Modified the Position handling to use long/short instead of buy/sell for side/position_type. Also modified the unit tests for both Portfolio and Position to reflect these changes. Added a basic historical backtesting capability via backtest.py and using CSV tick data for currency pairs.
This commit is contained in:
Michael Halls-Moore
+58
-55
@@ -24,116 +24,119 @@ class Portfolio(object):
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return self.equity * self.risk_per_trade
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def add_new_position(
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self, side, market, units, exposure,
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add_price, remove_price
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self, position_type, market, units,
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exposure, bid, ask
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):
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ps = Position(
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side, market, units, exposure,
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add_price, remove_price
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position_type, market, units,
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exposure, bid, ask
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)
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self.positions[market] = ps
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def add_position_units(
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self, market, units, exposure,
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add_price, remove_price
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self, market, units,
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exposure, bid, ask
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):
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if market not in self.positions:
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return False
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else:
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ps = self.positions[market]
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if ps.position_type == "long":
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add_price = ask
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else:
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add_price = bid
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new_total_units = ps.units + units
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new_total_cost = ps.avg_price*ps.units + add_price*units
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ps.exposure += exposure
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ps.avg_price = new_total_cost/new_total_units
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ps.units = new_total_units
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ps.update_position_price(remove_price, exposure)
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ps.update_position_price(bid, ask, exposure)
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return True
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def remove_position_units(
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self, market, units, remove_price
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self, market, units, bid, ask
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):
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if market not in self.positions:
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return False
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else:
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ps = self.positions[market]
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if ps.position_type == "long":
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remove_price = bid
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else:
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remove_price = ask
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ps.units -= units
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exposure = Decimal(str(units))
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ps.exposure -= exposure
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ps.update_position_price(remove_price, exposure)
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ps.update_position_price(bid, ask, exposure)
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pnl = ps.calculate_pips() * exposure / remove_price
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self.balance += pnl.quantize(Decimal("0.01", ROUND_HALF_DOWN))
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return True
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def close_position(
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self, market, remove_price
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self, market, bid, ask
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):
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if market not in self.positions:
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return False
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else:
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ps = self.positions[market]
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ps.update_position_price(remove_price, ps.exposure)
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ps.update_position_price(bid, ask, ps.exposure)
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if ps.position_type == "long":
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remove_price = bid
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else:
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remove_price = ask
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pnl = ps.calculate_pips() * ps.exposure / remove_price
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self.balance += pnl.quantize(Decimal("0.01", ROUND_HALF_DOWN))
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del[self.positions[market]]
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return True
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def execute_signal(self, signal_event):
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def execute_signal(self, signal_event):
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side = signal_event.side
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market = signal_event.instrument
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units = int(self.trade_units)
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# Check side for correct bid/ask prices
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if side == "buy":
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add_price = Decimal(str(self.ticker.cur_ask))
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remove_price = Decimal(str(self.ticker.cur_bid))
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else:
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add_price = Decimal(str(self.ticker.cur_bid))
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remove_price = Decimal(str(self.ticker.cur_ask))
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exposure = Decimal(str(units))
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bid = Decimal(str(self.ticker.cur_bid))
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ask = Decimal(str(self.ticker.cur_ask))
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# If there is no position, create one
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if market not in self.positions:
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if side == "buy":
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position_type = "long"
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else:
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position_type = "short"
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self.add_new_position(
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side, market, units, exposure,
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add_price, remove_price
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position_type, market, units,
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exposure, bid, ask
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)
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order = OrderEvent(market, units, "market", side)
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self.events.put(order)
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# If a position exists add or remove units
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else:
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ps = self.positions[market]
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# Check if the sides equal
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if side == ps.side:
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# Add to the position
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add_position_units(
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market, units, exposure,
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add_price, remove_price
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)
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else:
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# Check if the units close out the position
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if side == "buy" and ps.position_type == "long":
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add_position_units(market, units, exposure, bid, ask)
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elif side == "sell" and ps.position_type == "long":
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if units == ps.units:
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# Close the position
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self.close_position(market, remove_price)
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order = OrderEvent(market, units, "market", side)
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self.events.put(order)
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self.close_position(market, bid, ask)
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# TODO: Allow units to be added/removed
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elif units < ps.units:
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# Remove from the position
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self.remove_position_units(
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market, units, remove_price
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)
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else: # units > ps.units
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# Close the position and add a new one with
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# additional units of opposite side
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new_units = units - ps.units
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self.close_position(market, remove_price)
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return
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elif units > ps.units:
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return
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elif side == "buy" and ps.position_type == "short":
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if units == ps.units:
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self.close_position(market, bid, ask)
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# TODO: Allow units to be added/removed
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elif units < ps.units:
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return
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elif units > ps.units:
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return
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if side == "buy":
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new_side = "sell"
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else:
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new_side = "buy"
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new_exposure = Decimal(str(units))
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self.add_new_position(
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new_side, market, new_units,
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new_exposure, add_price, remove_price
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)
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elif side == "sell" and ps.position_type == "short":
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add_position_units(market, units, exposure, bid, ask)
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order = OrderEvent(market, units, "market", side)
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self.events.put(order)
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print "Balance: %0.2f" % self.balance
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