class TradeJSON(object):
"""trade JSON interface."""
def __init__(self, container_tasks, types):
self.subjects = {}
self.occurrences = []
self.containers = {}
self.container_tasks = container_tasks
self.types = types
self.portfolio = None
# TODO can't be hardcoded
self.totals = {
'total_operations': 0,
'sale_operations': 0,
'purchase_operations': 0,
'sale_volume': 0,
'purchase_volume': 0,
'total_daytrades': 0
}
def create_subjects(self, data):
"""creates a subject object for all subjects in the json."""
for subject, details in data['subjects'].items():
self.subjects[subject] = {
'object': self.types[details['type']](
name=details['name'],
symbol=subject,
expiration_date=details.get('expiration_date', None),
underlying_assets=details.get('underlying_assets', {})
),
'sales': 0,
'purchases': 0,
'daytrades': 0,
'operations': 0
}
for subject, obj in self.subjects.items():
if obj['object'].underlying_assets:
original_underlying = obj['object'].underlying_assets
underlying_assets = {}
for underlying, ratio in original_underlying.items():
underlying_assets\
[self.subjects[underlying]['object']] = ratio
obj['object'].underlying_assets = underlying_assets
def create_occurrences(self, data):
"""Creates all the occurrences described in the json."""
self.occurrences = []
for occurrence in data['occurrences']:
self.occurrences.append(
self.types[occurrence['type']](
quantity=occurrence['quantity'],
price=occurrence['price'],
date=occurrence['date'],
subject=self.subjects[occurrence['subject']]['object']
)
)
self.totals['total_operations'] += 1
self.subjects[occurrence['subject']]['operations'] += 1
volume = abs(occurrence['quantity'] * occurrence['price'])
if occurrence['quantity'] > 0:
self.totals['purchase_operations'] += 1
self.totals['purchase_volume'] += volume
self.subjects[occurrence['subject']]['purchases'] += 1
else:
self.totals['sale_operations'] += 1
self.totals['sale_volume'] += volume
self.subjects[occurrence['subject']]['sales'] += 1
def create_containers(self):
"""Creates a container for each operation date.
The containers are then filled with the respective operations.
"""
for occurrence in self.occurrences:
if occurrence.date not in self.containers:
self.containers[occurrence.date] = OperationContainer(
operations=[],
tasks=self.container_tasks
)
self.containers[occurrence.date].operations.append(occurrence)
def create_portfolio(self, data):
"""Create a portfolio to store the positions."""
initial_state = {}
for asset_name, asset_state in data['initial state'].items():
initial_state[self.subjects[asset_name]['object']] = asset_state
self.portfolio = Portfolio(state=initial_state)
def accumulate_positions(self):
"""Accumulate each container position on the portoflio."""
for key in sorted(self.containers.keys()):
self.containers[key].fetch_positions()
if 'positions' in self.containers[key].context:
for position_type, position_asset in \
self.containers[key].context['positions'].items():
for asset_symbol, position in position_asset.items():
self.portfolio.accumulate(position)
if position_type == 'daytrades':
self.totals['total_daytrades'] += 1
self.subjects[asset_symbol]['daytrades'] += 1
def get_base_log(self):
"""Get the structure of the return json."""
return {
'totals': {
"sales": {
"volume": self.totals['sale_volume'],
"operations": self.totals['sale_operations']
},
"purchases": {
"volume": self.totals['purchase_volume'],
"operations": self.totals['purchase_operations']
},
"operations": self.totals['total_operations'],
"daytrades": self.totals['total_daytrades'],
'results' : {}
},
'assets': {}
}
def get_states(self):
"""Fill the return json with the log of each accumulator."""
logs = self.get_base_log()
for accumulator in self.portfolio.subjects.values():
if accumulator.subject.symbol not in logs['assets']:
logs['assets'][accumulator.subject.symbol] = {
'totals': {
"sales": self.subjects\
[accumulator.subject.symbol]['sales'],
"purchases": self.subjects\
[accumulator.subject.symbol]['purchases'],
"operations": self.subjects\
[accumulator.subject.symbol]['operations'],
"daytrades": self.subjects\
[accumulator.subject.symbol]['daytrades'],
"results": accumulator.state['results']
},
'states': {}
}
logs['assets'][accumulator.subject.symbol]['states'] = \
accumulator.log
for key in accumulator.state['results'].keys():
if key not in logs['totals']['results']:
logs['totals']['results'][key] = 0
logs['totals']['results'][key] += accumulator.state['results']\
[key]
return logs
def get_trade_results(self, data):
"""json in, json out"""
data = json.loads(data)
# creates an object for all subjects in the json
self.create_subjects(data)
# Get all the occurrences described in the json
self.create_occurrences(data)
# create a Portfolio with the initial state
self.create_portfolio(data)
# Put the operations in containers
self.create_containers()
# Fetch the positions on each container
# and accumulates the positions
self.accumulate_positions()
# get the current log and current state of
# all accumulators
json_output = json.dumps(self.get_states())
return json_output
def create_portfolio(self, data):
"""Create a portfolio to store the positions."""
initial_state = {}
for asset_name, asset_state in data['initial state'].items():
initial_state[self.subjects[asset_name]['object']] = asset_state
self.portfolio = Portfolio(state=initial_state)
