class Controller(object):
def __init__(self, sectorMap,
modelType=None, cash = 1000000, tradeStart=None, compounding = True,
positionsFile=None, equityFile=None, returnsFile=None, summaryFile=None,
parms = None
):
self._runGroups = {}
self._startingCash = cash
self._db = InstrumentDb.Instance()
self._feed = MultiFeed()
self._broker = BacktestingFuturesBroker(cash, self._feed, commission=FuturesCommission(2.50))
show = True
for sec in sectorMap:
for sym in sectorMap[sec]:
self._feed.register_feed(Feed(self._db.get(sym)))
# if desired can instantiate a strategy per symbol - may actually
# want to think about this as a default behavior. The only thing
# impacted is reporting of sector results
# strategySymbols = { sym }
# rgkey = '%s-%s' % (sec, sym)
strategySymbols = sectorMap[sec]
rgkey = sec
if not modelType:
modelType = 'breakout'
strategy = StrategyFactory.create(modelType,
self._feed,
symbols=strategySymbols,
broker=self._broker,
cash=cash,
compounding=compounding,
parms = parms)
self._runGroups[rgkey] = InstrumentedStrategy(strategy)
if show:
show = False
strategy.showParms()
self._trading = False
self._posfile = self.__openFileorNull(positionsFile)
self._equityfile = self.__openFileorNull(equityFile)
self._returnsfile = self.__openFileorNull(returnsFile)
self._summaryfile = self.__openFileorNull(summaryFile)
self._dd = DrawDown()
self._dd.attached(self)
self._positionAlerts = []
def __openFileorNull(self, file_):
if file_:
return open(file_,'w')
else:
return open('/dev/null','w')
def getBroker(self):
return self._broker
def getEquity(self):
return self._broker.getCash()
def drawdown(self):
return self._dd
def net_return(self):
return self._totalProfit / self._startingCash
def get_net_profit(self):
return self._totalProfit
def get_trade_profit(self):
return self._tradeProfit
def get_position_alerts(self):
return self._positionAlerts
def run(self, feedStart, tradeStart, tradeEnd):
# sanity check our parms
assert(feedStart <= tradeStart)
assert(tradeStart <= tradeEnd)
# set each feed cursor to our feedStart
for sec in self._runGroups:
self._runGroups[sec].feed().set_cursor(feedStart)
# emit bars one datetime at a time
nextDateTime = self._feed.get_next_bars_date()
while nextDateTime != None and nextDateTime < tradeEnd:
if not self._trading:
if nextDateTime >= tradeStart:
self._trading = True
self._handle_trade_start(nextDateTime)
#print 'emitting bars for date %s' % nextDateTime
lastEmitDate = nextDateTime
self._feed.start(last=nextDateTime)
nextDateTime = self._feed.get_next_bars_date()
if self._trading and nextDateTime != None:
self._print_sector_equity(lastEmitDate)
self._dd.beforeOnBars(self)
self._handle_trade_end(lastEmitDate)
def dumpFeed(self, symbol):
feed = self._feed.get_feed(symbol)
of = open('%s.csv' % symbol,'w')
feed.write_csv(of)
of.close()
def writeAllTrades(self, filename):
# get one list with all trades
alltrades = []
for sec in self._runGroups:
alltrades.extend(self._runGroups[sec].trades_analyzer().trade_records())
# now we want to sort this by trade entry
alltrades = sorted(alltrades, key=lambda x: x.getEntryDate())
# want to sum total trade profit for verification purposes
self._tradeProfit = 0.0
file_ = open(filename,'w')
wins = 0
winamt = 0.0
winmargin = 0.0
losemargin = 0.0
# write the header row
file_.write('description,symbol,units,entryDate,entryPrice,exitDate,exitPrice,commissions,profitLoss\n')
for t in alltrades:
self._tradeProfit += t.getNetProfit(0)
profit = t.getNetProfit(0)
file_.write('%s,%s,%d,%s,%f,%s,%f,%0.2f,%0.2f\n' %
(self._db.get(t.getSymbol()).description(),
t.getSymbol(),
t.getTradeSize(),
t.getEntryDate(),
t.getEntryPrice(),
t.getExitDate(),
t.getExitPrice(),
t.getCommissions(),
profit))
if profit > 0.0:
wins += 1
winamt += profit
winmargin += t.getInitialMargin()
else:
losemargin += t.getInitialMargin()
file_.close()
logger.info('Total Trades : %d' % len(alltrades))
logger.info('Total Net Profit: $%0.2f' % self._tradeProfit)
tot_avg = (self._tradeProfit / len(alltrades)) if len(alltrades) else 0.0
logger.info('Total Avg Profit: $%0.2f' % tot_avg)
winrate = wins * 100.0 / len(alltrades) if len(alltrades) else 0.0
logger.info('Winning Trades : %d (%0.1f%%)' % (wins, winrate))
winavg = winamt/ wins if wins else 0.0
winmarg = (winamt * 100.0/winmargin) if winmargin else 0.0
logger.info('Average Winner : $%0.2f (%0.1f%%)' % (winavg, winmarg))
numloss = len(alltrades) - wins
loserate = numloss * 100.0/len(alltrades) if len(alltrades) else 0.0
logger.info('Losing Trades : %d (%0.1f%%)' % (numloss,loserate))
loseavg = (self._tradeProfit - winamt) / numloss if numloss else 0.0
losemarg = (self._tradeProfit - winamt) *100.0/losemargin if losemargin else 0.0
logger.info('Average Loser : $%0.2f (%0.1f%%)' % (loseavg,losemarg))
def writeTSSBTrades(self, filebase):
# get one list with all trades
alltrades = []
for sec in self._runGroups:
alltrades.extend(self._runGroups[sec].trades_analyzer().trade_records())
# now we want to sort this by trade entry
alltrades = sorted(alltrades, key=lambda x: x.getEntryDate())
# want to sum total trade profit for verification purposes
sf = open('%s_short.csv' % filebase,'w')
lf = open('%s_long.csv' % filebase,'w')
# write the header rows
sf.write('Date,Market,Contracts,Points,SCALEDPROFIT,REALPROFIT\n')
lf.write('Date,Market,Contracts,Points,SCALEDPROFIT,REALPROFIT\n')
# write out all the trades that actually occurred
for t in alltrades:
fp = sf if t.getTradeSize() < 0 else lf
fp.write('%s,%s,%d,%0.3f,%0.5f,%0.5f\n' %
(t.getEntryDate().strftime("%Y%m%d"),
t.getSymbol(),
t.getTradeSize(),
t.getExitPrice() - t.getEntryPrice(),
t.getNetProfit(0) / t.getInitialMargin(),
t.getNetProfit(0) / self._startingCash * 100.0))
sf.close()
lf.close()
def writePositionAlerts(self, filename):
wf = open(filename,"w")
wf.write('EntryDate,Symbol,Quantity,Action,ImpliedRisk,StopPrice\n')
alerts = sorted(self._positionAlerts, key=lambda x: x.datetime)
for alert in alerts:
wf.write('%s\n' % alert)
wf.close()
def _handle_trade_start(self, datetime):
self._broker.setCash(self._startingCash)
for sec in self._runGroups:
self._reset_broker(self._runGroups[sec])
self._print_sector_positions(datetime)
def _handle_trade_end(self, datetime):
# by this point we have consumed the entire feed so we need to make
# sure that any existing exit orders are closed. In a corner case
# what can happen is a new trade that will be filled on close in the
# executeSessionClose below. This trade could then hit a stop-loss
# from an earlier price in the day
for sec in self._runGroups:
self._runGroups[sec].strategy().cancelExitOrders()
# first we need new positions to be taken if executed after
# market close on last bar
self.getBroker().executeSessionClose()
# want to report our positions before exiting them
self._print_sector_positions(datetime)
# now we want to grab position information
self._positionAlerts = []
for sec in self._runGroups:
for pos in self._runGroups[sec].strategy().getPositions().itervalues():
# create a 7-tuple: (date, symbol, desc, quantity, action, risk, stop)
entry = pos.getEntryOrder()
self._positionAlerts.append( Alert( entry.getExecutionInfo().getDateTime(),
entry.getInstrument(),
self._db.get(entry.getInstrument()).description(),
entry.getQuantity(),
Order.Action.action_strs[entry.getAction()],
pos.getImpliedRisk(),
self._runGroups[sec].strategy().getCurrentExit(pos) ) )
# exit all positions - this needs to happen before we report final equity and returns
for sec in self._runGroups:
self._runGroups[sec].strategy().exitPositions()
# we must call executeSessionClose once after the call to exitPositions for
# each of our rungroup strategy instances. They executes the market orders
# to close open positions
self.getBroker().executeSessionClose()
self._dd.beforeOnBars(self)
self._print_sector_equity(datetime)
self._print_returns_summary(datetime, final=True)
self._print_sector_returns()
self._posfile.close()
self._equityfile.close()
self._returnsfile.close()
self._summaryfile.close()
def _reset_broker(self, istrat):
'''Resets the equity in the broker to our starting cash position.'''
# this is kind of a kludge but it's nice to be able to sum the trade profits
# and match the equity amounts (from startingCash). We need to adjust the
# starting cash down by the commission required to enter into our initial positions
# since they are counted against us in the trade
entry_commission = istrat.trades_analyzer().reset(istrat.strategy().getBroker().get_last_mark_to_market())
self._broker.setCash(self._broker.getCash() - entry_commission)
def _print_sector_returns(self):
try:
self._returnheader
except:
# means we need to print headers
self._returnheader = True
str_ = 'Name,Long %,Short %,Total %'
self._returnsfile.write('%s\n' % str_)
total_long_profit = 0.0
total_profit = 0.0
str_ = ''
for sec in sorted(self._runGroups):
profit = 0.0
long_profit = 0.0
for trade in self._runGroups[sec].trades_analyzer().trade_records():
profit += trade.getNetProfit(0)
if trade.getTradeSize() > 0:
long_profit += trade.getNetProfit(0)
short_profit = profit - long_profit
str_ = '%s,%0.1f,%0.1f,%0.1f' % \
(sec,
long_profit / self._startingCash * 100.0,
short_profit / self._startingCash * 100.0,
profit / self._startingCash * 100.0)
total_long_profit += long_profit
total_profit += profit
self._returnsfile.write('%s\n' % str_)
total_short_profit = total_profit - total_long_profit
str_ = 'total,%0.1f,%0.1f,%0.1f' % \
(total_long_profit / self._startingCash * 100.0,
total_short_profit / self._startingCash * 100.0,
total_profit / self._startingCash * 100.0)
self._returnsfile.write('%s\n' % str_)
self._totalProfit = total_profit
def _print_returns_summary(self, datetime, final=False):
try:
self._summaryHeader
except:
# means we need to print headers
self._summaryHeader = True
self._sumCurMonth = None
self._sumCurYear = None
str_ = 'Year,Jan,Feb,Mar,Apr,May,Jun,Jul,Aug,Sep,Oct,Nov,Dec,Full Year'
self._summaryfile.write('%s\n' % str_)
if self._sumCurYear != datetime.year or final:
if self._sumCurYear or final:
# this means the year just rolled on us and we have to output a new row
self._sumMonthData[self._sumCurMonth-1] = (self.getEquity() - self._sumMonthStart) / self._sumMonthStart * 100.0
str_ = '%s,' % self._sumCurYear
for r in self._sumMonthData:
str_ = str_ + '%0.1f,' % r
str_ = str_ + '%0.1f' % (((self.getEquity() - self._sumYearStart) / self._sumYearStart) * 100.0)
self._summaryfile.write('%s\n' % str_)
# now reset and get ready for this year
self._sumCurYear = datetime.year
self._sumCurMonth = datetime.month
self._sumMonthData = numpy.zeros(12)
self._sumYearStart = self.getEquity()
self._sumMonthStart = self.getEquity()
elif self._sumCurMonth != datetime.month:
# the month rolled on us so put a new entry in
self._sumMonthData[self._sumCurMonth-1] = (((self.getEquity() - self._sumMonthStart) / self._sumMonthStart)*100.0)
self._sumMonthStart = self.getEquity()
self._sumCurMonth = datetime.month
else:
# nothing to do - just a mid-month data point
pass
def _print_sector_equity(self, datetime):
self._print_returns_summary(datetime)
try:
self._equityheader
except:
# means we need to print headers
self._equityheader = True
str_ = 'Datetime,'
for sec in sorted(self._runGroups):
str_ = str_ + '%s-Equity,%s-Margin,' % (sec,sec)
str_ = str_ + 'Total-Equity,Total-Margin'
self._equityfile.write('%s\n' % str_)
# going to build a row of text for output to the equity report
str_ = '%s,' % datetime
total_equity = 0.0
total_margin = 0.0
for sec in sorted(self._runGroups):
equity = self._runGroups[sec].getEquity()
margin = self._runGroups[sec].calc_margin()
str_ = str_ + '%0.2f,%0.2f,' % (equity,margin)
total_equity += equity
total_margin += margin
str_ = str_ + '%0.2f,%0.2f' % (self.getEquity()-self._startingCash,total_margin)
self._equityfile.write('%s\n' % str_)
def _print_sector_positions(self, datetime):
try:
self._posheader
except:
# means we need to print headers
self._posheader = True
str_ = 'Datetime,'
for sec in sorted(self._runGroups):
str_ = str_ + '%s-Long,%s-Short,' % (sec,sec)
str_ = str_ + 'Total-Long,Total-Short'
self._posfile.write('%s\n' % str_)
# going to build a row of text for output to the positions report
str_ = '%s,' % datetime
total_longs = 0
total_shorts = 0
for sec in sorted(self._runGroups):
longs = 0
shorts = 0
sec_positions = self._runGroups[sec].strategy().getPositions()
for sym in sec_positions:
if sec_positions[sym].isLong():
longs = longs + 1
else:
shorts = shorts + 1
str_ = str_ + '%s,%s,' % (longs, shorts)
total_longs += longs
total_shorts += shorts
# now the totals
str_ = str_ + '%s,%s' % (total_longs, total_shorts)
self._posfile.write('%s\n' % str_)
class Test(unittest.TestCase):
def setUp(self):
manifest = '%s/data/manifest.csv' % os.path.dirname(__file__)
InstrumentDb.Instance().load(manifest)
def tearDown(self):
pass
###########################################################################
## Test a basic long market entry order
def on_bars_1(self,bars):
if not self._placed_markorder:
o = self._broker.createMarketOrder(Order.Action.BUY, 'AC', 100, False)
self._broker.placeOrder(o)
self._placed_markorder = True
else:
# we expect by the next Bar that we own the 100 units of AC
self.assertEqual(self._broker.getPositions()['AC'], 100)
#print 'On date %s, cash = %f' % (bars[bars.keys()[0]]['Datetime'], self._broker.getCash())
def on_order_update_1(self, broker, order):
# 2.215 is open price on day 2 - we expect to execute there
self.assertEqual(order.getExecutionInfo().getPrice(),2.215)
def testMarketOrder(self):
self._placed_markorder = False
mf = MultiFeed()
mf.register_feed(Feed(InstrumentDb.Instance().get('AC')))
self._broker = BacktestingFuturesBroker(1000000, mf)
mf.subscribe(self.on_bars_1)
self._broker.getOrderUpdatedEvent().subscribe(self.on_order_update_1)
mf.start()
self.assertEqual(self._broker.getCash(), 1000015.0)
self.assertEqual(self._broker.calc_margin(), 160000.0)
###########################################################################
## Test a basic long market entry order followed by margin call
def on_bars_2(self,bars):
if not self._placed_markorder:
o = self._broker.createMarketOrder(Order.Action.BUY, 'CT', 500, False)
self._broker.placeOrder(o)
self._placed_markorder = True
else:
# we expect by the next Bar that we own the 100 units of AC
self.assertEqual(self._broker.getPositions()['CT'], 500)
#print 'On date %s, cash = %f' % (bars[bars.keys()[0]]['Datetime'], self._broker.getCash())
def on_order_update_2(self, broker, order):
# 2.215 is open price on day 2 - we expect to execute there
self.assertEqual(order.getExecutionInfo().getPrice(),92.43)
def testMarketOrderMarginCall(self):
self._placed_markorder = False
mf = MultiFeed()
mf.register_feed(Feed(InstrumentDb.Instance().get('CT')))
self._broker = BacktestingFuturesBroker(1000000, mf)
mf.subscribe(self.on_bars_2)
self._broker.getOrderUpdatedEvent().subscribe(self.on_order_update_2)
with self.assertRaisesRegexp(Exception, "Margin Call"):
mf.start()
self.assertAlmostEqual(self._broker.getCash(), 214000.0, places=2)
self.assertEqual(self._broker.calc_margin(), 800000.0)
###########################################################################
## Test a basic short market entry order
def on_bars_3(self,bars):
if not self._placed_markorder:
o = self._broker.createMarketOrder(Order.Action.SELL_SHORT, 'CT', 500, False)
self._broker.placeOrder(o)
self._placed_markorder = True
else:
# we expect by the next Bar that we own the 100 units of AC
self.assertEqual(self._broker.getPositions()['CT'], -500)
#print 'On date %s, cash = %f' % (bars[bars.keys()[0]]['Datetime'], self._broker.getCash())
def on_order_update_3(self, broker, order):
# 2.215 is open price on day 2 - we expect to execute there
self.assertEqual(order.getExecutionInfo().getPrice(),92.43)
def testShortEntry(self):
self._placed_markorder = False
mf = MultiFeed()
mf.register_feed(Feed(InstrumentDb.Instance().get('CT')))
self._broker = BacktestingFuturesBroker(1000000, mf)
mf.subscribe(self.on_bars_3)
self._broker.getOrderUpdatedEvent().subscribe(self.on_order_update_3)
mf.start()
self.assertAlmostEqual(self._broker.getCash(), 1119750.0, places=2)
self.assertEqual(self._broker.calc_margin(), 800000.0)
###########################################################################
## Test a basic short market entry order followed by margin call
def on_bars_4(self,bars):
if not self._placed_markorder:
o = self._broker.createMarketOrder(Order.Action.SELL_SHORT, 'C', 300, False)
self._broker.placeOrder(o)
self._placed_markorder = True
else:
# we expect by the next Bar that we own the 100 units of AC
self.assertEqual(self._broker.getPositions()['C'], -300)
#print 'On date %s, cash = %f' % (bars[bars.keys()[0]]['Datetime'], self._broker.getCash())
def on_order_update_4(self, broker, order):
# 2.215 is open price on day 2 - we expect to execute there
self.assertEqual(order.getExecutionInfo().getPrice(),583.25)
def testShortOrderMarginCall(self):
self._placed_markorder = False
mf = MultiFeed()
mf.register_feed(Feed(InstrumentDb.Instance().get('C')))
self._broker = BacktestingFuturesBroker(1000000, mf)
mf.subscribe(self.on_bars_4)
self._broker.getOrderUpdatedEvent().subscribe(self.on_order_update_4)
with self.assertRaisesRegexp(Exception, "Margin Call"):
mf.start()
self.assertAlmostEqual(self._broker.getCash(), -2352500.0, places=2)
self.assertEqual(self._broker.calc_margin(), 600000.0)
class Controller(object):
def __init__(self,
sectorMap,
modelType=None,
cash=1000000,
tradeStart=None,
compounding=True,
positionsFile=None,
equityFile=None,
returnsFile=None,
summaryFile=None,
parms=None):
self._runGroups = {}
self._startingCash = cash
self._db = InstrumentDb.Instance()
self._feed = MultiFeed()
self._broker = BacktestingFuturesBroker(
cash, self._feed, commission=FuturesCommission(2.50))
show = True
for sec in sectorMap:
for sym in sectorMap[sec]:
self._feed.register_feed(Feed(self._db.get(sym)))
# if desired can instantiate a strategy per symbol - may actually
# want to think about this as a default behavior. The only thing
# impacted is reporting of sector results
# strategySymbols = { sym }
# rgkey = '%s-%s' % (sec, sym)
strategySymbols = sectorMap[sec]
rgkey = sec
if not modelType:
modelType = 'breakout'
strategy = StrategyFactory.create(modelType,
self._feed,
symbols=strategySymbols,
broker=self._broker,
cash=cash,
compounding=compounding,
parms=parms)
self._runGroups[rgkey] = InstrumentedStrategy(strategy)
if show:
show = False
strategy.showParms()
self._trading = False
self._posfile = self.__openFileorNull(positionsFile)
self._equityfile = self.__openFileorNull(equityFile)
self._returnsfile = self.__openFileorNull(returnsFile)
self._summaryfile = self.__openFileorNull(summaryFile)
self._dd = DrawDown()
self._dd.attached(self)
self._positionAlerts = []
def __openFileorNull(self, file_):
if file_:
return open(file_, 'w')
else:
return open('/dev/null', 'w')
def getBroker(self):
return self._broker
def getEquity(self):
return self._broker.getCash()
def drawdown(self):
return self._dd
def net_return(self):
return self._totalProfit / self._startingCash
def get_net_profit(self):
return self._totalProfit
def get_trade_profit(self):
return self._tradeProfit
def get_position_alerts(self):
return self._positionAlerts
def run(self, feedStart, tradeStart, tradeEnd):
# sanity check our parms
assert (feedStart <= tradeStart)
assert (tradeStart <= tradeEnd)
# set each feed cursor to our feedStart
for sec in self._runGroups:
self._runGroups[sec].feed().set_cursor(feedStart)
# emit bars one datetime at a time
nextDateTime = self._feed.get_next_bars_date()
while nextDateTime != None and nextDateTime < tradeEnd:
if not self._trading:
if nextDateTime >= tradeStart:
self._trading = True
self._handle_trade_start(nextDateTime)
#print 'emitting bars for date %s' % nextDateTime
lastEmitDate = nextDateTime
self._feed.start(last=nextDateTime)
nextDateTime = self._feed.get_next_bars_date()
if self._trading and nextDateTime != None:
self._print_sector_equity(lastEmitDate)
self._dd.beforeOnBars(self)
self._handle_trade_end(lastEmitDate)
def dumpFeed(self, symbol):
feed = self._feed.get_feed(symbol)
of = open('%s.csv' % symbol, 'w')
feed.write_csv(of)
of.close()
def writeAllTrades(self, filename):
# get one list with all trades
alltrades = []
for sec in self._runGroups:
alltrades.extend(
self._runGroups[sec].trades_analyzer().trade_records())
# now we want to sort this by trade entry
alltrades = sorted(alltrades, key=lambda x: x.getEntryDate())
# want to sum total trade profit for verification purposes
self._tradeProfit = 0.0
file_ = open(filename, 'w')
wins = 0
winamt = 0.0
winmargin = 0.0
losemargin = 0.0
# write the header row
file_.write(
'description,symbol,units,entryDate,entryPrice,exitDate,exitPrice,commissions,profitLoss\n'
)
for t in alltrades:
self._tradeProfit += t.getNetProfit(0)
profit = t.getNetProfit(0)
file_.write('%s,%s,%d,%s,%f,%s,%f,%0.2f,%0.2f\n' %
(self._db.get(t.getSymbol()).description(),
t.getSymbol(), t.getTradeSize(), t.getEntryDate(),
t.getEntryPrice(), t.getExitDate(), t.getExitPrice(),
t.getCommissions(), profit))
if profit > 0.0:
wins += 1
winamt += profit
winmargin += t.getInitialMargin()
else:
losemargin += t.getInitialMargin()
file_.close()
logger.info('Total Trades : %d' % len(alltrades))
logger.info('Total Net Profit: $%0.2f' % self._tradeProfit)
tot_avg = (self._tradeProfit /
len(alltrades)) if len(alltrades) else 0.0
logger.info('Total Avg Profit: $%0.2f' % tot_avg)
winrate = wins * 100.0 / len(alltrades) if len(alltrades) else 0.0
logger.info('Winning Trades : %d (%0.1f%%)' % (wins, winrate))
winavg = winamt / wins if wins else 0.0
winmarg = (winamt * 100.0 / winmargin) if winmargin else 0.0
logger.info('Average Winner : $%0.2f (%0.1f%%)' % (winavg, winmarg))
numloss = len(alltrades) - wins
loserate = numloss * 100.0 / len(alltrades) if len(alltrades) else 0.0
logger.info('Losing Trades : %d (%0.1f%%)' % (numloss, loserate))
loseavg = (self._tradeProfit - winamt) / numloss if numloss else 0.0
losemarg = (self._tradeProfit -
winamt) * 100.0 / losemargin if losemargin else 0.0
logger.info('Average Loser : $%0.2f (%0.1f%%)' % (loseavg, losemarg))
def writeTSSBTrades(self, filebase):
# get one list with all trades
alltrades = []
for sec in self._runGroups:
alltrades.extend(
self._runGroups[sec].trades_analyzer().trade_records())
# now we want to sort this by trade entry
alltrades = sorted(alltrades, key=lambda x: x.getEntryDate())
# want to sum total trade profit for verification purposes
sf = open('%s_short.csv' % filebase, 'w')
lf = open('%s_long.csv' % filebase, 'w')
# write the header rows
sf.write('Date,Market,Contracts,Points,SCALEDPROFIT,REALPROFIT\n')
lf.write('Date,Market,Contracts,Points,SCALEDPROFIT,REALPROFIT\n')
# write out all the trades that actually occurred
for t in alltrades:
fp = sf if t.getTradeSize() < 0 else lf
fp.write('%s,%s,%d,%0.3f,%0.5f,%0.5f\n' %
(t.getEntryDate().strftime("%Y%m%d"), t.getSymbol(),
t.getTradeSize(), t.getExitPrice() - t.getEntryPrice(),
t.getNetProfit(0) / t.getInitialMargin(),
t.getNetProfit(0) / self._startingCash * 100.0))
sf.close()
lf.close()
def writePositionAlerts(self, filename):
wf = open(filename, "w")
wf.write('EntryDate,Symbol,Quantity,Action,ImpliedRisk,StopPrice\n')
alerts = sorted(self._positionAlerts, key=lambda x: x.datetime)
for alert in alerts:
wf.write('%s\n' % alert)
wf.close()
def _handle_trade_start(self, datetime):
self._broker.setCash(self._startingCash)
for sec in self._runGroups:
self._reset_broker(self._runGroups[sec])
self._print_sector_positions(datetime)
def _handle_trade_end(self, datetime):
# by this point we have consumed the entire feed so we need to make
# sure that any existing exit orders are closed. In a corner case
# what can happen is a new trade that will be filled on close in the
# executeSessionClose below. This trade could then hit a stop-loss
# from an earlier price in the day
for sec in self._runGroups:
self._runGroups[sec].strategy().cancelExitOrders()
# first we need new positions to be taken if executed after
# market close on last bar
self.getBroker().executeSessionClose()
# want to report our positions before exiting them
self._print_sector_positions(datetime)
# now we want to grab position information
self._positionAlerts = []
for sec in self._runGroups:
for pos in self._runGroups[sec].strategy().getPositions(
).itervalues():
# create a 7-tuple: (date, symbol, desc, quantity, action, risk, stop)
entry = pos.getEntryOrder()
self._positionAlerts.append(
Alert(entry.getExecutionInfo().getDateTime(),
entry.getInstrument(),
self._db.get(entry.getInstrument()).description(),
entry.getQuantity(),
Order.Action.action_strs[entry.getAction()],
pos.getImpliedRisk(),
self._runGroups[sec].strategy().getCurrentExit(pos)))
# exit all positions - this needs to happen before we report final equity and returns
for sec in self._runGroups:
self._runGroups[sec].strategy().exitPositions()
# we must call executeSessionClose once after the call to exitPositions for
# each of our rungroup strategy instances. They executes the market orders
# to close open positions
self.getBroker().executeSessionClose()
self._dd.beforeOnBars(self)
self._print_sector_equity(datetime)
self._print_returns_summary(datetime, final=True)
self._print_sector_returns()
self._posfile.close()
self._equityfile.close()
self._returnsfile.close()
self._summaryfile.close()
def _reset_broker(self, istrat):
'''Resets the equity in the broker to our starting cash position.'''
# this is kind of a kludge but it's nice to be able to sum the trade profits
# and match the equity amounts (from startingCash). We need to adjust the
# starting cash down by the commission required to enter into our initial positions
# since they are counted against us in the trade
entry_commission = istrat.trades_analyzer().reset(
istrat.strategy().getBroker().get_last_mark_to_market())
self._broker.setCash(self._broker.getCash() - entry_commission)
def _print_sector_returns(self):
try:
self._returnheader
except:
# means we need to print headers
self._returnheader = True
str_ = 'Name,Long %,Short %,Total %'
self._returnsfile.write('%s\n' % str_)
total_long_profit = 0.0
total_profit = 0.0
str_ = ''
for sec in sorted(self._runGroups):
profit = 0.0
long_profit = 0.0
for trade in self._runGroups[sec].trades_analyzer().trade_records(
):
profit += trade.getNetProfit(0)
if trade.getTradeSize() > 0:
long_profit += trade.getNetProfit(0)
short_profit = profit - long_profit
str_ = '%s,%0.1f,%0.1f,%0.1f' % \
(sec,
long_profit / self._startingCash * 100.0,
short_profit / self._startingCash * 100.0,
profit / self._startingCash * 100.0)
total_long_profit += long_profit
total_profit += profit
self._returnsfile.write('%s\n' % str_)
total_short_profit = total_profit - total_long_profit
str_ = 'total,%0.1f,%0.1f,%0.1f' % \
(total_long_profit / self._startingCash * 100.0,
total_short_profit / self._startingCash * 100.0,
total_profit / self._startingCash * 100.0)
self._returnsfile.write('%s\n' % str_)
self._totalProfit = total_profit
def _print_returns_summary(self, datetime, final=False):
try:
self._summaryHeader
except:
# means we need to print headers
self._summaryHeader = True
self._sumCurMonth = None
self._sumCurYear = None
str_ = 'Year,Jan,Feb,Mar,Apr,May,Jun,Jul,Aug,Sep,Oct,Nov,Dec,Full Year'
self._summaryfile.write('%s\n' % str_)
if self._sumCurYear != datetime.year or final:
if self._sumCurYear or final:
# this means the year just rolled on us and we have to output a new row
self._sumMonthData[self._sumCurMonth -
1] = (self.getEquity() - self._sumMonthStart
) / self._sumMonthStart * 100.0
str_ = '%s,' % self._sumCurYear
for r in self._sumMonthData:
str_ = str_ + '%0.1f,' % r
str_ = str_ + '%0.1f' % (
((self.getEquity() - self._sumYearStart) /
self._sumYearStart) * 100.0)
self._summaryfile.write('%s\n' % str_)
# now reset and get ready for this year
self._sumCurYear = datetime.year
self._sumCurMonth = datetime.month
self._sumMonthData = numpy.zeros(12)
self._sumYearStart = self.getEquity()
self._sumMonthStart = self.getEquity()
elif self._sumCurMonth != datetime.month:
# the month rolled on us so put a new entry in
self._sumMonthData[self._sumCurMonth - 1] = ((
(self.getEquity() - self._sumMonthStart) / self._sumMonthStart)
* 100.0)
self._sumMonthStart = self.getEquity()
self._sumCurMonth = datetime.month
else:
# nothing to do - just a mid-month data point
pass
def _print_sector_equity(self, datetime):
self._print_returns_summary(datetime)
try:
self._equityheader
except:
# means we need to print headers
self._equityheader = True
str_ = 'Datetime,'
for sec in sorted(self._runGroups):
str_ = str_ + '%s-Equity,%s-Margin,' % (sec, sec)
str_ = str_ + 'Total-Equity,Total-Margin'
self._equityfile.write('%s\n' % str_)
# going to build a row of text for output to the equity report
str_ = '%s,' % datetime
total_equity = 0.0
total_margin = 0.0
for sec in sorted(self._runGroups):
equity = self._runGroups[sec].getEquity()
margin = self._runGroups[sec].calc_margin()
str_ = str_ + '%0.2f,%0.2f,' % (equity, margin)
total_equity += equity
total_margin += margin
str_ = str_ + '%0.2f,%0.2f' % (self.getEquity() - self._startingCash,
total_margin)
self._equityfile.write('%s\n' % str_)
def _print_sector_positions(self, datetime):
try:
self._posheader
except:
# means we need to print headers
self._posheader = True
str_ = 'Datetime,'
for sec in sorted(self._runGroups):
str_ = str_ + '%s-Long,%s-Short,' % (sec, sec)
str_ = str_ + 'Total-Long,Total-Short'
self._posfile.write('%s\n' % str_)
# going to build a row of text for output to the positions report
str_ = '%s,' % datetime
total_longs = 0
total_shorts = 0
for sec in sorted(self._runGroups):
longs = 0
shorts = 0
sec_positions = self._runGroups[sec].strategy().getPositions()
for sym in sec_positions:
if sec_positions[sym].isLong():
longs = longs + 1
else:
shorts = shorts + 1
str_ = str_ + '%s,%s,' % (longs, shorts)
total_longs += longs
total_shorts += shorts
# now the totals
str_ = str_ + '%s,%s' % (total_longs, total_shorts)
self._posfile.write('%s\n' % str_)