gavindiaz/qsforex
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

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.

Browse Source
This commit is contained in:
Michael Halls-Moore
2015-04-17 12:34:31 +01:00
parent d9a7444fc2
commit e74777802b
12 changed files with 519 additions and 192 deletions
Download Patch File Download Diff File Expand all files Collapse all files
portfolio/position.py
+20 -9
View File
@@ -3,22 +3,31 @@ from decimal import Decimal, getcontext, ROUND_HALF_DOWN
class Position(object):
def __init__(
self, side, market, units,
exposure, avg_price, cur_price
self, position_type, market,
units, exposure, bid, ask
):
self.side = side
self.position_type = position_type # Long or short
self.market = market
self.units = units
self.exposure = Decimal(str(exposure))
self.avg_price = Decimal(str(avg_price))
self.cur_price = Decimal(str(cur_price))
# Long or short
if self.position_type == "long":
self.avg_price = Decimal(str(ask))
self.cur_price = Decimal(str(bid))
else:
self.avg_price = Decimal(str(bid))
self.cur_price = Decimal(str(ask))
self.profit_base = self.calculate_profit_base(self.exposure)
self.profit_perc = self.calculate_profit_perc(self.exposure)
def calculate_pips(self):
getcontext.prec = 6
mult = Decimal("1")
if self.side == "SHORT":
if self.position_type == "long":
mult = Decimal("1")
elif self.position_type == "short":
mult = Decimal("-1")
return (mult * (self.cur_price - self.avg_price)).quantize(
Decimal("0.00001"), ROUND_HALF_DOWN
@@ -35,8 +44,10 @@ class Position(object):
Decimal("0.00001"), ROUND_HALF_DOWN
)
def update_position_price(self, cur_price, exposure):
self.cur_price = cur_price
def update_position_price(self, bid, ask, exposure):
if self.position_type == "long":
self.cur_price = Decimal(str(bid))
else:
self.cur_price = Decimal(str(ask))
self.profit_base = self.calculate_profit_base(exposure)
self.profit_perc = self.calculate_profit_perc(exposure)