def adjust_capital_for_delta(data: dataBlob):
data_capital = dataCapital(data)
capital_delta = get_and_convert(
"What change have you made to brokerage account that will not change capital +ve deposit, -ve withdrawal",
type_expected=float,
)
old_capital = data_capital.get_series_of_broker_capital()[-1]
new_capital = old_capital + capital_delta
user_wants_adjustment = true_if_answer_is_yes(
"New brokerage capital will be %f, are you sure? " % new_capital)
if user_wants_adjustment:
data_capital.total_capital_calculator.adjust_broker_account_for_delta(
capital_delta)
def change_limit_for_instrument_strategy(data):
trade_limits = dataTradeLimits(data)
instrument_code = get_valid_instrument_code_from_user(data)
period_days = get_and_convert("Period of days?",
type_expected=int,
allow_default=True,
default_value=1)
strategy_name = get_valid_strategy_name_from_user(data=data,
source="positions")
new_limit = get_and_convert("Limit (in contracts?)",
type_expected=int,
allow_default=False)
instrument_strategy = instrumentStrategy(instrument_code=instrument_code,
strategy_name=strategy_name)
ans = input(
"Update will change number of trades allowed in periods, but won't reset 'clock'. Are you sure? (y/other)"
)
if ans == "y":
trade_limits.update_instrument_strategy_limit_with_new_limit(
instrument_strategy=instrument_strategy,
period_days=period_days,
new_limit=new_limit)
def email_or_print(report_config):
ans = get_and_convert(
"1: Email or 2: print?",
type_expected=int,
allow_default=True,
default_str="Print",
default_value=2,
)
if ans == 1:
report_config = report_config.new_config_with_modified_output("email")
else:
report_config = report_config.new_config_with_modified_output(
"console")
return report_config
def auto_populate_limits(data: dataBlob):
instrument_list = get_list_of_instruments(data)
auto_parameters = get_auto_population_parameters()
trade_multiplier = get_and_convert(
"Higgest proportion of standard position expected to trade daily?",
type_expected=float,
default_value=MAX_POSITION_TRADED_DAILY,
)
period_days = get_and_convert(
"What period in days to set limit for?", type_expected=int, default_value=1
)
_ = [
set_trade_limit_for_instrument(
data,
instrument_code=instrument_code,
auto_parameters = auto_parameters,
trade_multiplier=trade_multiplier,
period_days=period_days,
)
for instrument_code in instrument_list
]
return None
def enter_manual_instrument_order(data):
strategy_name = get_valid_strategy_name_from_user(data=data, source="positions")
instrument_code = get_valid_instrument_code_from_user(data)
qty = get_and_convert(
"Quantity (-ve for sell, +ve for buy?)",
type_expected=int,
allow_default=False)
possible_order_types = market_order_type.allowed_types()
order_type = input("Order type (one of %s)?" % str(possible_order_types))
limit_price = get_and_convert(
"Limit price? (if you put None you can still add one to the contract order)",
type_expected=float,
default_value=None,
default_str="None",
)
if limit_price is None:
limit_contract = None
else:
print("Enter contractid that limit price is referenced to")
_, contract_date = get_valid_instrument_code_and_contractid_from_user(
data, instrument_code=instrument_code
)
limit_contract = contract_date
instrument_order = instrumentOrder(
strategy_name,
instrument_code,
qty,
order_type=instrumentOrderType(order_type),
limit_price=limit_price,
limit_contract=limit_contract,
manual_trade=True,
roll_order=False,
)
return instrument_order
def adjust_capital_for_delta(data: dataBlob):
data_capital = dataCapital(data)
capital_delta = get_and_convert(
"What change have you made to brokerage account that will not change capital +ve deposit, -ve withdrawal",
type_expected=float,
)
old_capital = data_capital.get_current_total_capital()
new_capital = old_capital + capital_delta
ans = input(
"New brokerage capital will be %f, are you sure? Yes/<anything else for no>"
% new_capital)
if ans == "Yes":
data_capital.total_capital_calculator.adjust_broker_account_for_delta(
capital_delta)
def create_instrument_balance_trade(data):
data_broker = dataBroker(data)
default_account = data_broker.get_broker_account()
print(
"Use to fix breaks between instrument strategy and contract level positions"
)
strategy_name = get_valid_strategy_name_from_user(data=data,
source="positions")
instrument_code = get_valid_instrument_code_from_user(data)
fill_qty = get_and_convert("Quantity ",
type_expected=int,
allow_default=False)
filled_price = get_and_convert("Filled price",
type_expected=float,
allow_default=False)
fill_datetime = get_datetime_input("Fill datetime", allow_default=True)
instrument_order = instrumentOrder(
strategy_name,
instrument_code,
fill_qty,
fill=fill_qty,
order_type=instrument_balance_order_type,
filled_price=filled_price,
fill_datetime=fill_datetime,
)
print(instrument_order)
ans = input("Are you sure? (Y/other)")
if ans != "Y":
return None
stack_handler = stackHandlerCreateBalanceTrades(data)
stack_handler.create_balance_instrument_trade(instrument_order)
def get_risk_multiplier_and_max_leverage() -> (float, float):
print("Enter parameters to estimate typical position sizes")
notional_risk_target = get_and_convert("Notional risk target (% per year)",
type_expected=float,
default_value=0.25)
approx_IDM = get_and_convert("Approximate IDM",
type_expected=float,
default_value=2.5)
notional_instrument_weight = get_and_convert(
"Notional instrument weight (go large for safety!)",
type_expected=float,
default_value=0.1,
)
raw_max_leverage = get_and_convert(
"Maximum Leverage per instrument (notional exposure*# contracts / capital)",
type_expected=float,
default_value=1.0,
)
# because we multiply by eg 2, need to half this
max_leverage = raw_max_leverage / MAX_VS_AVERAGE_FORECAST
risk_multiplier = notional_risk_target * approx_IDM * notional_instrument_weight
return risk_multiplier, max_leverage
def reset_limit_for_instrument_strategy(data):
trade_limits = dataTradeLimits(data)
instrument_code = get_valid_instrument_code_from_user(data)
period_days = get_and_convert(
"Period of days?", type_expected=int, allow_default=True, default_value=1
)
strategy_name = get_valid_strategy_name_from_user(data=data, source="positions")
ans = input("Reset means trade 'clock' will restart. Are you sure? (y/other)")
if ans == "y":
instrument_strategy = instrumentStrategy(
instrument_code=instrument_code, strategy_name=strategy_name
)
trade_limits.reset_instrument_strategy_limit(
instrument_strategy=instrument_strategy, period_days=period_days
)
def cancel_broker_order(data):
view_broker_order_list(data)
view_broker_stack(data)
stack_handler = stackHandler(data)
broker_order_id = get_and_convert(
"Which order ID?",
default_value="ALL",
default_str="for all",
type_expected=int)
ans = input("Are you sure? (Y/other)")
if ans != "Y":
return None
if broker_order_id == "ALL":
stack_handler.try_and_cancel_all_broker_orders_and_return_list_of_orders()
else:
stack_handler.cancel_broker_order_with_id_and_return_order(broker_order_id)
def change_position_limit_for_instrument(data):
view_position_limit(data)
data_position_limits = dataPositionLimits(data)
instrument_code = get_valid_instrument_code_from_user(data,
allow_all=False)
new_position_limit = get_and_convert("New position limit?",
type_expected=int,
allow_default=True,
default_str="No limit",
default_value=-1)
if new_position_limit == -1:
data_position_limits.delete_position_limit_for_instrument(
instrument_code)
else:
new_position_limit = abs(new_position_limit)
data_position_limits.set_abs_position_limit_for_instrument(
instrument_code, new_position_limit)
def email_or_print_or_file(report_config):
ans = get_and_convert(
"1: Print or 2: email or 3: file or 4: email and file?",
type_expected=int,
allow_default=True,
default_str="Print",
default_value=1,
)
if ans == 1:
report_config = report_config.new_config_with_modified_output("console")
elif ans == 2:
report_config = report_config.new_config_with_modified_output("email")
elif ans ==3:
report_config = report_config.new_config_with_modified_output("file")
else:
report_config = report_config.new_config_with_modified_output("emailfile")
return report_config
def delete_specific_order(data):
stack = resolve_stack(data)
if stack is None:
return None
view_generic_stack(stack)
order_id = get_and_convert("Order ID ", type_expected=int, allow_default=False)
order = stack.get_order_with_id_from_stack(order_id)
print(order)
print("This will delete the order from the stack!")
print("Make sure parents and children are also deleted or weird stuff will happen")
ans = input("This will delete the order from the stack! Are you sure? (Y/other)")
if ans == "Y":
stack._remove_order_with_id_from_stack_no_checking(order_id)
print(
"Make sure parents and children are also deleted or weird stuff will happen"
)
return None
def handle_completed_orders(data):
stack_handler = stackHandler(data)
print("This will process any completed orders (all fills present)")
view_instrument_stack(data)
instrument_order_id = get_and_convert(
"Which instrument order ID?",
default_str="All",
default_value="ALL",
type_expected=int,
)
ans = input("Are you sure? (Y/other)")
if ans != "Y":
return None
if instrument_order_id == "ALL":
stack_handler.handle_completed_orders()
else:
stack_handler.handle_completed_instrument_order(instrument_order_id)
def resolve_stack(data, exclude_instrument_stack=False):
stack_handler = stackHandler(data)
if exclude_instrument_stack:
request_str = "Broker stack [1], or Contract stack [2]?"
else:
request_str = "Broker stack [1], Contract stack [2] or instrument stack [3]?"
ans = get_and_convert(
request_str, type_expected=int, default_str="Exit", default_value=0
)
if ans == 1:
stack = stack_handler.broker_stack
elif ans == 2:
stack = stack_handler.contract_stack
elif ans == 3 and not exclude_instrument_stack:
stack = stack_handler.instrument_stack
else:
return None
return stack
def get_report_dates(data):
end_date = get_datetime_input("End date for report?\n", allow_default=True)
start_date = get_datetime_input(
"Start date for report? (SPACE to use an offset from end date)\n",
allow_no_arg=True,
)
if start_date is None:
start_date = arg_not_supplied
calendar_days = get_and_convert(
"Calendar days back from %s?" % str(end_date),
type_expected=int,
allow_default=True,
default_value=1,
)
else:
calendar_days = arg_not_supplied
return start_date, end_date, calendar_days
def pass_fills_upwards_from_contracts(data):
stack_handler = stackHandler(data)
print(
"This will process any fills applied to contract orders and pass them up to instrument orders"
)
view_contract_stack(data)
contract_order_id = get_and_convert(
"Which order ID?", default_value="ALL", default_str="for all", type_expected=int
)
ans = input("Are you sure? (Y/other)")
if ans != "Y":
return None
if contract_order_id == "ALL":
stack_handler.pass_fills_from_contract_up_to_instrument()
else:
stack_handler.apply_contract_fill_to_instrument_order(contract_order_id)
print(
"If stack process not running, your next job will be to handle completed orders"
)
def get_auto_roll_parameters() -> autoRollParameters:
min_volume = get_and_convert(
"Minimum relative volume before rolling",
type_expected=float,
allow_default=True,
default_value=0.1,
)
manual_prompt_for_position = true_if_answer_is_yes(
"Manually prompt for state if have position? (y/n)")
if manual_prompt_for_position:
state_when_position_held = no_change_required
else:
state_when_position_held = get_state_to_use_for_held_position()
auto_parameters = autoRollParameters(
min_volume=min_volume,
manual_prompt_for_position=manual_prompt_for_position,
state_when_position_held=state_when_position_held,
)
return auto_parameters
def get_fills_from_broker(data):
stack_handler = stackHandler(data)
print("This will get any fills from the broker, and write them to the broker stack")
print("Broker orders: (in database)")
view_broker_stack(data)
broker_order_id = get_and_convert(
"Which broker order ID?",
default_value="ALL",
default_str="for all",
type_expected=int,
)
ans = input("Are you sure? (Y/other)")
if ans != "Y":
return None
if broker_order_id == "ALL":
stack_handler.pass_fills_from_broker_to_broker_stack()
else:
stack_handler.apply_broker_fill_from_broker_to_broker_database(broker_order_id)
print(
"If stack process not running, your next job will be to pass fills from broker to contract stack"
)
def change_position_limit_for_instrument_strategy(data):
view_position_limit(data)
data_position_limits = dataPositionLimits(data)
strategy_name = get_valid_strategy_name_from_user(data,
allow_all=False,
source="positions")
instrument_code = get_valid_instrument_code_from_user(data,
allow_all=False)
new_position_limit = get_and_convert("New position limit?",
type_expected=int,
allow_default=True,
default_value=-1,
default_str="No limit")
instrument_strategy = instrumentStrategy(instrument_code=instrument_code,
strategy_name=strategy_name)
if new_position_limit == -1:
data_position_limits.delete_position_limit_for_instrument_strategy(
instrument_strategy)
else:
new_position_limit = abs(new_position_limit)
data_position_limits.set_position_limit_for_instrument_strategy(
instrument_strategy, new_position_limit)
def generate_ib_orders(data):
stack_handler = stackHandler(data)
print("This will create broker orders and submit to IB")
print("Contract orders:")
view_contract_stack(data)
contract_order_id = get_and_convert(
"Which contract order ID?",
default_value="ALL",
default_str="for all",
type_expected=int,
)
ans = input("Are you sure? (Y/other)")
if ans != "Y":
return None
if contract_order_id == "ALL":
stack_handler.create_broker_orders_from_contract_orders()
else:
stack_handler.create_broker_order_for_contract_order(contract_order_id)
print(
"If stack process not running, your next job will be to get the fills from IB"
)
def order_locking(data):
stack = resolve_stack(data)
if stack is None:
return None
view_generic_stack(stack)
order_id = get_and_convert("Order ID ", type_expected=int, allow_default=False)
order = stack.get_order_with_id_from_stack(order_id)
print(order)
if order.is_order_locked():
ans = input("Unlock order? <y/other>")
if ans == "y":
stack._unlock_order_on_stack(order_id)
else:
return None
else:
ans = input("Lock order? <y/other>")
if ans == "y":
stack._lock_order_on_stack(order_id)
else:
return None
return None
def get_auto_population_parameters() -> parametersForAutoPopulation:
print("Enter parameters to estimate typical position sizes")
notional_risk_target = get_and_convert(
"Notional risk target (% per year, 0.25 = 25%%)", type_expected=float, default_value=RISK_TARGET_ASSUMED/100.0
)
approx_IDM = get_and_convert(
"Approximate IDM", type_expected=float, default_value=IDM_ASSUMED
)
notional_instrument_weight = get_and_convert(
"Notional instrument weight (go large for safety!)",
type_expected=float,
default_value=INSTRUMENT_WEIGHT_ASSUMED,
)
raw_max_leverage = get_and_convert(
"Maximum Leverage per instrument (notional exposure*# contracts / capital)",
type_expected=float,
default_value=RAW_MAX_LEVERAGE,
)
max_proportion_risk_one_contract = get_and_convert(
"Maximum proportion of risk in a single instrument (0.1 = 10%%)",
type_expected=float,
default_value=MAX_RISK_EXPOSURE_ONE_INSTRUMENT
)
max_proportion_of_volume = get_and_convert(
"Maximum proportion of volume for expiry with largest volume (0.1 = 10%)",
type_expected=float,
default_value=MAX_PROPORTION_OF_VOLUME
)
auto_parameters = parametersForAutoPopulation(raw_max_leverage = raw_max_leverage,
max_vs_average_forecast = MAX_VS_AVERAGE_FORECAST,
notional_risk_target =notional_risk_target,
approx_IDM = approx_IDM,
max_proportion_risk_one_contract=max_proportion_risk_one_contract,
notional_instrument_weight = notional_instrument_weight,
max_proportion_of_volume = max_proportion_of_volume )
return auto_parameters