def handle_opened_position(self, position: Position, order: Order, account: Account, bars: List[Bar]):
position.status = PositionStatus.OPEN
position.filled_entry = order.executed_price if order is not None else None
position.entry_tstamp = order.execution_tstamp if order is not None and order.execution_tstamp > 0 else bars[
0].tstamp
self.position_got_opened(position, bars, account)
def init(self, bars: List[Bar], account: Account, symbol: Symbol, unique_id: str = ""):
'''init open position etc.'''
self.symbol = symbol
self.unique_id = unique_id
if unique_id is not None:
base = 'openPositions/'
try:
os.makedirs(base)
except Exception:
pass
try:
with open(base + self._get_pos_file(), 'r') as file:
data = json.load(file)
self.last_time = data["last_time"]
for pos_json in data["positions"]:
pos: Position = Position.from_json(pos_json)
self.open_positions[pos.id] = pos
self.logger.info("done loading " + str(
len(self.open_positions)) + " positions from " + self._get_pos_file() + " last time " + str(
self.last_time))
except Exception as e:
self.logger.warn("Error loading open positions: " + str(e))
self.open_positions = {}
# init positions from existing orders
self.sync_positions_with_open_orders(bars, account)
def read_open_positions(self,bars: List[Bar]):
if self.unique_id is not None:
base = 'openPositions/'
try:
os.makedirs(base)
except Exception:
pass
try:
with open(base + self._get_pos_file(), 'r') as file:
data = json.load(file)
self.last_time = data["last_time"]
if "max_equity" in data.keys():
self.max_equity= data["max_equity"]
self.time_of_max_equity= data["time_of_max_equity"]
for pos_json in data["positions"]:
pos: Position = Position.from_json(pos_json)
self.open_positions[pos.id] = pos
if "moduleData" in data.keys():
if str(bars[0].tstamp) in data["moduleData"].keys():
moduleData = data['moduleData'][str(bars[0].tstamp)]
ExitModule.set_data_from_json(bars[0], moduleData)
if str(bars[1].tstamp) in data["moduleData"].keys():
moduleData = data['moduleData'][str(bars[1].tstamp)]
ExitModule.set_data_from_json(bars[1], moduleData)
self.logger.info("done loading " + str(
len(self.open_positions)) + " positions from " + self._get_pos_file() + " last time " + str(
self.last_time))
except Exception as e:
self.logger.warn("Error loading open positions: " + str(e))
self.open_positions = {}
def position_closed(self, position: Position, account: Account):
if position.exit_tstamp == 0:
position.exit_tstamp = time.time()
position.exit_equity = account.equity
self.position_history.append(position)
del self.open_positions[position.id]
# cancel other open orders of this position (sl/tp etc)
self.logger.info("canceling remaining orders for position: " + position.id)
self.cancel_all_orders_for_position(position.id, account)
if self.unique_id is None:
return
base = 'positionHistory/'
filename = base + self._get_pos_file()
size = 0
try:
os.makedirs(base)
except Exception:
pass
try:
size = os.path.getsize(filename)
except Exception:
pass
with open(filename, 'a') as file:
writer = csv.writer(file)
if size == 0:
csv_columns = ['signalTStamp', 'size', 'wantedEntry', 'initialStop', 'openTime', 'openPrice',
'closeTime',
'closePrice', 'equityOnExit']
writer.writerow(csv_columns)
writer.writerow([
datetime.fromtimestamp(position.signal_tstamp).isoformat(),
position.amount,
position.wanted_entry,
position.initial_stop,
datetime.fromtimestamp(position.entry_tstamp).isoformat(),
position.filled_entry,
datetime.fromtimestamp(position.exit_tstamp).isoformat(),
position.filled_exit,
position.exit_equity
])
def fill_openpositions(self, data, bars: List[Bar]):
self.last_time = data["last_time"]
if "last_tick_tstamp" in data:
self.last_tick_time = datetime.fromtimestamp(data["last_tick_tstamp"])
if "max_equity" in data.keys():
self.max_equity = data["max_equity"]
self.time_of_max_equity = data["time_of_max_equity"]
for pos_json in data["positions"]:
pos: Position = Position.from_json(pos_json)
self.open_positions[pos.id] = pos
if "moduleData" in data.keys():
for idx in range(5):
if str(bars[idx].tstamp) in data["moduleData"].keys():
moduleData = data['moduleData'][str(bars[idx].tstamp)]
ExitModule.set_data_from_json(bars[idx], moduleData)
def sync_positions_with_open_orders(self, bars: List[Bar], account: Account):
open_pos = 0
for pos in self.open_positions.values():
pos.connectedOrders= [] # will be filled now
if pos.status == PositionStatus.OPEN:
open_pos += pos.amount
if not self.got_data_for_position_sync(bars):
self.logger.warn("got no initial data, can't sync positions")
return
remaining_pos_ids = []
remaining_pos_ids += self.open_positions.keys()
remaining_orders = []
remaining_orders += account.open_orders
# first check if there even is a diparity (positions without stops, or orders without position)
for order in account.open_orders:
if not order.active:
remaining_orders.remove(order)
continue # got cancelled during run
orderType = self.order_type_from_order_id(order.id)
if orderType is None:
remaining_orders.remove(order)
continue # none of ours
posId = self.position_id_from_order_id(order.id)
if posId in self.open_positions.keys():
pos = self.open_positions[posId]
pos.connectedOrders.append(order)
remaining_orders.remove(order)
if posId in remaining_pos_ids:
if (orderType == OrderType.SL and pos.status == PositionStatus.OPEN) \
or (orderType == OrderType.ENTRY and pos.status == PositionStatus.PENDING):
# only remove from remaining if its open with SL or pending with entry. every position needs
# a stoploss!
remaining_pos_ids.remove(posId)
for pos in self.open_positions.values():
self.check_open_orders_in_position(pos)
if len(remaining_orders) == 0 and len(remaining_pos_ids) == 0 and abs(
open_pos - account.open_position.quantity) < 0.1:
return
self.logger.info("Has to start order/pos sync with bot vs acc: %.3f vs. %.3f and %i vs %i, remaining: %i, %i"
% (
open_pos, account.open_position.quantity, len(self.open_positions),
len(account.open_orders),
len(remaining_orders), len(remaining_pos_ids)))
remainingPosition = account.open_position.quantity
for pos in self.open_positions.values():
if pos.status == PositionStatus.OPEN:
remainingPosition -= pos.amount
waiting_tps = []
# now remaining orders and remaining positions contain the not matched ones
for order in remaining_orders:
orderType = self.order_type_from_order_id(order.id)
posId = self.position_id_from_order_id(order.id)
if not order.active: # already canceled or executed
continue
if orderType == OrderType.ENTRY:
# add position for unkown order
stop = self.get_stop_for_unmatched_amount(order.amount, bars)
if stop is not None:
newPos = Position(id=posId,
entry=order.limit_price if order.limit_price is not None else order.stop_price,
amount=order.amount,
stop=stop,
tstamp=bars[0].tstamp)
newPos.status = PositionStatus.PENDING if not order.stop_triggered else PositionStatus.TRIGGERED
self.open_positions[posId] = newPos
self.logger.warn("found unknown entry %s %.1f @ %.1f, added position"
% (order.id, order.amount,
order.stop_price if order.stop_price is not None else order.limit_price))
else:
self.logger.warn(
"found unknown entry %s %.1f @ %.1f, but don't know what stop to use -> canceling"
% (order.id, order.amount,
order.stop_price if order.stop_price is not None else order.limit_price))
self.order_interface.cancel_order(order)
elif orderType == OrderType.SL and remainingPosition * order.amount < 0 and abs(remainingPosition) > abs(
order.amount):
# only assume open position for the waiting SL with the remainingPosition also indicates it,
# otherwise it might be a pending cancel (from executed TP) or already executed
newPos = Position(id=posId, entry=None, amount=-order.amount,
stop=order.stop_price, tstamp=bars[0].tstamp)
newPos.status = PositionStatus.OPEN
remainingPosition -= newPos.amount
self.open_positions[posId] = newPos
self.logger.warn("found unknown exit %s %.1f @ %.1f, opened position for it" % (
order.id, order.amount,
order.stop_price if order.stop_price is not None else order.limit_price))
else:
waiting_tps.append(order)
# cancel orphaned TPs
for order in waiting_tps:
orderType = self.order_type_from_order_id(order.id)
posId = self.position_id_from_order_id(order.id)
if posId not in self.open_positions.keys(): # still not in (might have been added in previous for)
self.logger.warn(
"didn't find matching position for order %s %.1f @ %.1f -> canceling"
% (order.id, order.amount,
order.stop_price if order.stop_price is not None else order.limit_price))
self.order_interface.cancel_order(order)
self.logger.info("found " + str(len(self.open_positions)) + " existing positions on sync")
# positions with no exit in the market
for posId in remaining_pos_ids:
pos = self.open_positions[posId]
if pos.status == PositionStatus.PENDING or pos.status == PositionStatus.TRIGGERED:
# should have the opening order in the system, but doesn't
# not sure why: in doubt: not create wrong orders
if remainingPosition * pos.amount > 0 and abs(remainingPosition) >= abs(pos.amount):
# assume position was opened without us realizing (during downtime)
self.logger.warn(
"pending position with no entry order but open position looks like it was opened: %s" % (posId))
self.handle_opened_position(position=pos, order=None, bars=bars, account=account)
remainingPosition -= pos.amount
else:
self.logger.warn(
"pending position with no entry order and no sign of opening -> close missed: %s" % (posId))
pos.status = PositionStatus.MISSED
self.position_closed(pos, account)
elif pos.status == PositionStatus.OPEN:
if remainingPosition == 0 and pos.initial_stop is not None: # for some reason everything matches but we are missing the stop in the market
self.logger.warn(
"found position with no stop in market. added stop for it: %s with %.1f contracts" % (
posId, pos.amount))
self.order_interface.send_order(
Order(orderId=self.generate_order_id(posId, OrderType.SL), amount=-pos.amount,
stop=pos.initial_stop))
else:
self.logger.warn(
"found position with no stop in market. %s with %.1f contracts. but remaining Position doesn't match so assume it was already closed." % (
posId, pos.amount))
self.position_closed(pos, account)
remainingPosition += pos.amount
else:
self.logger.warn(
"pending position with noconnection order not pending or open? closed: %s" % (posId))
self.position_closed(pos, account)
# now there should not be any mismatch between positions and orders.
if remainingPosition != 0:
unmatched_stop = self.get_stop_for_unmatched_amount(remainingPosition, bars)
signalId = str(bars[1].tstamp) + '+' + str(randint(0, 99))
if unmatched_stop is not None:
posId = self.full_pos_id(signalId,
PositionDirection.LONG if remainingPosition > 0 else PositionDirection.SHORT)
newPos = Position(id=posId, entry=None, amount=remainingPosition,
stop=unmatched_stop, tstamp=bars[0].tstamp)
newPos.status = PositionStatus.OPEN
self.open_positions[posId] = newPos
# add stop
self.logger.info(
"couldn't account for " + str(newPos.amount) + " open contracts. Adding position with stop for it")
self.order_interface.send_order(Order(orderId=self.generate_order_id(posId, OrderType.SL),
stop=newPos.initial_stop, amount=-newPos.amount))
elif account.open_position.quantity * remainingPosition > 0:
self.logger.info(
"couldn't account for " + str(remainingPosition) + " open contracts. Market close")
self.order_interface.send_order(Order(orderId=signalId + "_marketClose", amount=-remainingPosition))
else:
self.logger.info(
"couldn't account for " + str(
remainingPosition) + " open contracts. But close would increase exposure-> ignored")
def __open_position(self, direction, bars, swing, open_positions):
directionFactor = 1
oppDirection = PositionDirection.SHORT
extreme = bars[1].low
capFunc = min
if direction == PositionDirection.SHORT:
directionFactor = -1
oppDirection = PositionDirection.LONG
extreme = bars[1].high
capFunc = max
oppDirectionFactor = directionFactor * -1
expectedEntrySplipagePerc = 0.0015
expectedExitSlipagePerc = 0.0015
data: Data = self.channel.get_data(bars[1])
if self.close_on_opposite:
for pos in open_positions.values():
if pos.status == PositionStatus.OPEN and \
TradingBot.split_pos_Id(pos.id)[1] == oppDirection:
# execution will trigger close and cancel of other orders
self.order_interface.send_order(
Order(orderId=TradingBot.generate_order_id(
pos.id, OrderType.SL),
amount=-pos.amount,
stop=None,
limit=None))
if self.init_stop_type == 1:
stop = extreme
elif self.init_stop_type == 2:
stop = extreme + (extreme - bars[1].close) * 0.5
else:
stop = capFunc(swing, (extreme + bars[1].close) / 2)
stop = stop + oppDirectionFactor # buffer
entry = bars[0].open
signalId = self.get_signal_id(bars)
#case long: entry * (1 + oppDirectionFactor*self.min_stop_diff_perc / 100) >= stop
if 0 <= directionFactor*(entry * (1 + oppDirectionFactor*self.min_stop_diff_perc / 100) - stop) \
or not self.ignore_on_tight_stop:
stop = capFunc(
stop,
entry *
(1 + oppDirectionFactor * self.min_stop_diff_perc / 100))
amount = self.calc_pos_size(
risk=self.risk_factor,
exitPrice=stop *
(1 + oppDirectionFactor * expectedExitSlipagePerc),
entry=entry *
(1 + directionFactor * expectedEntrySplipagePerc),
atr=data.atr)
posId = TradingBot.full_pos_id(signalId, direction)
pos = Position(id=posId,
entry=entry,
amount=amount,
stop=stop,
tstamp=bars[0].tstamp)
open_positions[posId] = pos
self.order_interface.send_order(
Order(orderId=TradingBot.generate_order_id(
posId, OrderType.ENTRY),
amount=amount,
stop=None,
limit=None))
self.order_interface.send_order(
Order(orderId=TradingBot.generate_order_id(
posId, OrderType.SL),
amount=-amount,
stop=stop,
limit=None))
if self.tp_fac > 0:
ref = entry - stop
if self.tp_use_atr:
ref = math.copysign(data.atr, entry - stop)
tp = entry + ref * self.tp_fac
self.order_interface.send_order(
Order(orderId=TradingBot.generate_order_id(
posId, OrderType.TP),
amount=-amount,
stop=None,
limit=tp))
pos.status = PositionStatus.OPEN
def open_orders(self, is_new_bar, directionFilter, bars, account,
open_positions):
if (not is_new_bar) or len(bars) < self.min_bars_needed():
return # only open orders on beginning of bar
if not self.entries_allowed(bars):
self.logger.info("no entries allowed")
return
# check for signal. we are at the open of the new bar. so bars[0] contains of only 1 tick.
# we look at data bars[1] and bars[2]
prevFast = self.fastMA.get_data(bars[2])
currentFast = self.fastMA.get_data(bars[1])
prevSlow = self.slowMA.get_data(bars[2])
currentSlow = self.slowMA.get_data(bars[1])
swingData: Data = self.swings.get_data(bars[1]) # for stops
# include the expected slipage in the risk calculation
expectedEntrySplipagePerc = 0.0015
expectedExitSlipagePerc = 0.0015
signalId = "MACross+" + str(bars[0].tstamp)
if prevFast <= prevSlow and currentFast > currentSlow:
# cross up -> long entry
entry = bars[0].open # current price
stop = swingData.swingLow
if stop is None:
stop = lowest(bars, self.swings.before + self.swings.after, 1,
BarSeries.LOW)
amount = self.calc_pos_size(
risk=self.risk_factor,
exitPrice=stop * (1 - expectedExitSlipagePerc),
entry=entry * (1 + expectedEntrySplipagePerc))
# open the position and save it
posId = TradingBot.full_pos_id(signalId, PositionDirection.LONG)
pos = Position(id=posId,
entry=entry,
amount=amount,
stop=stop,
tstamp=bars[0].tstamp)
open_positions[posId] = pos
# send entry as market, immediatly send SL too
self.order_interface.send_order(
Order(orderId=TradingBot.generate_order_id(
posId, OrderType.ENTRY),
amount=amount,
stop=None,
limit=None))
self.order_interface.send_order(
Order(orderId=TradingBot.generate_order_id(
posId, OrderType.SL),
amount=-amount,
stop=stop,
limit=None))
pos.status = PositionStatus.OPEN
elif prevFast >= prevSlow and currentFast < currentSlow:
# cross down -> short entry
entry = bars[0].open # current price
stop = swingData.swingHigh
if stop is None:
stop = highest(bars, self.swings.before + self.swings.after, 1,
BarSeries.HIGH)
amount = self.calc_pos_size(
risk=self.risk_factor,
exitPrice=stop * (1 + expectedExitSlipagePerc),
entry=entry * (1 - expectedEntrySplipagePerc))
# open the position and save it
posId = TradingBot.full_pos_id(signalId, PositionDirection.SHORT)
pos = Position(id=posId,
entry=entry,
amount=amount,
stop=stop,
tstamp=bars[0].tstamp)
open_positions[posId] = pos
# send entry as market, immediatly send SL too
self.order_interface.send_order(
Order(orderId=TradingBot.generate_order_id(
posId, OrderType.ENTRY),
amount=amount,
stop=None,
limit=None))
self.order_interface.send_order(
Order(orderId=TradingBot.generate_order_id(
posId, OrderType.SL),
amount=-amount,
stop=stop,
limit=None))
pos.status = PositionStatus.OPEN
def open_orders(self, bars: List[Bar], account: Account):
if (not self.is_new_bar) or len(bars) < 5:
return # only open orders on beginning of bar
last_data: Data = self.channel.get_data(bars[2])
data: Data = self.channel.get_data(bars[1])
if data is not None:
self.logger.info(
"---- analyzing: %s atr: %.1f buffer: %.1f swings: %s/%s trails: %.1f/%.1f resets:%i/%i"
% (str(datetime.fromtimestamp(
bars[0].tstamp)), data.atr, data.buffer,
("%.1f" %
data.longSwing) if data.longSwing is not None else "-",
("%.1f" % data.shortSwing)
if data.shortSwing is not None else "-", data.longTrail,
data.shortTrail, data.sinceLongReset, data.sinceShortReset))
if data is not None and last_data is not None and \
data.shortSwing is not None and data.longSwing is not None and \
(not self.delayed_entry or (last_data.shortSwing is not None and last_data.longSwing is not None)):
swing_range = data.longSwing - data.shortSwing
atr = clean_range(bars,
offset=0,
length=self.channel.max_look_back * 2)
if atr * self.min_channel_size_factor < swing_range < atr * self.max_channel_size_factor:
risk = self.risk_factor
stopLong = int(max(data.shortSwing, data.longTrail))
stopShort = int(min(data.longSwing, data.shortTrail))
longEntry = int(max(data.longSwing, bars[0].high))
shortEntry = int(min(data.shortSwing, bars[0].low))
expectedEntrySplipagePerc = 0.0015 if self.stop_entry else 0
expectedExitSlipagePerc = 0.0015
# first check if we should update an existing one
longAmount = self.calc_pos_size(
risk=risk,
exitPrice=stopLong * (1 - expectedExitSlipagePerc),
entry=longEntry * (1 + expectedEntrySplipagePerc),
data=data)
shortAmount = self.calc_pos_size(
risk=risk,
exitPrice=stopShort * (1 + expectedExitSlipagePerc),
entry=shortEntry * (1 - expectedEntrySplipagePerc),
data=data)
if longEntry < stopLong or shortEntry > stopShort:
self.logger.warn("can't put initial stop above entry")
foundLong = False
foundShort = False
for position in self.open_positions.values():
if position.status == PositionStatus.PENDING:
if position.amount > 0:
foundLong = True
entry = longEntry
stop = stopLong
entryFac = (1 + expectedEntrySplipagePerc)
exitFac = (1 - expectedExitSlipagePerc)
else:
foundShort = True
entry = shortEntry
stop = stopShort
entryFac = (1 - expectedEntrySplipagePerc)
exitFac = (1 + expectedExitSlipagePerc)
for order in account.open_orders:
if self.position_id_from_order_id(
order.id) == position.id:
newEntry = int(position.wanted_entry *
(1 - self.entry_tightening) +
entry * self.entry_tightening)
newStop = int(position.initial_stop *
(1 - self.entry_tightening) +
stop * self.entry_tightening)
amount = self.calc_pos_size(
risk=risk,
exitPrice=newStop * exitFac,
entry=newEntry * entryFac,
data=data)
if amount * order.amount < 0:
self.logger.warn(
"updating order switching direction")
changed = False
changed = changed or order.stop_price != newEntry
order.stop_price = newEntry
if not self.stop_entry:
changed = changed or order.limit_price != newEntry - math.copysign(
1, amount)
order.limit_price = newEntry - math.copysign(
1, amount)
changed = changed or order.amount != amount
order.amount = amount
if changed:
self.order_interface.update_order(order)
else:
self.logger.info(
"order didn't change: %s" %
order.print_info())
position.initial_stop = newStop
position.amount = amount
position.wanted_entry = newEntry
break
# if len(self.open_positions) > 0:
# return
signalId = str(bars[0].tstamp)
if not foundLong and self.directionFilter >= 0:
posId = self.full_pos_id(signalId, PositionDirection.LONG)
self.order_interface.send_order(
Order(orderId=self.generate_order_id(
posId, OrderType.ENTRY),
amount=longAmount,
stop=longEntry,
limit=longEntry -
1 if not self.stop_entry else None))
self.open_positions[posId] = Position(
id=posId,
entry=longEntry,
amount=longAmount,
stop=stopLong,
tstamp=bars[0].tstamp)
if not foundShort and self.directionFilter <= 0:
posId = self.full_pos_id(signalId, PositionDirection.SHORT)
self.order_interface.send_order(
Order(orderId=self.generate_order_id(
posId, OrderType.ENTRY),
amount=shortAmount,
stop=shortEntry,
limit=shortEntry +
1 if not self.stop_entry else None))
self.open_positions[posId] = Position(
id=posId,
entry=shortEntry,
amount=shortAmount,
stop=stopShort,
tstamp=bars[0].tstamp)
def open_orders(self, is_new_bar, directionFilter, bars, account,
open_positions, all_open_pos: dict):
if (not is_new_bar) or len(bars) < self.min_bars_needed():
return # only open orders on beginning of bar
if not self.entries_allowed(bars):
self.logger.info("no entries allowed")
return
# include the expected slipage in the risk calculation
expectedExitSlipagePerc = 0.0015
data = self.mean.get_data(bars[1])
# long:
longEntry = self.symbol.normalizePrice(
data.mean - data.std * self.entry_factor, False)
longStop = self.symbol.normalizePrice(
data.mean - data.std * self.sl_factor, True)
longAmount = self.calc_pos_size(risk=self.risk_factor,
exitPrice=longStop *
(1 - expectedExitSlipagePerc),
entry=longEntry)
# short:
shortEntry = self.symbol.normalizePrice(
data.mean + data.std * self.entry_factor, True)
shortStop = self.symbol.normalizePrice(
data.mean + data.std * self.sl_factor, False)
shortAmount = self.calc_pos_size(risk=self.risk_factor,
exitPrice=shortStop *
(1 + expectedExitSlipagePerc),
entry=shortEntry)
gotLong = False
gotShort = False
for pos in open_positions.values():
if pos.amount > 0:
gotLong = True
if pos.status == PositionStatus.PENDING:
pos.amount = longAmount
pos.initialStop = longStop
pos.wantedEntry = longEntry
for order in pos.connectedOrders:
if order.limit_price != longEntry or order.amount != longAmount:
order.limit_price = longEntry
order.amount = longAmount
self.order_interface.update_order(order)
else:
gotShort = True
if pos.status == PositionStatus.PENDING:
pos.amount = shortAmount
pos.initialStop = shortStop
pos.wantedEntry = shortEntry
for order in pos.connectedOrders:
if order.limit_price != shortEntry or order.amount != shortAmount:
order.limit_price = shortEntry
order.amount = shortAmount
self.order_interface.update_order(order)
if not gotLong and bars[0].close > longEntry:
posId = TradingBot.full_pos_id(
self.get_signal_id(bars, self.myId()), PositionDirection.LONG)
open_positions[posId] = Position(id=posId,
entry=longEntry,
amount=longAmount,
stop=longStop,
tstamp=bars[0].tstamp)
self.order_interface.send_order(
Order(orderId=TradingBot.generate_order_id(
posId, OrderType.ENTRY),
amount=longAmount,
limit=longEntry))
if not gotShort and bars[0].close < shortEntry:
posId = TradingBot.full_pos_id(
self.get_signal_id(bars, self.myId()), PositionDirection.SHORT)
open_positions[posId] = Position(id=posId,
entry=shortEntry,
amount=shortAmount,
stop=shortStop,
tstamp=bars[0].tstamp)
self.order_interface.send_order(
Order(orderId=TradingBot.generate_order_id(
posId, OrderType.ENTRY),
amount=shortAmount,
limit=shortEntry))
def sync_positions_with_open_orders(self, bars: List[Bar], account: Account):
open_pos = 0
for pos in self.open_positions.values():
if pos.status == PositionStatus.OPEN:
open_pos += pos.current_open_amount
if not self.got_data_for_position_sync(bars):
self.logger.warn("got no initial data, can't sync positions")
self.unaccounted_position_cool_off = 0
return
remaining_pos_ids = []
remaining_pos_ids += self.open_positions.keys()
remaining_orders = []
remaining_orders += account.open_orders
# first check if there even is a diparity (positions without stops, or orders without position)
for order in account.open_orders:
if not order.active:
remaining_orders.remove(order)
continue # got cancelled during run
[posId, orderType] = self.position_id_and_type_from_order_id(order.id)
if orderType is None:
remaining_orders.remove(order)
continue # none of ours
if posId in self.open_positions.keys():
pos = self.open_positions[posId]
remaining_orders.remove(order)
if posId in remaining_pos_ids:
if (orderType == OrderType.SL and pos.status == PositionStatus.OPEN) \
or (orderType == OrderType.ENTRY and pos.status in [PositionStatus.PENDING,
PositionStatus.TRIGGERED]):
# only remove from remaining if its open with SL or pending with entry. every position needs
# a stoploss!
remaining_pos_ids.remove(posId)
for pos in self.open_positions.values():
self.check_open_orders_in_position(pos)
if len(remaining_orders) == 0 and len(remaining_pos_ids) == 0 and abs(
open_pos - account.open_position.quantity) < self.symbol.lotSize / 10:
self.unaccounted_position_cool_off = 0
return
self.logger.info("Has to start order/pos sync with bot vs acc: %.3f vs. %.3f and %i vs %i, remaining: %i, %i"
% (
open_pos, account.open_position.quantity, len(self.open_positions),
len(account.open_orders),
len(remaining_orders), len(remaining_pos_ids)))
remainingPosition = account.open_position.quantity
for pos in self.open_positions.values():
if pos.status == PositionStatus.OPEN:
remainingPosition -= pos.current_open_amount
waiting_tps = []
# now remaining orders and remaining positions contain the not matched ones
for order in remaining_orders:
orderType = self.order_type_from_order_id(order.id)
posId = self.position_id_from_order_id(order.id)
if not order.active: # already canceled or executed
continue
if orderType == OrderType.ENTRY:
# add position for unkown order
stop = self.get_stop_for_unmatched_amount(order.amount, bars)
if stop is not None:
newPos = Position(id=posId,
entry=order.limit_price if order.limit_price is not None else order.stop_price,
amount=order.amount,
stop=stop,
tstamp=bars[0].tstamp)
newPos.status = PositionStatus.PENDING if not order.stop_triggered else PositionStatus.TRIGGERED
self.open_positions[posId] = newPos
self.logger.warn("found unknown entry %s %.1f @ %.1f, added position"
% (order.id, order.amount,
order.stop_price if order.stop_price is not None else order.limit_price))
else:
self.logger.warn(
"found unknown entry %s %.1f @ %.1f, but don't know what stop to use -> canceling"
% (order.id, order.amount,
order.stop_price if order.stop_price is not None else order.limit_price))
self.order_interface.cancel_order(order)
elif orderType == OrderType.SL and remainingPosition * order.amount < 0 and abs(
round(remainingPosition, self.symbol.quantityPrecision)) > abs(
order.amount):
# only assume open position for the waiting SL with the remainingPosition also indicates it,
# otherwise it might be a pending cancel (from executed TP) or already executed
newPos = Position(id=posId, entry=None, amount=-order.amount,
stop=order.stop_price, tstamp=bars[0].tstamp)
newPos.status = PositionStatus.OPEN
remainingPosition -= newPos.amount
self.open_positions[posId] = newPos
self.logger.warn("found unknown exit %s %.1f @ %.1f, opened position for it" % (
order.id, order.amount,
order.stop_price if order.stop_price is not None else order.limit_price))
else:
waiting_tps.append(order)
# cancel orphaned TPs
for order in waiting_tps:
orderType = self.order_type_from_order_id(order.id)
posId = self.position_id_from_order_id(order.id)
if posId not in self.open_positions.keys(): # still not in (might have been added in previous for)
self.logger.warn(
"didn't find matching position for order %s %.1f @ %.1f -> canceling"
% (order.id, order.amount,
order.stop_price if order.stop_price is not None else order.limit_price))
self.order_interface.cancel_order(order)
self.logger.info("found " + str(len(self.open_positions)) + " existing positions on sync")
# positions with no exit in the market
for posId in remaining_pos_ids:
pos = self.open_positions[posId]
if pos.status == PositionStatus.PENDING or pos.status == PositionStatus.TRIGGERED:
# should have the opening order in the system, but doesn't
# not sure why: in doubt: not create wrong orders
if remainingPosition * pos.amount > 0 and abs(
round(remainingPosition, self.symbol.quantityPrecision)) >= abs(pos.amount):
# assume position was opened without us realizing (during downtime)
self.logger.warn(
"pending position with no entry order but open position looks like it was opened: %s" % (posId))
pos.last_filled_entry = pos.wanted_entry
pos.entry_tstamp = time.time()
pos.max_filled_amount += pos.amount
pos.current_open_amount = pos.amount
self.handle_opened_or_changed_position(position=pos, bars=bars, account=account)
remainingPosition -= pos.amount
else:
self.logger.warn(
"pending position with no entry order and no sign of opening -> close missed: %s" % (posId))
pos.status = PositionStatus.MISSED
self.position_closed(pos, account)
elif pos.status == PositionStatus.OPEN:
if pos.changed:
self.logger.info(f"pos has no exit, but is marked changed, so its probably just a race {pos}")
continue
if pos.initial_stop is not None:
# for some reason we are missing the stop in the market
self.logger.warn(
"found position with no stop in market. added stop for it: %s with %.1f contracts" % (
posId, pos.current_open_amount))
self.order_interface.send_order(
Order(orderId=self.generate_order_id(posId, OrderType.SL), amount=-pos.current_open_amount,
stop=pos.initial_stop))
else:
self.logger.warn(
"found position with no stop in market. %s with %.1f contracts. but no initial stop on position had to close" % (
posId, pos.current_open_amount))
self.order_interface.send_order(
Order(orderId=self.generate_order_id(posId, OrderType.SL), amount=-pos.current_open_amount))
else:
self.logger.warn(
"pending position with noconnected order not pending or open? closed: %s" % (posId))
self.position_closed(pos, account)
remainingPosition = round(remainingPosition, self.symbol.quantityPrecision)
# now there should not be any mismatch between positions and orders.
if remainingPosition != 0:
if self.unaccounted_position_cool_off > 1:
unmatched_stop = self.get_stop_for_unmatched_amount(remainingPosition, bars)
signalId = str(bars[1].tstamp) + '+' + str(randint(0, 99))
if unmatched_stop is not None:
posId = self.full_pos_id(signalId,
PositionDirection.LONG if remainingPosition > 0 else PositionDirection.SHORT)
newPos = Position(id=posId, entry=None, amount=remainingPosition,
stop=unmatched_stop, tstamp=bars[0].tstamp)
newPos.status = PositionStatus.OPEN
self.open_positions[posId] = newPos
# add stop
self.logger.info(
"couldn't account for " + str(
newPos.current_open_amount) + " open contracts. Adding position with stop for it")
self.order_interface.send_order(Order(orderId=self.generate_order_id(posId, OrderType.SL),
stop=newPos.initial_stop, amount=-newPos.current_open_amount))
elif account.open_position.quantity * remainingPosition > 0:
self.logger.info(
"couldn't account for " + str(remainingPosition) + " open contracts. Market close")
self.order_interface.send_order(Order(orderId=signalId + "_marketClose", amount=-remainingPosition))
else:
self.logger.info(
"couldn't account for " + str(
remainingPosition) + " open contracts. But close would increase exposure-> mark positions as closed")
for pos in self.open_positions.values():
if pos.status == PositionStatus.OPEN and abs(
remainingPosition + pos.current_open_amount) < self.symbol.lotSize:
self.logger.info(f"marked position {pos.id} with exact size as closed ")
self.position_closed(pos, account)
remainingPosition += pos.current_open_amount
break
if abs(remainingPosition) >= self.symbol.lotSize:
# close orders until size closed
# TODO: sort by size, close until position flips side
pos_to_close = []
for pos in self.open_positions.values():
if pos.status == PositionStatus.OPEN and pos.current_open_amount * remainingPosition < 0:
# rough sorting to have the smallest first
if len(pos_to_close) > 0 and abs(pos.current_open_amount) <= abs(
pos_to_close[0].current_open_amount):
pos_to_close.insert(0, pos)
else:
pos_to_close.append(pos)
direction = 1 if remainingPosition > 0 else -1
for pos in pos_to_close:
if direction * remainingPosition <= 0 or abs(remainingPosition) < self.symbol.lotSize:
break
self.logger.info(f"marked position {pos.id} as closed ")
remainingPosition += pos.current_open_amount
self.position_closed(pos, account)
else:
self.logger.info(
"couldn't account for " + str(
remainingPosition) + " open contracts. cooling off, hoping it's a glitch")
self.unaccounted_position_cool_off += 1
else:
self.unaccounted_position_cool_off = 0
def handle_opened_or_changed_position(self, position: Position, account: Account, bars: List[Bar]):
position.status = PositionStatus.OPEN
self.position_got_opened_or_changed(position, bars, account)
def open_orders(self, is_new_bar, directionFilter, bars, account, open_positions):
if (not is_new_bar) or len(bars) < 5:
return # only open orders on beginning of bar
if not self.entries_allowed(bars):
self.logger.info(" no entries allowed")
return
atr = clean_range(bars, offset=0, length=self.channel.max_look_back * 2)
risk = self.risk_factor
# test for SFP:
# High > HH der letzten X
# Close < HH der vorigen X
# ? min Wick size?
# initial SL
data: Data = self.channel.get_data(bars[1])
maxLength = min(len(bars), self.range_length)
minRejLength = min(len(bars),self.min_rej_length)
highSupreme = 0
hhBack = 0
hh = bars[2].high
swingHigh = 0
gotHighSwing = False
for idx in range(2, maxLength):
if bars[idx].high < bars[1].high:
highSupreme = idx - 1
if hh < bars[idx].high:
hh = bars[idx].high
hhBack = idx
elif self.min_swing_length < hhBack <= idx - self.min_swing_length:
gotHighSwing = True
swingHigh = hh # confirmed
else:
break
lowSupreme = 0
llBack = 0
ll = bars[2].low
swingLow = 0
gotLowSwing = False
for idx in range(2, maxLength):
if bars[idx].low > bars[1].low:
lowSupreme = idx - 1
if ll > bars[idx].low:
ll = bars[idx].low
llBack = idx
elif self.min_swing_length < llBack <= idx - self.min_swing_length:
gotLowSwing = True
swingLow = ll # confirmed
else:
break
rangeMedian = (bars[maxLength - 1].high + bars[maxLength - 1].low) / 2
alpha = 2 / (maxLength + 1)
for idx in range(maxLength - 2, 0, -1):
rangeMedian = rangeMedian * alpha + (bars[idx].high + bars[idx].low) / 2 * (1 - alpha)
expectedEntrySplipagePerc = 0.0015
expectedExitSlipagePerc = 0.0015
signalId = "sfp+" + str(bars[0].tstamp)
# SHORT
longSFP = self.entries != 1 and gotHighSwing and bars[1].close + data.buffer < swingHigh
longRej = self.entries != 2 and bars[1].high > hh > bars[1].close + data.buffer and \
highSupreme > minRejLength and bars[1].high - bars[1].close > (bars[1].high - bars[1].low) / 2
# LONG
shortSFP = self.entries != 1 and gotLowSwing and bars[1].close - data.buffer > swingLow
shortRej = self.entries != 2 and bars[1].low < ll < bars[1].close - data.buffer and lowSupreme > minRejLength \
and bars[1].close - bars[1].low > (bars[1].high - bars[1].low) / 2
self.logger.info("---- analyzing: %s: %.1f %.1f %.0f | %s %.0f %i or %i %.0f %.0f | %s %.0f %i or %i %.0f %.0f " %
(str(datetime.fromtimestamp(bars[0].tstamp)), data.buffer, atr, rangeMedian,
gotHighSwing, swingHigh, hhBack, highSupreme, hh ,bars[1].high - bars[1].close,
gotLowSwing, swingLow, llBack, lowSupreme, ll ,bars[1].close - bars[1].low ))
if (longSFP or longRej) and (bars[1].high - bars[1].close) > atr * self.min_wick_fac \
and directionFilter <= 0 and bars[1].high > rangeMedian + atr * self.range_filter_fac:
# close existing short pos
if self.close_on_opposite:
for pos in open_positions.values():
if pos.status == PositionStatus.OPEN and TradingBot.split_pos_Id(pos.id)[1] == PositionDirection.LONG:
# execution will trigger close and cancel of other orders
self.order_interface.send_order(
Order(orderId=TradingBot.generate_order_id(pos.id, OrderType.SL),
amount=-pos.amount, stop=None, limit=None))
if self.init_stop_type == 1:
stop = bars[1].high
elif self.init_stop_type == 2:
stop = bars[1].high + (bars[0].high - bars[0].close) * 0.5
else:
stop = max(swingHigh, (bars[1].high + bars[1].close) / 2)
stop = stop + 1 # buffer
entry = bars[0].open
amount = self.calc_pos_size(risk=risk, exitPrice=stop * (1 + expectedExitSlipagePerc),
entry=entry * (1 - expectedEntrySplipagePerc), data=data)
posId = TradingBot.full_pos_id(signalId, PositionDirection.SHORT)
pos = Position(id=posId, entry=entry, amount=amount, stop=stop,
tstamp=bars[0].tstamp)
open_positions[posId]= pos
self.order_interface.send_order(Order(orderId=TradingBot.generate_order_id(posId, OrderType.ENTRY),
amount=amount, stop=None, limit=None))
self.order_interface.send_order(Order(orderId=TradingBot.generate_order_id(posId, OrderType.SL),
amount=-amount, stop=stop, limit=None))
if self.tp_fac > 0:
tp = entry - (stop - entry) * self.tp_fac
self.order_interface.send_order(Order(orderId=TradingBot.generate_order_id(posId, OrderType.TP),
amount=-amount, stop=None, limit=tp))
pos.status= PositionStatus.OPEN
if (shortSFP or shortRej) and (bars[1].close - bars[1].low) > atr * self.min_wick_fac \
and directionFilter >= 0 and bars[1].low < rangeMedian - self.range_filter_fac:
# close existing short pos
if self.close_on_opposite:
for pos in open_positions.values():
if pos.status == PositionStatus.OPEN and TradingBot.split_pos_Id(pos.id)[1] == PositionDirection.SHORT:
# execution will trigger close and cancel of other orders
self.order_interface.send_order(
Order(orderId=TradingBot.generate_order_id(pos.id, OrderType.SL),
amount=-pos.amount, stop=None, limit=None))
if self.init_stop_type == 1:
stop = bars[1].low
elif self.init_stop_type == 2:
stop = bars[1].low + (bars[0].low - bars[0].close) * 0.5
else:
stop = min(swingLow, (bars[1].low + bars[1].close) / 2)
stop = stop - 1 # buffer
entry = bars[0].open
amount = self.calc_pos_size(risk=risk, exitPrice=stop * (1 - expectedExitSlipagePerc),
entry=entry * (1 + expectedEntrySplipagePerc), data=data)
posId = TradingBot.full_pos_id(signalId, PositionDirection.LONG)
pos = Position(id=posId, entry=entry, amount=amount, stop=stop,
tstamp=bars[0].tstamp)
pos.status= PositionStatus.TRIGGERED
open_positions[posId]= pos
self.order_interface.send_order(Order(orderId=TradingBot.generate_order_id(posId, OrderType.ENTRY),
amount=amount, stop=None, limit=None))
self.order_interface.send_order(Order(orderId=TradingBot.generate_order_id(posId, OrderType.SL),
amount=-amount, stop=stop, limit=None))
if self.tp_fac > 0:
tp = entry + (entry - stop) * self.tp_fac
self.order_interface.send_order(Order(orderId=TradingBot.generate_order_id(posId, OrderType.TP),
amount=-amount, stop=None, limit=tp))
def open_orders(self, is_new_bar, directionFilter, bars, account,
open_positions, all_open_pos: dict):
if (not is_new_bar) or len(bars) < 5:
return # only open orders on beginning of bar
entriesAllowed = self.entries_allowed(bars)
if not entriesAllowed:
self.logger.info("new entries not allowed by filter")
last_data: Data = self.channel.get_data(bars[2])
data: Data = self.channel.get_data(bars[1])
if data is None:
return
self.logger.info(
"---- analyzing: %s atr: %.1f buffer: %.1f swings: %s/%s trails: %.1f/%.1f resets:%i/%i"
%
(str(datetime.fromtimestamp(
bars[0].tstamp)), data.atr, data.buffer,
("%.1f" % data.longSwing) if data.longSwing is not None else "-",
("%.1f" % data.shortSwing)
if data.shortSwing is not None else "-", data.longTrail,
data.shortTrail, data.sinceLongReset, data.sinceShortReset))
if last_data is not None and \
data.shortSwing is not None and data.longSwing is not None and \
(not self.delayed_entry or (last_data.shortSwing is not None and last_data.longSwing is not None)):
swing_range = data.longSwing - data.shortSwing
atr = clean_range(bars,
offset=0,
length=self.channel.max_look_back * 2)
if atr * self.min_channel_size_factor < swing_range < atr * self.max_channel_size_factor:
risk = self.risk_factor
#longEntry = self.symbol.normalizePrice(data.shortSwing, roundUp=False)
#shortEntry = self.symbol.normalizePrice(data.longSwing, roundUp=True)
longEntry = self.symbol.normalizePrice(data.longTrail,
roundUp=False)
shortEntry = self.symbol.normalizePrice(data.shortTrail,
roundUp=True)
stopLong = self.symbol.normalizePrice(
longEntry - self.sl_fac * (shortEntry - data.longTrail),
roundUp=False)
stopShort = self.symbol.normalizePrice(
shortEntry + self.sl_fac * (data.shortTrail - longEntry),
roundUp=False)
stopLong = min(stopLong,
longEntry - self.min_stop_diff_atr * atr)
stopShort = max(stopShort,
shortEntry + self.min_stop_diff_atr * atr)
marketTrend = self.markettrend.get_market_trend()
expectedEntrySlippagePer = 0.0015 if self.limit_entry_offset_perc is None else 0
expectedExitSlippagePer = 0.0015
# first check if we should update an existing one
longAmount = self.calc_pos_size(
risk=risk,
exitPrice=stopLong * (1 - expectedExitSlippagePer),
entry=longEntry * (1 + expectedEntrySlippagePer),
atr=data.atr)
shortAmount = self.calc_pos_size(
risk=risk,
exitPrice=stopShort * (1 + expectedExitSlippagePer),
entry=shortEntry * (1 - expectedEntrySlippagePer),
atr=data.atr)
if longEntry < stopLong or shortEntry > stopShort:
self.logger.warn("can't put initial stop above entry")
foundLong = False
foundShort = False
for position in open_positions.values():
if position.status == PositionStatus.PENDING:
if position.amount > 0:
foundLong = True
entry = longEntry
stop = stopLong
entryFac = (1 + expectedEntrySlippagePer)
exitFac = (1 - expectedExitSlippagePer)
else:
foundShort = True
entry = shortEntry
stop = stopShort
entryFac = (1 - expectedEntrySlippagePer)
exitFac = (1 + expectedExitSlippagePer)
entryBuffer = entry * self.limit_entry_offset_perc * 0.01 if self.limit_entry_offset_perc is not None else None
for order in account.open_orders:
if TradingBot.position_id_from_order_id(
order.id) == position.id:
newEntry = position.wanted_entry * (
1 - self.entry_tightening
) + entry * self.entry_tightening
newEntry = self.symbol.normalizePrice(
newEntry, roundUp=order.amount > 0)
newStop = position.initial_stop * (
1 - self.entry_tightening
) + stop * self.entry_tightening
newStop = self.symbol.normalizePrice(
newStop, roundUp=order.amount < 0)
amount = self.calc_pos_size(
risk=risk,
exitPrice=newStop * exitFac,
entry=newEntry * entryFac,
atr=data.atr)
if amount * order.amount < 0:
self.logger.warn(
"updating order switching direction")
changed = False
changed = changed or order.stop_price != newEntry
order.stop_price = newEntry
if self.limit_entry_offset_perc is not None:
newLimit = newEntry - entryBuffer * math.copysign(
1, amount)
changed = changed or order.limit_price != newLimit
order.limit_price = newLimit
changed = changed or order.amount != amount
order.amount = amount
if changed:
self.order_interface.update_order(order)
else:
self.logger.info(
"order didn't change: %s" %
order.print_info())
position.initial_stop = newStop
position.amount = amount
position.wanted_entry = newEntry
break
# if len(self.open_positions) > 0:
# return
signalId = self.get_signal_id(bars)
if not foundLong and directionFilter >= 0 and entriesAllowed and (
marketTrend == 0 or marketTrend == 1):
posId = TradingBot.full_pos_id(signalId,
PositionDirection.LONG)
entryBuffer = longEntry * self.limit_entry_offset_perc * 0.01 if self.limit_entry_offset_perc is not None else None
self.order_interface.send_order(
Order(
orderId=TradingBot.generate_order_id(
posId, OrderType.ENTRY),
amount=longAmount,
stop=longEntry,
limit=longEntry -
entryBuffer if entryBuffer is not None else None))
open_positions[posId] = Position(id=posId,
entry=longEntry,
amount=longAmount,
stop=stopLong,
tstamp=bars[0].tstamp)
if not foundShort and directionFilter <= 0 and entriesAllowed and (
marketTrend == 0 or marketTrend == -1):
posId = TradingBot.full_pos_id(signalId,
PositionDirection.SHORT)
entryBuffer = shortEntry * self.limit_entry_offset_perc * 0.01 if self.limit_entry_offset_perc is not None else None
self.order_interface.send_order(
Order(
orderId=TradingBot.generate_order_id(
posId, OrderType.ENTRY),
amount=shortAmount,
stop=shortEntry,
limit=shortEntry +
entryBuffer if entryBuffer is not None else None))
open_positions[posId] = Position(id=posId,
entry=shortEntry,
amount=shortAmount,
stop=stopShort,
tstamp=bars[0].tstamp)