def _decorate_positions_for_display(positions, showClosedPositions):
symbols = [ position.symbol for position in positions ] + [ CASH_SYMBOL ]
quotes = dict((quote.symbol, quote) for quote in quotes_by_symbols(symbols))
as_of_date = min([quote.last_trade.date() for symbol, quote in quotes.items()])
total_market_value = 0
for position in positions:
price = (1.0 if position.symbol == CASH_SYMBOL else quotes[position.symbol].price)
previous_price = (1.0 if position.symbol == CASH_SYMBOL else previous_close_price(quotes[position.symbol]))
decorate_position_with_prices(position, price, previous_price)
position.show = (showClosedPositions or abs(position.quantity) > 0.01 or position.symbol == CASH_SYMBOL)
total_market_value += position.market_value
for position in positions:
position.allocation = ((position.market_value / total_market_value * 100) if total_market_value != 0 else 0)
position.effective_as_of_date = as_of_date
def _generate_random_transactions(instruments, total_amount, commission):
# Load historic prices
quotes = quotes_by_symbols(instruments)
cutoff_date = datetime.now().date() - timedelta(days = DEMO_DAYS_CUTOFF)
prices = dict([ (quote.symbol, {}) for quote in quotes ])
dates = set([])
quote_map = { }
for quote in quotes:
quote_map[quote.symbol] = quote
for history in quote.pricehistory_set.filter(as_of_date__gte = cutoff_date).order_by('as_of_date'):
cur_date = history.as_of_date.date()
prices.get(quote.symbol)[cur_date] = history.price
dates.add(cur_date)
# portfolio probabilities
transaction_probability = DEMO_TARGET_TRANSACTIONS / float(len(dates))
deposit_probability = DEMO_TARGET_DEPOSITS / float(DEMO_TARGET_TRANSACTIONS)
buy_sell_probability = DEMO_BUY_SELL_RATIO / float(DEMO_BUY_SELL_RATIO + 1)
# generate transactions
transactions = []
quantities = dict([ (symbol, 0.0) for symbol in instruments ])
undeposited_cash = total_amount
cash = 0
for date in sorted(dates):
sell_candidates = [ q[0] for q in quantities.items() if q[1] > 0 ]
# see if there is a transaction today or if we are just starting out
if random() <= transaction_probability or len(transactions) == 0:
# deposits
if undeposited_cash > 1 and random() <= deposit_probability:
deposit = min([ undeposited_cash, round(undeposited_cash * (randint(10, 100) / 100.0), -2), total_amount * 0.5 ])
undeposited_cash -= deposit
cash += deposit
transactions.append(Transaction(type = 'DEPOSIT',
as_of_date = date,
symbol = CASH_SYMBOL,
quantity = deposit,
price = 1.0,
total = deposit,
))
# buys - if we have any cash
elif random() <= buy_sell_probability:
amount = min([ cash, round(cash * (randint(20, 100) / 100.0)), total_amount * 0.1 ])
symbol = choice(instruments)
price = (prices.get(symbol).get(date) if not quote_map.get(symbol).cash_equivalent else 1.0)
quantity = floor((amount - commission) / price)
if quantity > 0:
total = (quantity * price) + commission
cash -= total
quantities[symbol] = quantities.get(symbol) + quantity
transactions.append(Transaction(type = 'BUY',
as_of_date = date,
symbol = symbol,
quantity = quantity,
price = price,
total = total,
))
# sells - if there is anything to sell
elif len(sell_candidates) > 0:
symbol = choice(sell_candidates)
price = (prices.get(symbol).get(date) if not quote_map.get(symbol).cash_equivalent else 1.0)
available_quantity = quantities.get(symbol)
quantity = min(available_quantity, round(available_quantity * (randint(20, 100) / 100.0)))
if quantity > 0:
total = (quantity * price) - commission
cash += total
quantities[symbol] = quantities.get(symbol) - quantity
transactions.append(Transaction(type = 'SELL',
as_of_date = date,
symbol = symbol,
quantity = quantity,
price = price,
total = total,
))
return transactions
