def doAlgSteps(algKey, startStep, stopStep, stats, stckIDs, MaxTrade = False):
if len(stckIDs) == 1:
accumulate = True
else:
accumulate = False
alginfo = meTools.memGet(meSchema.meAlg, algKey)
if MaxTrade:
alginfo.Cash = alginfo.Cash + stats['PandL']
alginfo.TradeSize = (0.94/len(stckIDs))
desires = liveAlg.getStepRangeAlgDesires(algKey, alginfo, startStep, stopStep)
buydelta = meTools.memGet(meSchema.tradeCue, alginfo.BuyCue).TimeDelta
selldelta = meTools.memGet(meSchema.tradeCue, alginfo.SellCue).TimeDelta
orderDesires = desires.keys()
orderDesires.sort()
for step in range(startStep, stopStep + 1):
stopRange = 80
if (step - startStep - 44)%stopRange == 0:
stats = doStops(step, copy.deepcopy(stats), alginfo, stopRange)
potentialDesires = [meTools.buildDesireKey(step, algKey, stckID) for stckID in stckIDs] # must feed stckIDs into func?
for key in potentialDesires:
if key in orderDesires:
currentDesire = eval(desires[key])
for des in currentDesire: # Eventually re-do desires[key] to be just dict with 'Symbol' 'Shares' keys.
buysell = cmp(currentDesire[des]['Shares'], 0)
Symbol = des
tradeCash, PandL, position = princeFunc.mergePosition(eval(desires[key]), copy.deepcopy(stats['Positions']), step, accumulate)
cash = tradeCash + copy.deepcopy(stats['Cash'])
if buysell == -1:
timedelta = selldelta
lastTradeStep = stats['lastSell']
elif buysell == 1:
timedelta = buydelta
lastTradeStep = stats['lastBuy']
if cash > 0 and lastTradeStep <= step - timedelta:
if buysell == -1:
stats['lastSell'] = step
elif buysell == 1:
stats['lastBuy'] = step
stats['CashDelta'].appendleft({'Symbol' : Symbol,
'buysell' : buysell,
'value' : tradeCash,
'PandL' : PandL,
'step' : step})
if len(stats['CashDelta']) > 800:
stats['CashDelta'].pop()
stats['Cash'] = cash
stats['PandL'] += PandL
stats['Positions'] = position
return stats
def doStops(step, statDict, alginfo, stopRange, scaleFactor = 0.0):
from random import random
stopDesires = []
stckKeys = [str(stckID) + '_' + str(step) for stckID in [1,2,3,4]]
stocks = memGetStcks(stckKeys)
stckQuotes = {}
for stock in stocks:
if stock is None:
return statDict
else:
stckQuotes[meTools.getStckSymbol(stock.ID)] = stock.quote
for pos in statDict['Positions']:
stckID = meTools.getStckID(pos)
stckDeltas = calculateDeltas(stckID,step)
shares = statDict['Positions'][pos]['Shares']
longshort = cmp(shares,0) # -1 for short, +1 for long
stckQuote = stckQuotes[pos]
offsetDesire = meSchema.desire(Symbol = pos,
Quote = stckQuote,
CueKey = '0000')
dictDesire = convertDesireToDict(offsetDesire, -1*longshort, alginfo.TradeSize, alginfo.Cash, -1*shares)
# Now only using maxmin deviations for stops.
maxDevStop, minDevStop = getMaxMinDevMeans(stckDeltas)
# Using scaleFactor for metaAlgs. Moves stop 40% closer to 1.0
stopLoss = statDict['Positions'][pos]['StopLoss']
stopProfit = statDict['Positions'][pos]['StopProfit']
if longshort == 1:
if stckQuote < stopLoss or stckQuote > stopProfit:
stopDesires.append(dictDesire)
else:
stopLoss = max(statDict['Positions'][pos]['StopLoss'], stckQuote*minDevStop)
if stopProfit > 1.15*statDict['Positions'][pos]['Price']:
stopPrice = stckQuote*(maxDevStop - ((maxDevStop-1)*scaleFactor))
stopProfit = min(statDict['Positions'][pos]['StopProfit'], stopPrice)
elif longshort == -1:
if stckQuote > stopLoss or stckQuote < stopProfit:
stopDesires.append(dictDesire)
else:
stopLoss = min(statDict['Positions'][pos]['StopLoss'], stckQuote*maxDevStop)
if stopProfit < 0.85*statDict['Positions'][pos]['Price']:
stopPrice = stckQuote*(minDevStop + ((1-minDevStop)*scaleFactor))
stopProfit = max(statDict['Positions'][pos]['StopProfit'], stopPrice)
statDict['Positions'][pos]['StopLoss'] = stopLoss
statDict['Positions'][pos]['StopProfit'] = stopProfit
for stop in stopDesires:
tradeCash, PandL, position = princeFunc.mergePosition(eval(stop), copy.deepcopy(statDict['Positions']), step, True)
cash = tradeCash + copy.deepcopy(statDict['Cash'])
Symbol = eval(stop).keys()[0]
buysell = cmp(eval(stop)[Symbol]['Shares'], 0)
statDict['CashDelta'].appendleft({'Symbol' : Symbol,
'buysell' : str(buysell) + '_stop',
'value' : tradeCash,
'PandL' : PandL,
'step' : step})
if len(statDict['CashDelta']) > 800:
statDict['CashDelta'].pop()
statDict['Cash'] = cash
statDict['PandL'] += PandL
statDict['Positions'] = position
return statDict
