def positions(self):
z_positions = zp.Positions()
positions = self._api.list_positions()
position_map = {}
symbols = []
for pos in positions:
symbol = pos.symbol
try:
z_position = zp.Position(symbol_lookup(symbol))
except SymbolNotFound:
continue
z_position.amount = pos.qty
z_position.cost_basis = float(pos.cost_basis)
z_position.last_sale_price = None
z_position.last_sale_date = None
z_positions[symbol_lookup(symbol)] = z_position
symbols.append(symbol)
position_map[symbol] = z_position
quotes = self._api.list_quotes(symbols)
for quote in quotes:
price = quote.last
dt = quote.last_timestamp
z_position = position_map[quote.symbol]
z_position.last_sale_price = float(price)
z_position.last_sale_date = dt
return z_positions
def positions(self):
z_positions = zp.Positions()
positions = self.api_client.Position.Position_get().result()[0][0]
position_map = {}
symbols = []
for pos in positions:
symbol = pos['symbol']
try:
z_position = zp.Position(symbol_lookup(symbol))
except SymbolNotFound:
continue
z_position.amount = pos['currentQty']
z_position.cost_basis = float(pos['currentCost'])
z_position.last_sale_price = None
z_position.last_sale_date = None
z_positions[symbol_lookup(symbol)] = z_position
symbols.append(symbol)
position_map[symbol] = z_position
quotes = self.ws_client.recent_trades()
for quote in quotes:
if quote['symbol'] != 'XBTUSD':
continue
price = quote['price']
dt = quote['timestamp']
z_position = position_map[quote['symbol']]
z_position.last_sale_price = float(price)
z_position.last_sale_date = dt
return z_positions
def positions(self):
curr_pos = self.get_latest_positions()
z_positions = zp.Positions()
# TODO: check/test this for loop
for index, symbol in curr_pos['holding_name'].iteritems():
vb_position = curr_pos[curr_pos['holding_name'] == symbol]
try:
z_position = zp.Position(symbol_lookup(symbol))
except SymbolNotFound:
# The symbol might not have been ingested to the db therefore
# it needs to be skipped.
continue
# Amount = quantity
z_position.amount = int(vb_position.quantity)
z_position.cost_basis = float(vb_position.buy_price)
# Check if symbol exists in bars df
if symbol in self._tws.bars:
z_position.last_sale_price = \
float(self._tws.bars[symbol].last_trade_price.iloc[-1])
z_position.last_sale_date = \
self._tws.bars[symbol].index.values[-1]
else:
z_position.last_sale_price = None
z_position.last_sale_date = None
z_positions[symbol_lookup(symbol)] = z_position
return z_positions
def positions(self):
z_positions = zp.Positions()
for symbol in self._tws.positions:
ib_position = self._tws.positions[symbol]
try:
z_position = zp.Position(symbol_lookup(symbol))
except SymbolNotFound:
log.warn("Symbol {} not found in the data base.", symbol)
continue
z_position.amount = int(ib_position.position)
z_position.cost_basis = float(ib_position.market_price)
z_position.last_sale_price = None # TODO(tibor): Fill from state
z_position.last_sale_date = None # TODO(tibor): Fill from state
z_positions[symbol_lookup(symbol)] = z_position
return z_positions
def positions(self):
z_positions = zp.Positions()
for symbol in self._tws.positions:
ib_position = self._tws.positions[symbol]
try:
z_position = zp.Position(symbol_lookup(symbol))
except SymbolNotFound:
# The symbol might not have been ingested to the db therefore
# it needs to be skipped.
continue
z_position.amount = int(ib_position.position)
z_position.cost_basis = float(ib_position.market_price)
z_position.last_sale_price = None # TODO(tibor): Fill from state
z_position.last_sale_date = None # TODO(tibor): Fill from state
z_positions[symbol_lookup(symbol)] = z_position
return z_positions
def transactions(self):
orders = self._api.list_orders(status='closed')
results = {}
for order in orders:
if order.filled_at is None:
continue
tx = Transaction(asset=symbol_lookup(order.symbol),
amount=int(order.filled_qty),
dt=order.filled_at,
price=float(order.filled_avg_price),
order_id=order.client_order_id)
results[order.client_order_id] = tx
return results
def _get_positions_from_broker(self):
"""
get the positions from the broker and update zipline objects ( the ledger )
should be used once at startup and once every time we want to refresh the positions array
"""
cur_pos_in_tracker = self.metrics_tracker.positions
positions = self._api.list_positions()
for ap_position in positions:
# ap_position = positions[symbol]
try:
z_position = zp.Position(
zp.InnerPosition(symbol_lookup(ap_position.symbol)))
editable_position = zp.MutableView(z_position)
except SymbolNotFound:
# The symbol might not have been ingested to the db therefore
# it needs to be skipped.
log.warning(
'Wanted to subscribe to %s, but this asset is probably not ingested'
% ap_position.symbol)
continue
if int(ap_position.qty) == 0:
continue
editable_position._underlying_position.amount = int(
ap_position.qty)
editable_position._underlying_position.cost_basis = float(
ap_position.avg_entry_price)
editable_position._underlying_position.last_sale_price = float(
ap_position.current_price)
editable_position._underlying_position.last_sale_date = self._api.get_last_trade(
ap_position.symbol).timestamp
self.metrics_tracker.update_position(
z_position.asset,
amount=z_position.amount,
last_sale_price=z_position.last_sale_price,
last_sale_date=z_position.last_sale_date,
cost_basis=z_position.cost_basis)
# now let's sync the positions in the internal zipline objects
position_names = [p.symbol for p in positions]
assets_to_update = [
] # separate list to not change list while iterating
for asset in cur_pos_in_tracker:
if asset.symbol not in position_names:
assets_to_update.append(asset)
for asset in assets_to_update:
# deleting object from the metrics_tracker as its not in the portfolio
self.metrics_tracker.update_position(asset, amount=0)
# for some reason, the metrics tracker has self.positions AND self.portfolio.positions. let's make sure
# these objects are consistent
self.metrics_tracker._ledger._portfolio.positions = self.metrics_tracker.positions
def positions(self):
z_positions = zp.Positions()
for symbol in self._tws.positions:
ib_position = self._tws.positions[symbol]
try:
z_position = zp.Position(symbol_lookup(symbol))
except SymbolNotFound:
# The symbol might not have been ingested to the db therefore
# it needs to be skipped.
continue
z_position.amount = int(ib_position.position)
z_position.cost_basis = float(ib_position.average_cost)
# Check if symbol exists in bars df
if symbol in self._tws.bars:
z_position.last_sale_price = \
float(self._tws.bars[symbol].last_trade_price.iloc[-1])
z_position.last_sale_date = \
self._tws.bars[symbol].index.values[-1]
else:
z_position.last_sale_price = None
z_position.last_sale_date = None
z_positions[symbol_lookup(symbol)] = z_position
return z_positions
def positions(self):
z_positions = zp.Positions()
for symbol in self._tws.positions:
ib_position = self._tws.positions[symbol]
try:
z_position = zp.Position(symbol_lookup(symbol))
except SymbolNotFound:
# The symbol might not have been ingested to the db therefore
# it needs to be skipped.
continue
z_position.amount = int(ib_position.position)
z_position.cost_basis = float(ib_position.average_cost)
# Check if symbol exists in bars df
if symbol in self._tws.bars:
z_position.last_sale_price = \
float(self._tws.bars[symbol].last_trade_price.iloc[-1])
z_position.last_sale_date = \
self._tws.bars[symbol].index.values[-1]
else:
z_position.last_sale_price = None
z_position.last_sale_date = None
z_positions[symbol_lookup(symbol)] = z_position
return z_positions
def _get_positions_from_broker(self):
"""
get the positions from the broker and update zipline objects ( the ledger )
should be used once at startup and once every time we want to refresh the positions array
"""
cur_pos_in_tracker = self.metrics_tracker.positions
for symbol in self._tws.positions:
ib_position = self._tws.positions[symbol]
try:
z_position = zp.Position(
zp.InnerPosition(symbol_lookup(symbol)))
editable_position = MutableView(z_position)
except SymbolNotFound:
# The symbol might not have been ingested to the db therefore
# it needs to be skipped.
log.warning(
'Wanted to subscribe to %s, but this asset is probably not ingested'
% symbol)
continue
editable_position._underlying_position.amount = int(
ib_position.position)
editable_position._underlying_position.cost_basis = float(
ib_position.average_cost)
# Check if symbol exists in bars df
if symbol in self._tws.bars:
editable_position._underlying_position.last_sale_price = \
float(self._tws.bars[symbol].last_trade_price.iloc[-1])
editable_position._underlying_position.last_sale_date = \
self._tws.bars[symbol].index.values[-1]
else:
# editable_position._underlying_position.last_sale_price = None # this cannot be set to None. only numbers.
editable_position._underlying_position.last_sale_date = None
self.metrics_tracker.update_position(
z_position.asset,
amount=z_position.amount,
last_sale_price=z_position.last_sale_price,
last_sale_date=z_position.last_sale_date,
cost_basis=z_position.cost_basis)
for asset in cur_pos_in_tracker:
if asset.symbol not in self._tws.positions:
# deleting object from the metrcs_tracker as its not in the portfolio
self.metrics_tracker.update_position(asset, amount=0)
# for some reason, the metrics tracker has self.positions AND self.portfolio.positions. let's make sure
# these objects are consistent
# (self.portfolio.positions is self.metrics_tracker._ledger._portfolio.positions)
# (self.metrics_tracker.positions is self.metrics_tracker._ledger.position_tracker.positions)
self.metrics_tracker._ledger._portfolio.positions = self.metrics_tracker.positions
def transactions(self):
# todo : make it work
orders = self.api_client.Order.Order_get('closed')
results = {}
for order in orders:
if order.filled_at is None:
continue
tx = Transaction(
asset=symbol_lookup(order.symbol),
amount=int(order.filled_qty),
dt=order.filled_at,
price=float(order.filled_avg_price),
order_id=order.client_order_id,
commission=0.0,
)
results[order.client_order_id] = tx
return results
def _order2zp(self, order):
zp_order = ZPOrder(
id=order.client_order_id,
asset=symbol_lookup(order.symbol),
amount=int(order.qty) if order.side == 'buy' else -int(order.qty),
stop=float(order.stop_price) if order.stop_price else None,
limit=float(order.limit_price) if order.limit_price else None,
dt=order.submitted_at,
commission=0,
)
zp_order.status = ZP_ORDER_STATUS.OPEN
if order.canceled_at:
zp_order.status = ZP_ORDER_STATUS.CANCELLED
if order.failed_at:
zp_order.status = ZP_ORDER_STATUS.REJECTED
if order.filled_at:
zp_order.status = ZP_ORDER_STATUS.FILLED
zp_order.filled = int(order.filled_qty)
return zp_order
def _safe_symbol_lookup(ib_symbol):
try:
symbol = ib_symbol.replace(' ', '.')
return symbol_lookup(symbol)
except SymbolNotFound:
return None
def _safe_symbol_lookup(symbol):
try:
return symbol_lookup(symbol)
except SymbolNotFound:
return None
def _safe_symbol_lookup(symbol):
try:
return symbol_lookup(symbol)
except SymbolNotFound:
return None
