def primeDesireCache(step, startKey = None, stopKey = None):
import princeFunc
if stopKey is None and startKey is None:
startKey = 1
stopKey = int(meSchema.tradeCue.all(keys_only=True).order('-__key__').get().name())
elif stopKey is None or startKey is None:
raise(BaseException('Must define both startKey and stopKey, or both must be None!'))
memdict = {}
clockKeyStep = step
queryStr = princeFunc.getDesireQueryStr(max(step-405,0),step)
desires = db.GqlQuery(queryStr).fetch(20000)
for desire in desires:
desirekey = desire.key().name()
stckID = meTools.getStckID(desire.Symbol)
cueKey = desirekey.split("_")[-2] # Extract cueKey from middle.
memkey = 'desire_' + cueKey + '_' + str(stckID)
step = int(desirekey.split("_")[0]) # Extract step from front part of desirekey.
if not memdict.__contains__(memkey):
memdict[memkey] = step
elif memdict[memkey] < step:
memdict[memkey] = step
memcache.set_multi(memdict)
cachepy.set_multi(memdict, priority = 1)
cachepy.set('stepclock_' + str(startKey) + '_' + str(stopKey), clockKeyStep) # Manually syncing stepclock until get saner method.
def updateAlgStat(algKey, startStep, stopStep, namespace, memprefix = "unpacked_"):
if namespace == '':
stckIDs = [1,2,3,4]
accumulate = False
else:
stckIDs = [meTools.getStckID(namespace)]
accumulate = True
alginfo = meTools.memGet(meSchema.meAlg, algKey)
stats = resetAlgstats(memprefix, alginfo.Cash, int(algKey), int(algKey))[memprefix+algKey]
stats = doAlgSteps(algKey, int(startStep), int(stopStep), stats, stckIDs)
bTestReturns = getBackTestReturns([memprefix + algKey],stopStep, {memprefix + algKey: stats}, namespace)
return bTestReturns
def processStepRangeDesires(start, stop, bestAlgs, liveAlgInfo, stckIDorder=[1, 2, 3, 4], MaxTrade=False):
originalNameSpace = namespace_manager.get_namespace()
namespace_manager.set_namespace("")
if originalNameSpace == "":
accumulate = False
else:
accumulate = True
stckIDorder = [meTools.getStckID(originalNameSpace)]
for liveAlgKey in bestAlgs:
algKey = bestAlgs[liveAlgKey]
stats = convertLiveAlgInfoToStatDict(liveAlgInfo[liveAlgKey])
stats = processDesires.doAlgSteps(algKey, start, stop, stats, stckIDorder, MaxTrade)
liveAlgInfo[liveAlgKey] = mergeStatDictIntoLiveAlgInfo(stats, liveAlgInfo[liveAlgKey])
namespace_manager.set_namespace(originalNameSpace)
return liveAlgInfo
def doStops(step, statDict, alginfo, stopRange, scaleFactor = 0.0):
from random import random
stopDesires = []
stckKeys = [str(stckID) + '_' + str(step) for stckID in [1,2,3,4]]
stocks = memGetStcks(stckKeys)
stckQuotes = {}
for stock in stocks:
if stock is None:
return statDict
else:
stckQuotes[meTools.getStckSymbol(stock.ID)] = stock.quote
for pos in statDict['Positions']:
stckID = meTools.getStckID(pos)
stckDeltas = calculateDeltas(stckID,step)
shares = statDict['Positions'][pos]['Shares']
longshort = cmp(shares,0) # -1 for short, +1 for long
stckQuote = stckQuotes[pos]
offsetDesire = meSchema.desire(Symbol = pos,
Quote = stckQuote,
CueKey = '0000')
dictDesire = convertDesireToDict(offsetDesire, -1*longshort, alginfo.TradeSize, alginfo.Cash, -1*shares)
# Now only using maxmin deviations for stops.
maxDevStop, minDevStop = getMaxMinDevMeans(stckDeltas)
# Using scaleFactor for metaAlgs. Moves stop 40% closer to 1.0
stopLoss = statDict['Positions'][pos]['StopLoss']
stopProfit = statDict['Positions'][pos]['StopProfit']
if longshort == 1:
if stckQuote < stopLoss or stckQuote > stopProfit:
stopDesires.append(dictDesire)
else:
stopLoss = max(statDict['Positions'][pos]['StopLoss'], stckQuote*minDevStop)
if stopProfit > 1.15*statDict['Positions'][pos]['Price']:
stopPrice = stckQuote*(maxDevStop - ((maxDevStop-1)*scaleFactor))
stopProfit = min(statDict['Positions'][pos]['StopProfit'], stopPrice)
elif longshort == -1:
if stckQuote > stopLoss or stckQuote < stopProfit:
stopDesires.append(dictDesire)
else:
stopLoss = min(statDict['Positions'][pos]['StopLoss'], stckQuote*maxDevStop)
if stopProfit < 0.85*statDict['Positions'][pos]['Price']:
stopPrice = stckQuote*(minDevStop + ((1-minDevStop)*scaleFactor))
stopProfit = max(statDict['Positions'][pos]['StopProfit'], stopPrice)
statDict['Positions'][pos]['StopLoss'] = stopLoss
statDict['Positions'][pos]['StopProfit'] = stopProfit
for stop in stopDesires:
tradeCash, PandL, position = princeFunc.mergePosition(eval(stop), copy.deepcopy(statDict['Positions']), step, True)
cash = tradeCash + copy.deepcopy(statDict['Cash'])
Symbol = eval(stop).keys()[0]
buysell = cmp(eval(stop)[Symbol]['Shares'], 0)
statDict['CashDelta'].appendleft({'Symbol' : Symbol,
'buysell' : str(buysell) + '_stop',
'value' : tradeCash,
'PandL' : PandL,
'step' : step})
if len(statDict['CashDelta']) > 800:
statDict['CashDelta'].pop()
statDict['Cash'] = cash
statDict['PandL'] += PandL
statDict['Positions'] = position
return statDict
