def pair_entry_rule(contract_group, i, timestamps, indicators, signal,
account, strategy_context):
timestamp = timestamps[i]
assert (math.isclose(account.position(contract_group, timestamp), 0))
signal_value = signal[i]
risk_percent = 0.1
orders = []
symbol = contract_group.name
contract = contract_group.get_contract(symbol)
if contract is None:
contract = Contract.create(symbol, contract_group=contract_group)
# if we don't already have a position, check if we should enter a trade
#if math.isclose(curr_pos, 0):
curr_equity = account.equity(timestamp)
order_qty = np.round(curr_equity * risk_percent / indicators.c[i] *
np.sign(signal_value))
trigger_price = indicators.c[i]
print(f'order_qty: {order_qty} curr_equity: {curr_equity} timestamp: {timestamp}' + \
f' risk_percent: {risk_percent} indicator: {indicators.c[i]} signal_value: {signal_value}')
reason_code = ReasonCode.ENTER_LONG if order_qty > 0 else ReasonCode.ENTER_SHORT
orders.append(
MarketOrder(contract,
timestamp,
order_qty,
reason_code=reason_code))
return orders
def test_account():
#if __name__ == "__main__":
from pyqstrat.pq_types import Contract, ContractGroup, Trade
from pyqstrat.orders import MarketOrder
import math
def get_close_price(contract, timestamps, idx, strategy_context):
if contract.symbol == "IBM":
price = idx + 10.1
elif contract.symbol == "MSFT":
price = idx + 15.3
else:
raise Exception(f'unknown contract: {contract}')
return price
ContractGroup.clear()
Contract.clear()
ibm_cg = ContractGroup.create('IBM')
msft_cg = ContractGroup.create('MSFT')
ibm_contract = Contract.create('IBM', contract_group = ibm_cg)
msft_contract = Contract.create('MSFT', contract_group = msft_cg)
timestamps = np.array(['2018-01-01 09:00', '2018-01-02 08:00', '2018-01-02 09:00', '2018-01-05 13:35'], dtype = 'M8[m]')
account = Account([ibm_cg, msft_cg], timestamps, get_close_price, None)
#account = Account([Contract(symbol)], timestamps, get_close_price)
trade_1 = Trade(ibm_contract, np.datetime64('2018-01-02 08:00'), 10, 10.1, commission = 0.01,
order = MarketOrder(ibm_contract, np.datetime64('2018-01-01 09:00'), 10))
trade_2 = Trade(ibm_contract, np.datetime64('2018-01-02 09:00'), -20, 15.1, commission = 0.02,
order = MarketOrder(ibm_contract, np.datetime64('2018-01-01 09:00'), -20))
trade_3 = Trade(msft_contract, timestamps[1], 20, 13.2, commission = 0.04, order = MarketOrder(msft_contract, timestamps[1], 15))
trade_4 = Trade(msft_contract, timestamps[2], 20, 16.2, commission = 0.05, order = MarketOrder(msft_contract, timestamps[2], 20))
account.add_trades([trade_1, trade_2, trade_3, trade_4])
account.calc(np.datetime64('2018-01-05 13:35'))
assert(len(account.df_trades()) == 4)
assert(len(account.df_pnl()) == 6)
assert(np.allclose(np.array([9.99, 61.96, 79.97, 103.91, 69.97, 143.91]),
account.df_pnl().net_pnl.values, rtol = 0))
assert(np.allclose(np.array([10, 20, -10, 40, -10, 40]), account.df_pnl().position.values, rtol = 0))
assert(np.allclose(np.array([1000000. , 1000183.88, 1000213.88]), account.df_account_pnl().equity.values, rtol = 0))
def pair_exit_rule(contract_group, i, timestamps, indicators, signal, account, strategy_context):
timestamp = timestamps[i]
curr_pos = account.position(contract_group, timestamp)
assert(not math.isclose(curr_pos, 0))
signal_value = signal[i]
orders = []
symbol = contract_group.name
contract = contract_group.get_contract(symbol)
if contract is None: contract = Contract.create(symbol, contract_group = contract_group)
if (curr_pos > 0 and signal_value == -1) or (curr_pos < 0 and signal_value == 1):
order_qty = -curr_pos
reason_code = ReasonCode.EXIT_LONG if order_qty < 0 else ReasonCode.EXIT_SHORT
orders.append(MarketOrder(contract, timestamp, order_qty, reason_code = reason_code))
return orders
ibm_contract = Contract.create('IBM', contract_group=ibm_cg)
msft_contract = Contract.create('MSFT', contract_group=msft_cg)
timestamps = np.array([
'2018-01-01 09:00', '2018-01-02 08:00', '2018-01-02 09:00',
'2018-01-05 13:35'
],
dtype='M8[m]')
account = Account([ibm_cg, msft_cg], timestamps, get_close_price, None)
#account = Account([Contract(symbol)], timestamps, get_close_price)
trade_1 = Trade(ibm_contract,
np.datetime64('2018-01-02 08:00'),
10,
10.1,
commission=0.01,
order=MarketOrder(ibm_contract,
np.datetime64('2018-01-01 09:00'), 10))
trade_2 = Trade(ibm_contract,
np.datetime64('2018-01-02 09:00'),
-20,
15.1,
commission=0.02,
order=MarketOrder(ibm_contract,
np.datetime64('2018-01-01 09:00'), -20))
trade_3 = Trade(msft_contract,
timestamps[1],
20,
13.2,
commission=0.04,
order=MarketOrder(msft_contract, timestamps[1], 15))
trade_4 = Trade(msft_contract,
timestamps[2],