def tradebyvol(ledgerin, timestamp, instrument, symbol, optiontyp, expirydt,
strikepr, volume):
price = float(
p4fns.findvalue(timestamp, instrument, symbol, optiontyp, expirydt,
strikepr, 'CLOSE'))
price = round(price, 2)
ledgerdf = appendledger(ledgerin, timestamp, symbol, instrument, optiontyp,
expirydt, strikepr, volume, price)
return ledgerdf
def getportfolio(ledgerdf, timestamp):
ledgerdf = [
row[:PLS['TURNOVER']] + row[PLS['TURNOVER'] + 1:]
for row in ledgerdf[1:]
]
portfoliodf = [PORTFCOL]
for row in ledgerdf:
sectype = [
row[PLS['SYMBOL']], row[PLS['INSTRUMENT']], row[PLS['OPTION_TYP']],
row[PLS['EXPIRY_DT']], row[PLS['STRIKE_PR']]
]
updated = False
for prow in portfoliodf:
secptype = [
prow[PPS['SYMBOL']], prow[PPS['INSTRUMENT']],
prow[PPS['OPTION_TYP']], prow[PPS['EXPIRY_DT']],
prow[PPS['STRIKE_PR']]
]
if (secptype == sectype):
updated = True
if (updated == False):
cum_vol = 0
for lrow in ledgerdf:
secltype = [
lrow[PLS['SYMBOL']], lrow[PLS['INSTRUMENT']],
lrow[PLS['OPTION_TYP']], lrow[PLS['EXPIRY_DT']],
lrow[PLS['STRIKE_PR']]
]
if (secltype == sectype):
cum_vol = cum_vol + lrow[PLS['VOLUME']]
if (cum_vol != 0):
if (row[PLS['SYMBOL']] == 'CASH'):
price = 1
else:
price = float(
p4fns.findvalue(timestamp, row[PLS['INSTRUMENT']],
row[PLS['SYMBOL']],
row[PLS['OPTION_TYP']],
row[PLS['EXPIRY_DT']],
row[PLS['STRIKE_PR']], 'CLOSE'))
value = round(price * cum_vol, 2)
cum_vol = round(cum_vol, 2)
prow = [
row[PLS['SYMBOL']], row[PLS['INSTRUMENT']],
row[PLS['OPTION_TYP']], row[PLS['EXPIRY_DT']],
row[PLS['STRIKE_PR']], cum_vol, value
]
portfoliodf.append(prow)
return portfoliodf
def updateledger(ledgerin, timestamp, operator):
ledgerdf = ledgerin
ledger = p4fns.filterdf(ledgerin[1:], PLS, 'INSTRUMENT',
['OPTIDX', 'OPTSTK', 'FUTIVX', 'FUTSTK', 'FUTIDX'])
ledger = p4fns.filterts(ledger, PLS, 'EXPIRY_DT', timestamp, operator)
appenddf = []
for row in ledger:
instrument = row[PLS['INSTRUMENT']]
symbol = row[PLS['SYMBOL']]
optiontyp = row[PLS['OPTION_TYP']]
expirydt = row[PLS['EXPIRY_DT']]
strikepr = row[PLS['STRIKE_PR']]
idf = p4fns.filterdf(ledger, PLS, 'INSTRUMENT', [instrument])
idf = p4fns.filterdf(idf, PLS, 'SYMBOL', [symbol])
idf = p4fns.filterdf(idf, PLS, 'OPTION_TYP', [optiontyp])
idf = p4fns.filterdf(idf, PLS, 'EXPIRY_DT', [expirydt])
idf = p4fns.filterdf(idf, PLS, 'STRIKE_PR', [strikepr])
cumvol = 0
for irow in idf:
cumvol = cumvol + irow[PLS['VOLUME']]
adf = p4fns.filterdf(appenddf, PLS, 'INSTRUMENT', [instrument])
adf = p4fns.filterdf(adf, PLS, 'SYMBOL', [symbol])
adf = p4fns.filterdf(adf, PLS, 'OPTION_TYP', [optiontyp])
adf = p4fns.filterdf(adf, PLS, 'EXPIRY_DT', [expirydt])
adf = p4fns.filterdf(adf, PLS, 'STRIKE_PR', [strikepr])
appvol = 0
for prow in adf:
appvol = appvol + prow[PLS['VOLUME']]
if (appvol + cumvol != 0):
expvalue = float(
p4fns.findvalue(expirydt, instrument, symbol, optiontyp,
expirydt, strikepr, 'CLOSE'))
appenddf = appendledger(appenddf, expirydt, symbol, instrument, optiontyp, expirydt,\
strikepr, (-appvol-cumvol), expvalue)
ledgerdf = ledgerdf + appenddf
return ledgerdf
close2 = close2[-mlen:][:dur]
if symbol1 in cnxlist:
instrm1 = 'EQ'
else:
instrm1 = 'IX'
if symbol2 in cnxlist:
instrm2 = 'EQ'
else:
instrm2 = 'IX'
startdate = timeser[0]
enddate = timeser[-1]
capital = 1000000
startprice1 = float(
p4fns.findvalue(startdate, instrm1, symbol1, 'XX', 'XX', 'XX', 'CLOSE'))
startprice2 = float(
p4fns.findvalue(startdate, instrm2, symbol2, 'XX', 'XX', 'XX', 'CLOSE'))
if (mode == 'T') or (mode == 'C') or (mode == 'D'):
print startdate
print enddate
# Trading strategy
# ==============================================================
state = 'PA'
own1 = False
own2 = False
own = [0] * tlen
ledgerdf = p8fns.genledger(startdate, capital)