139 lines
4.9 KiB
Python
139 lines
4.9 KiB
Python
from copy import deepcopy
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from decimal import Decimal, getcontext, ROUND_HALF_DOWN
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from qsforex.event.event import OrderEvent
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from qsforex.portfolio.position import Position
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class Portfolio(object):
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def __init__(
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self, ticker, events, base="GBP", leverage=20,
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equity=Decimal("100000.00"), risk_per_trade=Decimal("0.02")
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):
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self.ticker = ticker
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self.events = events
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self.base = base
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self.leverage = leverage
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self.equity = equity
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self.balance = deepcopy(self.equity)
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self.risk_per_trade = risk_per_trade
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self.trade_units = self.calc_risk_position_size()
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self.positions = {}
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def calc_risk_position_size(self):
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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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):
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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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)
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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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):
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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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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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return True
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def remove_position_units(
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self, market, units, remove_price
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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.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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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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):
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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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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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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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# If there is no position, create one
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if market not in self.positions:
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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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)
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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 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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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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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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print "Balance: %0.2f" % self.balance |