def enter_position(self,
type_,
entry_capital,
entry_price,
exit_price=0,
stop_loss=0):
"""
Open position
:param type_:
:param entry_capital:
:param entry_price:
:param exit_price:
:param stop_loss:
:return:
"""
if entry_capital < 0:
raise ValueError("Error: Entry capital must be positive")
elif entry_price < 0:
raise ValueError("Error: Entry price cannot be negative.")
elif self.buying_power < entry_capital:
raise ValueError(
"Error: Not enough buying power to enter position")
else:
# apply fee to price
price_with_fee = self.apply_fee(entry_price, type_, 'Open')
# round shares and calculate position capital
size = rnd(entry_capital / price_with_fee)
pos_amount = rnd(entry_price * size)
# calculate trading fee for position
trade_fee = rnd(pos_amount * self.fee.get(type_, 0))
# calc buying power
self.buying_power -= pos_amount + trade_fee
if type_ == 'Long':
position = LongPosition(self.number, entry_price, size,
trade_fee, exit_price, stop_loss)
elif type_ == 'Short':
position = ShortPosition(self.number, entry_price, size,
trade_fee, exit_price, stop_loss)
else:
raise TypeError("Invalid position type.")
self.positions.append(position)
self.opened_trades.append(
OpenedTrade(type_, self.date, entry_price, size, trade_fee))
self.number += 1
def apply_fee(self, price, type_, direction):
"""
Apply fee to price by position type & transaction direction
Position types:
* Long
* Short
Directions:
* Open : Add fee to Long price, subtract fee from Short price
* Close : Subtract fee from Long price, add fee to Short price
:param price:
:param type_:
:param direction:
:return:
"""
sign = 1 if direction == 'Open' else -1
# change price with fee
fee = self.fee.get(type_, 0)
if type_ == 'Long':
price *= 1 + sign * fee
elif type_ == 'Short':
price *= 1 - sign * fee
# round price
return rnd(price)
def close_position(self, position, percent, price):
"""
close position
:param position:
:param percent:
:param price:
:return:
"""
# TODO Change order logic to:
# order_percent(asset, percent > 0)
# if >0: check and buy/close if necessary
# if 0: check and close if position exists
if percent > 1 or percent < 0:
raise ValueError("Error: Percent must range between 0-1.")
elif price < 0:
raise ValueError("Error: Current price cannot be negative.")
else:
# get trade fee
# FIXME Use type by direction: buy-Long, sell-Short
trade_fee = rnd(price * position.shares *
self.fee.get(position.type_, 0))
self.closed_trades.append(
ClosedTrade(position.type_, self.date,
position.shares * percent, position.entry_price,
price, trade_fee))
self.buying_power += position.close(percent, price) - trade_fee