Michael Halls-Moore
54 lines
1.8 KiB
Python
54 lines
1.8 KiB
Python
from decimal import Decimal, getcontext, ROUND_HALF_DOWN
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class Position(object):
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def __init__(
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self, position_type, market,
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units, exposure, bid, ask
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):
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self.position_type = position_type # Long or short
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self.market = market
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self.units = units
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self.exposure = Decimal(str(exposure))
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# Long or short
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if self.position_type == "long":
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self.avg_price = Decimal(str(ask))
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self.cur_price = Decimal(str(bid))
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else:
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self.avg_price = Decimal(str(bid))
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self.cur_price = Decimal(str(ask))
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self.profit_base = self.calculate_profit_base(self.exposure)
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self.profit_perc = self.calculate_profit_perc(self.exposure)
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def calculate_pips(self):
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getcontext.prec = 6
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mult = Decimal("1")
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if self.position_type == "long":
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mult = Decimal("1")
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elif self.position_type == "short":
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mult = Decimal("-1")
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return (mult * (self.cur_price - self.avg_price)).quantize(
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Decimal("0.00001"), ROUND_HALF_DOWN
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)
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def calculate_profit_base(self, exposure):
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pips = self.calculate_pips()
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return (pips * exposure / self.cur_price).quantize(
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Decimal("0.00001"), ROUND_HALF_DOWN
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)
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def calculate_profit_perc(self, exposure):
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return (self.profit_base / exposure * Decimal("100.00")).quantize(
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Decimal("0.00001"), ROUND_HALF_DOWN
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)
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def update_position_price(self, bid, ask, exposure):
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if self.position_type == "long":
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self.cur_price = Decimal(str(bid))
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else:
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self.cur_price = Decimal(str(ask))
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self.profit_base = self.calculate_profit_base(exposure)
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self.profit_perc = self.calculate_profit_perc(exposure)
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