def getCurrentReturn(liveAlgInfo, stopStep, Cash=None):
originalNameSpace = namespace_manager.get_namespace()
namespace_manager.set_namespace("")
alginfo = meTools.memGet(meSchema.meAlg, meTools.buildAlgKey(1))
namespace_manager.set_namespace(originalNameSpace)
if Cash is not None:
startCash = Cash
else:
startCash = alginfo.Cash
stopStepQuotes = princeFunc.getStepQuotes(stopStep)
for liveAlgKey in liveAlgInfo:
positions = eval(liveAlgInfo[liveAlgKey].Positions)
positionsValue = 0.0
for symbol in positions:
currentPrice = stopStepQuotes[symbol]
posPrice = positions[symbol]["Price"]
shares = positions[symbol]["Shares"]
positionsValue += (currentPrice - posPrice) * shares
liveAlgInfo[liveAlgKey].PosVal = positionsValue
liveAlgInfo[liveAlgKey].percentReturn = (
liveAlgInfo[liveAlgKey].PosVal + liveAlgInfo[liveAlgKey].PandL
) / startCash
liveAlgInfo[liveAlgKey].numTrades = len(eval(liveAlgInfo[liveAlgKey].CashDelta))
history = eval(liveAlgInfo[liveAlgKey].history)
history.appendleft({"step": stopStep, "return": liveAlgInfo[liveAlgKey].percentReturn})
liveAlgInfo[liveAlgKey].history = repr(history)
return liveAlgInfo
def getAlgStats(alphaAlg=1,omegaAlg=3540):
keylist = []
model = meSchema.algStats
for i in range(alphaAlg,omegaAlg+1):
key_name = meTools.buildAlgKey(str(i))
keylist.append(key_name)
algs = meTools.memGet_multi(model,keylist)
return algs
def resetAlgstats(memprefix = "unpacked_",algCash=20000.0,alphaAlg=1,omegaAlg=10620):
memkeylist = []
cashdelta = {}
statDict = {}
for i in range(alphaAlg,omegaAlg+1):
key_name = meTools.buildAlgKey(str(i))
memkey = memprefix + key_name
memkeylist.append(memkey)
for key in memkeylist:
cashdelta[key] = deque()
statDict[key] = { 'Cash' : algCash,
'CashDelta' : cashdelta[key],
'PandL' : 0.0,
'Positions' : {},
'lastBuy' : 0,
'lastSell' : 0}
return statDict
def post(self):
JobID = self.request.get('JobID')
totalBatches = int(self.request.get('totalBatches'))
callback = self.request.get('callback')
taskname = self.request.headers['X-AppEngine-TaskName']
startAlg = int(self.request.get('startAlg'))
stopAlg = int(self.request.get('stopAlg'))
algBatch = [meTools.buildAlgKey(i) for i in range(startAlg, stopAlg + 1)]
monthBatch = self.request.get_all('monthBatch')
stopStep = self.request.get('stopStep')
namespace = str(self.request.get('namespace'))
backTestBatch(algBatch, monthBatch, stopStep, namespace)
if callback:
meTools.taskAdd('callback-' + taskname, callback, 'default', 0.5,
JobID = JobID, taskname = taskname, totalBatches = totalBatches,
model = '', jobtype = 'callback', stepType = 'weeklyBackTests')
def calculateWeeklyLiveAlgs(stopStep, stepRange, namespace, JobID, totalBatches, callback):
from google.appengine.api.labs import taskqueue
namespace_manager.set_namespace("")
alginfo = meTools.memGet(meSchema.meAlg, meTools.buildAlgKey(1))
namespace_manager.set_namespace(namespace)
Cash = alginfo.Cash
initializeLiveAlgs(stopStep, stepRange, Cash)
# Get liveAlgs and branch out the different FTL, dnFTL Ntypes.
# keys like: 0003955-0001600-FTLe-N1
liveAlgs = (
meSchema.liveAlg.all(keys_only=True)
.filter("stopStep =", stopStep)
.filter("stepRange =", stepRange)
.filter("percentReturn =", 0.0)
.fetch(1000)
)
algGroup = [alg.name() for alg in liveAlgs]
taskname = "liveAlg-" + JobID + "-" + str(stopStep) + "-" + str(stopStep - stepRange)
try:
deferred.defer(
processLiveAlgStepRange,
stopStep - stepRange,
stopStep,
stepRange,
algGroup,
namespace,
JobID,
callback,
totalBatches,
taskname,
_name=taskname,
)
except (taskqueue.TaskAlreadyExistsError, taskqueue.TombstonedTaskError), e:
pass
def getAlgQueryStr(alphaAlg='0',omegaAlg='999999'):
alpha = meTools.buildAlgKey(alphaAlg)
omega = meTools.buildAlgKey(omegaAlg)
model = 'algStats'
query = "Select * from %s Where __key__ > Key('%s','%s') AND __key__ < Key('%s','%s')" % (model,model,alpha,model,omega)
return query