Michael Halls-Moore
112 lines
4.3 KiB
Python
112 lines
4.3 KiB
Python
from decimal import Decimal, getcontext, ROUND_HALF_DOWN
|
|
|
|
|
|
class Position(object):
|
|
def __init__(
|
|
self, home_currency, position_type,
|
|
currency_pair, units, ticker
|
|
):
|
|
self.home_currency = home_currency # Account denomination (e.g. GBP)
|
|
self.position_type = position_type # Long or short
|
|
self.currency_pair = currency_pair # Intended traded currency pair
|
|
self.units = units
|
|
self.ticker = ticker
|
|
self.set_up_currencies()
|
|
self.profit_base = self.calculate_profit_base()
|
|
self.profit_perc = self.calculate_profit_perc()
|
|
|
|
def set_up_currencies(self):
|
|
self.base_currency = self.currency_pair[:3] # For EUR/USD, this is EUR
|
|
self.quote_currency = self.currency_pair[3:] # For EUR/USD, this is USD
|
|
# For EUR/USD, with account denominated in GBP, this is USD/GBP
|
|
self.quote_home_currency_pair = "%s%s" % (self.quote_currency, self.home_currency)
|
|
|
|
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"]))
|
|
else:
|
|
self.avg_price = Decimal(str(ticker_cur["bid"]))
|
|
self.cur_price = Decimal(str(ticker_cur["ask"]))
|
|
|
|
def calculate_pips(self):
|
|
mult = Decimal("1")
|
|
if self.position_type == "long":
|
|
mult = Decimal("1")
|
|
elif self.position_type == "short":
|
|
mult = Decimal("-1")
|
|
pips = (mult * (self.cur_price - self.avg_price)).quantize(
|
|
Decimal("0.00001"), ROUND_HALF_DOWN
|
|
)
|
|
return pips
|
|
|
|
def calculate_profit_base(self):
|
|
pips = self.calculate_pips()
|
|
ticker_qh = self.ticker.prices[self.quote_home_currency_pair]
|
|
if self.position_type == "long":
|
|
qh_close = ticker_qh["bid"]
|
|
else:
|
|
qh_close = ticker_qh["ask"]
|
|
profit = pips * qh_close * self.units
|
|
return profit.quantize(
|
|
Decimal("0.00001"), ROUND_HALF_DOWN
|
|
)
|
|
|
|
def calculate_profit_perc(self):
|
|
return (self.profit_base / self.units * Decimal("100.00")).quantize(
|
|
Decimal("0.00001"), ROUND_HALF_DOWN
|
|
)
|
|
|
|
def update_position_price(self):
|
|
ticker_cur = self.ticker.prices[self.currency_pair]
|
|
if self.position_type == "long":
|
|
self.cur_price = Decimal(str(ticker_cur["bid"]))
|
|
else:
|
|
self.cur_price = Decimal(str(ticker_cur["ask"]))
|
|
self.profit_base = self.calculate_profit_base()
|
|
self.profit_perc = self.calculate_profit_perc()
|
|
|
|
def add_units(self, units):
|
|
cp = self.ticker.prices[self.currency_pair]
|
|
if self.position_type == "long":
|
|
add_price = cp["ask"]
|
|
else:
|
|
add_price = cp["bid"]
|
|
new_total_units = self.units + units
|
|
new_total_cost = self.avg_price*self.units + add_price*units
|
|
self.avg_price = new_total_cost/new_total_units
|
|
self.units = new_total_units
|
|
self.update_position_price()
|
|
|
|
def remove_units(self, units):
|
|
dec_units = Decimal(str(units))
|
|
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"]
|
|
self.units -= dec_units
|
|
self.update_position_price()
|
|
# Calculate PnL
|
|
pnl = self.calculate_pips() * qh_close * dec_units
|
|
getcontext().rounding = ROUND_HALF_DOWN
|
|
return pnl.quantize(Decimal("0.01"))
|
|
|
|
def close_position(self):
|
|
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"]
|
|
self.update_position_price()
|
|
# Calculate PnL
|
|
pnl = self.calculate_pips() * qh_close * self.units
|
|
getcontext().rounding = ROUND_HALF_DOWN
|
|
return pnl.quantize(Decimal("0.01"))
|