def clear_queue(context, data):
"""
Every minute, attempts to take any stocks that were not able to trade and
tries again. The first time it will show details about stock, and every 5
minutes thereafter it will log what is left in the trade queue.
"""
if context.rebalance_complete:
if bool(context.trade_queue):
LOG.info('Attempting to clear trading queue')
remove_queue_list = []
for security, amount in context.trade_queue.items():
if data.can_trade(security):
order_target_pct(security.symbol, amount, 'market')
remove_queue_list.append(security)
else:
if context.clear_queue_run == 0:
LOG.warning('{} is not able to trade'.format(security.symbol))
LOG.info('Asset info: {}'.format(API.get_asset(security.symbol)))
for security in remove_queue_list:
del context.trade_queue[security]
context.clear_queue_run += 1
if bool(context.trade_queue):
if context.clear_queue_run % 5 == 0:
LOG.info('Items remaining in trade queue: {}'.format(context.trade_queue))
else:
LOG.info('Trade queue is now empty')
def clear_queue(context, data):
if context.rebalance_complete:
if bool(context.trade_queue):
log.info('Attempting to clear trading queue')
remove_queue_list = []
for security, amount in context.trade_queue.items():
if data.can_trade(security):
order_target_pct(security.symbol, amount, 'market')
remove_queue_list.append(security)
else:
if context.clear_queue_run == 0:
log.warning('{} is not able to trade'.format(
security.symbol))
asset_info = api.get_asset(security.symbol)
log.info('Asset info: {}'.format(asset_info))
for security in remove_queue_list:
del context.trade_queue[security]
context.clear_queue_run += 1
if bool(context.trade_queue):
if context.clear_queue_run % 5 == 0:
log.info('Items remaining in trade queue: {}'.format(
context.trade_queue))
else:
log.info('Trade queue is now empty')
def rebalance(context, data):
"""
The execution module that checks the status of volatility to determine what
to trade and then places orders. Includes a feature to determine whether a
circuit breaker has been hit.
"""
if context.ndays % context.idays == 0 or context.vol_threshold_hit:
if context.str_weight == 1:
LOG.info('Rebalancing existing positions')
not_tradeable_count = 0
for security in context.portfolio.positions:
if security not in context.longs and security not in context.shorts:
if data.can_trade(security):
order_target_pct(security.symbol, 0.0, 'market')
else:
not_tradeable_count += 1
LOG.warning('{} is not able to trade'.format(security.symbol))
context.trade_queue[security] = 0.0
LOG.info('Rebalancing existing positions complete!')
# Check circuit breaker
if not_tradeable_count/30 > 0.75:
LOG.info('Circuit breaker may have been hit')
LOG.info('Buying new long positions')
for security in context.longs:
if data.can_trade(security):
order_target_pct(security.symbol, context.long_weight, 'market')
else:
LOG.warning('{} is not able to trade'.format(security.symbol))
context.trade_queue[security] = context.long_weight
LOG.info('Buying new long positions complete!')
LOG.info('Selling new short positions')
for security in context.shorts:
if data.can_trade(security):
order_target_pct(security.symbol, context.short_weight, 'market')
else:
LOG.warning('{} is not able to trade'.format(security.symbol))
context.trade_queue[security] = context.short_weight
LOG.info('Selling new short positions complete!')
LOG.info('Trading complete!')
context.rebalance_complete = True
else:
for security in context.portfolio.positions:
if security.symbol not in context.SPY.symbol:
if data.can_trade(security):
order_target_pct(security.symbol, 0.0, 'market')
else:
LOG.warning('{} is not able to trade'.format(security.symbol))
context.trade_queue[symbol] = 0.0
order_target_pct(context.SPY, context.spyleverage, 'market')
context.ndays += 1
LOG.info('Ndays = {}'.format(context.ndays))
def rebalance(context, data):
if context.ndays % context.idays == 0:
if context.str_weight == 1:
# Place trades
log.info('Rebalancing existing positions')
not_tradeable_count = 0
for security in context.portfolio.positions:
if security not in context.longs and security not in context.shorts:
if data.can_trade(security):
order_target_pct(security.symbol, 0.0, 'market')
else:
not_tradeable_count += 1
log.warning('{} is not able to trade'.format(
security.symbol))
context.trade_queue[security] = 0.0
log.info('Rebalancing existing positions complete!')
# Check circuit breaker
if not_tradeable_count / 30 > 0.75:
log.info('Circuit breaker may have been hit')
log.info('Buying new long positions')
for security in context.longs:
if data.can_trade(security):
order_target_pct(security.symbol, context.long_weight,
'market')
else:
log.warning('{} is not able to trade'.format(
security.symbol))
context.trade_queue[security] = context.long_weight
log.info('Buying new long positions complete!')
log.info('Selling new short positions')
for security in context.shorts:
if data.can_trade(security):
order_target_pct(security.symbol, context.short_weight,
'market')
else:
log.warning('{} is not able to trade'.format(
security.symbol))
context.trade_queue[security] = context.short_weight
log.info('Selling new short positions complete!')
log.info('Trading complete!')
context.rebalance_complete = True
else:
for security in context.portfolio.positions:
if security not in context.SPY:
if data.can_trade(security):
order_target_pct(security.symbol, 0.0, 'market')
else:
not_tradeable_count += 1
log.warning('{} is not able to trade'.format(
security.symbol))
context.trade_queue[security] = 0.0
order_target_pct(context.SPY, context.spyleverage, 'market')
context.ndays += 1
def rebalance(context, data):
if context.ndays % context.idays == 0:
if context.str_weight == 1:
pdf = context.preds_df
# Remove stocks with trade restrictions and non-shortable stocks for short selection
assets = api.list_assets()
asset_dict = {}
for i in range(len(assets)):
asset_dict.update({assets[i].symbol: assets[i].easy_to_borrow})
pdf['etb'] = pdf['symbol'].map(asset_dict)
pdf = pdf[~pdf['symbol'].isin(context.combined_restrictions)]
pdf_short = pdf[pdf.etb == True]
# Select securities for long and short
longs = pdf['preds'].nlargest(context.num_longs)
shorts = pdf_short['preds'].nsmallest(context.num_shorts)
# Select and log stocks to trade
context.longs = longs.index.tolist()
context.shorts = shorts.index.tolist()
log.info('longs: {}'.format(context.longs))
log.info('Shorts: {}'.format(context.shorts))
log.info('Portfolio positions: {}'.format(
context.portfolio.positions))
# Place trades
log.info('Rebalancing existing positions')
not_tradeable_count = 0
for security in context.portfolio.positions:
if security not in context.longs and security not in context.shorts:
if data.can_trade(security):
order_target_pct(security.symbol, 0.0, 'market')
else:
not_tradeable_count += 1
log.warning('{} is not able to trade'.format(
security.symbol))
context.trade_queue[security] = 0.0
log.info('Rebalancing existing positions complete!')
# Check circuit breaker
if not_tradeable_count / 30 > 0.75:
log.info('Circuit breaker may have been hit')
log.info('Buying new long positions')
for security in context.longs:
if data.can_trade(security):
order_target_pct(security.symbol, context.long_weight,
'market')
else:
log.warning('{} is not able to trade'.format(
security.symbol))
context.trade_queue[security] = context.long_weight
log.info('Buying new long positions complete!')
log.info('Selling new short positions')
for security in context.shorts:
if data.can_trade(security):
order_target_pct(security.symbol, context.short_weight,
'market')
else:
log.warning('{} is not able to trade'.format(
security.symbol))
context.trade_queue[security] = context.short_weight
log.info('Selling new short positions complete!')
log.info('Trading complete!')
context.rebalance_complete = True
else:
for security in context.portfolio.positions:
if security not in context.SPY:
if data.can_trade(security):
order_target_pct(security.symbol, 0.0, 'market')
else:
not_tradeable_count += 1
log.warning('{} is not able to trade'.format(
security.symbol))
context.trade_queue[security] = 0.0
order_target_pct(context.SPY, context.spyleverage, 'market')
context.ndays += 1