def generateTrade(self, tradingSymbol, direction, high, low):
trade = Trade(tradingSymbol)
trade.strategy = self.getName()
trade.isFutures = True
trade.direction = direction
trade.productType = self.productType
trade.placeMarketOrder = True
trade.requestedEntry = high if direction == Direction.LONG else low
trade.timestamp = Utils.getEpoch(
self.startTimestamp) # setting this to strategy timestamp
# Calculate lots
numLots = self.calculateLotsPerTrade()
isd = Instruments.getInstrumentDataBySymbol(
tradingSymbol) # Get instrument data to know qty per lot
trade.qty = isd['lot_size']
trade.stopLoss = low if direction == Direction.LONG else high
slDiff = high - low
# target is 1.5 times of SL
if direction == 'LONG':
trade.target = Utils.roundToNSEPrice(trade.requestedEntry +
1.5 * slDiff)
else:
trade.target = Utils.roundToNSEPrice(trade.requestedEntry -
1.5 * slDiff)
trade.intradaySquareOffTimestamp = Utils.getEpoch(
self.squareOffTimestamp)
# Hand over the trade to TradeManager
TradeManager.addNewTrade(trade)
def generateTrade(self, tradingSymbol, direction, breakoutPrice):
trade = Trade(tradingSymbol)
trade.strategy = self.getName()
trade.direction = direction
trade.productType = self.productType
trade.placeMarketOrder = True
trade.requestedEntry = breakoutPrice
trade.timestamp = self.startTimestamp # setting this to strategy timestamp
trade.qty = int(self.calculateCapitalPerTrade() / breakoutPrice)
if trade.qty == 0:
trade.qty = 1 # Keep min 1 qty
if direction == 'LONG':
trade.stopLoss = Utils.roundToNSEPrice(breakoutPrice -
breakoutPrice *
self.slPercentage / 100)
else:
trade.stopLoss = Utils.roundToNSEPrice(breakoutPrice +
breakoutPrice *
self.slPercentage / 100)
if direction == 'LONG':
trade.target = Utils.roundToNSEPrice(breakoutPrice +
breakoutPrice *
self.targetPerncetage / 100)
else:
trade.target = Utils.roundToNSEPrice(breakoutPrice -
breakoutPrice *
self.targetPerncetage / 100)
# Hand over the trade to TradeManager
TradeManager.addNewTrade(trade)
# add symbol to created list
self.tradesCreatedSymbols.append(tradingSymbol)
def generateTrade(self, optionSymbol, numLots, lastTradedPrice,
counterPosition):
trade = Trade(optionSymbol)
trade.strategy = self.getName()
trade.isOptions = True
trade.direction = Direction.SHORT # Always short here as option selling only
trade.productType = self.productType
trade.placeMarketOrder = True
trade.requestedEntry = lastTradedPrice
trade.timestamp = Utils.getEpoch(
self.startTimestamp) # setting this to strategy timestamp
trade.slPercentage = 25
trade.moveToCost = True
trade.counterPosition = counterPosition
isd = Instruments.getInstrumentDataBySymbol(
optionSymbol) # Get instrument data to know qty per lot
trade.qty = isd['lot_size'] * numLots
trade.stopLoss = Utils.roundToNSEPrice(trade.requestedEntry +
trade.requestedEntry *
self.slPercentage / 100)
trade.target = 0 # setting to 0 as no target is applicable for this trade
trade.intradaySquareOffTimestamp = Utils.getEpoch(
self.squareOffTimestamp)
# Hand over the trade to TradeManager
TradeManager.addNewTrade(trade)
def shouldPlaceTrade(self, trade, tick):
# Each strategy should call this function from its own shouldPlaceTrade() method before working on its own logic
if trade == None:
return False
if trade.qty == 0:
return False
numOfTradesPlaced = TradeManager.getNumberOfTradesPlacedByStrategy(
self.getName())
if numOfTradesPlaced >= self.maxTradesPerDay:
TradeManager.disableTrade(trade, 'MaxTradesPerDayReached')
return False
return True
def __init__(self, name): # NOTE: All the below properties should be set by the Derived Class (Specific to each strategy) self.name = name # strategy name self.enabled = True # Strategy will be run only when it is enabled self.productType = ProductType.MIS # MIS/NRML/CNC etc self.symbols = [] # List of stocks to be traded under this strategy self.slPercentage = 0 self.targetPerncetage = 0 self.startTimestamp = Utils.getMarketStartTime() # When to start the strategy. Default is Market start time self.stopTimestamp = None # This is not square off timestamp. This is the timestamp after which no new trades will be placed under this strategy but existing trades continue to be active. self.squareOffTimestamp = None # Square off time self.capital = 10000 # Capital to trade (This is the margin you allocate from your broker account for this strategy) self.leverage = 1 # 2x, 3x Etc self.maxTradesPerDay = 1 # Max number of trades per day under this strategy self.isFnO = False # Does this strategy trade in FnO or not self.capitalPerSet = 0 # Applicable if isFnO is True (Set means 1CE/1PE or 2CE/2PE etc based on your strategy logic) self.tradesCreatedSymbols = [] # Add symbol to this list when a trade is created # Register strategy with trade manager TradeManager.registerStrategy(self)
def generateTrade(self, tradingSymbol, direction, breakoutPrice, cmp):
trade = Trade(tradingSymbol)
trade.strategy = self.getName()
trade.direction = direction
trade.productType = self.productType
trade.placeMarketOrder = True
trade.requestedEntry = breakoutPrice
trade.timestamp = Utils.getEpoch(
self.startTimestamp) # setting this to strategy timestamp
trade.qty = int(self.calculateCapitalPerTrade() / breakoutPrice)
if trade.qty == 0:
trade.qty = 1 # Keep min 1 qty
if direction == 'LONG':
trade.stopLoss = Utils.roundToNSEPrice(breakoutPrice -
breakoutPrice *
self.slPercentage / 100)
if cmp < trade.stopLoss:
trade.stopLoss = Utils.roundToNSEPrice(cmp - cmp * 1 / 100)
else:
trade.stopLoss = Utils.roundToNSEPrice(breakoutPrice +
breakoutPrice *
self.slPercentage / 100)
if cmp > trade.stopLoss:
trade.stopLoss = Utils.roundToNSEPrice(cmp + cmp * 1 / 100)
if direction == 'LONG':
trade.target = Utils.roundToNSEPrice(breakoutPrice +
breakoutPrice *
self.targetPercentage / 100)
else:
trade.target = Utils.roundToNSEPrice(breakoutPrice -
breakoutPrice *
self.targetPercentage / 100)
trade.intradaySquareOffTimestamp = Utils.getEpoch(
self.squareOffTimestamp)
# Hand over the trade to TradeManager
TradeManager.addNewTrade(trade)
def getTrailingSL(self, trade):
if trade == None:
return 0
if trade.entry == 0:
return 0
lastTradedPrice = TradeManager.getLastTradedPrice(trade.tradingSymbol)
if lastTradedPrice == 0:
return 0
trailSL = 0
profitPoints = int(trade.entry - lastTradedPrice)
if profitPoints >= 5:
factor = int(profitPoints / 5)
trailSL = Utils.roundToNSEPrice(trade.initialStopLoss - factor * 5)
logging.info('%s: %s Returning trail SL %f', self.getName(), trade.tradingSymbol, trailSL)
return trailSL
def shouldPlaceTrade(self, trade, tick):
# Each strategy should call this function from its own shouldPlaceTrade() method before working on its own logic
if trade == None:
return False
if trade.qty == 0:
TradeManager.disableTrade(trade, 'InvalidQuantity')
return False
now = datetime.now()
if now > self.stopTimestamp:
TradeManager.disableTrade(trade, 'NoNewTradesCutOffTimeReached')
return False
numOfTradesPlaced = TradeManager.getNumberOfTradesPlacedByStrategy(self.getName())
if numOfTradesPlaced >= self.maxTradesPerDay:
TradeManager.disableTrade(trade, 'MaxTradesPerDayReached')
return False
return True