def getCurrentReturn(liveAlgInfo, stopStep, Cash=None):
originalNameSpace = namespace_manager.get_namespace()
namespace_manager.set_namespace("")
alginfo = meTools.memGet(meSchema.meAlg, meTools.buildAlgKey(1))
namespace_manager.set_namespace(originalNameSpace)
if Cash is not None:
startCash = Cash
else:
startCash = alginfo.Cash
stopStepQuotes = princeFunc.getStepQuotes(stopStep)
for liveAlgKey in liveAlgInfo:
positions = eval(liveAlgInfo[liveAlgKey].Positions)
positionsValue = 0.0
for symbol in positions:
currentPrice = stopStepQuotes[symbol]
posPrice = positions[symbol]["Price"]
shares = positions[symbol]["Shares"]
positionsValue += (currentPrice - posPrice) * shares
liveAlgInfo[liveAlgKey].PosVal = positionsValue
liveAlgInfo[liveAlgKey].percentReturn = (
liveAlgInfo[liveAlgKey].PosVal + liveAlgInfo[liveAlgKey].PandL
) / startCash
liveAlgInfo[liveAlgKey].numTrades = len(eval(liveAlgInfo[liveAlgKey].CashDelta))
history = eval(liveAlgInfo[liveAlgKey].history)
history.appendleft({"step": stopStep, "return": liveAlgInfo[liveAlgKey].percentReturn})
liveAlgInfo[liveAlgKey].history = repr(history)
return liveAlgInfo
def getBackTestReturns(memkeylist, stopStep, stats, namespace):
''' Using list(set()) to de-duplicate key list. '''
algkeys = list(set([key.split('_')[-1] for key in stats]))
algs = meTools.memGet_multi(meSchema.meAlg,algkeys)
cuekeys = [algs[key].BuyCue for key in algs]
cuekeys.extend([algs[key].SellCue for key in algs])
cuekeys = list(set(cuekeys))
tradecues = meTools.memGet_multi(meSchema.tradeCue,cuekeys)
stopStepQuotes = princeFunc.getStepQuotes(stopStep)
backTestReturns = {}
# Pre-populate dict to avoid doing __contains__ on every key.
for memkey in stats:
algkey = memkey.split('_')[-1]
startMonth = memkey.split('_')[0]
if not backTestReturns.__contains__(algkey):
buycue = tradecues[algs[algkey].BuyCue]
sellcue = tradecues[algs[algkey].SellCue]
fingerprint = { 'buy' : [buycue.QuoteDelta, buycue.TimeDelta],
'sell' : [sellcue.QuoteDelta, sellcue.TimeDelta] }
backTestReturns[algkey] = {'fingerprint' : fingerprint, 'returns' : {} }
for memkey in stats:
algkey = memkey.split('_')[-1] # Memkey has form: startStep_stopStep_algKey
startMonth = memkey.split('_')[0]
testStopStep = memkey.split('_')[1]
positionsValue = 0.0
for key in stats[memkey]['Positions']:
currentPrice = stopStepQuotes[key]
posPrice = stats[memkey]['Positions'][key]['Price']
shares = stats[memkey]['Positions'][key]['Shares']
positionsValue += (currentPrice-posPrice)*shares
stepReturn = (positionsValue + stats[memkey]['PandL'])/algs[algkey].Cash
# 'algKey' :
# { 'fingerprint' : 'buy = TradeCue, TimeDelta : sell = TradeCue, TimeDelta',
# 'returns' :
# { 'startMonth(1)' :
# { 'return' : 'x1%', 'PandL' : '$y1', 'PosVal' : '$z1'},
# 'startMonth(2)' :
# { 'return' : 'x2%', 'PandL' : '$y2', 'PosVal' : '$z2'}
# }
backTestReturns[algkey]['returns'][int(startMonth)] = {'return' : stepReturn,
'lastBuy' : stats[memkey]['lastBuy'],
'lastSell' : stats[memkey]['lastSell'],
'numTrades' : len(stats[memkey]['CashDelta']),
'PandL' : stats[memkey]['PandL'],
'PosVal' : positionsValue,
'stopStep' : int(testStopStep),
'CashDelta' : repr(stats[memkey]['CashDelta']),
'Positions' : repr(stats[memkey]['Positions'])}
return backTestReturns
