def FormatDataTwapPortfolio(self, portfolio_obj, portfolio_data_list):
common_functions_obj = CCommonFunctions()
portfolio_obj.m_strScripName = portfolio_data_list[0]['ScripName']
temp_date = portfolio_data_list[0]['DateTime'].date()
temp_date = str(temp_date.day) + '-' + str(temp_date.month) + '-' + str(temp_date.year)
print "temp date :" + str(temp_date)
for portfolio_data in portfolio_data_list:
portfolio_obj.m_nCountOfRows += 1
portfolio_obj.m_DatetimeList.append(portfolio_data['DateTime'])
portfolio_obj.m_strOrderIDList.append(portfolio_data['OrderID'])
portfolio_obj.m_strStatusList.append(portfolio_data['Status'])
portfolio_obj.m_nOrderQtyList.append(portfolio_data['OrderQty'])
portfolio_obj.m_fOrderPriceList.append(portfolio_data['OrderPrice'])
portfolio_obj.m_strSideList.append(portfolio_data['Side'])
portfolio_obj.m_nFilledSizeList.append(portfolio_data['FilledSize'])
portfolio_obj.m_fAvgPriceList.append(portfolio_data['AvgPrice'])
portfolio_obj.m_fPriceList.append(portfolio_data['Price'])
portfolio_obj.m_nSizeList.append(portfolio_data['Size'])
if portfolio_data['Status'].upper() == 'COMPLETE':
portfolio_obj.m_OrderCompleteDatetimeList.append(portfolio_data['DateTime'])
portfolio_obj.m_fOrderCompleteAvgPriceList.append(portfolio_data['AvgPrice'])
if not (portfolio_data['Price'].upper() == 'NULL' or portfolio_data['Price'].upper() == 'NONE'):
portfolio_obj.m_OrderExecutionDatetimeList.append(portfolio_data['DateTime'])
portfolio_obj.m_fOrderExecutionFillPriceList.append(portfolio_data['Price'])
portfolio_obj.m_strTimeWindowList = common_functions_obj.GetDateTimeList(temp_date, common_functions_obj.GetWindowList(self.m_nWindowSize)[0])
portfolio_obj.m_strTimeWindowPlotList = common_functions_obj.GetDateTimeList(temp_date, common_functions_obj.GetWindowList(self.m_nWindowSize)[1])
print "displaying portfolio timw window list"
for iter in range(0, len(portfolio_obj.m_strTimeWindowList)):
print str(portfolio_obj.m_strTimeWindowList[iter]) +"\t" + str(portfolio_obj.m_strTimeWindowPlotList[iter])
print "end of display"
return True
def GetStrategyList(self, strategy_log_obj, portfolio_twap_obj):
index_strategy = 0
index_portfolio = 0
common_functions_obj = CCommonFunctions()
while index_strategy < strategy_log_obj.m_nCountOfRows and index_portfolio < len(
portfolio_twap_obj.m_fOrderExecutionFillPriceList):
if common_functions_obj.CompareTime(
strategy_log_obj.m_DatetimeList[index_strategy],
portfolio_twap_obj.m_DatetimeList[index_portfolio]) == -1:
index_strategy += 1
elif common_functions_obj.CompareTime(
strategy_log_obj.m_DatetimeList[index_strategy],
portfolio_twap_obj.m_DatetimeList[index_portfolio]
) == 0 or common_functions_obj.CompareTime(
strategy_log_obj.m_DatetimeList[index_strategy],
portfolio_twap_obj.m_DatetimeList[index_portfolio]) == 1:
strategy_log_obj.m_strStrategyExecutionList.append(
strategy_log_obj.m_strStrategyList[index_strategy - 1])
index_portfolio += 1
# print "displaying Strategy execution list"
# for iter in range(0, len(strategy_log_obj.m_strStrategyExecutionList)):
# print str(strategy_log_obj.m_strStrategyExecutionList[iter])
return True
def GetVwapWindow(self, data_object, list_index, time_window_index):
common_functions_obj = CCommonFunctions()
temp_vol = 0
temp_vwap = 0
while common_functions_obj.CompareTime(
data_object.m_DatetimeList[list_index],
data_object.m_strTimeWindowList[time_window_index]) == -1:
if not data_object.m_nSizeList[list_index] == "NULL":
temp_vol = temp_vol + float(
data_object.m_nSizeList[list_index])
temp_vwap = temp_vwap + float(
data_object.m_nSizeList[list_index]) * float(
data_object.m_fPriceList[list_index])
list_index += 1
if list_index >= len(data_object.m_nSizeList):
break
if not temp_vol == 0:
temp_vwap = temp_vwap / temp_vol
data_object.m_fVwapWindowList.append(temp_vwap)
return list_index
def GetDataMarket(self, market_obj, path, date, scrip, windowInterval):
common_functions_obj = CCommonFunctions()
filename = path + '/' + common_functions_obj.FormatDate(
date) + '/' + scrip.replace(
':', '') + '_' + common_functions_obj.FormatDate(
date) + '_trades.csv'
with open(filename, 'rb') as marketTrade_file_obj:
marketTrade_file_contents = csv.reader(marketTrade_file_obj)
market_obj.m_strScripName = scrip
for row in marketTrade_file_contents:
if row[0].strip() == scrip:
market_obj.m_nCountOfRows += 1
market_obj.m_DatetimeList.append(
common_functions_obj.GetDateTime(
row[2].strip(), row[3].strip()))
market_obj.m_fPriceList.append(float(row[4].strip()))
market_obj.m_nSizeList.append(int(row[5].strip()))
market_obj.m_strTimeWindowList = common_functions_obj.GetDateTimeList(
date,
common_functions_obj.GetWindowList(windowInterval)[0])
market_obj.m_strTimeWindowPlotList = common_functions_obj.GetDateTimeList(
date,
common_functions_obj.GetWindowList(windowInterval)[1])
CCommonFunctions.total_daily_market_volume = sum(
market_obj.m_nSizeList)
return True
def FormatDataPredicted(self, predicted_obj, predicted_data_list):
common_functions_obj = CCommonFunctions()
temp_date = predicted_data_list[0]['DateTime'].date()
temp_date = str(temp_date.day) + '-' + str(temp_date.month) + '-' + str(temp_date.year)
for predicted_data in predicted_data_list:
predicted_obj.m_nCountOfRows += 1
predicted_obj.m_DatetimeList.append(predicted_data['DateTime'])
predicted_obj.m_nSizeList.append(predicted_data['Size'])
predicted_obj.m_strTimeWindowList = common_functions_obj.GetDateTimeList(temp_date, common_functions_obj.GetWindowList(self.m_nWindowSize)[0])
predicted_obj.m_strTimeWindowPlotList = common_functions_obj.GetDateTimeList(temp_date, common_functions_obj.GetWindowList(self.m_nWindowSize)[1])
return True
def FormatDataFuture(self, future_obj, future_data_list):
common_functions_obj = CCommonFunctions()
temp_date = future_data_list[0]['DateTime'].date()
temp_date = str(temp_date.day) + '-' + str(temp_date.month) + '-' + str(temp_date.year)
future_obj.m_strScripName = future_data_list[0]['ScripName']
for future_data in future_data_list:
future_obj.m_nCountOfRows += 1
future_obj.m_DatetimeList.append(future_data['DateTime'])
future_obj.m_fPriceList.append(future_data['Price'])
future_obj.m_strTimeWindowList = common_functions_obj.GetDateTimeList(temp_date, common_functions_obj.GetWindowList(self.m_nWindowSize)[0])
future_obj.m_strTimeWindowPlotList = common_functions_obj.GetDateTimeList(temp_date, common_functions_obj.GetWindowList(self.m_nWindowSize)[1])
return True
def FormatDataMarket(self, market_obj, market_data_list):
common_functions_obj = CCommonFunctions()
market_obj.m_strScripName = market_data_list[0]['ScripName']
temp_date = market_data_list[0]['DateTime'].date()
temp_date = str(temp_date.day) + '-' + str(temp_date.month) + '-' + str(temp_date.year)
for market_data in market_data_list:
market_obj.m_nCountOfRows += 1
market_obj.m_DatetimeList.append(market_data['DateTime'])
market_obj.m_fPriceList.append(market_data['Price'])
market_obj.m_nSizeList.append(market_data['Size'])
market_obj.m_strTimeWindowList = common_functions_obj.GetDateTimeList(temp_date, common_functions_obj.GetWindowList(self.m_nWindowSize)[0])
market_obj.m_strTimeWindowPlotList = common_functions_obj.GetDateTimeList(temp_date, common_functions_obj.GetWindowList(self.m_nWindowSize)[1])
CCommonFunctions.total_daily_market_volume = sum(market_obj.m_nSizeList)
return True
def GetVolWindow(self, data_object, list_index, time_window_index):
common_functions_obj = CCommonFunctions()
temp_vol = 0
while common_functions_obj.CompareTime(
data_object.m_DatetimeList[list_index],
data_object.m_strTimeWindowList[time_window_index]) == -1:
if not data_object.m_nSizeList[list_index] == "NULL":
temp_vol = temp_vol + float(
data_object.m_nSizeList[list_index])
list_index += 1
if list_index >= len(data_object.m_nSizeList):
break
data_object.m_nVolumeWindowList.append(temp_vol)
return list_index
def GetDataStrategyLogs(self, strategy_log_obj, path, date, filename):
common_functions_obj = CCommonFunctions()
filename = path + '/' + common_functions_obj.FormatDate(
date) + '/' + filename
strategy_logs_file_obj = open(filename)
strategy_logs_file_contents = strategy_logs_file_obj.read().split('\n')
utils_ntwap_obj = CUtilsNtwap()
for row in strategy_logs_file_contents:
row = utils_ntwap_obj.FormatRow(row)
if len(row) > 0 and not utils_ntwap_obj.GetPrice(row) == 'nan':
temp_timestamp = utils_ntwap_obj.GetTimeStamp(row)
temp_price = utils_ntwap_obj.GetPrice(row)
temp_strategy = utils_ntwap_obj.GetStrategy(row)
strategy_log_obj.m_nCountOfRows += 1
strategy_log_obj.m_DatetimeList.append(
common_functions_obj.GetDateTimeStrategyLog(
date, temp_timestamp))
strategy_log_obj.m_fPriceList.append(float(temp_price))
strategy_log_obj.m_strStrategyList.append(temp_strategy)
return True
def GetStrategyList(self, strategy_log_obj, portfolio_twap_obj):
index_strategy = 0
index_portfolio = 0
common_functions_obj = CCommonFunctions()
while index_strategy < strategy_log_obj.m_nCountOfRows and index_portfolio < len(
portfolio_twap_obj.m_fOrderExecutionFillPriceList):
if common_functions_obj.CompareTime(
strategy_log_obj.m_DatetimeList[index_strategy],
portfolio_twap_obj.m_DatetimeList[index_portfolio]) == -1:
index_strategy += 1
elif common_functions_obj.CompareTime(
strategy_log_obj.m_DatetimeList[index_strategy],
portfolio_twap_obj.m_DatetimeList[index_portfolio]
) == 0 or common_functions_obj.CompareTime(
strategy_log_obj.m_DatetimeList[index_strategy],
portfolio_twap_obj.m_DatetimeList[index_portfolio]) == 1:
strategy_log_obj.m_strStrategyExecutionList.append(
strategy_log_obj.m_strStrategyList[index_strategy - 1])
index_portfolio += 1
return True
def GetDataCash(self, cash_obj, path, date, scrip, windowInterval):
common_functions_obj = CCommonFunctions()
filename = path + '/' + common_functions_obj.FormatDate(
date) + '/' + scrip + '_' + common_functions_obj.FormatDate(
date) + '_trades.csv'
with open(filename, 'rb') as cash_file_obj:
cash_file_contents = csv.reader(cash_file_obj)
cash_obj.m_strScripName = scrip
for row in cash_file_contents:
if row[0].strip() == scrip:
cash_obj.m_nCountOfRows += 1
cash_obj.m_DatetimeList.append(
common_functions_obj.GetDateTime(
row[2].strip(), row[3].strip()))
cash_obj.m_fPriceList.append(float(row[4].strip()))
cash_obj.m_strTimeWindowList = common_functions_obj.GetDateTimeList(
date,
common_functions_obj.GetWindowList(windowInterval)[0])
cash_obj.m_strTimeWindowPlotList = common_functions_obj.GetDateTimeList(
date,
common_functions_obj.GetWindowList(windowInterval)[1])
return True
def GetDataPredicted(self, predicted_obj, path, date, scrip,
windowInterval):
common_functions_obj = CCommonFunctions()
filename = path + '/' + common_functions_obj.FormatDate(
date) + '/' + scrip.replace(':', '') + '.csv'
with open(filename, 'rb') as predicted_file_obj:
predicted_file_contents = csv.reader(predicted_file_obj)
predicted_obj.m_strScripName = scrip
for row in predicted_file_contents:
predicted_obj.m_nCountOfRows += 1
predicted_obj.m_DatetimeList.append(
common_functions_obj.GetDateTime(
date, common_functions_obj.FormatTime(row[0].strip())))
predicted_obj.m_nSizeList.append(float(row[1].strip()))
predicted_obj.m_strTimeWindowList = common_functions_obj.GetDateTimeList(
date,
common_functions_obj.GetWindowList(windowInterval)[0])
predicted_obj.m_strTimeWindowPlotList = common_functions_obj.GetDateTimeList(
date,
common_functions_obj.GetWindowList(windowInterval)[1])
return True
def GetDataTwapPortfolio(self, portfolio_twap_obj, path, input_date,
filename, scrip, windowInterval):
common_functions_obj = CCommonFunctions()
filename = path + '/' + common_functions_obj.FormatDate(
input_date) + '/' + filename
with open(filename, 'rb') as portfolio_file_obj:
portfolio_file_contents = csv.reader(portfolio_file_obj)
portfolio_twap_obj.m_strScripName = scrip
for row in portfolio_file_contents:
if row[1].strip() == scrip:
temp_datetime = row[0].strip().split(' ')
date = temp_datetime[0]
time = temp_datetime[1]
portfolio_twap_obj.m_nCountOfRows += 1
portfolio_twap_obj.m_DatetimeList.append(
common_functions_obj.GetDateTimePortfolio(date, time))
portfolio_twap_obj.m_strOrderIDList.append(row[2].strip())
portfolio_twap_obj.m_strStatusList.append(row[3].strip())
portfolio_twap_obj.m_nOrderQtyList.append(
int(row[4].strip()))
portfolio_twap_obj.m_fOrderPriceList.append(
float(row[5].strip()))
portfolio_twap_obj.m_strSideList.append(row[6].strip())
portfolio_twap_obj.m_nFilledSizeList.append(row[7].strip())
portfolio_twap_obj.m_fAvgPriceList.append(row[8].strip())
portfolio_twap_obj.m_fPriceList.append(row[9].strip())
portfolio_twap_obj.m_nSizeList.append(row[10].strip())
portfolio_twap_obj.m_FillDateTimeList.append(
common_functions_obj.GetDateTimePortfolio(date, time))
if row[3].strip().upper() == 'COMPLETE':
portfolio_twap_obj.m_OrderCompleteDatetimeList.append(
common_functions_obj.GetDateTimePortfolio(
date, time))
portfolio_twap_obj.m_fOrderCompleteAvgPriceList.append(
row[8].strip())
if not row[9].strip().upper() == 'NONE':
portfolio_twap_obj.m_OrderExecutionDatetimeList.append(
common_functions_obj.GetDateTimePortfolio(
date, time))
portfolio_twap_obj.m_fOrderExecutionFillPriceList.append(
row[9].strip())
portfolio_twap_obj.m_strTimeWindowList = common_functions_obj.GetDateTimeList(
input_date,
common_functions_obj.GetWindowList(windowInterval)[0])
portfolio_twap_obj.m_strTimeWindowPlotList = common_functions_obj.GetDateTimeList(
input_date,
common_functions_obj.GetWindowList(windowInterval)[1])
return True