def main():
dataFile.getDataIntoMatrix(args.pd)
predictedValuesDict = dict()
getPredictedValuesIntoDict(predictedValuesDict)
lower_entry = totalEntryCL[0]
upper_entry = totalEntryCL[1]
lower_exit = totalExitCL[0]
l_index_gap = 0.2
l_max_gap = (upper_entry - lower_entry)/(4)
while l_index_gap < l_max_gap:
exitCL2 = lower_exit + float(l_index_gap)
exitCL1 = lower_exit + 2*float(l_index_gap)
exitCL0 = lower_exit + 3*float(l_index_gap)
exitCL = lower_exit + 4*float(l_index_gap)
if(lower_entry < exitCL):
lower_entry = lower_exit + 4*float(l_index_gap)
entryCL2 = lower_entry + float(l_index_gap)
entryCL1 = lower_entry + 2*float(l_index_gap)
entryCL0 = lower_entry + 3*float(l_index_gap)
entryCL = lower_entry + 4*float(l_index_gap)
l_entry_list = [entryCL2,entryCL1,entryCL0 , entryCL]
l_exit_list = [exitCL2,exitCL1,exitCL0 , exitCL]
print("Entry Exit list" + str(l_entry_list)+ str(l_exit_list))
if(exitCL < entryCL2 and entryCL <= upper_entry):
lInitialFileName = args.a + '-td.' + os.path.basename(os.path.abspath(args.td)) + \
'-dt.' + args.dt + '-targetClass.' + args.targetClass + '-f.' + experimentName + "-wt." + args.wt+ attribute.generateExtension() + \
'-l.'+entryCL+"-"+entryCL0+"-"+entryCL1+"-"+entryCL2+"-"+exitCL +"-"+exitCL0 +"-"+exitCL1 +"-"+exitCL2 + "-tq." + args.orderQty + "-te.10"
initialFileName.append(lInitialFileName)
for lFileName in initialFileName:
readOnceAndWrite(lFileName, l_entry_list, l_exit_list, predictedValuesDict)
else:
l_index_gap = l_index_gap + 0.1
def main():
dataFile.getDataIntoMatrix(args.pd)
predictedValuesDict = dict()
getPredictedValuesIntoDict(predictedValuesDict)
lIndexOfEntryOrExitCL = 0
for lFileName in initialFileName:
readOnceAndWrite(lFileName, lIndexOfEntryOrExitCL, predictedValuesDict)
lIndexOfEntryOrExitCL = lIndexOfEntryOrExitCL + 1
def main():
dataFile.getDataIntoMatrix(args.pd)
predictedValuesDict = dict()
getPredictedValuesIntoDict(predictedValuesDict)
lIndexOfEntryOrExitCL = 0
for lFileName in initialFileName:
readOnceAndWrite(lFileName, lIndexOfEntryOrExitCL, predictedValuesDict)
lIndexOfEntryOrExitCL = lIndexOfEntryOrExitCL + 1
def main():
dataFile.getDataIntoMatrix(args.pd)
predictedValuesDict = dict()
getPredictedValuesIntoDict(predictedValuesDict)
lIndexOfEntryOrExitCL = 0
for lFileName in initialFileName:
entryCL = float("." + gEntryCLList[lIndexOfEntryOrExitCL] )
exitCL = float("." + gExitCLList[lIndexOfEntryOrExitCL] )
readOnceAndWrite(lFileName,entryCL,exitCL, predictedValuesDict)
lIndexOfEntryOrExitCL = lIndexOfEntryOrExitCL + 1
def main():
dataFile.getDataIntoMatrix(args.d)
targetValuesDict = dict()
getTargetValuesIntoDict(targetValuesDict)
lIndexOfEntryOrExitCL = 0
for lFileName in initialFileName:
if os.path.isfile(fileName) and args.skipT.lower() == "yes":
print("\nFile already exists")
else:
readOnceAndWrite(lFileName, lIndexOfEntryOrExitCL,
targetValuesDict)
lIndexOfEntryOrExitCL = lIndexOfEntryOrExitCL + 1
def main():
dataFile.getDataIntoMatrix(args.pd)
predictedValuesDict = dict()
getPredictedValuesIntoDict(predictedValuesDict)
lIndexOfEntryOrExitCL = 0
for lFileName in initialFileName:
entryCL4 = float("." + gEntryCL4List[lIndexOfEntryOrExitCL])
entryCL3 = float("." + gEntryCL3List[lIndexOfEntryOrExitCL])
entryCL2 = float("." + gEntryCL2List[lIndexOfEntryOrExitCL])
entryCL1 = float("." + gEntryCL1List[lIndexOfEntryOrExitCL])
exitCL4 = float("." + gExitCL4List[lIndexOfEntryOrExitCL])
exitCL3 = float("." + gExitCL3List[lIndexOfEntryOrExitCL])
exitCL2 = float("." + gExitCL2List[lIndexOfEntryOrExitCL])
exitCL1 = float("." + gExitCL1List[lIndexOfEntryOrExitCL])
readOnceAndWrite(lFileName, entryCL1, entryCL2, entryCL3, entryCL4,
exitCL1, exitCL2, exitCL3, exitCL4,
predictedValuesDict)
lIndexOfEntryOrExitCL = lIndexOfEntryOrExitCL + 1
def main():
# try:
attribute.initializeInstDetails(args.iT,args.sP,args.oT)
dataFile.getDataIntoMatrix(args.d)
attribute.checkIfNewDataFileExists(args.d)
newFileName = dataFile.getNewDataFileName(args.d)
header = "Instrument;AskQ0;AskP0;AskQ1;AskP1;AskQ2;AskP2;AskQ3;AskP3;AskQ4;AskP4;BidQ0;BidP0;BidQ1;BidP1;BidQ2;BidP2;BidQ3;BidP3;BidQ4;BidP4;TTQ;LTP;LTQ;LTT;ATP;TBQ;TSQ;CP;OP;HP;LP;TimeStamp;SerialNo;MsgCode;OrderType;Quantity1;Price1;Quantity2;Price2;ExchangeTS;BestBidQ;BestBidP;BestAskQ;BestAskP\n"
print newFileName
newFileObject = open(newFileName,"w")
newFileObject.write(header)
previousLine = ""
currentRowCount = 0
for dataRow in dataFile.matrix:
lineWithoutBestPrices = ";".join(dataRow[:colNumberOfData.TTQ])
if previousLine <> lineWithoutBestPrices:
newFileObject.write(";".join(dataRow) + "\n")
previousLine = lineWithoutBestPrices
currentRowCount = currentRowCount + 1
if(currentRowCount % 1000 == 0):
print "Processed row number " + str(currentRowCount)
def main():
dirName = args.pd.replace('/ro/', '/rs/')
tradeResultMainDirName = dirName + "/r/"
if not os.path.exists(tradeResultMainDirName):
os.mkdir(tradeResultMainDirName)
tradeResultSubDirectoryName = tradeResultMainDirName + mainExperimentName + "/"
if not os.path.exists(tradeResultSubDirectoryName):
os.mkdir(tradeResultSubDirectoryName)
outputFileName = tradeResultSubDirectoryName + experimentName + initialFileName + ".result"
#if os.path.isfile(outputFileName):
# print("The results file already exisits. Delete it to run the program again" + outputFileName)
# return 1
dataFile.getDataIntoMatrix(args.pd)
predictedValuesDict = dict()
getPredictedValuesIntoDict(predictedValuesDict)
enterTrade = 0
ttqAtTimeOfPreviousDataRow = 0
askP0AtTimeOfPreviousDataRow = 0
bidP0AtTimeOfPreviousDataRow = 0
tradeStats = dict()
tradeStats['totalSellValue'] = 0
tradeStats['totalBuyValue'] = 0
tradeStats['currentPosition'] = 0
noPredictionForThisRow = 0
currentPredictedValue = 0
entryCL = float(args.entryCL) / 100
exitCL = float(args.exitCL) / 100
numberOfTimesAskedToEnterTrade = 0
numberOfTimesAskedToExitTrade = 0
reasonForTrade = dict()
reasonForTrade['LTPDoesNotEqualBidP0'] = 0
reasonForTrade['VolumeDidNotIncreaseSufficientlyDuringBuyAttempt'] = 0
reasonForTrade['AssumingBuyTradeHappened'] = 0
reasonForTrade['LTPDoesNotEqualAskP0'] = 0
reasonForTrade['VolumeDidNotIncreaseSufficientlyDuringSellAttempt'] = 0
reasonForTrade['AssumingSellTradeHappened'] = 0
varsAtTimeOfTradeDecision = dict()
varsAtTimeOfTradeDecision['decision'] = 0
varsAtTimeOfTradeDecision['bidP0'] = 0
varsAtTimeOfTradeDecision['qtyTradedAtBidP0'] = 0
varsAtTimeOfTradeDecision['ttq'] = 0
varsAtTimeOfTradeDecision['askP0'] = 0
varsAtTimeOfTradeDecision['qtyTradedAtAskP0'] = 0
print("Processing the data file for trades :")
for currentDataRow in dataFile.matrix: #currentDataRow has the new tick
if (enterTrade == varsAtTimeOfTradeDecision['decision']
and enterTrade == 1 and varsAtTimeOfTradeDecision['bidP0'] >=
float(currentDataRow[colNumberOfData.BidP0])):
print("Position not lost in the queue")
if (varsAtTimeOfTradeDecision['bidP0'] == float(
currentDataRow[colNumberOfData.LTP])
and float(currentDataRow[colNumberOfData.TTQ]) >
varsAtTimeOfTradeDecision['ttq']):
varsAtTimeOfTradeDecision['qtyTradedAtBidP0'] += float(
currentDataRow[colNumberOfData.
TTQ]) - varsAtTimeOfTradeDecision['ttq']
elif (enterTrade == varsAtTimeOfTradeDecision['decision']
and enterTrade == -1 and varsAtTimeOfTradeDecision['askP0'] <=
float(currentDataRow[colNumberOfData.AskP0])):
print("Position not lost in the queue")
if (varsAtTimeOfTradeDecision['askP0'] == float(
currentDataRow[colNumberOfData.LTP])
and float(currentDataRow[colNumberOfData.TTQ]) >
varsAtTimeOfTradeDecision['ttq']):
varsAtTimeOfTradeDecision['qtyTradedAtAskP0'] += float(
currentDataRow[colNumberOfData.
TTQ]) - varsAtTimeOfTradeDecision['ttq']
else:
positionLostInQueue = True
checkIfPreviousDecisionToEnterOrExitTradeWasSuccessful(
currentDataRow, varsAtTimeOfTradeDecision, enterTrade, tradeStats,
reasonForTrade)
currentTimeStamp = common.convertTimeStampFromStringToFloat(
currentDataRow[colNumberOfData.TimeStamp])
try:
currentPredictedValue = float(
predictedValuesDict[currentTimeStamp])
except:
noPredictionForThisRow += 1
if (currentPredictedValue > entryCL):
enterTrade = 1
numberOfTimesAskedToEnterTrade += 1
elif (currentPredictedValue < exitCL
and tradeStats['currentPosition'] > 0):
numberOfTimesAskedToExitTrade += 1
enterTrade = -1 # Implies to exit the trade
else:
enterTrade = 0 # Implies make no change
if (positionLostInQueue == True):
varsAtTimeOfTradeDecision = updateVarsAtTimeOfTradeDecision(
currentDataRow, enterTrade
) # This implies that the position in the queue is lost.
outputFile = open(outputFileName, "w")
print("Starting to write: " + outputFileName)
print("The net results are: " +
str(tradeStats['totalSellValue'] - tradeStats['totalBuyValue']),
file=outputFile)
print("Number of rows for which there is no prediction: " +
str(noPredictionForThisRow),
file=outputFile)
print("Number of times asked to enter trade: " +
str(numberOfTimesAskedToEnterTrade),
file=outputFile)
print("Number of times asked to exit trade: " +
str(numberOfTimesAskedToExitTrade),
file=outputFile)
print(
"Assumed buy trade did not happen since volume did not increase: " +
str(reasonForTrade['VolumeDidNotIncreaseSufficientlyDuringBuyAttempt']
),
file=outputFile)
print("Assumed buy trade did not happen since bidP0 not same as LTP: " +
str(reasonForTrade['LTPDoesNotEqualBidP0']),
file=outputFile)
print("Assumed buy trade happened: " +
str(reasonForTrade['AssumingBuyTradeHappened']),
file=outputFile)
print(
"Assumed sell trade did not happen since volume did not increase: " +
str(reasonForTrade['VolumeDidNotIncreaseSufficientlyDuringSellAttempt']
),
file=outputFile)
print("Assumed sell trade did not happen since bidP0 not same as LTP: " +
str(reasonForTrade['LTPDoesNotEqualAskP0']),
file=outputFile)
print("Assumed sell trade happened: " +
str(reasonForTrade['AssumingSellTradeHappened']),
file=outputFile)
print("The total sell value is: " + str(tradeStats['totalSellValue']),
file=outputFile)
print("The total buy value is: " + str(tradeStats['totalBuyValue']),
file=outputFile)
try:
averageSellPrice = tradeStats['totalSellValue'] / reasonForTrade[
'AssumingSellTradeHappened']
averageBuyPrice = tradeStats['totalBuyValue'] / reasonForTrade[
'AssumingBuyTradeHappened']
except:
averageSellPrice = 0
averageBuyPrice = 0
print("Average sell price per unit is: " + str(averageSellPrice),
file=outputFile)
print("Average buy price per unit is: " + str(averageBuyPrice),
file=outputFile)
print("The current position: " + str(tradeStats['currentPosition']),
file=outputFile)
print("Profit or loss per Qty traded is: " +
str(averageSellPrice - averageBuyPrice),
file=outputFile)
pLPerLot = (averageSellPrice - averageBuyPrice) * 1000
print("1 lot has 1000 qty's so P/L per lot is: " + str(pLPerLot),
file=outputFile)
print("P/L for trading 10 lots is: " + str(pLPerLot * 10), file=outputFile)
def main():
dataFile.getDataIntoMatrix(args.pd)
predictedValuesDict = dict()
getPredictedValuesIntoDict(predictedValuesDict)
enterTrade = 0
ttqAtTimeOfPreviousDataRow = 0
askP0AtTimeOfPreviousDataRow = 0
bidP0AtTimeOfPreviousDataRow = 0
tradeStats = dict()
tradeStats['totalSellValue'] = 0
tradeStats['totalBuyValue'] = 0
tradeStats['currentPosition'] = 0
noPredictionForThisRow = 0
currentPredictedValue = 0
entryCL = float(args.entryCL) / 100
exitCL = float(args.exitCL) / 100
numberOfTimesAskedToEnterTrade = 0
numberOfTimesAskedToExitTrade = 0
reasonForTrade = dict()
reasonForTrade['LTPDoesNotEqualBidP0'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringBuyAttempt'] = 0
reasonForTrade['AssumingBuyTradeHappened'] = 0
reasonForTrade['LTPDoesNotEqualAskP0'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringSellAttempt'] = 0
reasonForTrade['AssumingSellTradeHappened'] = 0
print("Processing the data file for trades :")
for currentDataRow in dataFile.matrix:
checkIfPreviousDecisionToEnterOrExitTradeWasSuccessful(
currentDataRow, ttqAtTimeOfPreviousDataRow,
askP0AtTimeOfPreviousDataRow, bidP0AtTimeOfPreviousDataRow,
enterTrade, tradeStats, reasonForTrade)
currentTimeStamp = common.convertTimeStampFromStringToFloat(
currentDataRow[colNumberOfData.TimeStamp])
try:
currentPredictedValue = float(
predictedValuesDict[currentTimeStamp])
except:
noPredictionForThisRow += 1
if (currentPredictedValue > entryCL):
enterTrade = 1
numberOfTimesAskedToEnterTrade += 1
elif (currentPredictedValue < exitCL
and tradeStats['currentPosition'] > 0):
numberOfTimesAskedToExitTrade += 1
enterTrade = -1 # Implies to exit the trade
else:
enterTrade = 0 # Implies make no change
ttqAtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.TTQ])
askP0AtTimeOfPreviousDataRow = float(
currentDataRow[colNumberOfData.AskP0])
bidP0AtTimeOfPreviousDataRow = float(
currentDataRow[colNumberOfData.BidP0])
dirName = args.pd.replace('/ro/', '/rs/')
tradeResultMainDirName = dirName + "/r/"
if not os.path.exists(tradeResultMainDirName):
os.mkdir(tradeResultMainDirName)
tradeResultSubDirectoryName = tradeResultMainDirName + mainExperimentName + "/"
if not os.path.exists(tradeResultSubDirectoryName):
os.mkdir(tradeResultSubDirectoryName)
fileName = tradeResultSubDirectoryName + experimentName + initialFileName + ".result"
outputFile = open(fileName, "w")
print("Starting to write: " + fileName)
print("The net results are: " +
str(tradeStats['totalSellValue'] - tradeStats['totalBuyValue']),
file=outputFile)
print("Number of rows for which there is no prediction: " +
str(noPredictionForThisRow),
file=outputFile)
print("Number of times asked to enter trade: " +
str(numberOfTimesAskedToEnterTrade),
file=outputFile)
print("Number of times asked to exit trade: " +
str(numberOfTimesAskedToExitTrade),
file=outputFile)
print("Assumed buy trade did not happen since volume did not increase: " +
str(reasonForTrade['VolumeDidNotIncreaseDuringBuyAttempt']),
file=outputFile)
print("Assumed buy trade did not happen since bidP0 not same as LTP: " +
str(reasonForTrade['LTPDoesNotEqualBidP0']),
file=outputFile)
print("Assumed buy trade happened: " +
str(reasonForTrade['AssumingBuyTradeHappened']),
file=outputFile)
print("Assumed sell trade did not happen since volume did not increase: " +
str(reasonForTrade['VolumeDidNotIncreaseDuringSellAttempt']),
file=outputFile)
print("Assumed sell trade did not happen since bidP0 not same as LTP: " +
str(reasonForTrade['LTPDoesNotEqualAskP0']),
file=outputFile)
print("Assumed sell trade happened: " +
str(reasonForTrade['AssumingSellTradeHappened']),
file=outputFile)
print("The total sell value is: " + str(tradeStats['totalSellValue']),
file=outputFile)
print("The total buy value is: " + str(tradeStats['totalBuyValue']),
file=outputFile)
try:
averageSellPrice = tradeStats['totalSellValue'] / reasonForTrade[
'AssumingSellTradeHappened']
averageBuyPrice = tradeStats['totalBuyValue'] / reasonForTrade[
'AssumingBuyTradeHappened']
except:
averageSellPrice = 0
averageBuyPrice = 0
print("Average sell price per unit is: " + str(averageSellPrice),
file=outputFile)
print("Average buy price per unit is: " + str(averageBuyPrice),
file=outputFile)
print("The current position: " + str(tradeStats['currentPosition']),
file=outputFile)
print("Profit or loss per Qty traded is: " +
str(averageSellPrice - averageBuyPrice),
file=outputFile)
pLPerLot = (averageSellPrice - averageBuyPrice) * 1000
print("1 lot has 1000 qty's so P/L per lot is: " + str(pLPerLot),
file=outputFile)
print("P/L for trading 10 lots is: " + str(pLPerLot * 10), file=outputFile)
def main():
dataFile.getDataIntoMatrix(args.d)
targetValuesDict = dict()
getTargetValuesIntoDict(targetValuesDict)
readOnceAndWrite(initialFileName, targetValuesDict)
def main():
try:
attribute.initializeInstDetails(args.iT,args.sP,args.oT,args.rev)
if args.i is not None:
attribute.checkIfAttributeOutputFileExists(os.path.basename(moduleName),args.n,args.i,args.o,args.m,args.d)
else:
attribute.checkIfAttributeOutputFileExists(os.path.basename(moduleName),args.n,args.c,args.o,args.m,args.d)
if args.rev!= None and args.rev.lower()=="yes":
dataFile.getSelectedDataIntoMatrix(args.d)
else:
if(args.cType == "synthetic"):
if "For6Levels" not in args.g:
dataFile.getDataIntoMatrix(args.d,args.c , level=5)
else:
try:
dataFile.getDataIntoMatrix(args.d,args.c, level=5)
except:
dataFile.getDataIntoMatrix(args.d,args.c, level=6)
else:
if "For6Levels" not in args.g:
dataFile.getDataIntoMatrix(args.d , level=5)
else:
try:
dataFile.getDataIntoMatrix(args.d, level=5)
except:
dataFile.getDataIntoMatrix(args.d, level=6)
attribute.initList()
lHeaderColumnNamesList = userModule.extractAttributeFromDataMatrix(args)
if args.i is not None:
fileName = attribute.getOutputFileNameFromGeneratorName(os.path.basename(moduleName),args.n,args.i,args.o,args.m,args.d )
else:
fileName = attribute.getOutputFileNameFromGeneratorName(os.path.basename(moduleName),args.n,args.c,args.o,args.m,args.d )
print fileName
attribute.writeToFile(fileName , lHeaderColumnNamesList)
attribute.callRProgramToConvertToBinary(fileName)
except:
traceback.print_exc()
e = sys.exc_info()[0]
print e
os._exit(-1)
def main():
dataFile.getDataIntoMatrix(args.pd)
predictedValuesDict = dict()
getPredictedValuesIntoDict(predictedValuesDict)
enterTrade = 0
ttqAtTimeOfPreviousDataRow = 0
askP0AtTimeOfPreviousDataRow = 0
bidP0AtTimeOfPreviousDataRow = 0
tradeStats = dict()
tradeStats['totalSellValue'] = 0
tradeStats['totalBuyValue'] = 0
tradeStats['currentPosition'] = 0
noPredictionForThisRow = 0
currentPredictedValue = 0
entryCL = float(args.entryCL)/100
exitCL = float(args.exitCL)/100
numberOfTimesAskedToEnterTrade = 0
numberOfTimesAskedToExitTrade = 0
reasonForTrade = dict()
reasonForTrade['LTPDoesNotEqualBidP0'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringBuyAttempt'] = 0
reasonForTrade['AssumingBuyTradeHappened'] = 0
reasonForTrade['LTPDoesNotEqualAskP0'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringSellAttempt'] = 0
reasonForTrade['AssumingSellTradeHappened'] = 0
print("Processing the data file for trades :")
for currentDataRow in dataFile.matrix:
checkIfPreviousDecisionToEnterOrExitTradeWasSuccessful(currentDataRow,ttqAtTimeOfPreviousDataRow,askP0AtTimeOfPreviousDataRow,bidP0AtTimeOfPreviousDataRow,enterTrade,tradeStats,reasonForTrade)
currentTimeStamp = common.convertTimeStampFromStringToFloat(currentDataRow[colNumberOfData.TimeStamp])
try:
currentPredictedValue = float(predictedValuesDict[currentTimeStamp])
except:
noPredictionForThisRow += 1
if(currentPredictedValue > entryCL):
enterTrade = 1
numberOfTimesAskedToEnterTrade += 1
elif(currentPredictedValue < exitCL and tradeStats['currentPosition'] > 0):
numberOfTimesAskedToExitTrade += 1
enterTrade = -1 # Implies to exit the trade
else:
enterTrade = 0 # Implies make no change
ttqAtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.TTQ])
askP0AtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.AskP0])
bidP0AtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.BidP0])
dirName = args.pd.replace('/ro/','/rs/')
tradeResultMainDirName = dirName+"/r/"
if not os.path.exists(tradeResultMainDirName):
os.mkdir(tradeResultMainDirName)
tradeResultSubDirectoryName = tradeResultMainDirName + mainExperimentName+"/"
if not os.path.exists(tradeResultSubDirectoryName):
os.mkdir(tradeResultSubDirectoryName)
fileName = tradeResultSubDirectoryName+experimentName+initialFileName+".result"
outputFile = open(fileName,"w")
print("Starting to write: "+fileName)
print("The net results are: " + str(tradeStats['totalSellValue'] - tradeStats['totalBuyValue']), file = outputFile)
print("Number of rows for which there is no prediction: " + str(noPredictionForThisRow), file = outputFile)
print("Number of times asked to enter trade: " + str(numberOfTimesAskedToEnterTrade), file = outputFile)
print("Number of times asked to exit trade: " + str(numberOfTimesAskedToExitTrade), file = outputFile)
print("Assumed buy trade did not happen since volume did not increase: " + str(reasonForTrade['VolumeDidNotIncreaseDuringBuyAttempt']), file = outputFile)
print("Assumed buy trade did not happen since bidP0 not same as LTP: " + str(reasonForTrade['LTPDoesNotEqualBidP0']), file = outputFile)
print("Assumed buy trade happened: " + str(reasonForTrade['AssumingBuyTradeHappened']), file = outputFile)
print("Assumed sell trade did not happen since volume did not increase: " + str(reasonForTrade['VolumeDidNotIncreaseDuringSellAttempt']), file = outputFile)
print("Assumed sell trade did not happen since bidP0 not same as LTP: " + str(reasonForTrade['LTPDoesNotEqualAskP0']), file = outputFile)
print("Assumed sell trade happened: " + str(reasonForTrade['AssumingSellTradeHappened']), file = outputFile)
print("The total sell value is: " + str(tradeStats['totalSellValue']), file = outputFile)
print("The total buy value is: " + str(tradeStats['totalBuyValue']), file = outputFile)
try:
averageSellPrice = tradeStats['totalSellValue']/reasonForTrade['AssumingSellTradeHappened']
averageBuyPrice = tradeStats['totalBuyValue']/reasonForTrade['AssumingBuyTradeHappened']
except:
averageSellPrice = 0
averageBuyPrice = 0
print("Average sell price per unit is: " + str(averageSellPrice), file = outputFile)
print("Average buy price per unit is: " + str(averageBuyPrice), file = outputFile)
print("The current position: " + str(tradeStats['currentPosition']), file = outputFile)
print("Profit or loss per Qty traded is: " + str(averageSellPrice - averageBuyPrice), file = outputFile)
pLPerLot=(averageSellPrice - averageBuyPrice)* 1000
print("1 lot has 1000 qty's so P/L per lot is: " + str(pLPerLot), file = outputFile)
print("P/L for trading 10 lots is: " + str(pLPerLot * 10), file = outputFile)
def main():
dirName = args.pd.replace('/ro/','/rs/')
tradeResultMainDirName = dirName+"/r/"
if not os.path.exists(tradeResultMainDirName):
os.mkdir(tradeResultMainDirName)
tradeResultSubDirectoryName = tradeResultMainDirName + mainExperimentName+"/"
if not os.path.exists(tradeResultSubDirectoryName):
os.mkdir(tradeResultSubDirectoryName)
outputFileName = tradeResultSubDirectoryName+experimentName+initialFileName+".result"
#if os.path.isfile(outputFileName):
# print("The results file already exisits. Delete it to run the program again" + outputFileName)
# return 1
dataFile.getDataIntoMatrix(args.pd)
predictedValuesDict = dict()
getPredictedValuesIntoDict(predictedValuesDict)
enterTrade = 0
ttqAtTimeOfPreviousDataRow = 0
askP0AtTimeOfPreviousDataRow = 0
bidP0AtTimeOfPreviousDataRow = 0
tradeStats = dict()
tradeStats['totalSellValue'] = 0
tradeStats['totalBuyValue'] = 0
tradeStats['currentPosition'] = 0
noPredictionForThisRow = 0
currentPredictedValue = 0
entryCL = float(args.entryCL)/100
exitCL = float(args.exitCL)/100
numberOfTimesAskedToEnterTrade = 0
numberOfTimesAskedToExitTrade = 0
reasonForTrade = dict()
reasonForTrade['LTPDoesNotEqualBidP0'] = 0
reasonForTrade['VolumeDidNotIncreaseSufficientlyDuringBuyAttempt'] = 0
reasonForTrade['AssumingBuyTradeHappened'] = 0
reasonForTrade['LTPDoesNotEqualAskP0'] = 0
reasonForTrade['VolumeDidNotIncreaseSufficientlyDuringSellAttempt'] = 0
reasonForTrade['AssumingSellTradeHappened'] = 0
varsAtTimeOfTradeDecision = dict()
varsAtTimeOfTradeDecision['decision'] = 0
varsAtTimeOfTradeDecision['bidP0'] = 0
varsAtTimeOfTradeDecision['qtyTradedAtBidP0'] = 0
varsAtTimeOfTradeDecision['ttq'] = 0
varsAtTimeOfTradeDecision['askP0'] = 0
varsAtTimeOfTradeDecision['qtyTradedAtAskP0'] = 0
print("Processing the data file for trades :")
for currentDataRow in dataFile.matrix: #currentDataRow has the new tick
if(enterTrade == varsAtTimeOfTradeDecision['decision'] and enterTrade == 1 and varsAtTimeOfTradeDecision['bidP0'] >= float(currentDataRow[colNumberOfData.BidP0])):
print("Position not lost in the queue")
if(varsAtTimeOfTradeDecision['bidP0'] == float(currentDataRow[colNumberOfData.LTP]) and float(currentDataRow[colNumberOfData.TTQ]) > varsAtTimeOfTradeDecision['ttq']):
varsAtTimeOfTradeDecision['qtyTradedAtBidP0'] += float(currentDataRow[colNumberOfData.TTQ]) - varsAtTimeOfTradeDecision['ttq']
elif(enterTrade == varsAtTimeOfTradeDecision['decision'] and enterTrade == -1 and varsAtTimeOfTradeDecision['askP0'] <= float(currentDataRow[colNumberOfData.AskP0])):
print("Position not lost in the queue")
if(varsAtTimeOfTradeDecision['askP0'] == float(currentDataRow[colNumberOfData.LTP]) and float(currentDataRow[colNumberOfData.TTQ]) > varsAtTimeOfTradeDecision['ttq']):
varsAtTimeOfTradeDecision['qtyTradedAtAskP0'] += float(currentDataRow[colNumberOfData.TTQ]) - varsAtTimeOfTradeDecision['ttq']
else:
positionLostInQueue = True
checkIfPreviousDecisionToEnterOrExitTradeWasSuccessful(currentDataRow,varsAtTimeOfTradeDecision,enterTrade,tradeStats,reasonForTrade)
currentTimeStamp = common.convertTimeStampFromStringToFloat(currentDataRow[colNumberOfData.TimeStamp])
try:
currentPredictedValue = float(predictedValuesDict[currentTimeStamp])
except:
noPredictionForThisRow += 1
if(currentPredictedValue > entryCL):
enterTrade = 1
numberOfTimesAskedToEnterTrade += 1
elif(currentPredictedValue < exitCL and tradeStats['currentPosition'] > 0):
numberOfTimesAskedToExitTrade += 1
enterTrade = -1 # Implies to exit the trade
else:
enterTrade = 0 # Implies make no change
if(positionLostInQueue == True):
varsAtTimeOfTradeDecision = updateVarsAtTimeOfTradeDecision(currentDataRow,enterTrade) # This implies that the position in the queue is lost.
outputFile = open(outputFileName,"w")
print("Starting to write: "+outputFileName)
print("The net results are: " + str(tradeStats['totalSellValue'] - tradeStats['totalBuyValue']), file = outputFile)
print("Number of rows for which there is no prediction: " + str(noPredictionForThisRow), file = outputFile)
print("Number of times asked to enter trade: " + str(numberOfTimesAskedToEnterTrade), file = outputFile)
print("Number of times asked to exit trade: " + str(numberOfTimesAskedToExitTrade), file = outputFile)
print("Assumed buy trade did not happen since volume did not increase: " + str(reasonForTrade['VolumeDidNotIncreaseSufficientlyDuringBuyAttempt']), file = outputFile)
print("Assumed buy trade did not happen since bidP0 not same as LTP: " + str(reasonForTrade['LTPDoesNotEqualBidP0']), file = outputFile)
print("Assumed buy trade happened: " + str(reasonForTrade['AssumingBuyTradeHappened']), file = outputFile)
print("Assumed sell trade did not happen since volume did not increase: " + str(reasonForTrade['VolumeDidNotIncreaseSufficientlyDuringSellAttempt']), file = outputFile)
print("Assumed sell trade did not happen since bidP0 not same as LTP: " + str(reasonForTrade['LTPDoesNotEqualAskP0']), file = outputFile)
print("Assumed sell trade happened: " + str(reasonForTrade['AssumingSellTradeHappened']), file = outputFile)
print("The total sell value is: " + str(tradeStats['totalSellValue']), file = outputFile)
print("The total buy value is: " + str(tradeStats['totalBuyValue']), file = outputFile)
try:
averageSellPrice = tradeStats['totalSellValue']/reasonForTrade['AssumingSellTradeHappened']
averageBuyPrice = tradeStats['totalBuyValue']/reasonForTrade['AssumingBuyTradeHappened']
except:
averageSellPrice = 0
averageBuyPrice = 0
print("Average sell price per unit is: " + str(averageSellPrice), file = outputFile)
print("Average buy price per unit is: " + str(averageBuyPrice), file = outputFile)
print("The current position: " + str(tradeStats['currentPosition']), file = outputFile)
print("Profit or loss per Qty traded is: " + str(averageSellPrice - averageBuyPrice), file = outputFile)
pLPerLot=(averageSellPrice - averageBuyPrice)* 1000
print("1 lot has 1000 qty's so P/L per lot is: " + str(pLPerLot), file = outputFile)
print("P/L for trading 10 lots is: " + str(pLPerLot * 10), file = outputFile)
def main():
attribute.initList()
dataFile.getDataIntoMatrix(args.pd)
predictedValuesDict = dict()
getPredictedValuesIntoDict(predictedValuesDict)
enterTradeShort = 0
enterTradeLong = 0
ttqAtTimeOfPreviousDataRow = 0
askP0AtTimeOfPreviousDataRow = 0
bidP0AtTimeOfPreviousDataRow = 0
askQ0AtTimeOfPreviousDataRow = 0
bidQ0AtTimeOfPreviousDataRow = 0
tradeStats = dict()
tradeStats['totalSellValueShort'] = 0
tradeStats['totalBuyValueShort'] = 0
tradeStats['currentPositionShort'] = 0
tradeStats['totalSellValueLong'] = 0
tradeStats['totalBuyValueLong'] = 0
tradeStats['currentPositionLong'] = 0
noPredictionForThisRow = 0
currentPredictedValueShort = 0
currentPredictedValueLong = 0
entryCL = float(args.entryCL)/100
exitCL = float(args.exitCL)/100
# entryCLCutoff = float(args.entryCLCutoff)
# exitCLCutoff = float(args.exitCLCutoff)
numberOfTimesAskedToEnterTradeShort = 0
numberOfTimesAskedToEnterTradeLong = 0
numberOfTimesAskedToExitTradeShort = 0
numberOfTimesAskedToExitTradeLong = 0
reasonForTrade = dict()
reasonForTrade['LTPDoesNotEqualBidP0Short'] = 0
reasonForTrade['LTPDoesNotEqualAskP0Short'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptShort'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptLong'] = 0
reasonForTrade['AssumingBuyTradeHappenedShort'] = 0
reasonForTrade['AssumingBuyTradeHappenedLong'] = 0
reasonForTrade['LTPDoesNotEqualAskP0Long'] = 0
reasonForTrade['LTPDoesNotEqualBidP0Long'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptShort'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptLong'] = 0
reasonForTrade['AssumingSellTradeHappenedShort'] = 0
reasonForTrade['AssumingSellTradeHappenedLong'] = 0
currentIndex = 0
print("Processing the data file for trades :")
attribute.initList()
for currentDataRow in dataFile.matrix:
lReturnList = checkIfPreviousDecisionToEnterOrExitTradeWasSuccessful(currentDataRow,ttqAtTimeOfPreviousDataRow,askP0AtTimeOfPreviousDataRow,bidP0AtTimeOfPreviousDataRow,askQ0AtTimeOfPreviousDataRow , bidQ0AtTimeOfPreviousDataRow , enterTradeShort,enterTradeLong,tradeStats,reasonForTrade )
lReasonForTradingOrNotTradingShort = lReturnList[0]
lReasonForTradingOrNotTradingLong = lReturnList[1]
lDummyBidQ0 = lReturnList[2]
lDummyAskQ0 = lReturnList[3]
lDummyTTQForBuy = lReturnList[4]
lDummyTTQForSell = lReturnList[5]
if currentIndex > 0:
attribute.aList[currentIndex-1][0] = currentTimeStamp
attribute.aList[currentIndex-1][1] = tradeStats['currentPositionLong']
attribute.aList[currentIndex-1][2] = tradeStats['currentPositionShort']
listOfStringsToPrint = [ str(bidQ0AtTimeOfPreviousDataRow) , str(bidP0AtTimeOfPreviousDataRow) , str(askP0AtTimeOfPreviousDataRow) , str(askQ0AtTimeOfPreviousDataRow) , str(ttqAtTimeOfPreviousDataRow) , str(ltpAtTimeOfPreviousDataRow) , str(currentPredictedValueShort) , str(enterTradeShort) ,lReasonForTradingOrNotTradingShort , str(currentPredictedValueLong) , str(enterTradeLong) ,lReasonForTradingOrNotTradingLong , str(reasonForTrade['AssumingBuyTradeHappenedShort']),str(reasonForTrade['AssumingBuyTradeHappenedLong']),str(reasonForTrade['AssumingSellTradeHappenedShort']),str(reasonForTrade['AssumingSellTradeHappenedLong']),str(lDummyBidQ0),str(lDummyAskQ0),str(lDummyTTQForBuy),str(lDummyTTQForSell)]
attribute.aList[currentIndex-1][3] = ";".join(listOfStringsToPrint)
currentTimeStamp = common.convertTimeStampFromStringToFloat(currentDataRow[colNumberOfData.TimeStamp])
try:
currentPredictedValueShort = (float(predictedValuesDict[currentTimeStamp][-2]) + float(predictedValuesDict[currentTimeStamp][-1]))
currentPredictedValueLong = (float(predictedValuesDict[currentTimeStamp][2]) + float(predictedValuesDict[currentTimeStamp][1]))
except:
noPredictionForThisRow += 1
#short decisions
if(currentPredictedValueShort > entryCL):
enterTradeShort = 1
numberOfTimesAskedToEnterTradeShort += 1
elif(currentPredictedValueShort < exitCL and tradeStats['currentPositionShort'] > 0):
numberOfTimesAskedToExitTradeShort += 1
enterTradeShort = -1 # Implies to exit the trade
else:
enterTradeShort = 0 # Implies make no change
# if enterTradeShort == 1:
# if currentPredictedValue <= entryCLCutoff:
# enterTrade = 0
# if enterTrade == -1:
# if currentPredictedValue >= exitCLCutoff:
# enterTrade = 0
#long decisions
if(currentPredictedValueLong > entryCL):
enterTradeLong = 1
numberOfTimesAskedToEnterTradeLong += 1
elif(currentPredictedValueLong < exitCL and tradeStats['currentPositionLong'] > 0):
numberOfTimesAskedToExitTradeLong += 1
enterTradeLong = -1 # Implies to exit the trade
else:
enterTradeLong = 0 # Implies make no change
ttqAtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.TTQ])
askP0AtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.AskP0])
bidP0AtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.BidP0])
askQ0AtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.AskQ0])
bidQ0AtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.BidQ0])
ltpAtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.LTP])
currentIndex = currentIndex + 1
# Squaring off if some open position there
if tradeStats['currentPositionLong'] > 0:
reasonForTrade['AssumingSellTradeHappenedLong'] += tradeStats['currentPositionLong']
tradeStats['totalSellValueLong'] += tradeStats['currentPositionLong'] * (bidP0AtTimeOfPreviousDataRow)
tradeStats['currentPositionLong'] = 0
lReasonForTradingOrNotTradingLong = 'CloseSell(Hitting)'
elif tradeStats['currentPositionShort'] > 0:
reasonForTrade['AssumingBuyTradeHappenedShort'] += tradeStats['currentPositionShort']
tradeStats['totalBuyValueShort'] += tradeStats['currentPositionShort'] * (askP0AtTimeOfPreviousDataRow)
tradeStats['currentPositionShort'] = 0
lReasonForTradingOrNotTradingLong = 'CloseBuy(Hitting)'
attribute.aList[currentIndex-1][0] = currentTimeStamp
attribute.aList[currentIndex-1][1] = tradeStats['currentPositionLong']
attribute.aList[currentIndex-1][2] = tradeStats['currentPositionShort']
listOfStringsToPrint = [ str(bidQ0AtTimeOfPreviousDataRow) , str(bidP0AtTimeOfPreviousDataRow) , str(askP0AtTimeOfPreviousDataRow) , str(askQ0AtTimeOfPreviousDataRow) , str(ttqAtTimeOfPreviousDataRow) , str(ltpAtTimeOfPreviousDataRow) , str(currentPredictedValueShort) , str(enterTradeShort) , "" , str(currentPredictedValueLong) , str(enterTradeLong) ,"" , str(reasonForTrade['AssumingBuyTradeHappenedShort']),str(reasonForTrade['AssumingBuyTradeHappenedLong']),str(reasonForTrade['AssumingSellTradeHappenedShort']),str(reasonForTrade['AssumingSellTradeHappenedLong']),str(lDummyBidQ0),str(lDummyAskQ0),str(lDummyTTQForBuy),str(lDummyTTQForSell)]
attribute.aList[currentIndex-1][3] = ";".join(listOfStringsToPrint)
dirName = args.pd.replace('/ro/','/rs/')
tradeLogMainDirName = dirName+"/t/"
if not os.path.exists(tradeLogMainDirName):
os.mkdir(tradeLogMainDirName)
tradeLogSubDirectoryName = tradeLogMainDirName + mainExperimentName+"/"
if not os.path.exists(tradeLogSubDirectoryName):
os.mkdir(tradeLogSubDirectoryName)
fileName = tradeLogSubDirectoryName+experimentName+initialFileName+".trade"
lHeaderColumnNamesList = ['TimeStamp','CurrentPositionLong','CurrentPositionShort','BidQ0','BidP0','AskP0','AskQ0','TTQ','LTP','CurPredValueShort','EnterTradeShort','ReasonForTradingOrNotTradingShort','CurPredValueLong','EnterTradeLong','ReasonForTradingOrNotTradingLong','totalBuyTradeShort','totalBuyLong','totalSellShort','totalSellLong','DummyBidQ0','DummyAskQ0','DummyTTQChangeForSell','DummyTTQChangeForBuy']
attribute.writeToFile(fileName , lHeaderColumnNamesList)
tradeResultMainDirName = dirName+"/r/"
if not os.path.exists(tradeResultMainDirName):
os.mkdir(tradeResultMainDirName)
tradeResultSubDirectoryName = tradeResultMainDirName + mainExperimentName+"/"
if not os.path.exists(tradeResultSubDirectoryName):
os.mkdir(tradeResultSubDirectoryName)
fileName = tradeResultSubDirectoryName+experimentName+initialFileName+".result"
outputFile = open(fileName,"w")
#changed file write to modify it to Short Long version
print("Starting to write: "+fileName)
print("The net results for Short are: " + str(tradeStats['totalSellValueShort'] - tradeStats['totalBuyValueShort']), file = outputFile)
print("The net results for Long are: " + str(tradeStats['totalSellValueLong'] - tradeStats['totalBuyValueLong']), file = outputFile)
print("Number of rows for which there is no prediction: " + str(noPredictionForThisRow), file = outputFile)
print("Number of times asked to enter trade Short: " + str(numberOfTimesAskedToEnterTradeShort), file = outputFile)
print("Number of times asked to enter trade Long: " + str(numberOfTimesAskedToEnterTradeLong), file = outputFile)
print("Number of times asked to exit trade Short: " + str(numberOfTimesAskedToExitTradeShort), file = outputFile)
print("Number of times asked to exit trade Long: " + str(numberOfTimesAskedToExitTradeLong), file = outputFile)
print("Assumed close buy trade did not happen since volume did not increase: " + str(reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptShort']), file = outputFile)
print("Assumed open buy trade did not happen since volume did not increase: " + str(reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptLong']), file = outputFile)
print("Assumed close buy trade did not happen since bidP0 not same as LTP: " + str(reasonForTrade['LTPDoesNotEqualBidP0Short']), file = outputFile)
print("Assumed open buy trade did not happen since bidP0 not same as LTP: " + str(reasonForTrade['LTPDoesNotEqualBidP0Long']), file = outputFile)
print("Assumed close buy trade happened: " + str(reasonForTrade['AssumingBuyTradeHappenedShort']), file = outputFile)
print("Assumed open buy trade happened: " + str(reasonForTrade['AssumingBuyTradeHappenedLong']), file = outputFile)
print("Assumed open sell trade did not happen since volume did not increase: " + str(reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptShort']), file = outputFile)
print("Assumed close sell trade did not happen since volume did not increase: " + str(reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptLong']), file = outputFile)
print("Assumed open sell trade did not happen since bidP0 not same as LTP: " + str(reasonForTrade['LTPDoesNotEqualAskP0Short']), file = outputFile)
print("Assumed close sell trade did not happen since bidP0 not same as LTP: " + str(reasonForTrade['LTPDoesNotEqualAskP0Long']), file = outputFile)
print("Assumed open sell trade happened: " + str(reasonForTrade['AssumingSellTradeHappenedShort']), file = outputFile)
print("Assumed close sell trade happened: " + str(reasonForTrade['AssumingSellTradeHappenedLong']), file = outputFile)
print("The total open sell value is: " + str(tradeStats['totalSellValueShort']), file = outputFile)
print("The total close sell value is: " + str(tradeStats['totalSellValueLong']), file = outputFile)
print("The total close buy value is: " + str(tradeStats['totalBuyValueShort']), file = outputFile)
print("The total open buy value is: " + str(tradeStats['totalBuyValueLong']), file = outputFile)
try:
averageOpenSellPrice = tradeStats['totalSellValueShort']/reasonForTrade['AssumingSellTradeHappenedShort']
averageCloseBuyPrice = tradeStats['totalBuyValueShort']/reasonForTrade['AssumingBuyTradeHappenedShort']
except:
averageOpenSellPrice = 0
averageCloseBuyPrice = 0
try:
averageCloseSellPrice = tradeStats['totalSellValueLong']/reasonForTrade['AssumingSellTradeHappenedLong']
averageOpenBuyPrice = tradeStats['totalBuyValueLong']/reasonForTrade['AssumingBuyTradeHappenedLong']
except:
averageCloseSellPrice = 0
averageOpenBuyPrice = 0
print("Average open sell price per unit is: " + str(averageOpenSellPrice), file = outputFile)
print("Average close sell price per unit is: " + str(averageCloseSellPrice), file = outputFile)
print("Average open buy price per unit is: " + str(averageOpenBuyPrice), file = outputFile)
print("Average close buy price per unit is: " + str(averageCloseBuyPrice), file = outputFile)
print("The current position Short: " + str(tradeStats['currentPositionShort']), file = outputFile)
print("The current position Long: " + str(tradeStats['currentPositionLong']), file = outputFile)
print("Profit or loss per Qty traded Short is: " + str(averageOpenSellPrice - averageCloseBuyPrice), file = outputFile)
print("Profit or loss per Qty traded Long is: " + str(averageCloseSellPrice - averageOpenBuyPrice), file = outputFile)
pLPerLotShort=(averageOpenSellPrice - averageCloseBuyPrice)* 1000
pLPerLotLong=(averageCloseSellPrice - averageOpenBuyPrice)* 1000
print("1 lot has 1000 qty's so P/L Short per lot is: " + str(pLPerLotShort), file = outputFile)
print("1 lot has 1000 qty's so P/L Long per lot is: " + str(pLPerLotLong), file = outputFile)
print("P/L for Short trading 10 lots is: " + str(pLPerLotShort * 10), file = outputFile)
print("P/L for Long trading 10 lots is: " + str(pLPerLotLong * 10), file = outputFile)
def main():
attribute.initList()
dataFile.getDataIntoMatrix(args.pd)
predictedValuesDict = dict()
getPredictedValuesIntoDict(predictedValuesDict)
enterTradeShort = 0
enterTradeLong = 0
ttqAtTimeOfPreviousDataRow = 0
askP0AtTimeOfPreviousDataRow = 0
bidP0AtTimeOfPreviousDataRow = 0
askQ0AtTimeOfPreviousDataRow = 0
bidQ0AtTimeOfPreviousDataRow = 0
tradeStats = dict()
tradeStats['totalSellValueShort'] = 0
tradeStats['totalBuyValueShort'] = 0
tradeStats['currentPositionShort'] = 0
tradeStats['totalSellValueLong'] = 0
tradeStats['totalBuyValueLong'] = 0
tradeStats['currentPositionLong'] = 0
noPredictionForThisRow = 0
currentPredictedValueShort = 0
currentPredictedValueLong = 0
entryCL = float(args.entryCL) / 100
exitCL = float(args.exitCL) / 100
# entryCLCutoff = float(args.entryCLCutoff)
# exitCLCutoff = float(args.exitCLCutoff)
numberOfTimesAskedToEnterTradeShort = 0
numberOfTimesAskedToEnterTradeLong = 0
numberOfTimesAskedToExitTradeShort = 0
numberOfTimesAskedToExitTradeLong = 0
reasonForTrade = dict()
reasonForTrade['LTPDoesNotEqualBidP0Short'] = 0
reasonForTrade['LTPDoesNotEqualAskP0Short'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptShort'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptLong'] = 0
reasonForTrade['AssumingBuyTradeHappenedShort'] = 0
reasonForTrade['AssumingBuyTradeHappenedLong'] = 0
reasonForTrade['LTPDoesNotEqualAskP0Long'] = 0
reasonForTrade['LTPDoesNotEqualBidP0Long'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptShort'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptLong'] = 0
reasonForTrade['AssumingSellTradeHappenedShort'] = 0
reasonForTrade['AssumingSellTradeHappenedLong'] = 0
currentIndex = 0
print("Processing the data file for trades :")
attribute.initList()
for currentDataRow in dataFile.matrix:
lReturnList = checkIfPreviousDecisionToEnterOrExitTradeWasSuccessful(
currentDataRow, ttqAtTimeOfPreviousDataRow,
askP0AtTimeOfPreviousDataRow, bidP0AtTimeOfPreviousDataRow,
askQ0AtTimeOfPreviousDataRow, bidQ0AtTimeOfPreviousDataRow,
enterTradeShort, enterTradeLong, tradeStats, reasonForTrade)
lReasonForTradingOrNotTradingShort = lReturnList[0]
lReasonForTradingOrNotTradingLong = lReturnList[1]
lDummyBidQ0 = lReturnList[2]
lDummyAskQ0 = lReturnList[3]
lDummyTTQForBuy = lReturnList[4]
lDummyTTQForSell = lReturnList[5]
if currentIndex > 0:
attribute.aList[currentIndex - 1][0] = currentTimeStamp
attribute.aList[currentIndex -
1][1] = tradeStats['currentPositionLong']
attribute.aList[currentIndex -
1][2] = tradeStats['currentPositionShort']
listOfStringsToPrint = [
str(bidQ0AtTimeOfPreviousDataRow),
str(bidP0AtTimeOfPreviousDataRow),
str(askP0AtTimeOfPreviousDataRow),
str(askQ0AtTimeOfPreviousDataRow),
str(ttqAtTimeOfPreviousDataRow),
str(ltpAtTimeOfPreviousDataRow),
str(currentPredictedValueShort),
str(enterTradeShort), lReasonForTradingOrNotTradingShort,
str(currentPredictedValueLong),
str(enterTradeLong), lReasonForTradingOrNotTradingLong,
str(reasonForTrade['AssumingBuyTradeHappenedShort']),
str(reasonForTrade['AssumingBuyTradeHappenedLong']),
str(reasonForTrade['AssumingSellTradeHappenedShort']),
str(reasonForTrade['AssumingSellTradeHappenedLong']),
str(lDummyBidQ0),
str(lDummyAskQ0),
str(lDummyTTQForBuy),
str(lDummyTTQForSell)
]
attribute.aList[currentIndex -
1][3] = ";".join(listOfStringsToPrint)
currentTimeStamp = common.convertTimeStampFromStringToFloat(
currentDataRow[colNumberOfData.TimeStamp])
try:
currentPredictedValueShort = (
float(predictedValuesDict[currentTimeStamp][-2]) +
float(predictedValuesDict[currentTimeStamp][-1]))
currentPredictedValueLong = (
float(predictedValuesDict[currentTimeStamp][2]) +
float(predictedValuesDict[currentTimeStamp][1]))
except:
noPredictionForThisRow += 1
#short decisions
if (currentPredictedValueShort > entryCL):
enterTradeShort = 1
numberOfTimesAskedToEnterTradeShort += 1
elif (currentPredictedValueShort < exitCL
and tradeStats['currentPositionShort'] > 0):
numberOfTimesAskedToExitTradeShort += 1
enterTradeShort = -1 # Implies to exit the trade
else:
enterTradeShort = 0 # Implies make no change
# if enterTradeShort == 1:
# if currentPredictedValue <= entryCLCutoff:
# enterTrade = 0
# if enterTrade == -1:
# if currentPredictedValue >= exitCLCutoff:
# enterTrade = 0
#long decisions
if (currentPredictedValueLong > entryCL):
enterTradeLong = 1
numberOfTimesAskedToEnterTradeLong += 1
elif (currentPredictedValueLong < exitCL
and tradeStats['currentPositionLong'] > 0):
numberOfTimesAskedToExitTradeLong += 1
enterTradeLong = -1 # Implies to exit the trade
else:
enterTradeLong = 0 # Implies make no change
ttqAtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.TTQ])
askP0AtTimeOfPreviousDataRow = float(
currentDataRow[colNumberOfData.AskP0])
bidP0AtTimeOfPreviousDataRow = float(
currentDataRow[colNumberOfData.BidP0])
askQ0AtTimeOfPreviousDataRow = float(
currentDataRow[colNumberOfData.AskQ0])
bidQ0AtTimeOfPreviousDataRow = float(
currentDataRow[colNumberOfData.BidQ0])
ltpAtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.LTP])
currentIndex = currentIndex + 1
# Squaring off if some open position there
if tradeStats['currentPositionLong'] > 0:
reasonForTrade['AssumingSellTradeHappenedLong'] += tradeStats[
'currentPositionLong']
tradeStats['totalSellValueLong'] += tradeStats[
'currentPositionLong'] * (bidP0AtTimeOfPreviousDataRow)
tradeStats['currentPositionLong'] = 0
lReasonForTradingOrNotTradingLong = 'CloseSell(Hitting)'
elif tradeStats['currentPositionShort'] > 0:
reasonForTrade['AssumingBuyTradeHappenedShort'] += tradeStats[
'currentPositionShort']
tradeStats['totalBuyValueShort'] += tradeStats[
'currentPositionShort'] * (askP0AtTimeOfPreviousDataRow)
tradeStats['currentPositionShort'] = 0
lReasonForTradingOrNotTradingLong = 'CloseBuy(Hitting)'
attribute.aList[currentIndex - 1][0] = currentTimeStamp
attribute.aList[currentIndex - 1][1] = tradeStats['currentPositionLong']
attribute.aList[currentIndex - 1][2] = tradeStats['currentPositionShort']
listOfStringsToPrint = [
str(bidQ0AtTimeOfPreviousDataRow),
str(bidP0AtTimeOfPreviousDataRow),
str(askP0AtTimeOfPreviousDataRow),
str(askQ0AtTimeOfPreviousDataRow),
str(ttqAtTimeOfPreviousDataRow),
str(ltpAtTimeOfPreviousDataRow),
str(currentPredictedValueShort),
str(enterTradeShort), "",
str(currentPredictedValueLong),
str(enterTradeLong), "",
str(reasonForTrade['AssumingBuyTradeHappenedShort']),
str(reasonForTrade['AssumingBuyTradeHappenedLong']),
str(reasonForTrade['AssumingSellTradeHappenedShort']),
str(reasonForTrade['AssumingSellTradeHappenedLong']),
str(lDummyBidQ0),
str(lDummyAskQ0),
str(lDummyTTQForBuy),
str(lDummyTTQForSell)
]
attribute.aList[currentIndex - 1][3] = ";".join(listOfStringsToPrint)
dirName = args.pd.replace('/ro/', '/rs/')
tradeLogMainDirName = dirName + "/t/"
if not os.path.exists(tradeLogMainDirName):
os.mkdir(tradeLogMainDirName)
tradeLogSubDirectoryName = tradeLogMainDirName + mainExperimentName + "/"
if not os.path.exists(tradeLogSubDirectoryName):
os.mkdir(tradeLogSubDirectoryName)
fileName = tradeLogSubDirectoryName + experimentName + initialFileName + ".trade"
lHeaderColumnNamesList = [
'TimeStamp', 'CurrentPositionLong', 'CurrentPositionShort', 'BidQ0',
'BidP0', 'AskP0', 'AskQ0', 'TTQ', 'LTP', 'CurPredValueShort',
'EnterTradeShort', 'ReasonForTradingOrNotTradingShort',
'CurPredValueLong', 'EnterTradeLong',
'ReasonForTradingOrNotTradingLong', 'totalBuyTradeShort',
'totalBuyLong', 'totalSellShort', 'totalSellLong', 'DummyBidQ0',
'DummyAskQ0', 'DummyTTQChangeForSell', 'DummyTTQChangeForBuy'
]
attribute.writeToFile(fileName, lHeaderColumnNamesList)
tradeResultMainDirName = dirName + "/r/"
if not os.path.exists(tradeResultMainDirName):
os.mkdir(tradeResultMainDirName)
tradeResultSubDirectoryName = tradeResultMainDirName + mainExperimentName + "/"
if not os.path.exists(tradeResultSubDirectoryName):
os.mkdir(tradeResultSubDirectoryName)
fileName = tradeResultSubDirectoryName + experimentName + initialFileName + ".result"
outputFile = open(fileName, "w")
#changed file write to modify it to Short Long version
print("Starting to write: " + fileName)
print("The net results for Short are: " +
str(tradeStats['totalSellValueShort'] -
tradeStats['totalBuyValueShort']),
file=outputFile)
print("The net results for Long are: " +
str(tradeStats['totalSellValueLong'] -
tradeStats['totalBuyValueLong']),
file=outputFile)
print("Number of rows for which there is no prediction: " +
str(noPredictionForThisRow),
file=outputFile)
print("Number of times asked to enter trade Short: " +
str(numberOfTimesAskedToEnterTradeShort),
file=outputFile)
print("Number of times asked to enter trade Long: " +
str(numberOfTimesAskedToEnterTradeLong),
file=outputFile)
print("Number of times asked to exit trade Short: " +
str(numberOfTimesAskedToExitTradeShort),
file=outputFile)
print("Number of times asked to exit trade Long: " +
str(numberOfTimesAskedToExitTradeLong),
file=outputFile)
print(
"Assumed close buy trade did not happen since volume did not increase: "
+ str(reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptShort']),
file=outputFile)
print(
"Assumed open buy trade did not happen since volume did not increase: "
+ str(reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptLong']),
file=outputFile)
print(
"Assumed close buy trade did not happen since bidP0 not same as LTP: "
+ str(reasonForTrade['LTPDoesNotEqualBidP0Short']),
file=outputFile)
print(
"Assumed open buy trade did not happen since bidP0 not same as LTP: " +
str(reasonForTrade['LTPDoesNotEqualBidP0Long']),
file=outputFile)
print("Assumed close buy trade happened: " +
str(reasonForTrade['AssumingBuyTradeHappenedShort']),
file=outputFile)
print("Assumed open buy trade happened: " +
str(reasonForTrade['AssumingBuyTradeHappenedLong']),
file=outputFile)
print(
"Assumed open sell trade did not happen since volume did not increase: "
+ str(reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptShort']),
file=outputFile)
print(
"Assumed close sell trade did not happen since volume did not increase: "
+ str(reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptLong']),
file=outputFile)
print(
"Assumed open sell trade did not happen since bidP0 not same as LTP: "
+ str(reasonForTrade['LTPDoesNotEqualAskP0Short']),
file=outputFile)
print(
"Assumed close sell trade did not happen since bidP0 not same as LTP: "
+ str(reasonForTrade['LTPDoesNotEqualAskP0Long']),
file=outputFile)
print("Assumed open sell trade happened: " +
str(reasonForTrade['AssumingSellTradeHappenedShort']),
file=outputFile)
print("Assumed close sell trade happened: " +
str(reasonForTrade['AssumingSellTradeHappenedLong']),
file=outputFile)
print("The total open sell value is: " +
str(tradeStats['totalSellValueShort']),
file=outputFile)
print("The total close sell value is: " +
str(tradeStats['totalSellValueLong']),
file=outputFile)
print("The total close buy value is: " +
str(tradeStats['totalBuyValueShort']),
file=outputFile)
print("The total open buy value is: " +
str(tradeStats['totalBuyValueLong']),
file=outputFile)
try:
averageOpenSellPrice = tradeStats[
'totalSellValueShort'] / reasonForTrade[
'AssumingSellTradeHappenedShort']
averageCloseBuyPrice = tradeStats[
'totalBuyValueShort'] / reasonForTrade[
'AssumingBuyTradeHappenedShort']
except:
averageOpenSellPrice = 0
averageCloseBuyPrice = 0
try:
averageCloseSellPrice = tradeStats[
'totalSellValueLong'] / reasonForTrade[
'AssumingSellTradeHappenedLong']
averageOpenBuyPrice = tradeStats['totalBuyValueLong'] / reasonForTrade[
'AssumingBuyTradeHappenedLong']
except:
averageCloseSellPrice = 0
averageOpenBuyPrice = 0
print("Average open sell price per unit is: " + str(averageOpenSellPrice),
file=outputFile)
print("Average close sell price per unit is: " +
str(averageCloseSellPrice),
file=outputFile)
print("Average open buy price per unit is: " + str(averageOpenBuyPrice),
file=outputFile)
print("Average close buy price per unit is: " + str(averageCloseBuyPrice),
file=outputFile)
print("The current position Short: " +
str(tradeStats['currentPositionShort']),
file=outputFile)
print("The current position Long: " +
str(tradeStats['currentPositionLong']),
file=outputFile)
print("Profit or loss per Qty traded Short is: " +
str(averageOpenSellPrice - averageCloseBuyPrice),
file=outputFile)
print("Profit or loss per Qty traded Long is: " +
str(averageCloseSellPrice - averageOpenBuyPrice),
file=outputFile)
pLPerLotShort = (averageOpenSellPrice - averageCloseBuyPrice) * 1000
pLPerLotLong = (averageCloseSellPrice - averageOpenBuyPrice) * 1000
print("1 lot has 1000 qty's so P/L Short per lot is: " +
str(pLPerLotShort),
file=outputFile)
print("1 lot has 1000 qty's so P/L Long per lot is: " + str(pLPerLotLong),
file=outputFile)
print("P/L for Short trading 10 lots is: " + str(pLPerLotShort * 10),
file=outputFile)
print("P/L for Long trading 10 lots is: " + str(pLPerLotLong * 10),
file=outputFile)
def main():
dataFile.getDataIntoMatrix(args.d)
targetValuesDict = dict()
getTargetValuesIntoDict(targetValuesDict)
readOnceAndWrite(initialFileName, targetValuesDict)
def main():
try:
attribute.initializeInstDetails(args.iT, args.sP, args.oT, args.rev)
if args.i is not None:
attribute.checkIfAttributeOutputFileExists(
os.path.basename(moduleName), args.n, args.i, args.o, args.m,
args.d)
else:
attribute.checkIfAttributeOutputFileExists(
os.path.basename(moduleName), args.n, args.c, args.o, args.m,
args.d)
if args.rev != None and args.rev.lower() == "yes":
dataFile.getSelectedDataIntoMatrix(args.d)
else:
if (args.cType == "synthetic"):
if "For6Levels" not in args.g:
dataFile.getDataIntoMatrix(args.d, args.c, level=5)
else:
try:
dataFile.getDataIntoMatrix(args.d, args.c, level=5)
except:
dataFile.getDataIntoMatrix(args.d, args.c, level=6)
else:
if "For6Levels" not in args.g:
dataFile.getDataIntoMatrix(args.d, level=5)
else:
try:
dataFile.getDataIntoMatrix(args.d, level=5)
except:
dataFile.getDataIntoMatrix(args.d, level=6)
attribute.initList()
lHeaderColumnNamesList = userModule.extractAttributeFromDataMatrix(
args)
if args.i is not None:
fileName = attribute.getOutputFileNameFromGeneratorName(
os.path.basename(moduleName), args.n, args.i, args.o, args.m,
args.d)
else:
fileName = attribute.getOutputFileNameFromGeneratorName(
os.path.basename(moduleName), args.n, args.c, args.o, args.m,
args.d)
print fileName
attribute.writeToFile(fileName, lHeaderColumnNamesList)
attribute.callRProgramToConvertToBinary(fileName)
except:
traceback.print_exc()
e = sys.exc_info()[0]
print e
os._exit(-1)
