def _get_history_window(self,
assets,
end_dt,
bar_count,
frequency,
field,
data_frequency,
ffill=True):
exchange_assets = group_assets_by_exchange(assets)
if len(exchange_assets) > 1:
df_list = []
for exchange_name in exchange_assets:
assets = exchange_assets[exchange_name]
df_exchange = self.get_exchange_history_window(
exchange_name, assets, end_dt, bar_count, frequency, field,
data_frequency, ffill)
df_list.append(df_exchange)
# Merging the values values of each exchange
return pd.concat(df_list)
else:
exchange_name = list(exchange_assets.keys())[0]
return self.get_exchange_history_window(exchange_name, assets,
end_dt, bar_count,
frequency, field,
data_frequency, ffill)
def synchronize_portfolio(self):
"""
Synchronizes the portfolio tracked by the algorithm to refresh
its current value.
This includes updating the last_sale_price of all tracked
positions, returning the available cash, and raising error
if the data goes out of sync.
Returns
-------
float
The amount of base currency available for trading.
float
The total value of all tracked positions.
"""
check_balances = (not self.simulate_orders)
quote_currency = None
tracker = self.perf_tracker.position_tracker
total_cash = 0.0
total_positions_value = 0.0
# Position keys correspond to assets
positions = self.portfolio.positions
assets = list(positions)
exchange_assets = group_assets_by_exchange(assets)
for exchange_name in self.exchanges:
assets = exchange_assets[exchange_name] \
if exchange_name in exchange_assets else []
exchange_positions = copy.deepcopy(
[positions[asset] for asset in assets if asset in positions])
exchange = self.exchanges[exchange_name] # Type: Exchange
if quote_currency is None:
quote_currency = exchange.quote_currency
orders = []
for asset in self.blotter.open_orders:
asset_orders = self.blotter.open_orders[asset]
if asset_orders:
orders += asset_orders
required_cash = self.portfolio.cash if not orders else None
cash, positions_value = exchange.sync_positions(
positions=exchange_positions,
check_balances=check_balances,
cash=required_cash,
)
total_cash += cash
total_positions_value += positions_value
# Applying modifications to the original positions
for position in exchange_positions:
tracker.update_position(
asset=position.asset,
amount=position.amount,
last_sale_date=position.last_sale_date,
last_sale_price=position.last_sale_price,
)
if not check_balances:
total_cash = self.portfolio.cash
return total_cash, total_positions_value
