def what_contract_trade_is_possible(self, proposed_order):
log = proposed_order.log_with_attributes(self.log)
data_trade_limits = dataTradeLimits(self.data)
strategy_name = proposed_order.strategy_name
instrument_code = proposed_order.instrument_code
# proposed_order.trade.total_abs_qty() is a scalar, returns a scalar
possible_trade_size = data_trade_limits.what_trade_is_possible(
strategy_name, instrument_code, proposed_order.trade.total_abs_qty())
revised_order = proposed_order.change_trade_size_proportionally(
possible_trade_size
)
if revised_order.trade != proposed_order.trade:
log.msg(
"%s/%s trade change from %s to %s because of trade limits"
% (
strategy_name,
instrument_code,
str(proposed_order.trade),
str(revised_order.trade),
)
)
return revised_order
def view_trade_limits(data):
trade_limits = dataTradeLimits(data)
all_limits = trade_limits.get_all_limits_sorted()
print("All limits\n")
for limit in all_limits:
print(limit)
print("\n")
def set_trade_limit_for_instrument(
data,
instrument_code: str,
risk_multiplier: float,
trade_multiplier: float,
period_days: int,
max_leverage: float,
):
trade_limits = dataTradeLimits(data)
new_limit = calc_trade_limit_for_instrument(
data,
instrument_code=instrument_code,
risk_multiplier=risk_multiplier,
trade_multiplier=trade_multiplier,
max_leverage=max_leverage,
period_days=period_days,
)
if np.isnan(new_limit):
print("Can't calculate trade limit for %s, not setting" %
instrument_code)
else:
print("Update limit for %s %d with %d" %
(instrument_code, period_days, new_limit))
trade_limits.update_instrument_limit_with_new_limit(
instrument_code, period_days, new_limit)
def reset_limit_for_instrument(data):
trade_limits = dataTradeLimits(data)
instrument_code = get_valid_instrument_code_from_user(data)
period_days = get_and_convert("Period of days?", type_expected=int, allow_default=True, default_value = 1)
ans = input("Reset means trade 'clock' will restart. Are you sure? (y/other)")
if ans =="y":
trade_limits.reset_instrument_limit(instrument_code, period_days)
def set_trade_limit_for_instrument(
data,
instrument_code: str,
trade_multiplier: float,
period_days: int,
auto_parameters: parametersForAutoPopulation
):
trade_limits = dataTradeLimits(data)
new_limit = calc_trade_limit_for_instrument(
data,
instrument_code=instrument_code,
auto_parameters = auto_parameters,
trade_multiplier=trade_multiplier,
period_days=period_days
)
if np.isnan(new_limit):
print("Can't calculate trade limit for %s, not setting" % instrument_code)
else:
print(
"Update limit for %s %d with %d" % (instrument_code, period_days, new_limit)
)
trade_limits.update_instrument_limit_with_new_limit(
instrument_code, period_days, new_limit
)
def apply_trade_limits_to_contract_order(
self, proposed_order: contractOrder) -> contractOrder:
log = proposed_order.log_with_attributes(self.log)
data_trade_limits = dataTradeLimits(self.data)
instrument_strategy = proposed_order.instrument_strategy
# proposed_order.trade.total_abs_qty() is a scalar, returns a scalar
maximum_abs_qty = (
data_trade_limits.what_trade_is_possible_for_strategy_instrument(
instrument_strategy, proposed_order.trade))
contract_order_after_trade_limits = (
proposed_order.
change_trade_size_proportionally_to_meet_abs_qty_limit(
maximum_abs_qty))
if contract_order_after_trade_limits.trade != proposed_order.trade:
log.msg("%s trade change from %s to %s because of trade limits" % (
proposed_order.key,
str(proposed_order.trade),
str(contract_order_after_trade_limits.trade),
))
return contract_order_after_trade_limits
def change_limit_for_instrument(data):
trade_limits = dataTradeLimits(data)
instrument_code = get_valid_instrument_code_from_user(data)
period_days = get_and_convert("Period of days?", type_expected=int, allow_default=True, default_value = 1)
new_limit = get_and_convert("Limit (in contracts?)", type_expected=int, allow_default=False)
ans = input("Update will change number of trades allowed in periods, but won't reset 'clock'. Are you sure? (y/other)")
if ans =="y":
trade_limits.update_instrument_limit_with_new_limit(instrument_code, period_days, new_limit)
def add_trade_to_trade_limits(self, executed_order, trade_size=arg_not_supplied):
if trade_size is arg_not_supplied:
trade_size = executed_order.trade[0]
data_trade_limits = dataTradeLimits(self.data)
strategy_name = executed_order.strategy_name
instrument_code = executed_order.instrument_code
data_trade_limits.add_trade(strategy_name, instrument_code, trade_size)
def set_trade_limit_for_instrument(data, instrument_code, risk_multiplier, trade_multiplier, period_days):
trade_limits = dataTradeLimits(data)
new_limit = calc_trade_limit_for_instrument(data, instrument_code, risk_multiplier, trade_multiplier, period_days)
if np.isnan(new_limit):
print("Can't calculate trade limit for %s, not setting" % instrument_code)
else:
trade_limits.update_instrument_limit_with_new_limit(
instrument_code, period_days, new_limit)
def remove_trade_from_trade_limits(self, partially_filled_modified_or_cancelled_order, unfilled_qty =arg_not_supplied):
if unfilled_qty is arg_not_supplied:
unfilled_qty = partially_filled_modified_or_cancelled_order.trade[0] - \
partially_filled_modified_or_cancelled_order.fill[0]
data_trade_limits = dataTradeLimits(self.data)
strategy_name = partially_filled_modified_or_cancelled_order.strategy_name
instrument_code = partially_filled_modified_or_cancelled_order.instrument_code
data_trade_limits.remove_trade(strategy_name, instrument_code, unfilled_qty)
def what_contract_trade_is_possible(self, proposed_order):
log = proposed_order.log_with_attributes(self.log)
data_trade_limits = dataTradeLimits(self.data)
strategy_name = proposed_order.strategy_name
instrument_code = proposed_order.instrument_code
possible_trade_size = data_trade_limits.what_trade_is_possible(strategy_name, instrument_code, proposed_order.trade[0])
revised_order = proposed_order.replace_trade_only_use_for_unsubmitted_trades([possible_trade_size])
if revised_order.trade[0]!=proposed_order.trade[0]:
log.msg("%s/%s trade change from %s to %s because of trade limits" \
% (strategy_name, instrument_code, str(proposed_order.trade), str(revised_order.trade)))
return revised_order
def reset_limit_for_instrument_strategy(data):
trade_limits = dataTradeLimits(data)
instrument_code = get_valid_instrument_code_from_user(data)
period_days = get_and_convert(
"Period of days?", type_expected=int, allow_default=True, default_value=1
)
strategy_name = get_valid_strategy_name_from_user(data=data, source="positions")
ans = input("Reset means trade 'clock' will restart. Are you sure? (y/other)")
if ans == "y":
instrument_strategy = instrumentStrategy(
instrument_code=instrument_code, strategy_name=strategy_name
)
trade_limits.reset_instrument_strategy_limit(
instrument_strategy=instrument_strategy, period_days=period_days
)
def get_list_of_trade_limits(data):
trade_limits = dataTradeLimits(data)
all_limits = trade_limits.get_all_limits()
list_of_limits = [get_trade_limit_tuple(limit) for limit in all_limits]
return list_of_limits
def reset_all_limits(data):
trade_limits = dataTradeLimits(data)
ans = input(
"Reset means trade 'clock' will restart. Are you sure? (y/other)")
if ans == "y":
trade_limits.reset_all_limits()
def add_trade_to_trade_limits(self, executed_order: brokerOrder):
data_trade_limits = dataTradeLimits(self.data)
data_trade_limits.add_trade(executed_order)
