def generateNaiveOrder(self, signal):
order = None
symbol = signal.symbol
direction = signal.signalType
mktQuantity = signal.quantity
curQuantity = self.currentPosition[symbol]
orderType = 'MKT'
if direction == 'LONG' and curQuantity == 0:
order = OrderEvent(symbol, orderType, mktQuantity, 1)
if direction == 'SHORT' and curQuantity == 0:
order = OrderEvent(symbol, orderType, mktQuantity, -1)
if direction == 'EXIT' and curQuantity > 0:
order = OrderEvent(symbol, orderType, abs(curQuantity), -1)
if direction == 'EXIT' and curQuantity < 0:
order = OrderEvent(symbol, orderType, abs(curQuantity), 1)
return order
def _processOrders(self):
signals = []
currDTTime = self.current_datetime
currDT = dt.datetime(currDTTime.year, currDTTime.month, currDTTime.day)
cashAmount = self._port.currentHoldings['cash']
for order in self._orderRecords:
cashAmount = max(cashAmount, 1.e-5)
symbol = order['symbol']
quantity = order['quantity']
direction = order['direction']
currValue = self.bars.getLatestBarValue(symbol, 'close')
multiplier = self._port.assets[symbol].multiplier
settle = self._port.assets[symbol].settle
margin = self._port.assets[symbol].margin
# amount available for buy back or sell
if direction == OrderDirection.BUY:
fill_cost = quantity * currValue * multiplier * settle
margin_cost = 0.
elif direction == OrderDirection.BUY_BACK:
fill_cost = 0.
margin_cost = 0.
elif direction == OrderDirection.SELL:
fill_cost = 0.
margin_cost = 0.
elif direction == OrderDirection.SELL_SHORT:
fill_cost = 0.
margin_cost = quantity * currValue * multiplier * margin
maximumCashCost = max(fill_cost, margin_cost)
if maximumCashCost <= cashAmount:
signal = OrderEvent(currDTTime, symbol, "MKT", quantity,
direction)
self._posBook.updatePositionsByOrder(symbol, currDT, quantity,
direction)
signals.append(signal)
cashAmount -= maximumCashCost
elif maximumCashCost > cashAmount:
if direction == OrderDirection.BUY:
self.logger.warning(
"{0}: ${1} cash needed to buy the quantity {2} of {3} "
"is less than available cash ${4}".format(
currDTTime, maximumCashCost, quantity, symbol,
cashAmount))
elif direction == OrderDirection.SELL_SHORT:
self.logger.warning(
"{0}: ${1} cash needed to sell short the quantity {2} of {3} "
"is less than available cash ${4}".format(
currDTTime, maximumCashCost, quantity, symbol,
cashAmount))
# log the signal informations
for signal in signals:
self.logger.info(
"{0}: {1} Order ID: {2} is sent with quantity {3} and direction {4} on symbol {5}"
.format(signal.timeIndex, signal.orderType, signal.orderID,
signal.quantity, signal.direction, signal.symbol))
self.events.put(signal)
def _processOrders(self):
signals = []
currDTTime = self.current_datetime
if isinstance(currDTTime, dt.datetime):
currDT = currDTTime.date()
else:
currDT = currDTTime
cashAmount = max(self._port.currentHoldings['cash'], 1e-5)
for order in self._orderRecords:
symbol = order['symbol']
quantity = order['quantity']
direction = order['direction']
currValue = self.bars.getLatestBarValue(symbol, 'close')
multiplier = self._port.assets[symbol].multiplier
settle = self._port.assets[symbol].settle
margin = self._port.assets[symbol].margin
# amount available for buy back or sell
if direction == 1:
amount = self._posBook.avaliableForTrade(symbol, currDT)[1]
elif direction == -1:
amount = self._posBook.avaliableForTrade(symbol, currDT)[0]
fill_cost = quantity * currValue * multiplier * settle * direction
margin_cost = max(quantity - amount,
0) * currValue * multiplier * margin
maximumCashCost = max(fill_cost, margin_cost)
if maximumCashCost <= cashAmount and (direction == 1
or quantity <= amount):
signal = OrderEvent(currDTTime, symbol, "MKT", quantity,
direction)
self._posBook.updatePositionsByOrder(symbol, currDT, quantity,
direction)
signals.append(signal)
cashAmount -= maximumCashCost
elif maximumCashCost > cashAmount:
if direction == 1:
self.logger.warning(
"{0}: ${1} cash needed to buy the quantity {2} of {3} "
"is less than available cash ${4}".format(
currDTTime, maximumCashCost, quantity, symbol,
cashAmount))
else:
self.logger.warning(
"{0}: ${1} cash needed to sell the quantity {2} of {3} "
"is less than available cash ${4}".format(
currDTTime, maximumCashCost, quantity, symbol,
cashAmount))
else:
self.logger.warning(
"{0}: short disabled {1} quantity need to be sold {2} "
"is less then the available for sell amount {3}".format(
currDTTime, symbol, quantity, amount))
# log the signal informations
for signal in signals:
self.logger.info(
"{0}: {1} Order ID: {2} is sent with quantity {3} and direction {4} on symbol {5}"
.format(signal.timeIndex, signal.orderType, signal.orderID,
signal.quantity, signal.direction, signal.symbol))
self.events.put(signal)