def load_tagged_tt_trades(**kwargs):
assign_output = get_tagged_tt_fills(**kwargs)
aggregate_trades = assign_output['aggregate_trades']
con = msu.get_my_sql_connection(**kwargs)
final_alias_dictionary = {}
unique_alias_list = aggregate_trades['alias'].unique()
open_strategy_frame = ts.get_open_strategies()
for i in range(len(unique_alias_list)):
if ~open_strategy_frame['alias'].str.contains(unique_alias_list[i]).any():
print('Need to create ' + unique_alias_list[i])
if '_ocs' in unique_alias_list[i]:
gen_output = ts.generate_db_strategy_from_alias_and_class(alias=unique_alias_list[i],
strategy_class='ocs')
final_alias_dictionary[unique_alias_list[i]] = gen_output['alias']
else:
final_alias_dictionary[unique_alias_list[i]] = unique_alias_list[i]
aggregate_trades['alias_final'] = [final_alias_dictionary[x] for x in aggregate_trades['alias']]
aggregate_trades['alias'] = aggregate_trades['alias_final']
ts.load_trades_2strategy(trade_frame=aggregate_trades,con=con,**kwargs)
if 'con' not in kwargs.keys():
con.close()
def hedge_strategy_against_delta(**kwargs):
con = msu.get_my_sql_connection(**kwargs)
print(kwargs['alias'])
hedge_results = get_hedge_4strategy(alias=kwargs['alias'], con=con)
trade_frame = pd.DataFrame()
trade_frame['ticker'] = hedge_results['underlying_ticker']
trade_frame['option_type'] = None
trade_frame['strike_price'] = np.NaN
trade_frame['trade_price'] = hedge_results['hedge_price']
trade_frame['trade_quantity'] = hedge_results['hedge']
trade_frame['instrument'] = 'F'
trade_frame['real_tradeQ'] = True
trade_frame['alias'] = kwargs['alias']
tas.load_trades_2strategy(trade_frame=trade_frame,con=con)
trade_frame['trade_quantity'] = -trade_frame['trade_quantity']
trade_frame['alias'] = 'delta_oct16'
tas.load_trades_2strategy(trade_frame=trade_frame,con=con)
if 'con' not in kwargs.keys():
con.close()
def execDetailsEnd(self, reqId: int):
super().execDetailsEnd(reqId)
print("ExecDetailsEnd. ", reqId)
trade_frame = self.trade_frame
trade_frame['real_tradeQ'] = True
trade_frame['ticker_head'] = [cmi.get_contract_specs(x)['ticker_head'] for x in trade_frame['ticker']]
if pth.exists(self.trade_file):
order_frame = pd.read_csv(self.trade_file,names=['order_id','ticker','urgency','strategy_class'])
print(order_frame['order_id'])
print(trade_frame['order_id'])
for i in range(len(trade_frame.index)):
selected_frame = order_frame[order_frame['order_id'] == trade_frame['order_id'].iloc[i]]
if len(selected_frame.index)>0:
if selected_frame['strategy_class'].iloc[0]=='delta_hedge':
trade_frame.loc[i,'alias'] = self.delta_alias
elif self.trade_assignment_by_tickerhead:
for key, value in self.trade_assignment_by_tickerhead.items():
trade_frame.loc[trade_frame['ticker_head'] == key,'alias'] = value
else:
trade_frame['alias'] = 'delta_Oct18_2'
trade_frame = trade_frame[pd.notnull(trade_frame['alias'])]
trade_frame.reset_index(inplace=True, drop=True)
ts.load_trades_2strategy(trade_frame=trade_frame, con=self.con)
def execDetails(self, reqId: int, contract: Contract,
execution: Execution):
super().execDetails(reqId, contract, execution)
try:
self.log.info('ExecDetails: ' + str(reqId) + ', ' +
contract.symbol + ', ' + contract.secType + ', ' +
contract.currency + ', ' + str(execution.execId) +
', ' + str(execution.orderId) + ', ' +
str(execution.shares))
ticker = ib_contract.get_db_ticker_from_ib_contract(
ib_contract=contract,
contract_id_dictionary=self.contractIDDictionary)
if execution.side == 'BOT':
trade_quantity = execution.shares
elif execution.side == 'SLD':
trade_quantity = -execution.shares
trade_frame = pd.DataFrame.from_items([
('alias', [self.db_alias]), ('ticker', [ticker]),
('option_type', [None]), ('strike_price', [np.nan]),
('trade_price', [execution.price]),
('trade_quantity', [trade_quantity]), ('instrument', ['F']),
('real_tradeQ', [True])
])
ts.load_trades_2strategy(trade_frame=trade_frame, con=self.con)
except Exception:
self.log.error('execDetails failed', exc_info=True)
def hedge_strategy_against_delta(**kwargs):
con = msu.get_my_sql_connection(**kwargs)
print(kwargs['alias'])
if 'intraday_price_frame' in kwargs.keys():
hedge_results = get_hedge_4strategy(
alias=kwargs['alias'],
intraday_price_frame=kwargs['intraday_price_frame'],
con=con)
else:
hedge_results = get_hedge_4strategy(alias=kwargs['alias'], con=con)
trade_frame = pd.DataFrame()
trade_frame['ticker'] = hedge_results['underlying_ticker']
trade_frame['option_type'] = None
trade_frame['strike_price'] = np.NaN
trade_frame['trade_price'] = hedge_results['hedge_price']
trade_frame['trade_quantity'] = hedge_results['hedge']
trade_frame['instrument'] = 'F'
trade_frame['real_tradeQ'] = True
trade_frame['alias'] = kwargs['alias']
tas.load_trades_2strategy(trade_frame=trade_frame, con=con)
trade_frame['trade_quantity'] = -trade_frame['trade_quantity']
trade_frame['alias'] = kwargs['delta_alias']
tas.load_trades_2strategy(trade_frame=trade_frame, con=con)
if 'con' not in kwargs.keys():
con.close()
def load_manual_entry_trades(**kwargs):
trade_frame = assign_trades_2strategies(trade_source='manual_entry')
con = msu.get_my_sql_connection(**kwargs)
ts.load_trades_2strategy(trade_frame=trade_frame,con=con,**kwargs)
if 'con' not in kwargs.keys():
con.close()
def load_tagged_tt_trades(**kwargs):
assign_output = get_tagged_tt_fills(**kwargs)
con = msu.get_my_sql_connection(**kwargs)
ts.load_trades_2strategy(trade_frame=assign_output['aggregate_trades'],con=con,**kwargs)
if 'con' not in kwargs.keys():
con.close()
def load_manual_entry_trades(**kwargs):
trade_frame = assign_trades_2strategies(trade_source='manual_entry')
con = msu.get_my_sql_connection(**kwargs)
ts.load_trades_2strategy(trade_frame=trade_frame,con=con,**kwargs)
if 'con' not in kwargs.keys():
con.close()
def create_paper_strategy_from_strategy_sheet(**kwargs):
id = kwargs['id']
strategy_class = kwargs['strategy_class']
size = kwargs['size']
report_date = kwargs['report_date']
strategy_id = ts.generate_db_strategy_from_strategy_sheet(id=id,strategy_class=strategy_class,
report_date=report_date)
trade_frame = generate_paper_trades_from_strategy_sheet(id=id,strategy_class=strategy_class,size=size,report_date=report_date)
ts.load_trades_2strategy(trade_frame=trade_frame,strategy_id=strategy_id)
def execDetails(self, reqId: int, contract: Contract, execution: Execution):
super().execDetails(reqId, contract, execution)
try:
self.log.info('ExecDetails: ' + str(reqId) + ', ' + contract.symbol + ', ' + contract.secType + ', ' + contract.currency + ', ' + str(execution.execId) + ', ' + str(execution.orderId) + ', ' + str(execution.shares))
if contract.secType!='BAG':
ticker = ib_contract.get_db_ticker_from_ib_contract(ib_contract=contract,contract_id_dictionary=self.contractIDDictionary)
with open(self.output_dir + '/fillsDetail.csv', 'a') as file:
file.write(str(execution.orderId) + ',' + str(execution.execId) + ',' + str(ticker) + ',' + str(execution.price) + ',' + str(execution.shares) + ',' + str(execution.side))
file.write('\n')
overnight_calendars = self.overnight_calendars
selection_index = overnight_calendars['working_order_id']==execution.orderId
strategy_alias = overnight_calendars.loc[selection_index,'alias'].values[0]
if execution.side=='BOT':
trade_quantity = execution.shares
elif execution.side=='SLD':
trade_quantity = -execution.shares
if strategy_alias in self.open_strategy_list:
strategy_alias_2write = strategy_alias
else:
db_strategy_output = ts.generate_db_strategy_from_alias(alias=strategy_alias,con=self.con,description_string='strategy_class=ocs&betSize=' + str(self.bet_size) +
'&ticker1=' +overnight_calendars.loc[selection_index,'ticker1'].values[0] +
'&ticker2=' +overnight_calendars.loc[selection_index, 'ticker2'].values[0])
strategy_alias_2write = db_strategy_output['alias']
overnight_calendars.loc[selection_index, 'alias'] = strategy_alias_2write
self.open_strategy_list.append(strategy_alias_2write)
self.overnight_calendars = overnight_calendars
trade_frame = pd.DataFrame.from_items([('alias', [strategy_alias_2write]),
('ticker', [ticker]),
('option_type', [None]),
('strike_price', [np.nan]),
('trade_price', [execution.price]),
('trade_quantity', [trade_quantity]),
('instrument', ['F']),
('real_tradeQ', [True])])
ts.load_trades_2strategy(trade_frame=trade_frame, con=self.con)
except Exception:
self.log.error('execDetails failed', exc_info=True)
def create_paper_strategy_from_strategy_sheet(**kwargs):
id = kwargs['id']
strategy_class = kwargs['strategy_class']
size = kwargs['size']
report_date = kwargs['report_date']
strategy_id = ts.generate_db_strategy_from_strategy_sheet(
id=id, strategy_class=strategy_class, report_date=report_date)
trade_frame = generate_paper_trades_from_strategy_sheet(
id=id,
strategy_class=strategy_class,
size=size,
report_date=report_date)
ts.load_trades_2strategy(trade_frame=trade_frame, strategy_id=strategy_id)
