def handle_data(self, data):
"""
Wrapper around the handle_data method of each algo.
Parameters
----------
data
"""
if not self.is_running:
return
# Resetting the frame stats every day to minimize memory footprint
today = data.current_dt.floor('1D')
if self.current_day is not None and today > self.current_day:
self.frame_stats = list()
new_transactions, new_commissions, closed_orders = \
self.blotter.get_transactions(data)
if len(new_transactions) > 0:
self.perf_tracker.update_performance()
cash, positions_value = self.synchronize_portfolio()
log.info(
'got totals from exchanges, cash: {} positions: {}'.format(
cash, positions_value
)
)
if self._handle_data:
self._handle_data(self, data)
# Unlike trading controls which remain constant unless placing an
# order, account controls can change each bar. Thus, must check
# every bar no matter if the algorithm places an order or not.
self.validate_account_controls()
try:
self._save_stats_csv(self._process_stats(data))
except Exception as e:
log.warn('unable to calculate performance: {}'.format(e))
# TODO: pickle does not seem to work in python 3
try:
save_algo_object(
algo_name=self.algo_namespace,
key='perf_tracker',
obj=self.perf_tracker
)
except Exception as e:
log.warn('unable to save minute perfs to disk: {}'.format(e))
self.current_day = data.current_dt.floor('1D')
def _process_stats(self, data):
today = data.current_dt.floor('1D')
# Since the clock runs 24/7, I trying to disable the daily
# Performance tracker and keep only minute and cumulative
self.perf_tracker.update_performance()
frame_stats = self.prepare_period_stats(
data.current_dt, data.current_dt + timedelta(minutes=1))
# Saving the last hour in memory
self.frame_stats.append(frame_stats)
self.add_pnl_stats(frame_stats)
if self.recorded_vars:
self.add_custom_signals_stats(frame_stats)
recorded_cols = list(self.recorded_vars.keys())
else:
recorded_cols = None
self.add_exposure_stats(frame_stats)
log.info(
'statistics for the last {stats_minutes} minutes:\n'
'{stats}'.format(
stats_minutes=self.stats_minutes,
stats=get_pretty_stats(
stats=self.frame_stats,
recorded_cols=recorded_cols,
num_rows=self.stats_minutes
)
))
# Saving the daily stats in a format usable for performance
# analysis.
daily_stats = self.prepare_period_stats(
start_dt=today,
end_dt=data.current_dt
)
save_algo_object(
algo_name=self.algo_namespace,
key=today.strftime('%Y-%m-%d'),
obj=daily_stats,
rel_path='daily_perf'
)
return recorded_cols
def handle_data(self, data):
if not self.is_running:
return
self._synchronize_portfolio()
transactions = self._check_open_orders()
for transaction in transactions:
self.perf_tracker.process_transaction(transaction)
if self._handle_data:
self._handle_data(self, data)
# Unlike trading controls which remain constant unless placing an
# order, account controls can change each bar. Thus, must check
# every bar no matter if the algorithm places an order or not.
self.validate_account_controls()
try:
# Since the clock runs 24/7, I trying to disable the daily
# Performance tracker and keep only minute and cumulative
self.perf_tracker.update_performance()
minute_stats = self.prepare_period_stats(
data.current_dt, data.current_dt + timedelta(minutes=1))
# Saving the last hour in memory
self.minute_stats.append(minute_stats)
print_df = pd.DataFrame(list(self.minute_stats))
log.debug(
'statistics for the last {stats_minutes} minutes:\n{stats}'.
format(stats_minutes=self.stats_minutes,
stats=get_pretty_stats(print_df, self.stats_minutes)))
today = pd.to_datetime('today', utc=True)
daily_stats = self.prepare_period_stats(
start_dt=today, end_dt=pd.Timestamp.utcnow())
save_algo_object(algo_name=self.algo_namespace,
key=today.strftime('%Y-%m-%d'),
obj=daily_stats,
rel_path='daily_perf')
except Exception as e:
log.warn('unable to calculate performance: {}'.format(e))
try:
save_algo_object(algo_name=self.algo_namespace,
key='perf_tracker',
obj=self.perf_tracker)
except Exception as e:
log.warn('unable to save minute perfs to disk: {}'.format(e))
try:
save_algo_object(algo_name=self.algo_namespace,
key='portfolio_{}'.format(self.exchange.name),
obj=self.exchange.portfolio)
except Exception as e:
log.warn('unable to save portfolio to disk: {}'.format(e))
def handle_data(self, data):
"""
Wrapper around the handle_data method of each algo.
Parameters
----------
data
"""
if not self.is_running:
return
self._synchronize_portfolio()
transactions = self._check_open_orders()
if len(transactions) > 0:
for transaction in transactions:
self.perf_tracker.process_transaction(transaction)
self.perf_tracker.update_performance()
if self._handle_data:
self._handle_data(self, data)
# Unlike trading controls which remain constant unless placing an
# order, account controls can change each bar. Thus, must check
# every bar no matter if the algorithm places an order or not.
self.validate_account_controls()
try:
# Since the clock runs 24/7, I trying to disable the daily
# Performance tracker and keep only minute and cumulative
self.perf_tracker.update_performance()
frame_stats = self.prepare_period_stats(
data.current_dt, data.current_dt + timedelta(minutes=1))
# Saving the last hour in memory
self.frame_stats.append(frame_stats)
self.add_pnl_stats(frame_stats)
if self.recorded_vars:
self.add_custom_signals_stats(frame_stats)
recorded_cols = list(self.recorded_vars.keys())
else:
recorded_cols = None
self.add_exposure_stats(frame_stats)
print_df = pd.DataFrame(list(self.frame_stats))
log.info(
'statistics for the last {stats_minutes} minutes:\n{stats}'.
format(stats_minutes=self.stats_minutes,
stats=get_pretty_stats(stats_df=print_df,
recorded_cols=recorded_cols,
num_rows=self.stats_minutes)))
today = pd.to_datetime('today', utc=True)
daily_stats = self.prepare_period_stats(
start_dt=today, end_dt=pd.Timestamp.utcnow())
save_algo_object(algo_name=self.algo_namespace,
key=today.strftime('%Y-%m-%d'),
obj=daily_stats,
rel_path='daily_perf')
except Exception as e:
log.warn('unable to calculate performance: {}'.format(e))
# TODO: pickle does not seem to work in python 3
try:
save_algo_object(algo_name=self.algo_namespace,
key='perf_tracker',
obj=self.perf_tracker)
except Exception as e:
log.warn('unable to save minute perfs to disk: {}'.format(e))
try:
for exchange_name in self.exchanges:
exchange = self.exchanges[exchange_name]
save_algo_object(algo_name=self.algo_namespace,
key='portfolio_{}'.format(exchange_name),
obj=exchange.portfolio)
except Exception as e:
log.warn('unable to save portfolio to disk: {}'.format(e))