def initialize_strategy(dateObejct, symbolObject, startPrice, orderBook=None):
"""
Input:
dateObject
startPrice
symbolObject
strategy to be initialized here.
return
First Orders and parameters set here
"""
stratData = StratDatabaseObject(round(startPrice, -2))
orders = []
orderBook = pd.DataFrame(columns=[
'Date', 'Symbol', 'FuturePrice', 'Type', 'StrikePrice', 'Side',
'Quantity', 'Price', 'Value'
])
orders.append(
OrderObject(symbol=symbolObject.symbol,
optionType='Put',
strikePrice=stratData.actionrange[0],
side='Sell',
quantity=stratData.quantity))
orders.append(
OrderObject(symbol=symbolObject.symbol,
optionType='Call',
strikePrice=stratData.actionrange[1],
side='Sell',
quantity=stratData.quantity))
orderBook = order_log(dateObejct, orders, orderBook, startPrice)
return stratData, orderBook
def initialize_strategy(date,sym,startPrice):
lastactionPrice = 235
actionDif = 10
openPrice= 235
maxspell = 6
stratData = [lastactionPrice,actionDif,openPrice,maxspell]
orders = []
orders.append(OrderObject(symbol = sym,optionType = 'Put',strikePrice = int(lastactionPrice),side = 'Sell',quantity = 1))
orders.append(OrderObject(symbol = sym,optionType = 'Call',strikePrice = int(lastactionPrice),side = 'Sell',quantity = 1))
orderBook = pd.DataFrame(columns = ['Date','Symbol','FuturePrice','Type','StrikePrice','Side','Quantity','Price','Value'])
orderBook = order_log(date,orders,orderBook,startPrice)
return stratData,orderBook
def initialize_strategy(dateObejct, symbolObject, startPrice, orderBook=None):
"""
Input:
dateObject
startPrice
symbolObject
strategy to be initialized here.
return
First Orders and parameters set here
"""
stratData = StratDatabaseObject(round(startPrice, -2))
orders = []
orderBook = pd.DataFrame(columns=[
'Date', 'Symbol', 'FuturePrice', 'Type', 'StrikePrice', 'Side',
'Quantity', 'Price', 'Value'
])
orderBook = order_log(dateObejct, orders, orderBook, startPrice)
return stratData, orderBook
def initialize_strategy(dateObject, symbolObject, startPrice, orderBook=None):
"""
Input:
date
startPrice
symbolObject
strategy to be initialized here.
return
First Orders and parameters set here
"""
stratData = StratDatabaseObject(round(startPrice, -2))
orders = []
try:
len(orderBook) # to check if orderBook exists or not
except:
orderBook = pd.DataFrame(columns=[
'Date', 'Symbol', 'FuturePrice', 'Type', 'StrikePrice', 'Side',
'Quantity', 'Price', 'Value'
])
orders.append(
OrderObject(symbol=symbolObject.symbol,
optionType='Put',
strikePrice=stratData.startPrice,
side='Sell',
quantity=stratData.startQunatity))
orders.append(
OrderObject(symbol=symbolObject.symbol,
optionType='Call',
strikePrice=stratData.startPrice,
side='Sell',
quantity=stratData.startQunatity))
orderBook = order_log(dateObject, orders, orderBook, startPrice)
stratData.quantity = stratData.startQunatity
return stratData, orderBook
for priceObject in test.simulatedPrices[key]:
dateTimeObject = datetime.datetime.strptime(
str(date) + " " + str(priceObject.timeStamp.time()),
'%Y-%m-%d %H:%M:%S')
test.runSimulator(priceObject)
stockPrice = priceObject.futPrice
order, strategyDataBase = strategy(stockPrice,
strategyDataBase, sym)
stringToPrint = str(priceObject.timeStamp.date()) + ', ' + str(
priceObject.timeStamp.time()) + ', ' + str(
priceObject.futPrice) + ', ' + str(
priceObject.optionPrice) + '\n'
f.write(stringToPrint)
priceList.append(stockPrice)
if len(order) > 0:
orderBook = order_log(dateTimeObject, order, orderBook,
stockPrice)
strategyDataBase.dayStart = False
order, strategyDataBase = strategy(stockPrice, strategyDataBase, sym)
orderBook = order_log(dateTimeObject, order, orderBook, stockPrice)
# prevHigh = masterData.loc[i,'High']
# prevLow = masterData.loc[i,'Low']
# strategyDataBase.prevHigh = prevHigh
# strategyDataBase.prevLow = prevLow
expiryPrice = get_price_startEnd(masterData, 'End')
final_trade_book = PnL_log(orderBook, expiryPrice)
sum(final_trade_book['PnL'])
####### Testing #########
#profits_list = [1, 2, 4, 14, 13, 1, 2, -2, -12, 214, 12, -12]