def execute_on(self,price_book):
self.log.debug("executing_on: %s: %s" % (price_book.last_timestamp, price_book.keys()))
for symbol in price_book.keys():
price_data = price_book[symbol]
## pos = Position(symbol,qty,price)
## pos == None: no activity in this symbol yet
pos = self.positions.get(symbol,None)
opens = self.open_orders(symbol)
mo1 = self.indicator_map[symbol]['mo1']
mo2 = self.indicator_map[symbol]['mo2']
mo3 = self.indicator_map[symbol]['mo3']
duration = self.indicator_map[symbol]['duration']
self.log.debug('pushing: %s close= %s' % (symbol, price_data.close))
mo1.push(price_data.close)
mo2.push(price_data.close)
mo3.push(price_data.close)
if not opens:
if pos == None or pos.qty == 0:
if mo1.size() > 1 and mo2.size() > 0 and mo3.size():
## mo = tuple(pt momentum, pct momentum)
p_value = mo1[0][0]
y_value = mo1[1][0]
self.log.debug('%s indicator time: %s' % (symbol, price_data.timestamp))
if p_value > 0 and y_value <= 0 and mo2[0] > 0 and mo3[0] > 0:
qty = self.get_size(symbol,price_data.close)
self.log.debug("__BUY %s qty = %d" % (symbol,qty))
if qty: self.send_order(Order(self.name,symbol,Order.BUY,qty,Order.MARKET,None,None))
## clear the historical price counter
duration.reset()
if p_value < 0 and y_value >= 0 and mo2[0] < 0 and mo3[0] < 0:
qty = self.get_size(symbol,price_data.close)
self.log.debug("__SHORT %s qty = %d" % (symbol,qty))
if qty: self.send_order(Order(self.name,symbol,Order.SELL,qty,Order.MARKET,None,None))
## clear the historical price counter
duration.reset()
elif pos.qty > 0:
## keep track of time we have been in the trade
## exit after holding period or mid term momentum turns negative
duration.push(price_data.close)
if duration.size() >= duration.capacity or mo2[0] < 0:
self.log.debug("__SELL LONG %s qty = %d" % (symbol,pos.qty))
self.send_order(Order(self.name,symbol,Order.SELL,pos.qty,Order.MARKET,None,None))
elif pos.qty < 0:
## keep track of time we have been in the trade
## exit after holding period or mid term momentum turns positive
duration.push(price_data.close)
if duration.size() >= duration.capacity or mo2[0] > 0:
self.log.debug("__COVER SHORT %s qty = %d" % (symbol,pos.qty))
self.send_order(Order(self.name,symbol,Order.BUY,abs(pos.qty),Order.MARKET,None,None))
def test_strategy_order_update():
## do partial fill and update, both sides
latch = DataLatch(1)
s1_order_q = DQueue()
s1_fill_q = DQueue()
ts = datetime.datetime(2014, 8, 16, 12, 30, 0)
strategy = MStrategy('test_strategy', strategy_params={'length': 10})
strategy.IN_fills = s1_fill_q
strategy.OUT_orders = s1_order_q
strategy.latch = latch
strategy.start()
o1 = Order(strategy.name, 'AAPL', Order.SELL, 100, Order.MARKET, None,
None)
o2 = Order(strategy.name, 'AAPL', Order.SELL, 200, Order.MARKET, None,
None)
p1 = Order(strategy.name, 'AAPL', Order.BUY, 100, Order.MARKET, None, None)
p2 = Order(strategy.name, 'AAPL', Order.BUY, 200, Order.MARKET, None, None)
strategy.send_order(o1)
strategy.send_order(o2)
strategy.send_order(p1)
strategy.send_order(p2)
# allow time for orders to be sent
time.sleep(2)
s1_fill_q.put(Fill('AAPL', 100.00, 100, Order.SELL, ts, o1.order_id))
s1_fill_q.put(
Fill('AAPL', 101.50, 50, Order.SELL, ts, o2.order_id, qty_left=150))
s1_fill_q.put(Fill('AAPL', 104.00, 100, Order.BUY, ts, p1.order_id))
s1_fill_q.put(
Fill('AAPL', 105.50, 70, Order.BUY, ts, p2.order_id, qty_left=130))
time.sleep(2)
strategy.shutdown()
strategy.join()
def cleanup(self):
for symbol, position in self.positions.iteritems():
qty = position.qty
if qty == 0: continue
side = Order.SELL
if qty < 0: side = Order.BUY
## send closing orders
self.send_order(
Order(self.name, symbol, side, qty, Order.MARKET, None, None))
def execute_on(self, price_book):
self.log.debug("executing_on: %s: %s" %
(price_book.last_timestamp, price_book.keys()))
for symbol in price_book.keys():
price_data = price_book[symbol]
## pos = Position(symbol,qty,price)
## pos == None: no activity in this symbol yet
pos = self.positions.get(symbol, None)
opens = self.open_orders(symbol)
momentum = self.indicator_map[symbol]['momentum']
duration = self.indicator_map[symbol]['duration']
self.log.debug('pushing: %s close= %s' %
(symbol, price_data.close))
momentum.push(price_data.close)
duration.push(price_data.close)
if momentum.size() > 0:
self.log.debug("MO= %f" % momentum[0][0])
if duration.size() > 0:
self.log.debug("Duration= %d" % duration.size())
if not opens:
if pos == None or pos.qty == 0:
if momentum.size() > 1:
## mo = tuple(pt momentum, pct momentum)
p_value = momentum[0][0]
y_value = momentum[1][0]
self.log.debug('%s indicator time: %s' %
(symbol, price_data.timestamp))
if p_value > 0 and y_value <= 0:
qty = self.get_size(symbol, price_data.close)
self.log.debug("__BUY %s qty = %d" % (symbol, qty))
if qty:
self.send_order(
Order(self.name, symbol, Order.BUY, qty,
Order.MARKET, None, None))
duration.reset()
if p_value < 0 and y_value >= 0:
qty = self.get_size(symbol, price_data.close)
self.log.debug("__SHORT %s qty = %d" %
(symbol, qty))
if qty:
self.send_order(
Order(self.name, symbol, Order.SELL, qty,
Order.MARKET, None, None))
duration.reset()
elif pos.qty > 0:
if duration.size() >= duration.capacity:
self.log.debug("__SELL LONG %s qty = %d" %
(symbol, pos.qty))
self.send_order(
Order(self.name, symbol, Order.SELL, pos.qty,
Order.MARKET, None, None))
elif pos.qty < 0:
if duration.size() >= duration.capacity:
self.log.debug("__COVER SHORT %s qty = %d" %
(symbol, pos.qty))
self.send_order(
Order(self.name, symbol, Order.BUY, abs(pos.qty),
Order.MARKET, None, None))
if self.capture_data:
moo = None
if momentum.size() > 0: moo = momentum[0][0]
snapshot = dict(date=price_data.timestamp,
close=price_data.close,
momentum=moo,
duration=duration[0])
self.time_series.push(snapshot)
def execute_on(self,price_book):
self.log.debug("executing_on: %s: %s" % (price_book.last_timestamp, price_book.keys()))
## record current momentum values for all names in the universe
for symbol in price_book.keys():
price_data = price_book[symbol]
momentum = self.indicator_map[symbol]['momentum']
self.log.debug('pushing: %s close= %s' % (symbol, price_data.close))
momentum.push(price_data.close)
rebalance = (self.rebalance_count == self.rebalance_limit)
if not self.portfolio or rebalance:
old_portfolio = self.portfolio[:]
del self.portfolio[:]
## build new portfolio
for mo_value, symbol in self.rank_universe():
opens = self.open_orders(symbol)
if not opens:
pos = self.positions.get(symbol,Position(None,0,0))
curr = pos.qty
tgt = self.get_size(symbol,price_data.close)
if mo_value < 0: tgt = -tgt
self.log.debug("%s: current qty = %d, tgt = %d" % (symbol,curr,tgt))
qty = tgt - curr
if qty > 0:
self.log.debug("__BUY %s qty = %d" % (symbol,qty))
self.send_order(Order(self.name,symbol,Order.BUY,qty,Order.MARKET,None,None))
elif qty < 0:
qty = abs(qty)
self.log.debug("__SHORT %s qty = %d" % (symbol,qty))
self.send_order(Order(self.name,symbol,Order.SELL,qty,Order.MARKET,None,None))
self.portfolio.append(symbol)
## clean up positions not in the new portfolio
remains = [x for x in old_portfolio if x not in self.portfolio]
for symbol in remains:
opens = self.open_orders(symbol)
if not opens:
pos = self.positions.get(symbol,Position(None,0,0))
if pos.qty > 0:
self.log.debug("__EXIT_SELL %s qty = %d" % (symbol,qty))
self.send_order(Order(self.name,symbol,Order.SELL,qty,Order.MARKET,None,None))
elif pos.qty < 0:
self.log.debug("__EXIT_BUY %s qty = %d" % (symbol,qty))
self.send_order(Order(self.name,symbol,Order.BUY,abs(qty),Order.MARKET,None,None))
self.rebalance_count = 0
elif self.portfolio and not rebalance:
## count the periods to rebalance
self.rebalance_count += 1
def execute_on(self, price_book):
self.log.debug("executing_on: %s: %s" %
(price_book.last_timestamp, price_book.keys()))
for symbol in price_book:
price_data = price_book[symbol]
## pos = Position(symbol,qty,price)
## pos == None: no activity in this symbol yet
pos = self.positions.get(symbol, None)
opens = self.open_orders(symbol)
rsi = self.indicator_map[symbol]['rsi']
duration = self.indicator_map[symbol]['duration']
self.log.debug('pushing: %s close= %s' %
(symbol, price_data.close))
px = (price_data.high + price_data.low + price_data.close) / 3.0
rsi.push(px)
duration.push(px)
## use trend filter if given
trend_up = trend_down = True
average = self.indicator_map[symbol].get('average', None)
if average:
average.push(px)
if average.size() > 1:
if px > average[1]:
trend_down = False
else:
trend_up = False
if rsi.size() > 0:
self.log.debug("RSI= %f" % rsi[0])
if average and average.size() > 0:
self.log.debug("AVG= %f" % average[0])
if duration.size() > 0:
self.log.debug("Duration= %d" % duration.size())
if not opens:
if pos == None or pos.qty == 0:
if rsi.size() > 1:
## mo = tuple(pt momentum, pct momentum)
p_value = rsi[0]
y_value = rsi[1]
self.log.debug('%s indicator time: %s' %
(symbol, price_data.timestamp))
if p_value > y_value and y_value <= self.btm and trend_up:
qty = self.get_size(symbol, price_data.close)
self.log.debug("__BUY %s qty = %d" % (symbol, qty))
if qty:
self.send_order(
Order(self.name, symbol, Order.BUY, qty,
Order.MARKET, None, None))
duration.reset()
if p_value < y_value and y_value >= self.top and trend_down:
qty = self.get_size(symbol, price_data.close)
self.log.debug("__SHORT %s qty = %d" %
(symbol, qty))
if qty:
self.send_order(
Order(self.name, symbol, Order.SELL, qty,
Order.MARKET, None, None))
duration.reset()
elif pos.qty > 0:
if duration.size() >= duration.capacity:
self.log.debug("__SELL LONG %s qty = %d" %
(symbol, pos.qty))
self.send_order(
Order(self.name, symbol, Order.SELL, pos.qty,
Order.MARKET, None, None))
elif pos.qty < 0:
if duration.size() >= duration.capacity:
self.log.debug("__COVER SHORT %s qty = %d" %
(symbol, pos.qty))
self.send_order(
Order(self.name, symbol, Order.BUY, abs(pos.qty),
Order.MARKET, None, None))
if self.capture_data:
## x = y = None
## if rsi.size() > 0: x = rsi[0]
## if average and average.size() > 0: y = average[0]
snapshot = dict(date=price_data.timestamp,
close=price_data.close,
avp=px,
rsi=rsi[0],
avg=average[0],
duration=duration[0])
self.time_series.push(snapshot)
def test_exchange():
latch = DataLatch(1)
## exchange queues
order_q = DQueue()
fill_q = DQueue()
exchange = Exchange()
exchange.latch = latch
## bind exchange and portfolio together
tester = Tester()
exchange.IN_orders = order_q
exchange.OUT_fills = fill_q
tester.IN_queue = fill_q
exchange.start()
tester.start()
o1 = Order('test', 'AAPL', Order.BUY, 100, Order.MARKET, None, None)
o1.stamp_time(parse_date("20140311"))
order_q.put(o1)
o2 = Order('test', 'AAPL', Order.BUY, 200, Order.MARKET, None, None)
o2.stamp_time(parse_date("20140816"))
order_q.put(o2)
o3 = Order('test', 'AAPL', Order.SELL, 300, Order.MARKET, None, None)
o3.stamp_time(parse_date("20140101"))
order_q.put(o3)
simData = DataFeedDaily('AAPL.csv')
for market_data in simData:
latch.trap(market_data)
exchange.on_data(market_data)
exchange.shutdown()
tester.shutdown()
exchange.join()
tester.join()