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

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This commit is contained in:
Michael Halls-Moore
2015-07-13 16:30:55 +01:00
parent be9ef2b54f
commit 675412c125
6 changed files with 73 additions and 60 deletions
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portfolio/portfolio.py
+58 -44
View File
@@ -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
+4 -4
View File
@@ -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
+6 -8
View File
@@ -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