def synchronize_position_record(self, config):
account_type = self.account_type
# initialize position record for symbols that not in position record
init_cash = config['trade']['init_cash'][account_type]
pool = config['selected_sec_list'][config['trade']['pool']
[account_type]]
for symbol in pool:
if symbol not in self.record.keys():
self.record[symbol] = {'cash': init_cash, 'position': 0}
# get real position (dict)
position_dict = dict([(x.contract.symbol, x.quantity)
for x in self.positions])
# compare position record with real position
record_conflicted = False
for symbol in self.record.keys():
if symbol not in pool:
continue
# update position in record
record_position = self.record[symbol]['position']
current_position = 0 if (
symbol not in position_dict.keys()) else position_dict[symbol]
if current_position != record_position:
record_conflicted = True
if current_position > 0:
self.record[symbol] = {
'cash': 0,
'position': current_position
}
else:
self.record[symbol] = {'cash': init_cash, 'position': 0}
self.logger.error(
f'[{account_type[:4]}]: {symbol} position({current_position}) rather than ({record_position}), reset record'
)
# add record for position that not recorded
for symbol in [
x for x in position_dict.keys()
if (x in pool and x not in self.record.keys())
]:
record_conflicted = True
self.record[symbol] = {
'cash': 0,
'position': position_dict[symbol]
}
self.logger.error(
f'[{account_type[:4]}]: {symbol} position({position_dict[symbol]}) not in record, add record'
)
# update __position_record
if record_conflicted:
self.__position_record[self.account_type] = self.record.copy()
io_util.create_config_file(config_dict=self.__position_record,
file_path=config['config_path'],
file_name='tiger_position_record.json')
def synchronize_position_record(self, config):
account_type = self.account_type
# initialize position record for symbols that not in position record
init_cash = config['trade']['init_cash'][account_type]
pool = config['selected_sec_list'][config['trade']['pool']
[account_type]]
for symbol in pool:
if symbol not in self.record.keys():
self.record[symbol] = {'cash': init_cash, 'position': 0}
# get record position and real position then compare to each other
record_conflicted = False
position_dict = dict([(x[0].split('.')[1], x[1])
for x in self.positions[['code', 'qty']].values])
for symbol in self.record.keys():
# skip symbols that not in auto-trade pool
if symbol not in pool:
continue
record_position = self.record[symbol]['position']
current_position = 0 if (
symbol not in position_dict.keys()) else position_dict[symbol]
if current_position != record_position:
record_conflicted = True
if current_position > 0:
self.record[symbol] = {
'cash': 0,
'position': current_position
}
else:
self.record[symbol] = {'cash': init_cash, 'position': 0}
self.logger.error(
f'[{account_type[:4]}]: {symbol} position({current_position}) rather than ({record_position}), reset record'
)
# add record for symbol in position but not in record
for symbol in [
x for x in position_dict.keys()
if (x in pool and x not in self.record.keys())
]:
record_conflicted = True
self.record[symbol] = {
'cash': 0,
'position': position_dict[symbol]
}
self.logger.error(
f'[{account_type[:4]}]: {symbol} position({position_dict[symbol]}) not in record, add record'
)
# update __position_record
if record_conflicted:
self.__position_record[self.account_type] = self.record.copy()
io_util.create_config_file(config_dict=self.__position_record,
file_path=config['config_path'],
file_name='futu_position_record.json')
def update_portfolio_record(self,
config,
position_summary=None,
is_print=True):
# get position summary
if position_summary is None:
position_summary = self.get_position_summary(get_briefs=False)
position_summary.set_index('symbol', inplace=True)
position_summary = position_summary.round(2)
# get assets summary
net_value = 0
market_value = 0
cash = 0
asset_summary = self.get_asset_summary()
if len(asset_summary) > 0:
net_value = asset_summary.loc[0, 'total_assets']
market_value = asset_summary.loc[0, 'market_val']
cash = asset_summary.loc[0, 'cash']
# post process
if market_value == float('inf'):
market_value = position_summary['market_value'].sum().round(2)
# load portfolio record
portfolio_record = io_util.read_config(file_path=config['config_path'],
file_name='portfolio.json')
old_net_value = portfolio_record['futu'][self.account_type].get(
'net_value')
support = portfolio_record['futu'][self.account_type].get(
'portfolio').get('support')
resistant = portfolio_record['futu'][self.account_type].get(
'portfolio').get('resistant')
# update portfolio record for current account
portfolio_record['futu'][
self.account_type]['portfolio'] = position_summary.to_dict()
portfolio_record['futu'][
self.account_type]['portfolio']['support'] = {}
portfolio_record['futu'][
self.account_type]['portfolio']['resistant'] = {}
quantity = portfolio_record['futu'][
self.account_type]['portfolio'].get('quantity')
if quantity is not None:
if support is not None:
for symbol in quantity.keys():
portfolio_record['futu'][self.account_type]['portfolio'][
'support'][symbol] = support.get(symbol)
if resistant is not None:
for symbol in quantity.keys():
portfolio_record['futu'][self.account_type]['portfolio'][
'resistant'][symbol] = resistant.get(symbol)
portfolio_record['futu'][
self.account_type]['market_value'] = market_value
portfolio_record['futu'][self.account_type]['net_value'] = net_value
portfolio_record['futu'][self.account_type]['cash'] = cash
portfolio_record['futu'][self.account_type]['updated'] = datetime.now(
).strftime(format="%Y-%m-%d %H:%M:%S")
io_util.create_config_file(config_dict=portfolio_record,
file_path=config['config_path'],
file_name='portfolio.json')
# print change
if is_print:
self.logger.info(
f'[{self.account_type[:4]}]: net value {old_net_value} --> {net_value}'
)
def update_position_record(self,
config,
init_cash=None,
init_position=None,
start_time=None,
end_time=None,
is_print=True):
# set default values
init_cash = config['trade']['init_cash'][self.account_type] if (
init_cash is None) else init_cash
init_position = 0 if (init_position is None) else init_position
start_time = datetime.now().strftime(
format="%Y-%m-%d") if (start_time is None) else start_time
end_time = start_time if (end_time is None) else end_time
try:
# get today filled orders
ret_orders, orders = self.trade_context.history_order_list_query(
trd_env=self.account_type,
status_filter_list=[
OrderStatus.FILLED_PART, OrderStatus.FILLED_ALL
],
start=start_time,
end=end_time)
# update position records
if ret_orders == 0:
for index, row in orders.iterrows():
symbol = row['code'].split('.')[1] # order.contract.symbol
action = row['trd_side'] # order.action
quantity = row[
'dealt_qty'] # order.quantity - order.remaining
commission = 3 # order.commission
avg_fill_price = row[
'dealt_avg_price'] # order.avg_fill_price
# init record if not exist
if symbol not in self.record.keys():
self.record[symbol] = {
'cash': init_cash,
'position': init_position
}
record_cash = self.record[symbol]['cash']
record_position = self.record[symbol]['position']
# calculate new cash and position
if action == 'BUY':
cost = avg_fill_price * quantity + commission
new_cash = record_cash - cost
new_position = record_position + quantity
elif action == 'SELL':
acquire = avg_fill_price * quantity - commission
new_cash = record_cash + acquire
new_position = record_position - quantity
else:
new_cash = self.record[symbol]['cash']
new_position = self.record[symbol]['position']
# update record
if new_cash >= 0 and new_position >= 0:
self.record[symbol]['cash'] = new_cash
self.record[symbol]['position'] = new_position
if is_print:
self.logger.info(
f'[{self.account_type[:4]}]: updating position record for {symbol} {record_cash, record_position} -> {new_cash, new_position}'
)
# update __position_record
# self.record['updated'] = datetime.now().strftime(format="%Y-%m-%d %H:%M:%S")
self.__position_record = io_util.read_config(
file_path=config['config_path'],
file_name='futu_position_record.json')
self.__position_record[self.account_type] = self.record.copy()
self.__position_record['updated'][
self.account_type] = datetime.now().strftime(
format="%Y-%m-%d %H:%M:%S")
io_util.create_config_file(
config_dict=self.__position_record,
file_path=config['config_path'],
file_name='futu_position_record.json')
elif ret_orders == -1:
self.logger.error(f'[erro]: fail getting orders - {orders}')
except Exception as e:
self.logger.exception(
f'[erro]: fail updating position records for {self.account_type}, {e}'
)
def update_position_record(self,
config,
init_cash=None,
init_position=None,
start_time=None,
end_time=None,
is_print=True):
# set default values
init_cash = config['trade']['init_cash'][self.account_type] if (
init_cash is None) else init_cash
init_position = 0 if (init_position is None) else init_position
start_time = self.trade_time['pre_open_time'].strftime(
format="%Y-%m-%d %H:%M:%S") if (start_time is None) else start_time
end_time = self.trade_time['post_close_time'].strftime(
format="%Y-%m-%d %H:%M:%S") if (end_time is None) else end_time
try:
# get today filled orders
orders = self.trade_client.get_filled_orders(start_time=start_time,
end_time=end_time)
# update position records
for order in orders:
symbol = order.contract.symbol
action = order.action
quantity = order.quantity - order.remaining
commission = order.commission
avg_fill_price = order.avg_fill_price
# init record if not exist
if symbol not in self.record.keys():
self.record[symbol] = {
'cash': init_cash,
'position': init_position
}
record_cash = self.record[symbol]['cash']
record_position = self.record[symbol]['position']
# calculate new cash and position
if action == 'BUY':
cost = avg_fill_price * quantity + commission
new_cash = record_cash - cost
new_position = record_position + quantity
elif action == 'SELL':
acquire = avg_fill_price * quantity - commission
new_cash = record_cash + acquire
new_position = record_position - quantity
else:
new_cash = record_cash
new_position = record_position
# update record
if new_cash >= 0 and new_position >= 0:
self.record[symbol]['cash'] = new_cash
self.record[symbol]['position'] = new_position
if is_print:
self.logger.info(
f'[{self.account_type[:4]}]: updating position record for {symbol} {record_cash, record_position} -> {new_cash, new_position}'
)
# update __position_record
# self.record['updated'] = datetime.datetime.now().strftime(format="%Y-%m-%d %H:%M:%S")
self.__position_record = io_util.read_config(
file_path=config['config_path'],
file_name='tiger_position_record.json')
self.__position_record[self.account_type] = self.record.copy()
self.__position_record['updated'][
self.account_type] = datetime.datetime.now().strftime(
format="%Y-%m-%d %H:%M:%S")
io_util.create_config_file(config_dict=self.__position_record,
file_path=config['config_path'],
file_name='tiger_position_record.json')
except Exception as e:
self.logger.exception(
f'[erro]: fail updating position records for {self.account_type}, {e}'
)