def CalculateTotal(self, FX: FXMarket, curRef: Currency = Currency.EUR):
total = Price(0, curRef)
for cur in self.Dictionary.keys():
total = FX.Sum(total, self.Dictionary[cur])
total = FX.Sum(total, self.Fee.Price)
self.Total = total
return total
def __init__(self,
dictionary: dict,
fee=AllocationElement(0., 0., Currency.NONE)):
#self.Date = date
self.Dictionary = dictionary
self.Fee = fee
self.Total = Price(0, Currency.NONE)
def VaR(self,
q: float = 0.05,
returnSize: int = 400,
n: int = 1000,
scale: float = 4,
printCorrelation: bool = True):
C = Copula(list(self.Dictionary.keys()), returnSize)
C.ComputeCorrelation()
if (printCorrelation):
print("Correlation Matrix (" + str(returnSize) + " returns):")
C.PrintCorrelation()
sim = C.Simulate(n)
PnL = []
for i in range(n):
reti = sim[i]
PnLi = 0
j = 0
for cur in C.CurrencyList:
PnLi += self.Dictionary[cur].Percentage * C.Densities[
cur].TransformFromStdNorm(reti[j])
j += 1
PnL += [PnLi]
PnL.sort()
return Price(round(PnL[int(n * q)] * self.Total.Amount * scale, 2),
self.Total.Currency)
def Sum(self, price : Price, Delta : Price):
if price.Currency == Currency.NONE and price.Currency.Amount == 0:
return Delta
else:
if Delta.Currency == Currency.NONE and Delta.Amount ==0:
return price
else:
return Price(price.Amount + self.ConvertPrice(Delta, price.Currency).Amount, price.Currency)
def Download(self, data: pd.DataFrame, curRef: Currency = Currency.EUR):
self.CcyRef = curRef
self.List = []
paidPrice = Price(0, curRef)
receivedPrice = Price(0, curRef)
fees = Price(0, curRef)
for (index, row) in data.iterrows():
if row["type"] == "deposit":
self.List += [
Transaction(TransactionType.Deposit, row["time"],
Price(0, curRef),
Price(row["amount"], row["asset"][1:]),
Price(0, curRef))
]
elif row["type"] == "trade":
asset = row["asset"]
asset = asset[(len(asset) - 3):]
if row["amount"] > 0:
receivedPrice = Price(row["amount"], asset)
elif row["amount"] < 0:
paidPrice = Price(-row["amount"], asset)
else:
raise Exception("Amount free Price")
if row["fee"] > 0:
if fees.Amount == 0:
fees = Price(row["fee"], row["asset"][1:])
else:
raise Exception("Double fees Problem")
if paidPrice.Amount > 0 and receivedPrice.Amount > 0:
self.List += [
Transaction(TransactionType.Trade, row["time"],
paidPrice, receivedPrice, fees)
]
paidPrice = Price(0, curRef)
receivedPrice = Price(0, curRef)
fees = Price(0, curRef)
elif row["type"] == "withdrawal":
asset = row["asset"]
curr = Currency[asset[(len(asset) - 3):]]
paid = Price(-row["amount"], curr)
self.List += [
Transaction(TransactionType.Withdrawals, row["time"], paid,
Price(0, curr), Price(row["fee"], curr))
]
else:
raise Exception("Trade type Unknown")
def ConvertPrice(self, input: Price, output: Currency):
rate = self.GetFXRate(input.Currency, output)
return Price(input.Amount * rate, output)
def Total(self, cur: Currency = Currency.EUR):
usedCur = self.Dictionary.keys.First()
if cur in self.Dictionary.keys():
usedCur = cur
allocCur = self.Dictionary[cur]
return Price(round(allocCur.Amount / allocCur.Percentage, 2), usedCur)
def __init__(self, percentage: float, amount: float, currency: Currency):
if percentage <= 1.0:
self.Percentage = percentage
else:
Exception("Allocation Element > 100%")
self.Price = Price(amount, currency)
XCRateETH1 = XChangeRate(90, Currency("ETH"), Currency("EUR"))
XCRateBTC2 = XChangeRate(1200, Currency("XBT"), Currency("EUR"))
XCRateETH2 = XChangeRate(100, Currency("ETH"), Currency("EUR"))
FXMH = FXMarketHistory()
FXMH.AddXChangeRate(datetime(2017, 1, 1), XCRateBTC0)
FXMH.AddXChangeRate(datetime(2017, 1, 1), XCRateETH0)
FXMH.AddXChangeRate(datetime(2017, 3, 1), XCRateBTC1)
FXMH.AddXChangeRate(datetime(2017, 3, 1), XCRateETH1)
FXMH.AddXChangeRate(datetime(2017, 5, 1), XCRateBTC2)
FXMH.AddXChangeRate(datetime(2017, 5, 1), XCRateETH2)
print(FXMH.ToString)
t1 = Transaction(TransactionType.Deposit, datetime(2017, 2, 1),
Price(0, Currency.NONE), Price(1000, Currency.EUR),
Price(0, Currency.NONE))
t2 = Transaction(TransactionType.Trade, datetime(2017, 2, 15),
Price(500, Currency.EUR), Price(0.5, Currency.XBT),
Price(0, Currency.EUR))
t3 = Transaction(TransactionType.Trade, datetime(2017, 4, 1),
Price(0.25, Currency.XBT), Price(3.4375, Currency.ETH),
Price(0, Currency.EUR))
TL = TransactionList()
TL.SetList([t1, t2, t3])
AH = AllocationHistory(TL, FXMH)
print(AH.ToString)