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Added remaining trading system around portfolio in order to compare with OANDA.

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This commit is contained in:
Michael Halls-Moore
2015-02-03 13:33:33 +00:00
parent dbc973567a
commit b0b19d603d
13 changed files with 255 additions and 15 deletions
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portfolio/portfolio.py
+23 -15
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@@ -1,20 +1,22 @@
from copy import deepcopy
from position import Position
from qsforex.event.event import OrderEvent
from qsforex.portfolio.position import Position
class Portfolio(object):
def __init__(
self, ticker, base="GBP", leverage=20,
self, ticker, events, base="GBP", leverage=20,
equity=100000.0, risk_per_trade=0.02
):
self.ticker = ticker
self.events = events
self.base = base
self.leverage = leverage
self.equity = equity
self.balance = deepcopy(self.equity)
self.risk_per_trade = risk_per_trade
self.trade_units = self.calc_risk_position_size()
self.trade_units = 100000#self.calc_risk_position_size()
self.positions = {}
def calc_risk_position_size(self):
@@ -76,16 +78,16 @@ class Portfolio(object):
def execute_signal(self, signal_event):
side = signal_event.side
market = signal_event.market
units = self.risk_per_trade
market = signal_event.instrument
units = int(self.trade_units)
# Check side for correct bid/ask prices
if side == "LONG":
add_price = self.ticker.cur_ask
remove_price = self.ticker.cur_bid
else:
add_price = self.ticker.cur_bid
remove_price = self.ticker.cur_ask
#if side == "buy":
add_price = self.ticker.cur_ask
remove_price = self.ticker.cur_bid
#else:
#add_price = self.ticker.cur_bid
#remove_price = self.ticker.cur_ask
exposure = float(units)
# If there is no position, create one
@@ -94,10 +96,13 @@ class Portfolio(object):
side, market, units, exposure,
add_price, remove_price
)
order = OrderEvent(market, units, "market", "buy")
self.events.put(order)
# If a position exists add or remove units
else:
ps = self.positions[market]
# Check if the sides equal
if side == ps[market].side:
if side == ps.side:
# Add to the position
add_position_units(
market, units, exposure,
@@ -108,6 +113,8 @@ class Portfolio(object):
if units == ps.units:
# Close the position
self.close_position(market, remove_price)
order = OrderEvent(market, units, "market", "sell")
self.events.put(order)
elif units < ps.units:
# Remove from the position
self.remove_position_units(
@@ -119,12 +126,13 @@ class Portfolio(object):
new_units = units - ps.units
self.close_position(market, remove_price)
if side == "LONG":
new_side = "SHORT"
if side == "buy":
new_side = "sell"
else:
new_side = "LONG"
new_side = "sell"
new_exposure = float(units)
self.add_new_position(
new_side, market, new_units,
new_exposure, add_price, remove_price
)
print "Balance: %0.2f" % self.balance