def run_gather_data():
#code that gets and logs performance data
print("Gathering Data")
success = True
rh = Robinhood()
now = datetime.datetime.utcnow()
try:
success = rh.marketOpenCheck()
if not success:
print('markets are closed')
else:
print('markets are open')
except Exception as e:
success = False
print('rh market check error ', str(e))
send_email(mailgun_domain, mailgun_api_key, diag_email_dest,
('resiliant-trader data gather error ' +
str(datetime.datetime.now())),
("rh market check error. Unexpected error: " + str(e)))
if success:
try:
success = rh.login(username=rhuser, password=rhpass)
if success:
print('robinhood login succesful')
else:
print('robinhood login unsuccesful')
except Exception as e:
success = False
print('rh login error ', str(e))
send_email(mailgun_domain, mailgun_api_key, diag_email_dest,
('resiliant-trader data gather error ' +
str(datetime.datetime.now())),
("rh login error. Unexpected error: " + str(e)))
if success:
try:
client = MongoClient(mongodb_uri)
db = client.get_database()
except Exception as e:
print('mongo login error ', str(e))
success = False
send_email(mailgun_domain, mailgun_api_key, diag_email_dest,
('resiliant-trader data gather error ' +
str(datetime.datetime.now())),
("mongo login error. Unexpected error: " + str(e)))
if success:
try:
#get pricing data
spyAskPrice = rh.ask_price('SPY')
spyBidPrice = rh.bid_price('SPY')
spyAvgCost = (spyAskPrice + spyBidPrice) / 2
print('spyAvgCost = ', spyAvgCost)
tltAskPrice = rh.ask_price('TLT')
tltBidPrice = rh.bid_price('TLT')
tltAvgCost = (tltAskPrice + tltBidPrice) / 2
print('tltAvgCost = ', tltAvgCost)
except Exception as e:
print('etf price error ', str(e))
success = False
send_email(mailgun_domain, mailgun_api_key, diag_email_dest,
('resiliant-trader data gather error ' +
str(datetime.datetime.now())),
("etf price error. Unexpected error: " + str(e)))
if success:
try:
#get portfolioValue
portfolioValue = rh.equity()
tltPosition = 0
spyPosition = 0
print('portfolioValue =', portfolioValue)
openPositions = rh.securities_owned()['results']
for position in openPositions:
instrumentURL = position['instrument']
positionTicker = rh.get_url(instrumentURL)['symbol']
positionQuantity = float(position['quantity'])
if (positionTicker == 'SPY'):
spyPosition = positionQuantity
if (positionTicker == 'TLT'):
tltPosition = positionQuantity
print('spyPosition = ', spyPosition)
print('tltPosition = ', tltPosition)
except Exception as e:
print('portfolio value error ', str(e))
success = False
send_email(mailgun_domain, mailgun_api_key, diag_email_dest,
('resiliant-trader data gather error ' +
str(datetime.datetime.now())),
("portfolio value error. Unexpected error: " + str(e)))
if success:
try:
#get treasury risk free rate
quandl.ApiConfig.api_key = quandl_key
riskFree = (quandl.get("USTREASURY/BILLRATES.3",
rows=1,
returns='numpy')[0])[1]
print('riskFree =', riskFree)
except Exception as e:
print('risk free error ', str(e))
success = False
send_email(mailgun_domain, mailgun_api_key, diag_email_dest,
('resiliant-trader data gather error ' +
str(datetime.datetime.now())),
("risk free error. Unexpected error: " + str(e)))
if success:
try:
#get last data
lastData = db.rawPrices.find_one(sort=[("timestamp", -1)])
lastTimestamp = lastData['timestamp']
lastSpy = lastData['spy']
lastTlt = lastData['tlt']
lastPortfolio = lastData['portfolio']
lastRiskFree = lastData['annualized90day']
except Exception as e:
print('error getting previous data ', str(e))
success = False
send_email(
mailgun_domain, mailgun_api_key, diag_email_dest,
('resiliant-trader data gather error ' +
str(datetime.datetime.now())),
("error getting previous data. Unexpected error: " + str(e)))
if success:
try:
# save data
rawData = {
"timestamp": now,
"spy": spyAvgCost,
"tlt": tltAvgCost,
"portfolio": portfolioValue,
"annualized90day": riskFree
}
data_id = db.rawPrices.insert_one(rawData).inserted_id
print("data saved to", data_id)
except Exception as e:
print('data save error ', str(e))
success = False
send_email(
mailgun_domain, mailgun_api_key, diag_email_dest,
('resiliant-trader data gather error ' +
str(datetime.datetime.now())),
("error calculating change. Unexpected error: " + str(e)))
if success:
try:
# calculate percentage changes
spyChange = (spyAvgCost - lastSpy) / lastSpy
print('spyChange = ', spyChange)
tltChange = (tltAvgCost - lastTlt) / lastTlt
print('tltChange = ', tltChange)
portfolioChange = (portfolioValue - lastPortfolio) / lastPortfolio
print('portfolioChange = ', portfolioChange)
elapsedTime = now - lastTimestamp
year = datetime.timedelta(days=365)
treasuryChange = ((1 + (((lastRiskFree + riskFree) / 2)) / 100)
**(divtd(elapsedTime, year))) - 1
print('treasuryChange = ', treasuryChange)
except Exception as e:
print('error calculating change ', str(e))
success = False
send_email(
mailgun_domain, mailgun_api_key, diag_email_dest,
('resiliant-trader data gather error ' +
str(datetime.datetime.now())),
("error calculating change. Unexpected error: " + str(e)))
if success:
try:
# save data
percentageData = {
"timestamp": now,
"spy": spyChange,
"tlt": tltChange,
"portfolio": portfolioChange,
"90dayTreasury": treasuryChange
}
data_id = db.percentageMove.insert_one(percentageData).inserted_id
print("data saved to", data_id)
except Exception as e:
print('data save error ', str(e))
success = False
send_email(mailgun_domain, mailgun_api_key, diag_email_dest,
('resiliant-trader data gather error ' +
str(datetime.datetime.now())),
("data save error. Unexpected error: " + str(e)))
if success:
try:
# calculate tracking
spyTarget = calcAlloc(rh)
print('spyTarget = ', spyTarget)
tltTarget = 1 - spyTarget
print('tltTarget = ', tltTarget)
spyActual = (spyPosition * spyAvgCost) / portfolioValue
tltActual = (tltPosition * tltAvgCost) / portfolioValue
print('spyActual = ', spyActual)
print('tltActual = ', tltActual)
except Exception as e:
print('error calculating tracking ', str(e))
success = False
send_email(
mailgun_domain, mailgun_api_key, diag_email_dest,
('resiliant-trader data gather error ' +
str(datetime.datetime.now())),
("error calculating tracking. Unexpected error: " + str(e)))
if success:
try:
# save tracking data
trackingData = {
"timestamp": now,
"spyActual": spyActual,
"tltActual": tltActual,
"spyTarget": spyTarget,
"tltTarget": tltTarget
}
data_id = db.tracking.insert_one(trackingData).inserted_id
print("data saved to", data_id)
except Exception as e:
print('tracking data save error ', str(e))
success = False
send_email(
mailgun_domain, mailgun_api_key, diag_email_dest,
('resiliant-trader data gather error ' +
str(datetime.datetime.now())),
("tracking data save error. Unexpected error: " + str(e)))
portfolioValue = rh.equity()
print('portfolioValue =', portfolioValue)
#allocate portfolio
spyAllocationPercentage = calcAlloc(rh)
tltAllocationPercentage = 1 - spyAllocationPercentage
print('spyAllocationPercentage = ', spyAllocationPercentage)
print('tltAllocationPercentage = ', tltAllocationPercentage)
spyTargetAllocation = spyAllocationPercentage * portfolioValue
tltTargetAllocation = tltAllocationPercentage * portfolioValue
print('spyTargetAllocation = ', spyTargetAllocation)
print('tltTargetAllocation = ', tltTargetAllocation)
#get pricing data
spyAskPrice = rh.ask_price('SPY')
spyBidPrice = rh.bid_price('SPY')
spyAvgCost = (spyAskPrice + spyBidPrice) / 2
spyBuyPrice = spyAskPrice + (spyAskPrice - spyBidPrice)
spySellPrice = spyBidPrice - (spyAskPrice - spyBidPrice)
print('spyAskPrice = ', spyAskPrice)
print('spyBidPrice = ', spyBidPrice)
tltAskPrice = rh.ask_price('TLT')
tltBidPrice = rh.bid_price('TLT')
tltAvgCost = (tltAskPrice + tltBidPrice) / 2
tltBuyPrice = tltAskPrice + (tltAskPrice - tltBidPrice)
tltSellPrice = tltBidPrice - (tltAskPrice - tltBidPrice)
print('tltAskPrice = ', tltAskPrice)
print('tltBidPrice = ', tltBidPrice)
def run_trader():
try:
print("running trader at: " + str(datetime.datetime.now()))
message = "running trader at: " + str(datetime.datetime.now())
success = True
rh = Robinhood()
success = rh.marketOpenCheck()
if not success:
print('markets are closed')
message += '\nmarkets are closed'
else:
print('markets are open')
message += '\nmarkets are open'
if success:
success = rh.login(username=rhuser, password=rhpass)
if success:
print('login succesful')
message += '\nlogin succesful'
else:
print('login unsuccesful')
message += '\nlogin unsuccesful'
if success:
#exit extra postions
openPositions = rh.securities_owned()['results']
sellOrders = {}
for position in openPositions:
instrumentURL = position['instrument']
positionTicker = rh.get_url(instrumentURL)['symbol']
positionQuantity = position['quantity']
if (positionTicker != 'SPY') and (positionTicker != 'TLT'):
print('position in ', positionTicker,
' is not needed, selling')
stock_instrument = rh.instruments(positionTicker)[0]
sellOrders[
positionTicker] = rh.place_immediate_market_order(
instrumentURL, positionTicker, 'gfd',
positionQuantity, 'sell')
if sellOrders == {}:
print('no extra positions found to close')
message += '\nno extra positions found to close'
else:
print(sellOrders)
orderOutcome = 'unresolved'
while orderOutcome != 'resolved':
remainingUnresolved = False
for order in sellOrders:
orderDetail = sellOrders[order]
orderDetail['status'] = rh.check_order_status(
orderDetail['url'])
if orderDetail['status'] == 'unresolved':
remainingUnresolved = True
if not remainingUnresolved:
orderOutcome = 'resolved'
else:
print('remaining unresolved orders, waiting')
message += '\nremaining unresolved orders, waiting'
time.sleep(60)
for order in sellOrders:
orderDetail = sellOrders[order]
if orderDetail['status'] == 'failure':
success = False
if not success:
print('unable to sell extra positions correctly')
message += '\nunable to sell extra positions correctly'
if success:
#get portfolio current value
portfolioValue = rh.equity()
print('portfolioValue =', portfolioValue)
message += '\nportfolioValue = '
message += str(portfolioValue)
#allocate portfolio
spyAllocationPercentage = calcAlloc(rh)
tltAllocationPercentage = 1 - spyAllocationPercentage
print('spyAllocationPercentage = ', spyAllocationPercentage)
message += '\nspyAllocationPercentage = '
message += str(spyAllocationPercentage)
print('tltAllocationPercentage = ', tltAllocationPercentage)
message += '\ntltAllocationPercentage = '
message += str(tltAllocationPercentage)
spyTargetAllocation = spyAllocationPercentage * portfolioValue
tltTargetAllocation = tltAllocationPercentage * portfolioValue
print('spyTargetAllocation = ', spyTargetAllocation)
message += '\nspyTargetAllocation = '
message += str(spyTargetAllocation)
print('tltTargetAllocation = ', tltTargetAllocation)
message += '\ntltTargetAllocation = '
message += str(tltTargetAllocation)
#get pricing data
spyAskPrice = rh.ask_price('SPY')
spyBidPrice = rh.bid_price('SPY')
spyAvgCost = (spyAskPrice + spyBidPrice) / 2
spyBuyPrice = spyAskPrice + (spyAskPrice - spyBidPrice)
spySellPrice = spyBidPrice - (spyAskPrice - spyBidPrice)
print('spyAskPrice = ', spyAskPrice)
message += '\nspyAskPrice = '
message += str(spyAskPrice)
print('spyBidPrice = ', spyBidPrice)
message += '\nspyBidPrice = '
message += str(spyBidPrice)
tltAskPrice = rh.ask_price('TLT')
tltBidPrice = rh.bid_price('TLT')
tltAvgCost = (tltAskPrice + tltBidPrice) / 2
tltBuyPrice = tltAskPrice + (tltAskPrice - tltBidPrice)
tltSellPrice = tltBidPrice - (tltAskPrice - tltBidPrice)
print('tltAskPrice = ', tltAskPrice)
message += '\ntltAskPrice = '
message += str(tltAskPrice)
print('tltBidPrice = ', tltBidPrice)
message += '\ntltBidPrice = '
message += str(tltBidPrice)
#recommend position sizes
#[spyTargetShares,tltTargetShares] = recommendTarget(portfolioValue,spyAllocationPercentage,tltAllocationPercentage,spyBuyPrice,tltBuyPrice)
[spyTargetShares, tltTargetShares] = recommendInitialTarget(
portfolioValue, spyAllocationPercentage,
tltAllocationPercentage, spyBuyPrice, tltBuyPrice)
print('spyTargetShares = ', spyTargetShares)
message += '\nspyTargetShares = '
message += str(spyTargetShares)
print('tltTargetShares = ', tltTargetShares)
message += '\ntltTargetShares = '
message += str(tltTargetShares)
targetPurchaseCost = targetTotalCost(spyTargetShares,
tltTargetShares, spyBuyPrice,
tltBuyPrice)
spyTargetAllocationPercentage = allocationPercentage(
spyTargetShares, spyBuyPrice, targetPurchaseCost)
tltTargetAllocationPercentage = allocationPercentage(
tltTargetShares, tltBuyPrice, targetPurchaseCost)
print('spyTargetAllocationPercentage = ',
spyTargetAllocationPercentage)
message += '\nspyTargetAllocationPercentage = '
message += str(spyTargetAllocationPercentage)
print('tltTargetAllocationPercentage = ',
tltTargetAllocationPercentage)
message += '\ntltTargetAllocationPercentage = '
message += str(tltTargetAllocationPercentage)
targetLoss = allocationLoss(spyTargetAllocationPercentage,
spyAllocationPercentage,
tltTargetAllocationPercentage,
tltAllocationPercentage)
print('target loss = ', targetLoss)
targetRemainingCash = portfolioValue - targetPurchaseCost
print('targetPurchaseCost = ', targetPurchaseCost)
message += '\ntargetPurchaseCost = '
message += str(targetPurchaseCost)
print('targetRemainingCash = ', targetRemainingCash)
message += '\ntargetRemainingCash = '
message += str(targetRemainingCash)
#detemine required rebalancing
spyRequired = spyTargetShares
tltRequired = tltTargetShares
for position in openPositions:
instrumentURL = position['instrument']
positionTicker = rh.get_url(instrumentURL)['symbol']
positionQuantity = float(position['quantity'])
if (positionTicker == 'SPY'):
spyRequired = spyTargetShares - positionQuantity
if (positionTicker == 'TLT'):
tltRequired = tltTargetShares - positionQuantity
print('spyRequired = ', spyRequired)
message += '\nspyRequired = '
message += str(spyRequired)
print('tltRequired = ', tltRequired)
message += '\ntltRequired = '
message += str(tltRequired)
spyInstrumentUrl = (rh.instruments('SPY')[0])['url']
tltInstrumentUrl = (rh.instruments('TLT')[0])['url']
if success:
#sell positions
if spyRequired < 0.0:
print('selling ', -spyRequired, ' of SPY')
spySellOrder = rh.place_immediate_market_order(
spyInstrumentUrl, 'SPY', 'gfd', -spyRequired, 'sell')
print(spySellOrder)
orderOutcome = 'unresolved'
while orderOutcome != 'resolved':
remainingUnresolved = False
orderResponse = rh.check_order_status(spySellOrder['url'])
if orderResponse == 'unresolved':
remainingUnresolved = True
if not remainingUnresolved:
orderOutcome = 'resolved'
else:
print('remaining unresolved spySell, waiting')
message += '\nremaining unresolved spySell, waiting'
time.sleep(60)
if orderResponse == 'failure':
success = False
if not success:
print('unable to sell required spy')
message += '\nunable to sell required spy'
if success:
if tltRequired < 0.0:
print('selling ', -tltRequired, ' of TLT')
tltSellOrder = rh.place_immediate_market_order(
tltInstrumentUrl, 'TLT', 'gfd', -tltRequired, 'sell')
print(tltSellOrder)
orderOutcome = 'unresolved'
while orderOutcome != 'resolved':
remainingUnresolved = False
orderResponse = rh.check_order_status(tltSellOrder['url'])
if orderResponse == 'unresolved':
remainingUnresolved = True
if not remainingUnresolved:
orderOutcome = 'resolved'
else:
print('remaining unresolved tltSell, waiting')
message += '\nremaining unresolved tltSell, waiting'
time.sleep(60)
if orderResponse == 'failure':
success = False
if not success:
print('unable to sell required tlt')
message += '\nunable to sell required tlt'
#buy positions
if success:
if spyRequired > 0.0:
print('buying ', spyRequired, ' of SPY')
spyBuyOrder = rh.place_immediate_market_order(
spyInstrumentUrl, 'SPY', 'gfd', spyRequired, 'buy',
round(spyBuyPrice, 3))
print(spyBuyOrder)
orderOutcome = 'unresolved'
while orderOutcome != 'resolved':
remainingUnresolved = False
orderResponse = rh.check_order_status(spyBuyOrder['url'])
if orderResponse == 'unresolved':
remainingUnresolved = True
if not remainingUnresolved:
orderOutcome = 'resolved'
else:
print('remaining unresolved spyBuy, waiting')
message += '\nremaining unresolved spyBuy, waiting'
time.sleep(60)
if orderResponse == 'failure':
success = False
if not success:
print('unable to buy required spy')
message += '\nunable to buy required spy'
if success:
if tltRequired > 0.0:
print('buying ', tltRequired, ' of TLT')
tltBuyOrder = rh.place_immediate_market_order(
tltInstrumentUrl, 'TLT', 'gfd', tltRequired, 'buy',
round(tltBuyPrice, 3))
print(tltBuyOrder)
orderOutcome = 'unresolved'
while orderOutcome != 'resolved':
remainingUnresolved = False
orderResponse = rh.check_order_status(tltBuyOrder['url'])
if orderResponse == 'unresolved':
remainingUnresolved = True
if not remainingUnresolved:
orderOutcome = 'resolved'
else:
print('remaining unresolved tltBuy, waiting')
message += '\nremaining unresolved tltBuy, waiting'
time.sleep(60)
if orderResponse == 'failure':
success = False
if not success:
print('unable to buy required tlt')
message += '\nunable to buy required tlt'
if success:
success = rh.logout()
if not success:
print('unable to logout')
message += '\nunable to logout'
else:
print('succesfully logged out')
message += '\nsuccesfully logged out'
send_email(mailgun_domain, mailgun_api_key, diag_email_dest,
('resiliant-trader log ' + str(datetime.datetime.now())),
message)
except Exception as e:
print("Unexpected error:", str(e))
send_email(mailgun_domain, mailgun_api_key, diag_email_dest,
('resiliant-trader log ' + str(datetime.datetime.now())),
("Unexpected error: " + str(e)))
raise