def maybe_create_close_position_transaction(self, asset, dt, data_portal):
if not self.positions.get(asset):
return None
amount = self.positions.get(asset).amount
price = data_portal.get_spot_value(asset, 'price', dt,
self.data_frequency)
# Get the last traded price if price is no longer available
if isnan(price):
price = self.positions.get(asset).last_sale_price
return Transaction(
asset=asset,
amount=-amount,
dt=dt,
price=price,
order_id=None,
)
def _update_transactions(self):
all_orders = list(self.orders.values())
for ib_order_id, executions in iteritems(self._tws.executions):
orders = [
order for order in all_orders
if order.broker_order_id == ib_order_id
]
if not orders:
log.warning(
"No order found for executions: {}".format(executions))
continue
assert len(orders) == 1
order = orders[0]
for exec_id, execution in iteritems(executions):
if exec_id in self._transactions:
continue
try:
commission = self._tws.commissions[ib_order_id][exec_id]\
.m_commission
except KeyError:
log.warning(
"Commission not found for execution: {}".format(
exec_id))
commission = 0
exec_detail = execution['exec_detail']
is_buy = order.amount > 0
amount = (exec_detail.m_shares if is_buy else -1 *
exec_detail.m_shares)
tx = Transaction(asset=order.asset,
amount=amount,
dt=pd.to_datetime(exec_detail.m_time,
utc=True),
price=exec_detail.m_price,
order_id=order.id,
commission=commission)
self._transactions[exec_id] = tx
def process_stock_dividends(
self, share_count, cost_basis, spot_price, average_transaction_date
):
if not self.amount:
txn = Transaction(
asset=self.asset,
amount=share_count,
dt=average_transaction_date,
price=cost_basis,
order_id=None,
)
self.update(txn)
return PnlRealized()
else:
# handle_split treats ratio as new_amount = old_amount / ratio
ratio = 1 / (1 + share_count / self.amount)
# a stock dividend is the same thing has a split
return self.handle_split(
self.asset, ratio, cost_basis=0.0, spot_price=spot_price
)
def maybe_create_close_position_transaction(self, event):
try:
pos = self.positions[event.sid]
amount = pos.amount
if amount == 0:
return None
except KeyError:
return None
if 'price' in event:
price = event.price
else:
price = pos.last_sale_price
txn = Transaction(
sid=event.sid,
amount=(-1 * pos.amount),
dt=event.dt,
price=price,
commission=0,
order_id=0
)
return txn
def test_get_transactions(self):
broker = MagicMock(Broker)
blotter = BlotterLive(data_frequency='minute', broker=broker)
asset1 = self.asset_finder.retrieve_asset(1)
asset2 = self.asset_finder.retrieve_asset(2)
broker.orders = {}
broker.transactions = {}
new_transactions, new_commissions, new_closed_orders = \
blotter.get_transactions(None)
assert not new_transactions
assert not new_commissions
assert not new_closed_orders
broker.orders = self._get_orders(asset1, asset2)
new_transactions, new_commissions, new_closed_orders = \
blotter.get_transactions(None)
assert not new_transactions
assert not new_commissions
assert not new_closed_orders
broker.orders[sentinel.order_id4].filled = \
broker.orders[sentinel.order_id4].amount
broker.transactions['exec_4'] = \
Transaction(asset=asset2,
amount=broker.orders[sentinel.order_id4].amount,
dt=pd.to_datetime('now', utc=True),
price=123, order_id=sentinel.order_id4)
new_transactions, new_commissions, new_closed_orders = \
blotter.get_transactions(None)
assert new_closed_orders == [broker.orders[sentinel.order_id4], ]
assert new_commissions == [{
'asset': asset2,
'cost': 122,
'order': broker.orders[sentinel.order_id4]
}]
assert new_transactions == [list(broker.transactions.values())[0], ]
new_transactions, new_commissions, new_closed_orders = \
blotter.get_transactions(None)
assert not new_transactions
assert not new_commissions
assert not new_closed_orders
broker.orders[sentinel.order_id3].filled = \
broker.orders[sentinel.order_id3].amount
broker.transactions['exec_3'] = \
Transaction(asset=asset1,
amount=broker.orders[sentinel.order_id3].amount,
dt=pd.to_datetime('now', utc=True),
price=1234, order_id=sentinel.order_id3)
broker.orders[sentinel.order_id2].filled = \
broker.orders[sentinel.order_id2].amount
broker.transactions['exec_2'] = \
Transaction(asset=asset2,
amount=broker.orders[sentinel.order_id2].amount,
dt=pd.to_datetime('now', utc=True),
price=12.34, order_id=sentinel.order_id2)
new_transactions, new_commissions, new_closed_orders = \
blotter.get_transactions(None)
assert len(new_closed_orders) == 2
assert broker.orders[sentinel.order_id3] in new_closed_orders
assert broker.orders[sentinel.order_id2] in new_closed_orders
assert len(new_commissions) == 2
assert {'asset': asset2,
'cost': 12,
'order': broker.orders[sentinel.order_id2]}\
in new_commissions
assert {'asset': asset1,
'cost': 3,
'order': broker.orders[sentinel.order_id3]} \
in new_commissions
assert len(new_transactions) == 2
assert broker.transactions['exec_2'] in new_transactions
assert broker.transactions['exec_3'] in new_transactions
new_transactions, new_commissions, new_closed_orders = \
blotter.get_transactions(None)
assert not new_transactions
assert not new_commissions
assert not new_closed_orders
