142 lines
4.7 KiB
Python
142 lines
4.7 KiB
Python
from copy import deepcopy
|
|
from decimal import Decimal, getcontext, ROUND_HALF_DOWN
|
|
|
|
from qsforex.event.event import OrderEvent
|
|
from qsforex.portfolio.position import Position
|
|
|
|
|
|
class Portfolio(object):
|
|
def __init__(
|
|
self, ticker, events, base="GBP", leverage=20,
|
|
equity=Decimal("100000.00"), risk_per_trade=Decimal("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.positions = {}
|
|
|
|
def calc_risk_position_size(self):
|
|
return self.equity * self.risk_per_trade
|
|
|
|
def add_new_position(
|
|
self, position_type, market, units,
|
|
exposure, bid, ask
|
|
):
|
|
ps = Position(
|
|
position_type, market, units,
|
|
exposure, bid, ask
|
|
)
|
|
self.positions[market] = ps
|
|
|
|
def add_position_units(
|
|
self, market, units,
|
|
exposure, bid, ask
|
|
):
|
|
if market not in self.positions:
|
|
return False
|
|
else:
|
|
ps = self.positions[market]
|
|
if ps.position_type == "long":
|
|
add_price = ask
|
|
else:
|
|
add_price = bid
|
|
new_total_units = ps.units + units
|
|
new_total_cost = ps.avg_price*ps.units + add_price*units
|
|
ps.exposure += exposure
|
|
ps.avg_price = new_total_cost/new_total_units
|
|
ps.units = new_total_units
|
|
ps.update_position_price(bid, ask, exposure)
|
|
return True
|
|
|
|
def remove_position_units(
|
|
self, market, units, bid, ask
|
|
):
|
|
if market not in self.positions:
|
|
return False
|
|
else:
|
|
ps = self.positions[market]
|
|
if ps.position_type == "long":
|
|
remove_price = bid
|
|
else:
|
|
remove_price = ask
|
|
ps.units -= units
|
|
exposure = Decimal(str(units))
|
|
ps.exposure -= exposure
|
|
ps.update_position_price(bid, ask, exposure)
|
|
pnl = ps.calculate_pips() * exposure / remove_price
|
|
self.balance += pnl.quantize(Decimal("0.01", ROUND_HALF_DOWN))
|
|
return True
|
|
|
|
def close_position(
|
|
self, market, bid, ask
|
|
):
|
|
if market not in self.positions:
|
|
return False
|
|
else:
|
|
ps = self.positions[market]
|
|
ps.update_position_price(bid, ask, ps.exposure)
|
|
if ps.position_type == "long":
|
|
remove_price = bid
|
|
else:
|
|
remove_price = ask
|
|
pnl = ps.calculate_pips() * ps.exposure / remove_price
|
|
self.balance += pnl.quantize(Decimal("0.01", ROUND_HALF_DOWN))
|
|
del[self.positions[market]]
|
|
return True
|
|
|
|
def execute_signal(self, signal_event):
|
|
side = signal_event.side
|
|
market = signal_event.instrument
|
|
units = int(self.trade_units)
|
|
exposure = Decimal(str(units))
|
|
bid = Decimal(str(self.ticker.cur_bid))
|
|
ask = Decimal(str(self.ticker.cur_ask))
|
|
|
|
# If there is no position, create one
|
|
if market not in self.positions:
|
|
if side == "buy":
|
|
position_type = "long"
|
|
else:
|
|
position_type = "short"
|
|
self.add_new_position(
|
|
position_type, market, units,
|
|
exposure, bid, ask
|
|
)
|
|
|
|
# If a position exists add or remove units
|
|
else:
|
|
ps = self.positions[market]
|
|
|
|
if side == "buy" and ps.position_type == "long":
|
|
add_position_units(market, units, exposure, bid, ask)
|
|
|
|
elif side == "sell" and ps.position_type == "long":
|
|
if units == ps.units:
|
|
self.close_position(market, bid, ask)
|
|
# TODO: Allow units to be added/removed
|
|
elif units < ps.units:
|
|
return
|
|
elif units > ps.units:
|
|
return
|
|
|
|
elif side == "buy" and ps.position_type == "short":
|
|
if units == ps.units:
|
|
self.close_position(market, bid, ask)
|
|
# TODO: Allow units to be added/removed
|
|
elif units < ps.units:
|
|
return
|
|
elif units > ps.units:
|
|
return
|
|
|
|
elif side == "sell" and ps.position_type == "short":
|
|
add_position_units(market, units, exposure, bid, ask)
|
|
|
|
order = OrderEvent(market, units, "market", side)
|
|
self.events.put(order)
|
|
|
|
print "Balance: %0.2f" % self.balance |