def get_buffered_position_with_multiplier(self,
instrument_code,
roundpositions=True):
"""
Get the buffered position
:param instrument_code: instrument to get
:param roundpositions: Round positions to whole contracts
:type roundpositions: bool
:returns: Tx1 pd.DataFrame
"""
self.log.msg("Calculating buffered positions with multiplier")
optimal_position = self.get_actual_position(instrument_code)
pos_buffers = self.get_actual_buffers_for_position(instrument_code)
trade_to_edge = self.parent.config.buffer_trade_to_edge
buffered_position = apply_buffer(
optimal_position,
pos_buffers,
trade_to_edge=trade_to_edge,
roundpositions=roundpositions)
buffered_position.columns = ["position"]
return buffered_position
def get_buffered_position_with_multiplier(self,
instrument_code,
roundpositions=True):
"""
Get the buffered position
:param instrument_code: instrument to get
:param roundpositions: Round positions to whole contracts
:type roundpositions: bool
:returns: Tx1 pd.DataFrame
"""
self.log.msg("Calculating buffered positions with multiplier")
optimal_position = self.get_actual_position(instrument_code)
pos_buffers = self.get_actual_buffers_for_position(instrument_code)
trade_to_edge = self.parent.config.buffer_trade_to_edge
buffered_position = apply_buffer(
optimal_position,
pos_buffers,
trade_to_edge=trade_to_edge,
roundpositions=roundpositions,
)
buffered_position.columns = ["position"]
return buffered_position
def _get_buffered_position(
system, instrument_code, this_stage, roundpositions):
this_stage.log.msg("Calculating buffered positions")
optimal_position=this_stage.get_notional_position(instrument_code)
pos_buffers=this_stage.get_buffers_for_position(instrument_code)
trade_to_edge=system.config.buffer_trade_to_edge
buffered_position = apply_buffer(optimal_position, pos_buffers,
trade_to_edge=trade_to_edge, roundpositions=roundpositions)
buffered_position.columns=["position"]
return buffered_position
def _get_buffered_position_given_optimal_position_and_buffers(self,
optimal_position: pd.Series,
pos_buffers: pd.DataFrame,
roundpositions: bool=True) \
-> pd.Series:
self.log.msg("Calculating buffered positions")
trade_to_edge = self.config.buffer_trade_to_edge
buffered_position = apply_buffer(
optimal_position,
pos_buffers,
trade_to_edge=trade_to_edge,
roundpositions=roundpositions,
)
return buffered_position
def _get_buffered_position(system, instrument_code, this_stage,
roundpositions):
this_stage.log.msg("Calculating buffered positions")
optimal_position = this_stage.get_notional_position(
instrument_code)
pos_buffers = this_stage.get_buffers_for_position(instrument_code)
trade_to_edge = system.config.buffer_trade_to_edge
buffered_position = apply_buffer(optimal_position,
pos_buffers,
trade_to_edge=trade_to_edge,
roundpositions=roundpositions)
buffered_position.columns = ["position"]
return buffered_position
def get_buffered_position(self, instrument_code, roundpositions=True):
"""
Get the buffered position
:param instrument_code: instrument to get
:param roundpositions: Round positions to whole contracts
:type roundpositions: bool
:returns: Tx1 pd.DataFrame
>>> from systems.basesystem import System
>>> from systems.tests.testdata import get_test_object_futures_with_portfolios
>>> (portfolio, posobject, combobject, capobject, rules, rawdata, data, config)=get_test_object_futures_with_portfolios()
>>> system=System([portfolio, posobject, combobject, capobject, rules, rawdata, Account()], data, config)
>>>
>>> system.accounts.get_buffered_position("EDOLLAR").tail(3)
position
2015-12-09 1
2015-12-10 1
2015-12-11 1
"""
self.log.msg("Calculating buffered positions")
optimal_position = self.get_notional_position(instrument_code)
pos_buffers = self.get_buffers_for_position(instrument_code)
trade_to_edge = self.parent.config.buffer_trade_to_edge
buffered_position = apply_buffer(
optimal_position,
pos_buffers,
trade_to_edge=trade_to_edge,
roundpositions=roundpositions,
)
buffered_position.columns = ["position"]
return buffered_position
def get_buffered_position(self, instrument_code, roundpositions=True):
"""
Get the buffered position
:param instrument_code: instrument to get
:param roundpositions: Round positions to whole contracts
:type roundpositions: bool
:returns: Tx1 pd.DataFrame
>>> from systems.basesystem import System
>>> from systems.tests.testdata import get_test_object_futures_with_portfolios
>>> (portfolio, posobject, combobject, capobject, rules, rawdata, data, config)=get_test_object_futures_with_portfolios()
>>> system=System([portfolio, posobject, combobject, capobject, rules, rawdata, Account()], data, config)
>>>
>>> system.accounts.get_buffered_position("EDOLLAR").tail(3)
position
2015-12-09 1
2015-12-10 1
2015-12-11 1
"""
self.log.msg("Calculating buffered positions")
optimal_position = self.get_notional_position(instrument_code)
pos_buffers = self.get_buffers_for_position(instrument_code)
trade_to_edge = self.parent.config.buffer_trade_to_edge
buffered_position = apply_buffer(
optimal_position,
pos_buffers,
trade_to_edge=trade_to_edge,
roundpositions=roundpositions)
buffered_position.columns = ["position"]
return buffered_position