def _get_positions_from_broker(self):
"""
get the positions from the broker and update zipline objects ( the ledger )
should be used once at startup and once every time we want to refresh the positions array
"""
cur_pos_in_tracker = self.metrics_tracker.positions
positions = self._api.list_positions()
for ap_position in positions:
# ap_position = positions[symbol]
try:
z_position = zp.Position(
zp.InnerPosition(symbol_lookup(ap_position.symbol)))
editable_position = zp.MutableView(z_position)
except SymbolNotFound:
# The symbol might not have been ingested to the db therefore
# it needs to be skipped.
log.warning(
'Wanted to subscribe to %s, but this asset is probably not ingested'
% ap_position.symbol)
continue
if int(ap_position.qty) == 0:
continue
editable_position._underlying_position.amount = int(
ap_position.qty)
editable_position._underlying_position.cost_basis = float(
ap_position.avg_entry_price)
editable_position._underlying_position.last_sale_price = float(
ap_position.current_price)
editable_position._underlying_position.last_sale_date = self._api.get_last_trade(
ap_position.symbol).timestamp
self.metrics_tracker.update_position(
z_position.asset,
amount=z_position.amount,
last_sale_price=z_position.last_sale_price,
last_sale_date=z_position.last_sale_date,
cost_basis=z_position.cost_basis)
# now let's sync the positions in the internal zipline objects
position_names = [p.symbol for p in positions]
assets_to_update = [
] # separate list to not change list while iterating
for asset in cur_pos_in_tracker:
if asset.symbol not in position_names:
assets_to_update.append(asset)
for asset in assets_to_update:
# deleting object from the metrics_tracker as its not in the portfolio
self.metrics_tracker.update_position(asset, amount=0)
# for some reason, the metrics tracker has self.positions AND self.portfolio.positions. let's make sure
# these objects are consistent
self.metrics_tracker._ledger._portfolio.positions = self.metrics_tracker.positions
def __init__(
self, asset, amount=0, cost_basis=0.0, last_sale_price=0.0, last_sale_date=None
):
inner = zp.InnerPosition(
asset=asset,
amount=amount,
cost_basis=cost_basis,
last_sale_price=last_sale_price,
last_sale_date=last_sale_date,
pnl_realized=PnlRealized(),
lots=set(),
)
object.__setattr__(self, "inner_position", inner)
object.__setattr__(self, "protocol_position", zp.Position(inner))
def __init__(self,
asset,
amount=0,
cost_basis=0.0,
last_sale_price=0.0,
last_sale_date=None):
inner = zp.InnerPosition(
asset=asset,
amount=amount,
cost_basis=cost_basis,
last_sale_price=last_sale_price,
last_sale_date=last_sale_date,
)
object.__setattr__(self, 'inner_position', inner)
object.__setattr__(self, 'protocol_position', zp.Position(inner))
def _get_positions_from_broker(self):
"""
get the positions from the broker and update zipline objects ( the ledger )
should be used once at startup and once every time we want to refresh the positions array
"""
cur_pos_in_tracker = self.metrics_tracker.positions
for symbol in self._tws.positions:
ib_position = self._tws.positions[symbol]
try:
z_position = zp.Position(
zp.InnerPosition(symbol_lookup(symbol)))
editable_position = MutableView(z_position)
except SymbolNotFound:
# The symbol might not have been ingested to the db therefore
# it needs to be skipped.
log.warning(
'Wanted to subscribe to %s, but this asset is probably not ingested'
% symbol)
continue
editable_position._underlying_position.amount = int(
ib_position.position)
editable_position._underlying_position.cost_basis = float(
ib_position.average_cost)
# Check if symbol exists in bars df
if symbol in self._tws.bars:
editable_position._underlying_position.last_sale_price = \
float(self._tws.bars[symbol].last_trade_price.iloc[-1])
editable_position._underlying_position.last_sale_date = \
self._tws.bars[symbol].index.values[-1]
else:
# editable_position._underlying_position.last_sale_price = None # this cannot be set to None. only numbers.
editable_position._underlying_position.last_sale_date = None
self.metrics_tracker.update_position(
z_position.asset,
amount=z_position.amount,
last_sale_price=z_position.last_sale_price,
last_sale_date=z_position.last_sale_date,
cost_basis=z_position.cost_basis)
for asset in cur_pos_in_tracker:
if asset.symbol not in self._tws.positions:
# deleting object from the metrcs_tracker as its not in the portfolio
self.metrics_tracker.update_position(asset, amount=0)
# for some reason, the metrics tracker has self.positions AND self.portfolio.positions. let's make sure
# these objects are consistent
# (self.portfolio.positions is self.metrics_tracker._ledger._portfolio.positions)
# (self.metrics_tracker.positions is self.metrics_tracker._ledger.position_tracker.positions)
self.metrics_tracker._ledger._portfolio.positions = self.metrics_tracker.positions
def _get_positions_from_broker(self):
"""
get the positions from the broker and update zipline objects ( the ledger )
should be used once at startup and once every time we want to refresh the positions array
"""
cur_pos_in_tracker = self.metrics_tracker.positions
for ib_symbol in self._tws.ib_positions:
ib_position = self._tws.ib_positions[ib_symbol]
equity = self._safe_symbol_lookup(ib_symbol)
if not equity:
log.warning(
'Wanted to subscribe to %s, but this asset is probably not ingested'
% ib_symbol)
continue
zp_position = zp.Position(zp.InnerPosition(equity))
editable_position = MutableView(zp_position)
editable_position._underlying_position.amount = int(
ib_position.position)
editable_position._underlying_position.cost_basis = float(
ib_position.average_cost)
editable_position._underlying_position.last_sale_price = ib_position.market_price
last_close = self.metrics_tracker._trading_calendar.session_close(
self.metrics_tracker._last_session)
editable_position._underlying_position.last_sale_date = last_close
self.metrics_tracker.update_position(
zp_position.asset,
amount=zp_position.amount,
last_sale_price=zp_position.last_sale_price,
last_sale_date=zp_position.last_sale_date,
cost_basis=zp_position.cost_basis)
for asset in cur_pos_in_tracker:
ib_symbol = self._asset_symbol(asset)
if ib_symbol not in self._tws.ib_positions:
# deleting object from the metrcs_tracker as its not in the portfolio
self.metrics_tracker.update_position(asset, amount=0)
self.metrics_tracker._ledger._portfolio.positions = zp.Positions(
self.metrics_tracker.positions)
