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Decimalised the trading engine to be more realistic

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This commit is contained in:
Michael Halls-Moore
2015-03-06 09:57:15 +00:00
parent 30dbcc7bfa
commit 6c77cc1deb
6 changed files with 106 additions and 78 deletions
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portfolio/position.py
+18 -8
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@@ -1,3 +1,6 @@
from decimal import Decimal, getcontext, ROUND_HALF_DOWN
class Position(object):
def __init__(
self, side, market, units,
@@ -6,24 +9,31 @@ class Position(object):
self.side = side
self.market = market
self.units = units
self.exposure = exposure
self.avg_price = avg_price
self.cur_price = cur_price
self.exposure = Decimal(str(exposure))
self.avg_price = Decimal(str(avg_price))
self.cur_price = Decimal(str(cur_price))
self.profit_base = self.calculate_profit_base()
self.profit_perc = self.calculate_profit_perc()
def calculate_pips(self):
mult = 1.0
getcontext.prec = 6
mult = Decimal("1")
if self.side == "SHORT":
mult = -1.0
return mult * (self.cur_price - self.avg_price)
mult = Decimal("-1")
return (mult * (self.cur_price - self.avg_price)).quantize(
Decimal("0.00001"), ROUND_HALF_DOWN
)
def calculate_profit_base(self):
pips = self.calculate_pips()
return pips * self.exposure / self.cur_price
return (pips * self.exposure / self.cur_price).quantize(
Decimal("0.00001"), ROUND_HALF_DOWN
)
def calculate_profit_perc(self):
return self.profit_base / self.exposure * 100.0
return (self.profit_base / self.exposure * Decimal("100.00")).quantize(
Decimal("0.00001"), ROUND_HALF_DOWN
)
def update_position_price(self, cur_price):
self.cur_price = cur_price