Michael Halls-Moore
127 lines
4.2 KiB
Python
127 lines
4.2 KiB
Python
from copy import deepcopy
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from decimal import Decimal, getcontext, ROUND_HALF_DOWN
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import os
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import pandas as pd
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from qsforex.event.event import OrderEvent
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from qsforex.portfolio.position import Position
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from qsforex.settings import OUTPUT_RESULTS_DIR
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class Portfolio(object):
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def __init__(
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self, ticker, events, home_currency="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.home_currency = home_currency
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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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self.equity = []
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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, position_type, currency_pair, units, ticker
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):
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ps = Position(
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self.home_currency, position_type,
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currency_pair, units, ticker
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)
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self.positions[currency_pair] = ps
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def add_position_units(self, currency_pair, units):
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if currency_pair not in self.positions:
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return False
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else:
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ps = self.positions[currency_pair]
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ps.add_units(units)
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return True
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def remove_position_units(self, currency_pair, units):
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if currency_pair not in self.positions:
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return False
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else:
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ps = self.positions[currency_pair]
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pnl = ps.remove_units(units)
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self.balance += pnl
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return True
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def close_position(self, currency_pair):
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if currency_pair not in self.positions:
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return False
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else:
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ps = self.positions[currency_pair]
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pnl = ps.close_position()
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self.balance += pnl
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del[self.positions[currency_pair]]
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return True
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def append_equity_row(self, time, balance):
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d = {"time": time, "balance": balance}
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self.equity.append(d)
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def output_results(self):
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filename = "equity.csv"
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out_file = os.path.join(OUTPUT_RESULTS_DIR, filename)
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df_equity = pd.DataFrame.from_records(self.equity, index='time')
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df_equity.to_csv(out_file)
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print "Simulation complete and results exported to %s" % filename
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def execute_signal(self, signal_event):
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side = signal_event.side
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currency_pair = signal_event.instrument
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units = int(self.trade_units)
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time = signal_event.time
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# If there is no position, create one
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if currency_pair not in self.positions:
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if side == "buy":
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position_type = "long"
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else:
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position_type = "short"
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self.add_new_position(
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position_type, currency_pair,
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units, self.ticker
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)
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# If a position exists add or remove units
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else:
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ps = self.positions[currency_pair]
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if side == "buy" and ps.position_type == "long":
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add_position_units(currency_pair, units)
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elif side == "sell" and ps.position_type == "long":
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if units == ps.units:
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self.close_position(currency_pair)
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# TODO: Allow units to be added/removed
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elif units < ps.units:
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return
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elif units > ps.units:
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return
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elif side == "buy" and ps.position_type == "short":
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if units == ps.units:
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self.close_position(currency_pair)
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# TODO: Allow units to be added/removed
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elif units < ps.units:
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return
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elif units > ps.units:
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return
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elif side == "sell" and ps.position_type == "short":
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add_position_units(currency_pair, units)
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order = OrderEvent(currency_pair, units, "market", side)
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self.events.put(order)
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print "Balance: %0.2f" % self.balance
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self.append_equity_row(time, self.balance) |