self.assertTrue(cp)
         self.assertRaises(ps)  # Key doesn't exist
-        self.assertEqual(self.port.balance, Decimal("100026.64"))
+        self.assertEqual(self.port.balance, Decimal("100026.63"))
 
     def test_close_position_short(self):
         position_type = "short"
@@ -312,13 +312,13 @@ class TestPortfolio(unittest.TestCase):
         )
         self.assertTrue(rpu)
         self.assertEqual(ps.units, Decimal("7000"))
-        self.assertEqual(self.port.balance, Decimal("99988.84"))
+        self.assertEqual(self.port.balance, Decimal("99988.83"))
 
         # Close the position
         cp = self.port.close_position(currency_pair)
         self.assertTrue(cp)
         self.assertRaises(ps)  # Key doesn't exist
-        self.assertEqual(self.port.balance, Decimal("99962.80"))
+        self.assertEqual(self.port.balance, Decimal("99962.77"))
 
 
 if __name__ == "__main__":

portfolio/position.py

@@ -24,7 +24,7 @@ class Position(object):
         ticker_cur = self.ticker.prices[self.currency_pair]
         if self.position_type == "long":
             self.avg_price = Decimal(str(ticker_cur["ask"]))
-            self.cur_price = Decimal(str(ticker_cur["bid"]))
+            self.cur_price = Decimal(str(ticker_cur["bid"]))    
         else:
             self.avg_price = Decimal(str(ticker_cur["bid"]))
             self.cur_price = Decimal(str(ticker_cur["ask"]))
@@ -83,11 +83,11 @@ class Position(object):
         ticker_cp = self.ticker.prices[self.currency_pair]
         ticker_qh = self.ticker.prices[self.quote_home_currency_pair]
         if self.position_type == "long":
-            remove_price = ticker_cp["ask"]
-            qh_close = ticker_qh["bid"]
-        else:
             remove_price = ticker_cp["bid"]
             qh_close = ticker_qh["ask"]
+        else:
+            remove_price = ticker_cp["ask"]
+            qh_close = ticker_qh["bid"]
         self.units -= dec_units
         self.update_position_price()
         # Calculate PnL
@@ -99,11 +99,9 @@ class Position(object):
         ticker_cp = self.ticker.prices[self.currency_pair]
         ticker_qh = self.ticker.prices[self.quote_home_currency_pair]
         if self.position_type == "long":
-            remove_price = ticker_cp["ask"]
-            qh_close = ticker_qh["bid"]
-        else:
-            remove_price = ticker_cp["bid"]
             qh_close = ticker_qh["ask"]
+        else:
+            qh_close = ticker_qh["bid"]
         self.update_position_price()
         # Calculate PnL
         pnl = self.calculate_pips() * qh_close * self.units

strategy/strategy.py

@@ -20,7 +20,7 @@ class TestStrategy(object):
         self.invested = False
 
     def calculate_signals(self, event):
-        if event.type == 'TICK':
+        if event.type == 'TICK' and event.instrument == self.pairs[0]:
             if self.ticks % 5 == 0:
                 if self.invested == False:
                     signal = SignalEvent(self.pairs[0], "market", "buy", event.time)

trading/trading.py

@@ -47,8 +47,8 @@ if __name__ == "__main__":
     events = queue.Queue()
     equity = settings.EQUITY
 
-    # Trade "Cable"
-    pairs = ["GBPUSD"]
+    # Pairs to include in streaming data set
+    pairs = ["EURUSD", "GBPUSD"]
 
     # Create the OANDA market price streaming class
     # making sure to provide authentication commands