def update_order(self,
ticker,
size,
execute_price,
action_type,
last_avg_price,
long_or_short='long'):
new_value = None
if action_type == ActionType.Sell:
new_value = (self.latest(ticker, long_or_short) +
(execute_price - last_avg_price) * size *
dollar_per_pips(ticker, execute_price))
elif action_type == ActionType.Cover:
new_value = (self.latest(ticker, long_or_short) -
(execute_price - last_avg_price) * size *
dollar_per_pips(ticker, execute_price))
if new_value:
self._append_value(ticker, new_value, long_or_short)
def settle_left_trade(self):
cur_price = self.env.feeds[self.ticker].cur_price
buy_order_type = self._get_order_type(self.buy)
slippage = self.env.recorder.slippage
self.entry_date = self.buy.trading_date
self.entry_price = self.buy.first_cur_price
self.entry_type = f'{buy_order_type} {self.buy.action_type.value}'
self.exit_date = None
self.exit_price = None
self.exit_type = None
self.pl_points = (cur_price -
self.buy.first_cur_price) * self._earn_short()
self.re_pnl = self.pl_points*self.size * \
dollar_per_pips(self.ticker, cur_price)
self.commission = (slippage[self.ticker] * self.size / 1e5 *
dollar_per_pips(self.ticker, self.entry_price))
return self
def _required_cash_func(cls, order: MarketOrder) -> float:
ticker = order.ticker
size = order.size
execute_price = order.execute_price
margin_rate = cls.env.recorder.margin_rate
mult = market_value_multiplayer(order.ticker, execute_price)
slippage = cls.env.recorder.slippage[ticker]
commission = (slippage*size/1e5 *
dollar_per_pips(ticker, execute_price))
return size*execute_price*margin_rate*mult+commission
def update_order(self,
ticker,
cur_price,
new_avg_price,
new_position,
long_or_short='long'):
if new_position == 0:
new_value = 0
else:
earn_short = 1 if long_or_short == 'long' else -1
new_value = ((cur_price - new_avg_price) * new_position *
earn_short * dollar_per_pips(ticker, cur_price))
self._append_value(ticker, new_value, long_or_short)
def update_order(self,
ticker,
size,
execute_price,
action_type,
last_commission,
long_or_short='long'):
slippage = self.env.recorder.slippage[ticker]
if action_type in [ActionType.Buy, ActionType.Short]:
new_value = (
last_commission +
slippage * size / 1e5 * dollar_per_pips(ticker, execute_price))
self._append_value(ticker, new_value, long_or_short)
def generate(self):
sell_order_type = self._get_order_type(self.sell)
buy_order_type = self._get_order_type(self.buy)
slippage = self.env.recorder.slippage
self.entry_date = self.buy.trading_date
self.entry_price = self.buy.first_cur_price
self.entry_type = f'{buy_order_type} {self.buy.action_type.value}'
self.exit_price = self.sell.first_cur_price
self.exit_type = f'{sell_order_type} {self.sell.action_type.value}'
self.pl_points = (self.sell.first_cur_price -
self.buy.first_cur_price) * self._earn_short()
self.re_pnl = self.pl_points*self.size * \
dollar_per_pips(self.ticker, self.exit_price)
self.commission = (slippage[self.ticker] * self.size / 1e5 *
dollar_per_pips(self.ticker, self.entry_price))
if self.env.execute_on_close_or_next_open == 'open':
self.exit_date = self.sell.signal.next_datetime
elif self.env.execute_on_close_or_next_open == 'close':
self.exit_date = self.sell.trading_date
return self