def send_trading_signals(self, timestamp, long_selected, short_selected):
# current position
account = self.account_service.latest_account
current_holdings = [position['security_id'] for position in account['positions'] if
position['available_long'] > 0]
if long_selected:
# just long the security not in the positions
longed = long_selected - set(current_holdings)
if longed:
position_pct = 1.0 / len(longed)
order_money = account['cash'] * position_pct
for security_id in longed:
trading_signal = TradingSignal(security_id=security_id,
the_timestamp=timestamp,
trading_signal_type=TradingSignalType.trading_signal_open_long,
trading_level=self.level,
order_money=order_money)
for listener in self.trading_signal_listeners:
listener.on_trading_signal(trading_signal)
# just short the security in current_holdings and short_selected
if short_selected:
shorted = set(current_holdings) & short_selected
for security_id in shorted:
trading_signal = TradingSignal(security_id=security_id,
the_timestamp=timestamp,
trading_signal_type=TradingSignalType.trading_signal_close_long,
position_pct=1.0,
trading_level=self.level)
for listener in self.trading_signal_listeners:
listener.on_trading_signal(trading_signal)
def run(self):
# now we just support day level
for timestamp in pd.date_range(start=self.start_timestamp,
end=self.end_timestamp,
freq='B').tolist():
self.account_service.on_trading_open(timestamp)
account = self.account_service.latest_account
current_holdings = [
position['security_id'] for position in account['positions']
]
df = self.selectors_comparator.make_decision(timestamp=timestamp)
selected = set()
if not df.empty:
selected = set(df['security_id'].to_list())
if selected:
# just long the security not in the positions
longed = selected - set(current_holdings)
if longed:
position_pct = 1.0 / len(longed)
order_money = account['cash'] * position_pct
for security_id in longed:
trading_signal = TradingSignal(
security_id=security_id,
the_timestamp=timestamp,
trading_signal_type=TradingSignalType.
trading_signal_open_long,
trading_level=TradingLevel.LEVEL_1DAY,
order_money=order_money)
for listener in self.trading_signal_listeners:
listener.on_trading_signal(trading_signal)
shorted = set(current_holdings) - selected
for security_id in shorted:
trading_signal = TradingSignal(
security_id=security_id,
the_timestamp=timestamp,
trading_signal_type=TradingSignalType.
trading_signal_close_long,
position_pct=1.0,
trading_level=TradingLevel.LEVEL_1DAY)
for listener in self.trading_signal_listeners:
listener.on_trading_signal(trading_signal)
self.account_service.on_trading_close(timestamp)
def run(self):
# now we just support day level
for timestamp in pd.date_range(start=self.start_timestamp,
end=self.end_timestamp,
freq='B').tolist():
account = self.account_service.get_account_at_time(timestamp)
positions = [
position.security_id for position in account.positions
]
# select the targets from the selectors
selected = set()
for selector in self.selectors:
df = selector.get_targets(timestamp)
if not df.empty:
targets = set(df['security_id'].to_list())
if not selected:
selected = targets
else:
selected = selected & targets
if selected:
# just long the security not in the positions
longed = selected - set(positions)
position_pct = 1.0 / len(longed)
for security_id in longed:
trading_signal = TradingSignal(
security_id=security_id,
the_timestamp=timestamp,
trading_signal_type=TradingSignalType.
trading_signal_open_long,
trading_level=None,
position_pct=position_pct)
for listener in self.trading_signal_listeners:
listener.on_trading_signal(trading_signal)
shorted = set(positions) - selected
for security_id in shorted:
trading_signal = TradingSignal(
security_id=security_id,
the_timestamp=timestamp,
trading_signal_type=TradingSignalType.
trading_signal_close_long,
trading_level=None)
for listener in self.trading_signal_listeners:
listener.on_trading_signal(trading_signal)
self.account_service.save_closing_account(timestamp)
def sell(self,
due_timestamp,
happen_timestamp,
entity_ids,
position_pct=1.0):
# current position
account = self.get_current_account()
current_holdings = []
if account.positions:
current_holdings = [
position.entity_id for position in account.positions
if position != None and position.available_long > 0
]
shorted = set(current_holdings) & entity_ids
for entity_id in shorted:
trading_signal = TradingSignal(
entity_id=entity_id,
due_timestamp=due_timestamp,
happen_timestamp=happen_timestamp,
trading_signal_type=TradingSignalType.close_long,
trading_level=self.level,
position_pct=position_pct)
self.send_trading_signal(trading_signal)
def buy(self,
due_timestamp,
happen_timestamp,
entity_ids,
position_pct=1.0,
ignore_in_position=True):
if ignore_in_position:
account = self.get_current_account()
current_holdings = []
if account.positions:
current_holdings = [
position.entity_id for position in account.positions
if position != None and position.available_long > 0
]
entity_ids = set(entity_ids) - set(current_holdings)
if entity_ids:
position_pct = (1.0 / len(entity_ids)) * position_pct
for entity_id in entity_ids:
trading_signal = TradingSignal(
entity_id=entity_id,
due_timestamp=due_timestamp,
happen_timestamp=happen_timestamp,
trading_signal_type=TradingSignalType.open_long,
trading_level=self.level,
position_pct=position_pct)
self.send_trading_signal(trading_signal)
def sell(self, due_timestamp, happen_timestamp, entity_ids):
# current position
account = self.get_current_account()
current_holdings = []
if account.positions:
current_holdings = [
position.entity_id for position in account.positions
if position is not None and position.available_long > 0
]
shorted = set(current_holdings) & set(entity_ids)
if shorted:
position_pct = self.short_position_control()
for entity_id in shorted:
trading_signal = TradingSignal(
entity_id=entity_id,
due_timestamp=due_timestamp,
happen_timestamp=happen_timestamp,
trading_signal_type=TradingSignalType.close_long,
trading_level=self.level,
position_pct=position_pct)
self.trading_signals.append(trading_signal)
def make_decision(self):
self.current_trading_signal = None
if len(self.history_data) < 10:
return
ma_short = SMA(self.history_data, self.short_period)[-1]
ma_long = SMA(self.history_data, self.long_period)[-1]
if ma_short > ma_long:
if self.last_status == ShortLongStatus.SHORT_ON_LONG:
start, end = self.signal_timestamp_interval()
self.send_trading_signal(
TradingSignal(security_id=self.security_id,
current_price=self.current_data['close'],
start_timestamp=start,
end_timestamp=end,
trading_signal_type=TradingSignalType.
trading_signal_keep_long))
else:
# self.keep_status.append((self.current_timestamp, ShortLongStatus.SHORT_ON_LONG))
start, end = self.signal_timestamp_interval()
self.send_trading_signal(
TradingSignal(security_id=self.security_id,
current_price=self.current_data['close'],
start_timestamp=start,
end_timestamp=end,
trading_signal_type=TradingSignalType.
trading_signal_close_short))
self.send_trading_signal(
TradingSignal(security_id=self.security_id,
current_price=self.current_data['close'],
start_timestamp=start,
end_timestamp=end,
trading_signal_type=TradingSignalType.
trading_signal_open_long))
self.last_status = ShortLongStatus.SHORT_ON_LONG
if ma_short < ma_long:
if self.last_status == ShortLongStatus.LONG_ON_SHORT:
start, end = self.signal_timestamp_interval()
self.send_trading_signal(
TradingSignal(security_id=self.security_id,
current_price=self.current_data['close'],
start_timestamp=start,
end_timestamp=end,
trading_signal_type=TradingSignalType.
trading_signal_keep_short))
else:
# self.keep_status.append((self.current_timestamp, ShortLongStatus.LONG_ON_SHORT))
start, end = self.signal_timestamp_interval()
self.send_trading_signal(
TradingSignal(security_id=self.security_id,
current_price=self.current_data['close'],
start_timestamp=start,
end_timestamp=end,
trading_signal_type=TradingSignalType.
trading_signal_close_long))
self.send_trading_signal(
TradingSignal(security_id=self.security_id,
current_price=self.current_data['close'],
start_timestamp=start,
end_timestamp=end,
trading_signal_type=TradingSignalType.
trading_signal_open_short))
self.last_status = ShortLongStatus.LONG_ON_SHORT
