def get_roll_state_required(
roll_data: RollDataWithStateReporting) -> RollState:
invalid_input = True
while invalid_input:
roll_data.display_roll_query_banner()
roll_state_required_as_str = print_menu_of_values_and_get_response(
roll_data.allowable_roll_states_as_list_of_str)
if roll_state_required_as_str != roll_data.original_roll_status_as_string:
# check if changing
print("")
okay_to_change = true_if_answer_is_yes(
"Changing roll state for %s from %s to %s, are you sure y/n to try again/<RETURN> to exit: "
% (
roll_data.instrument_code,
roll_data.original_roll_status_as_string,
roll_state_required_as_str,
),
allow_empty_to_return_none=True)
print("")
if okay_to_change is None:
return no_change_required
if okay_to_change:
# happy
return RollState[roll_state_required_as_str]
else:
print("OK. Choose again.")
# back to top of loop
continue
else:
print("No change")
return no_change_required
def _get_roll_adjusted_multiple_prices_object_ffill_option(data: dataBlob,
instrument_code: str) \
-> rollingAdjustedAndMultiplePrices:
## returns failure if goes wrong
try_forward_fill = \
true_if_answer_is_yes("Do you want to try forward filling prices first (less accurate, but guarantees roll)? [y/n]")
if not try_forward_fill:
print("OK, nothing I can do")
return failure
try:
rolling_adj_and_mult_object = rollingAdjustedAndMultiplePrices(
data, instrument_code, allow_forward_fill=True)
## We do this as getting the object doesn't guarantee it works
_unused_ = rolling_adj_and_mult_object.updated_multiple_prices
except Exception as e:
print(
"Error %s when trying to calculate roll prices, even when forward filling"
% str(e))
return failure
return rolling_adj_and_mult_object
def interactively_get_config_overrides_for_cleaning(data) -> priceFilterConfig:
default_config = get_config_for_price_filtering(data)
print("Current data cleaning configuration: %s" % str(default_config))
make_changes = true_if_answer_is_yes("Make changes?")
if make_changes:
new_config = get_field_names_for_named_tuple(default_config)
print("New config %s" % str(new_config))
return new_config
else:
return default_config
def account_curve_report(data: dataBlob):
run_full_report = true_if_answer_is_yes('Run normal full report? (alternative is customise dates)')
if run_full_report:
start_date = arg_not_supplied
end_date = arg_not_supplied
else:
start_date, end_date = get_report_dates()
report_config = email_or_print_or_file(account_curve_report_config)
report_config.modify_kwargs(
start_date=start_date, end_date=end_date
)
run_report(report_config, data = data)
def adjust_capital_for_delta(data: dataBlob):
data_capital = dataCapital(data)
capital_delta = get_and_convert(
"What change have you made to brokerage account that will not change capital +ve deposit, -ve withdrawal",
type_expected=float,
)
old_capital = data_capital.get_series_of_broker_capital()[-1]
new_capital = old_capital + capital_delta
user_wants_adjustment = true_if_answer_is_yes(
"New brokerage capital will be %f, are you sure? " % new_capital)
if user_wants_adjustment:
data_capital.total_capital_calculator.adjust_broker_account_for_delta(
capital_delta)
def roll_adjusted_and_multiple_prices(
data: dataBlob,
instrument_code: str,
confirm_adjusted_price_change: bool = True) -> status:
"""
Roll multiple and adjusted prices
THE POSITION MUST BE ZERO IN THE PRICED CONTRACT! WE DON'T CHECK THIS HERE
:param data: dataBlob
:param instrument_code: str
:return:
"""
print(landing_strip(80))
print("")
print("Rolling adjusted prices!")
print("")
rolling_adj_and_mult_object = get_roll_adjusted_multiple_prices_object(
data=data, instrument_code=instrument_code)
if rolling_adj_and_mult_object is failure:
print("Error %s when trying to calculate roll prices" % str(e))
return failure
rolling_adj_and_mult_object.compare_old_and_new_prices()
if confirm_adjusted_price_change:
is_okay_to_roll = true_if_answer_is_yes(
"Confirm roll adjusted prices for %s are you sure y/n:" %
instrument_code)
if not is_okay_to_roll:
print(
"\nUSER DID NOT WANT TO ROLL: Setting roll status back to previous state"
)
return failure
else:
print_with_landing_strips_around(
"AUTO ROLLING - NO USER CONFIRMATION REQUIRED")
try:
rolling_adj_and_mult_object.write_new_rolled_data()
except Exception as e:
data.log.warn(
"%s went wrong when rolling: Going to roll-back to original multiple/adjusted prices"
% e)
rolling_adj_and_mult_object.rollback()
return failure
return success
def setup_initial_capital(data: dataBlob):
(
broker_account_value,
total_capital,
maximum_capital,
acc_pandl,
) = get_initial_capital_values_from_user(data)
user_agrees_to_do_this = true_if_answer_is_yes(
"Are you *REALLY* sure about this? Will delete all existing capital (not for individual strategies)?"
)
if user_agrees_to_do_this:
data_capital = dataCapital(data)
data_capital.total_capital_calculator.create_initial_capital(
broker_account_value,
total_capital=total_capital,
maximum_capital=maximum_capital,
acc_pandl=acc_pandl,
are_you_really_sure=True,
)
def modify_any_value(data: dataBlob):
data_capital = dataCapital(data)
(
broker_account_value,
total_capital,
maximum_capital,
acc_pandl,
) = get_values_from_user_to_modify(data=data)
ans_is_yes = true_if_answer_is_yes(
"Sure about this? May cause subtle weirdness in capital calculations?")
if ans_is_yes:
data_capital.total_capital_calculator.modify_account_values(
broker_account_value=broker_account_value,
total_capital=total_capital,
maximum_capital=maximum_capital,
acc_pandl=acc_pandl,
propagate=True)
def get_auto_roll_parameters() -> autoRollParameters:
min_volume = get_and_convert(
"Minimum relative volume before rolling",
type_expected=float,
allow_default=True,
default_value=0.1,
)
manual_prompt_for_position = true_if_answer_is_yes(
"Manually prompt for state if have position? (y/n)")
if manual_prompt_for_position:
state_when_position_held = no_change_required
else:
state_when_position_held = get_state_to_use_for_held_position()
auto_parameters = autoRollParameters(
min_volume=min_volume,
manual_prompt_for_position=manual_prompt_for_position,
state_when_position_held=state_when_position_held,
)
return auto_parameters
def update_capital_from_ib(data: dataBlob):
data_capital = dataCapital(data)
broker_account_value = get_broker_account_value(data)
try:
total_capital = (
data_capital.
update_and_return_total_capital_with_new_broker_account_value(
broker_account_value))
print("New total capital is %s" % total_capital)
except LargeCapitalChange:
ans_is_yes = true_if_answer_is_yes(
"Do you want to try again, without checking for large capital changes??"
)
if ans_is_yes:
total_capital = data_capital.update_and_return_total_capital_with_new_broker_account_value(
broker_account_value, check_limit=A_VERY_LARGE_NUMBER)
else:
print("Capital not updated")
return failure
print("New total capital is %s" % str(total_capital))
def build_and_write_roll_calendar(
instrument_code,
output_datapath=arg_not_supplied,
check_before_writing=True,
input_prices=arg_not_supplied,
input_config=arg_not_supplied,
):
if output_datapath is arg_not_supplied:
print(
"*** WARNING *** This will overwrite the provided roll calendar. Might be better to use a temporary directory!"
)
else:
print("Writing to %s" % output_datapath)
if input_prices is arg_not_supplied:
prices = arcticFuturesContractPriceData()
else:
prices = input_prices
if input_config is arg_not_supplied:
rollparameters = mongoRollParametersData()
else:
rollparameters = input_config
csv_roll_calendars = csvRollCalendarData(output_datapath)
dict_of_all_futures_contract_prices = prices.get_all_prices_for_instrument(
instrument_code)
dict_of_futures_contract_prices = dict_of_all_futures_contract_prices.final_prices(
)
roll_parameters_object = rollparameters.get_roll_parameters(
instrument_code)
# might take a few seconds
print("Prepping roll calendar... might take a few seconds")
roll_calendar = rollCalendar.create_from_prices(
dict_of_futures_contract_prices, roll_parameters_object)
# checks - this might fail
roll_calendar.check_if_date_index_monotonic()
# this should never fail
roll_calendar.check_dates_are_valid_for_prices(
dict_of_futures_contract_prices)
# Write to csv
# Will not work if an existing calendar exists
if check_before_writing:
check_happy_to_write = true_if_answer_is_yes(
"Are you ok to write this csv to path %s/%s.csv? [might be worth writing and hacking manually]?"
% (csv_roll_calendars.datapath, instrument_code))
else:
check_happy_to_write = True
if check_happy_to_write:
print("Adding roll calendar")
csv_roll_calendars.add_roll_calendar(instrument_code,
roll_calendar,
ignore_duplication=True)
else:
print("Not writing")
return roll_calendar