def AddOrder(self, order):
Singleton.Debug(f"Portfolio.AddOrder: {order}")
Singleton.Log(f"Order size: {order.Quantity}")
Singleton.Log(
f"isclose({order.Quantity}, 0, abs_tol={Singleton.Securities[order.Symbol].SymbolProperties.LotSize})"
)
if isclose(order.Quantity,
0,
abs_tol=Singleton.Securities[
order.Symbol].SymbolProperties.LotSize):
Singleton.Log(
"Warning: Avoiding submitting order that has zero quantity.")
return
Singleton.Debug(f"AddOrder: {order}")
self.__orders.append(order)
def OnWarmupFinished(self):
Singleton.Debug("OnWarmupFinished")
if self.LiveMode:
Singleton.Broker.ImportFromBroker()
self.__initial_value = Singleton.Portfolio.TotalPortfolioValue
self.Log(f"setting initial value to {self.__initial_value}")
self.__cost = 0.0
for i in self.__algorithms:
# TypeError : unsupported operand type(s) for -=: 'Cash' and 'CashAmount'
Singleton.Broker.Portfolio.Cash -= i.Portfolio.Cash
for symbol, position in i.Portfolio.items():
Singleton.Broker.Portfolio[
symbol].Quantity -= position.Quantity
cost = i.Allocation * self.__initial_value
i.Portfolio.SetCash(cost)
self.__cost += i.Portfolio.TotalPortfolioValue
self.__initial_cost = self.__cost
for i in self.__algorithms:
i.OnWarmupFinished()
def HandleOrderEvent(self, order_event):
Singleton.Debug(f"> HandleOrderEvent (1): OrderEvent: {order_event}")
order = self._submitted.pop(order_event.OrderId, None)
if not order:
Singleton.Debug(
f"Could not find order id {order_event.OrderId} in queue: {self._submitted}"
)
return
Singleton.Debug(f"> HandleOrderEvent (2): Order: {order}")
if Helper.is_order_done(order_event.Status):
order.Portfolio.ProcessFill(order_event, order)
order.Portfolio.Algorithm.OnOrderEvent(order_event)
order.Portfolio.Algorithm.TotalOrders += 1
else:
# Re-add orders that are still open.
self._submitted[order_event.OrderId] = order
def OnEndOfDay(self):
Singleton.Debug("OnEndOfDay: {}".format(Singleton.Time))
for i in self.__algorithms:
i.OnEndOfDay()
is_new_year = self.Time.year != self.__year
if is_new_year:
self.__year = self.Time.year
is_new_month = self.Time.month != self.__month
if is_new_month:
self.__month = self.Time.month
if self.__plot_orders and is_new_month:
for i in self.__algorithms:
self.Plot('Orders', i.Name, i.TotalOrders)
if is_new_year:
self.ResetOrders()
if self.__reset:
self.ResetPlot()
if self.__plot_every_n_days_i % self.__plot_every_n_days == 0:
if self._benchmark:
self.Plot('Annual Saw Tooth Returns', self._benchmark.Name,
self._benchmark.Performance)
self.Plot('Strategy Equity', self._benchmark.Name,
self._benchmark.Performance * self.__initial_cost)
accum = 0.0
pos = 0
for i in self.__algorithms:
accum += i.Portfolio.TotalPortfolioValue
pos += 1
self.Plot('Annual Saw Tooth Returns', i.Name, i.Performance)
if self.__plot_value:
self.Plot("Value", i.Name, i.Portfolio.TotalPortfolioValue)
if self.__plot_allocation:
self.Plot("Allocation", i.Name,
round(100.0 * i.Allocation, 1))
self.__plot_every_n_days_i += 1
if self.__email_address:
for i in self.__algorithms:
if i.Email.HasContent:
i.Email.Send(f"{i.Name} (OnEndOfDay)")
def Debug(self, message):
Singleton.Debug("[%s] %s" % (self.Name, message))
def OnOrderEvent(self, order_event):
Singleton.Debug(f"> OnOrderEvent: {order_event}")
Singleton.Broker.HandleOrderEvent(order_event)
def OnSecuritiesChanged(self, changes):
Singleton.Debug(f"OnSecuritiesChanged {changes}")
for i in self.__algorithms:
# Only call if there's a relevant stock in i
i.OnSecuritiesChanged(changes)
def OnDividend(self):
Singleton.Debug("OnDividend")
for i in self.__algorithms:
i.OnDividend()
def OnData(self, data):
Singleton.Debug("OnData")
for i in self.__algorithms:
i.OnData(data)
def ProcessFill(self, order_event, order):
Singleton.Debug("> ProcessFill: %s" % order_event)
self._fill_order(order.Symbol, order_event.FillQuantity,
order_event.FillPrice,
order_event.OrderFee.Value.Amount)
