def order_target_percent_quantopian(self, security, percent, style=MarketOrder()):
print 'place_order_percent_value'
import math
hold=self.how_many_I_am_holding(security, style='portfolio_percentage')
for ct in self.data:
if same_security(security, ct):
return self.order_quantopian(security, int(math.floor((percent-hold)*self.context.portfolio.portfolio_value/self.data[ct].price)) , style=style)
def order_target_value_quantopian(self, security, value, style=MarketOrder()):
print 'place_order_target_value'
import math
hold=self.how_many_I_am_holding(security, style='value')
for ct in self.data:
if same_security(security, ct):
return self.order_quantopian(security, int(math.floor((value-hold)/self.data[ct].price)) , style=style)
def order_value_quantopian(self, security, value, style=MarketOrder()):
print 'order_value_quantopian'
import math
for ct in self.data:
if same_security(security, ct):
return self.order_quantopian(
security,
int(math.floor(value / self.data[ct].price)),
style=style)
def order_percent_quantopian(self, security, percent, style=MarketOrder()):
print 'order_percent_quantopian'
import math
for ct in self.data:
if same_security(security, ct):
return self.order_quantopian(
security,
int(
math.floor(self.context.portfolio.portfolio_value /
self.data[ct].price)),
style=style)
def order_target_value_quantopian(self,
security,
value,
style=MarketOrder()):
print 'place_order_target_value'
import math
hold = self.how_many_I_am_holding(security, style='value')
for ct in self.data:
if same_security(security, ct):
return self.order_quantopian(
security,
int(math.floor((value - hold) / self.data[ct].price)),
style=style)
def get_open_order_quantopian(self, sid=None):
"""
function to get open orders similar to that defined in Quantopian
"""
if sid==None:
result={}
for ct in self.context.portfolio.openOrderBook:
result[self.context.portfolio.openOrderBook[ct].sid]=self.context.portfolio.openOrderBook[ct]
return result
else:
result={}
for ct in self.context.portfolio.openOrderBook:
if same_security(self.context.portfolio.openOrderBook[ct].sid,sid):
result[self.context.portfolio.openOrderBook[ct].sid]=self.context.portfolio.openOrderBook[ct]
return result
def how_many_I_am_holding(self, security, style='shares'):
"""
return the current holdings of a security, in styles of shares, value
or percentage
"""
for ct in self.context.portfolio.positions:
if same_security(ct,security):
if style=='shares':
return self.context.portfolio.positions[ct].amount
if style=='value':
return self.context.portfolio.positions[ct].amount*self.context.portfolio.positions[ct].last_sale_price
if style=='portfolio_percentage':
if self.context.portfolio.portfolio_value > 0.00001:
# self.throwError('how_many_I_am_holding','Zero portfolio value')
return self.context.portfolio.positions[ct].last_sale_price / self.context.portfolio.portfolio_value
return 0
def order_target_percent_quantopian(self,
security,
percent,
style=MarketOrder()):
print 'place_order_percent_value'
import math
hold = self.how_many_I_am_holding(security,
style='portfolio_percentage')
for ct in self.data:
if same_security(security, ct):
return self.order_quantopian(
security,
int(
math.floor((percent - hold) *
self.context.portfolio.portfolio_value /
self.data[ct].price)),
style=style)
def get_open_order_quantopian(self, sid=None):
"""
function to get open orders similar to that defined in Quantopian
"""
if sid == None:
result = {}
for ct in self.context.portfolio.openOrderBook:
result[self.context.portfolio.openOrderBook[ct].
sid] = self.context.portfolio.openOrderBook[ct]
return result
else:
result = {}
for ct in self.context.portfolio.openOrderBook:
if same_security(self.context.portfolio.openOrderBook[ct].sid,
sid):
result[self.context.portfolio.openOrderBook[ct].
sid] = self.context.portfolio.openOrderBook[ct]
return result
def how_many_I_am_holding(self, security, style='shares'):
"""
return the current holdings of a security, in styles of shares, value
or percentage
"""
for ct in self.context.portfolio.positions:
if same_security(ct, security):
if style == 'shares':
return self.context.portfolio.positions[ct].amount
if style == 'value':
return self.context.portfolio.positions[
ct].amount * self.context.portfolio.positions[
ct].last_sale_price
if style == 'portfolio_percentage':
if self.context.portfolio.portfolio_value > 0.00001:
# self.throwError('how_many_I_am_holding','Zero portfolio value')
return self.context.portfolio.positions[
ct].last_sale_price / self.context.portfolio.portfolio_value
return 0
def runAlgorithm(self):
time.sleep(0.1) # sleep to avoid exceeding IB's max data rate
self.reqCurrentTime()
# initialize
if self.traderState.is_state(self.traderState.INIT):
if self.accountManagerState.is_state(self.accountManagerState.INIT):
self.log.info(__name__ + ": " + "entering INIT stage")
print 'entering INIT stage'
self.req_real_time_price() # request market data
self.reqAccountUpdates(True,self.accountCode) # Request to update account info
# Request multiple hist price
self.re_send = 0
self.returned_hist= {}
for security in self.data:
for period in self.context.hist_frame:
self.req_hist_price(security, endtime=datetime.datetime.now(), barSize=period)
self.set_timer()
# change machine state
self.accountManagerState.set_state(
self.accountManagerState.WAIT_FOR_INIT_CALLBACK)
if self.accountManagerState.is_state(
self.accountManagerState.WAIT_FOR_INIT_CALLBACK):
self.check_timer(self.accountManagerState.WAIT_FOR_INIT_CALLBACK,20)
if self.req_hist_price_check_end():
for req_id in self.returned_hist:
for security in self.data:
if same_security(security, self.returned_hist[req_id].security):
self.data[security].hist[self.returned_hist[req_id].period]=self.returned_hist[req_id].hist
self.traderState.set_state(self.traderState.TRADE)
self.accountManagerState.set_state(self.accountManagerState.SLEEP)
self.log.info(__name__ + ": " + "completing init stage")
print 'INIT stage completed'
#
if self.traderState.is_state(self.traderState.TRADE):
# at the beginning of every minute, update hist and accountINFO
if self.stime.second==0 and self.stime_previous.second!=0:
#print 'beginning of minute'
self.re_send = 0
self.returned_hist= {}
for security in self.data:
for period in self.context.hist_frame:
if period=='1 min':
goback='120 S'
elif period=='1 day':
goback='2 D'
elif period=='1 hour':
goback='7200 S'
elif period=='4 hours':
goback='1 D'
elif period=='10 mins':
goback='1200 S'
self.req_hist_price(security, endtime=self.stime, goback=goback, barSize=period)
self.set_timer()
self.accountManagerState.set_state(self.accountManagerState.WAIT_FOR_BAR_PRICE_CALLBACK)
if self.accountManagerState.is_state(self.accountManagerState.WAIT_FOR_BAR_PRICE_CALLBACK):
if self.req_hist_price_check_end():
# After receive the new hist, combine them with the old hist
for req_id in self.returned_hist:
#print self.returned_hist[req_id].hist
for security in self.data:
if same_security(security, self.returned_hist[req_id].security):
temp=self.data[security].hist[self.returned_hist[req_id].period]
empty=pd.DataFrame(columns=['open','high','low','close','volume'])
for index in temp.index:
if index not in self.returned_hist[req_id].hist.index:
empty=empty.append(temp.loc[index])
self.data[security].hist[self.returned_hist[req_id].period]=empty.append(self.returned_hist[req_id].hist)
#print empty
#print self.returned_hist[req_id].hist
#print self.data[security].hist[self.returned_hist[req_id].period]
#self.data[security].hist[self.returned_hist[req_id].period]= \
#temp.append(self.returned_hist[req_id].hist.loc[index])
for security in self.data:
for period in self.context.hist_frame:
if len(self.data[security].hist[period])>300:
self.data[security].hist[period]=self.data[security].hist[period][-300:]
#print self.data[security].hist[period]
self.accountManagerState.set_state(self.accountManagerState.EVERY_BAR_RUN)
# Run handle_data regularly
handle_data(self.context, self.data)
#print self.stime
self.stime_previous=self.stime
def runAlgorithm(self):
time.sleep(0.1) # sleep to avoid exceeding IB's max data rate
self.reqCurrentTime()
# initialize
if self.traderState.is_state(self.traderState.INIT):
if self.accountManagerState.is_state(self.accountManagerState.INIT):
self.log.info(__name__ + ": " + "entering INIT stage")
print 'entering INIT stage'
self.req_real_time_price() # request market data
self.reqAccountUpdates(True,self.accountCode) # Request to update account info
# Request multiple hist price
self.re_send = 0
self.returned_hist= {}
for security in self.data:
for period in self.context.hist_frame:
self.req_hist_price(security, endtime=datetime.datetime.now(), barSize=period)
self.set_timer()
# change machine state
self.accountManagerState.set_state(
self.accountManagerState.WAIT_FOR_INIT_CALLBACK)
if self.accountManagerState.is_state(
self.accountManagerState.WAIT_FOR_INIT_CALLBACK):
self.check_timer(self.accountManagerState.WAIT_FOR_INIT_CALLBACK,10)
if self.req_hist_price_check_end():
for req_id in self.returned_hist:
for security in self.data:
if same_security(security, self.returned_hist[req_id].security):
self.data[security].hist[self.returned_hist[req_id].period]=self.returned_hist[req_id].hist
self.traderState.set_state(self.traderState.TRADE)
self.accountManagerState.set_state(self.accountManagerState.SLEEP)
self.log.info(__name__ + ": " + "completing init stage")
print 'INIT stage completed'
#
if self.traderState.is_state(self.traderState.TRADE):
# at the beginning of every minute, update hist and accountINFO
if self.stime.second==0 and self.stime_previous.second!=0:
#print 'beginning of minute'
self.re_send = 0
self.returned_hist= {}
for security in self.data:
for period in self.context.hist_frame:
if period=='1 min':
goback='120 S'
elif period=='1 day':
goback='2 D'
elif period=='1 hour':
goback='7200 S'
elif period=='4 hours':
goback='1 D'
elif period=='10 mins':
goback='1200 S'
self.req_hist_price(security, endtime=self.stime, goback=goback, barSize=period)
self.set_timer()
self.accountManagerState.set_state(self.accountManagerState.WAIT_FOR_BAR_PRICE_CALLBACK)
if self.accountManagerState.is_state(self.accountManagerState.WAIT_FOR_BAR_PRICE_CALLBACK):
if self.req_hist_price_check_end():
# After receive the new hist, combine them with the old hist
for req_id in self.returned_hist:
#print self.returned_hist[req_id].hist
for security in self.data:
if same_security(security, self.returned_hist[req_id].security):
temp=self.data[security].hist[self.returned_hist[req_id].period]
empty=pd.DataFrame(columns=['open','high','low','close','volume'])
for index in temp.index:
if index not in self.returned_hist[req_id].hist.index:
empty=empty.append(temp.loc[index])
self.data[security].hist[self.returned_hist[req_id].period]=empty.append(self.returned_hist[req_id].hist)
#print empty
#print self.returned_hist[req_id].hist
#print self.data[security].hist[self.returned_hist[req_id].period]
#self.data[security].hist[self.returned_hist[req_id].period]= \
#temp.append(self.returned_hist[req_id].hist.loc[index])
for security in self.data:
for period in self.context.hist_frame:
if len(self.data[security].hist[period])>300:
self.data[security].hist[period]=self.data[security].hist[period][-300:]
#print self.data[security].hist[period]
self.accountManagerState.set_state(self.accountManagerState.EVERY_BAR_RUN)
# Run handle_data regularly
handle_data(self.context, self.data)
#print self.stime
self.stime_previous=self.stime
def order_percent_quantopian(self, security, percent, style=MarketOrder()):
print 'order_percent_quantopian'
import math
for ct in self.data:
if same_security(security, ct):
return self.order_quantopian(security, int(math.floor(self.context.portfolio.portfolio_value/self.data[ct].price)) , style=style)
def order_value_quantopian(self, security, value, style=MarketOrder()):
print 'order_value_quantopian'
import math
for ct in self.data:
if same_security(security, ct):
return self.order_quantopian(security, int(math.floor(value/self.data[ct].price)), style=style)
