class Portfolio(object):
"""
Portfolio class
"""
def __init__(self, capital = 0, buy = "BUY", sell = "SELL",
limit = 0, allow_short = True, TS = datetime.datetime.now(),
validate_mode = False):
"""
kwargs
------
buy
buy code
sell
sell code
limit
the amount beyond which cash shouldn't fall
allow_short
allow for short trades
If True, negative positions are included
"""
self._cash = Cash(capital, TS = TS)
self._trades = []
self._default_columns = ['TS', 'S', 'Q', 'P', 'M', 'V']
self._buy = buy
self._sell = sell
self._limit = limit
self.metrics = Metrics(self)
def __repr__(self):
df = DataFrame(self._trades).set_index("TS")
return "Balance: {B}, Transactions: {T}".format \
(B = self.cash_balance, T = len(df))
def __add__(self, pf):
"""
Adds two portfolios
"""
return self.summary + pf.summary
def __sub__(self, pf):
"""
Shows the difference between two portfolios
"""
return self.summary - pf.summary
def validate_trades(self, replace = False):
"""
Validates all the trades
replace
If True, replace the existing trades with validated trades
Use this option with caution since it reconstructs the entire
portfolio
"""
return self.cash_ledger()[self.cash_ledger().balance < self._limit]
def validate_positions(self):
"""
Validates for positions
"""
trades = self.trades.groupby("S")["Q"].cumsum()
return self.trades[trades < 0] #TO DO: A better algorithm
def add_funds(self, A, TS = None, I = "Capital", **kwargs):
"""
Add funds to this portfolio
Parameters
----------
A : Amount of funds
TS: Date/time in specified format
"""
return self._cash.add(A, TS, I = I, **kwargs)
def withdraw_funds(self, A, TS = None, **kwargs):
"""
withdraw funds from this portfolio
Parameters
----------
A: Amount of cash to be withdrawn
TS: Date/time in specified format
"""
return self._cash.wd(A, TS, **kwargs)
def expense(self, A, TS = None, **kwargs):
"""
Add an expense
"""
return self._cash.wd(A, TS, I = "Expense", **kwargs)
def cash_ledger(self, from_period = None, to_period = None, freq = None):
"""
Display the cash ledger
"""
return self._cash.ledger(from_period, to_period, freq)
@property
def cash_balance(self):
"""
Gets the current funds position
"""
return self._cash.balance
def add_trades(self,S,Q,P,M, I = "Trade", TS=None,**kwargs):
"""
Add trades to the existing portfolio
Parameters
----------
S: Symbol. string
Ticker or stock symbol
Q: Qty. integer
The number of shares traded
P: Price. float
price at the which the shares are traded
M: Mode. string
Whether the stocks are bought or sold
B for bought and S for sold.
TS: timestamp. date/time in YY-MM-DD HH:MM:SS format
or any valid python datetime
Time of order execution
By default, the present time is taken
**kwargs
--------
You could use any number of arguments. Each keyword is stored as a
separate column of information. To get best reports, try to be
consistent with keywords and value
"""
dct = kwargs.copy()
dct.update([('S', S), ('Q', Q if M == self._buy else -Q), ('P', P),
('M', M), ('TS', TS)])
self._trades.append(dct)
if M == self._buy:
self.withdraw_funds(P * Q, TS = TS, I = I)
else:
self.add_funds(P * Q, TS = TS, I = I)
return self._trades
def add_trades_from_file(self, filename, mappings = None, **options):
"""
Add trades from a csv file
filename: filename with path
The header names must match with the default column names.
If not, a corresponding mapping must be provided.
Columns not in the existing dataframe are considered new columns
mappings: dict
dictionary mapping headers in the file to default dataframe columns
**options
Any of the options that could be passed to the pandas read_csv function
"""
df = read_csv(filename, **options)
if mappings is not None:
df.columns = _map_columns(df.columns, mappings)
self._trades = concat([self._trades, df])
self._set_Q_V()
return self._trades['TS', 'S', 'Q', 'P', 'M']
def weights(self, method = "transaction", S = None, **kwargs):
"""
Get the current weights of the all the stocks in portfolio
By default, weights for all the stocks are returned
Use S to restrict the stocks
method
method to calculate weights
In case of valuation, a price dataframe to be given
'transaction' - based on BUY and SELL
'valuation' - based on present price
S: Symbol. string or list.
Symbol or list of symbols for which weight is required
"""
df = self.summary[self.summary.Q != 0]
return n(df.V)
def weight_history(self, S, freq = "M"):
"""
Get the weight history for a symbol
S
Symbol
freq
frequency to calculate history
"""
pass
@property
def trades(self):
"""
Gets the list of trades
"""
return DataFrame(self._trades).set_index("TS")
@property
def summary(self):
"""
Provides a summary of the portfolio by symbols
"""
df = DataFrame(self._trades)
df["V"] = df.P * -df.Q
return df.groupby("S").agg({"Q": sum, "V": sum})
def clear_trades(self):
"""
Clear all trades
"""
self._trades = []
@property
def holdings(self):
"""
Gets the list of positions
"""
return DataFrame(self._trades).groupby(['S']).agg({'Q': np.sum})
def valuation(self, price):
"""
Get the current valuation
price
current price of the stocks as series
"""
df = DataFrame(self._trades).groupby("S").agg({"Q": sum})
df["P"] = price.ix[df.index]
df["V"] = df.Q * df.P
return df
def price(self, method = 'average'):
"""
Average price of the shares
"""
df = DataFrame(self._trades)
df["V"] = df.Q * df.P + 0.0
df2 = df.groupby(["S", "M"]).agg({"Q": sum, "V": sum}).unstack()
return df2.V/df2.Q
def infer(self, what, FROM, relation, function):
"""
Infer required columns from existing columns
"""
pass
def f(self, f):
"""
Filter trades based on conditions
f
Any valid pandas dataframe query
"""
df = DataFrame(self._trades)
return df.query(f)
def test_transactions():
cash = Cash(10000)
cash.add(10000)
cash.add(-2000) # The negative sign has no effect
assert cash.balance == 22000
cash.wd(5000)
cash.wd(-5000) # Again, this has no effect
assert cash.balance == 12000
def test_transactions():
cash = Cash(10000)
cash.add(10000)
cash.add(-2000) # The negative sign has no effect
assert cash.balance == 22000
cash.wd(5000)
cash.wd(-5000) # Again, this has no effect
assert cash.balance == 12000
def __init__(self, capital = 0, buy = "BUY", sell = "SELL",
limit = 0, allow_short = True, TS = datetime.datetime.now(),
validate_mode = False):
"""
kwargs
------
buy
buy code
sell
sell code
limit
the amount beyond which cash shouldn't fall
allow_short
allow for short trades
If True, negative positions are included
"""
self._cash = Cash(capital, TS = TS)
self._trades = []
self._default_columns = ['TS', 'S', 'Q', 'P', 'M', 'V']
self._buy = buy
self._sell = sell
self._limit = limit
self.metrics = Metrics(self)
class TestCash(unittest.TestCase):
cash = Cash(10000, TS="2014-01-01")
assert cash.balance == 10000
def add_cash(self):
receipts = [(5000, "2014-01-01", "Salary"),
(6000, "2014-02-06", "Lottery"),
(5000, "2014-02-10", "Salary"),
(5000, "2014-04-10", "Salary"),
(3000, "2014-05-06", "Debt")]
[self.cash.add(A=a, TS=t, I=i) for (a, t, i) in receipts]
def withdraw_cash(self):
payments = [
(1000, "2014-01-10", "Grocery"), (1000, "2014-01-17", "Party"),
(5000, "2014-01-20", "Rent"), (1200, "2014-02-10", "Party"),
(850, "2014-02-17", "Grocery"), (3100, "2014-03-01", "Medicine"),
(600, "2014-03-10", "Grocery"), (600, "2014-03-18", "Party"),
(3000, "2014-04-01", "Medicine"), (5000, "2014-04-10", "Rent"),
(1000, "2014-04-25", "Grocery"), (800, "2014-04-10", "Grocery")
]
[self.cash.wd(A=a, TS=t, I=i) for (a, t, i) in payments]
assert self.cash.balance == 7850
def test_initialize():
cash = Cash()
assert cash.balance == 0
cash = Cash(10000)
assert cash.balance == 10000