class QAlgorithm4(AlgorithmBase):
def __init__(self, log):
super().__init__(log)
self.inverse = None
def start(self, broker, capital, interval, loss_cut, fee,
minimum_transaction_amount):
self.inverse = AlgorithmItem('252670')
self.add_item(self.inverse)
self.initialize(broker, capital, interval, loss_cut, fee,
minimum_transaction_amount)
# Open Orders cancellation
self.clear_open_orders()
# Charting & Monitoring
broker.go_chart(self.inverse.item_code)
broker.demand_monitoring_items_info(self.inverse)
self.is_running = True
self.post('STARTED')
def update_transaction_info(self, item):
# First time work
if not self.start_price:
self.start_time_text = datetime.now().strftime('%H:%M')
self.start_time = self.to_min_count(self.start_time_text)
bid_price = abs(item.bid_price)
self.start_price = bid_price
reference_price = bid_price + self.loss_cut
self.set_reference(reference_price)
self.episode_purchase.virtual_open_amount = self.episode_amount
self.inverse.buy(self.buy_limit, self.episode_amount)
return
# Block during situation processing
if self.finish_up_in_progress:
return
if self.open_correct_orders:
return
# Trade according to current price
if item.current_price > self.reference_price:
self.post('Situation 1')
self.open_correct_orders = len(self.inverse.purchases)
self.shift_reference_up()
self.inverse.correct_purchases(self.buy_limit)
self.inverse.init_sale()
elif item.current_price < self.buy_limit:
self.post('Situation 4')
self.open_correct_orders = len(self.inverse.sales)
self.shift_reference_down()
self.inverse.correct_sales(self.reference_price)
self.inverse.init_purchase()
def update_execution_info(self, order):
# Inverse update execution
self.inverse.update_execution_info(order)
# Order processing
if order.order_position in (PURCHASE, CORRECT_PURCHASE):
self.update_episode_purchase(order)
if order.executed_amount:
order_amount = self.inverse.holding_amount - self.episode_sale.virtual_open_amount
if order_amount >= self.minimum_transaction_amount:
self.episode_sale.virtual_open_amount += order_amount
self.inverse.sell(self.reference_price, order_amount)
elif order.order_position in (SELL, CORRECT_SELL):
self.update_episode_sale(order)
if order.executed_amount:
order_amount = self.episode_amount - self.episode_purchase.virtual_open_amount - self.inverse.holding_amount
if order_amount >= self.minimum_transaction_amount:
self.episode_purchase.virtual_open_amount += order_amount
self.inverse.buy(self.buy_limit, order_amount)
self.total_profit += order.profit
self.total_fee += order.transaction_fee
self.net_profit += order.net_profit
# Confirm exclusive situation processing
if order.order_position in (CORRECT_PURCHASE, CORRECT_SELL
) and order.order_state == CONFIRMED:
self.open_correct_orders -= 1
elif order.order_state in (CANCEL_PURCHASE, CANCEL_SELL
) and order.order_state == CONFIRMED:
self.open_orders -= 1
if not self.open_orders:
if self.settle_up_in_progress:
self.settle_up_proper()
elif self.finish_up_in_progress:
self.finish_up_proper()
self.signal('algorithm_update')
self.broker.draw_chart.start()
def update_episode_purchase(self, order):
executed_amount = abs(order.executed_amount)
if self.episode_purchase.order_price != order.order_price:
old_purchase = self.episode_purchase
self.episode_purchase = Order()
self.episode_purchase_number = self.get_episode_purchase_number()
self.episode_purchase.episode_number = self.episode_purchase_number
self.episode_purchase.item_name = order.item_name
self.episode_purchase.order_price = order.order_price
self.episode_purchase.virtual_open_amount = old_purchase.virtual_open_amount
self.episode_purchase.executed_time = order.executed_time
self.episode_purchase.order_number = order.order_number
self.episode_purchase.order_position = order.order_position
self.episode_purchase.order_state = order.order_state
self.episode_purchase.executed_price_avg = order.executed_price_avg
if order.order_state == RECEIPT:
self.episode_purchase.order_amount += order.order_amount
self.episode_purchase.open_amount += order.open_amount
elif order.order_state == ORDER_EXECUTED:
self.episode_purchase.open_amount -= executed_amount
self.episode_purchase.virtual_open_amount -= executed_amount
self.episode_purchase.executed_amount_sum += executed_amount
self.orders[self.episode_purchase_number] = self.episode_purchase
def update_episode_sale(self, order):
executed_amount = abs(order.executed_amount)
if self.episode_sale.order_price != order.order_price:
old_sale = self.episode_sale
self.episode_sale = Order()
self.episode_sale_number = self.get_episode_sale_number()
self.episode_sale.episode_number = self.episode_sale_number
self.episode_sale.item_name = order.item_name
self.episode_sale.order_price = order.order_price
self.episode_sale.virtual_open_amount = old_sale.virtual_open_amount
self.episode_sale.executed_time = order.executed_time
self.episode_sale.order_number = order.order_number
self.episode_sale.order_position = order.order_position
self.episode_sale.order_state = order.order_state
self.episode_sale.executed_price_avg = order.executed_price_avg
if order.order_state == RECEIPT:
self.episode_sale.order_amount += order.order_amount
self.episode_sale.open_amount += order.open_amount
elif order.order_state == ORDER_EXECUTED:
self.episode_sale.open_amount -= executed_amount
self.episode_sale.virtual_open_amount -= executed_amount
self.episode_sale.executed_amount_sum += executed_amount
self.episode_sale.profit += order.profit
self.orders[self.episode_sale_number] = self.episode_sale
class VAlgorithm5(AlgorithmBase):
def __init__(self, log):
super().__init__(log)
self.leverage = None
def start(self, broker, capital, interval, loss_cut, fee, minimum_transaction_amount):
self.leverage = AlgorithmItem('122630')
self.add_item(self.leverage)
self.initialize(broker, capital, interval, loss_cut, fee, minimum_transaction_amount)
# Open Orders cancellation
self.clear_open_orders()
# Charting & Monitoring
broker.go_chart(self.leverage.item_code)
broker.demand_monitoring_items_info(self.leverage)
self.is_running = True
self.post('STARTED')
def update_transaction_info(self, item):
# First time work
if not self.start_price:
self.start_time_text = datetime.now().strftime('%H:%M')
self.start_time = self.to_min_count(self.start_time_text)
self.start_price = item.current_price
reference_price = wmath.get_top(item.current_price, self.interval)
self.set_reference(reference_price)
self.episode_purchase.virtual_open_amount = self.episode_amount
self.purchase_episode_shifted = True
self.sale_episode_shifted = True
self.leverage.buy(self.buy_limit, self.episode_amount)
return
# Update ask price
self.items[item.item_code].ask_price = abs(item.ask_price)
# Block during situation processing
if self.open_correct_orders:
self.post('(BLOCK)', 'open correct orders', self.open_correct_orders)
return
elif self.open_cancel_orders:
self.post('(BLOCK)', 'open cancel orders', self.open_cancel_orders)
return
elif self.sell_off_ordered:
self.post('(BLOCK)', 'sell off ordered')
return
elif self.settle_up_in_progress:
self.post_without_repetition('(BLOCK)', 'settle up in progress')
return
elif self.finish_up_in_progress:
self.post_without_repetition('(BLOCK)', 'finish in progress')
return
# Trade according to current price
if item.current_price >= (self.reference_price + self.loss_cut):
self.post('Situation 1')
self.open_correct_orders = len(self.leverage.purchases)
self.shift_reference_up()
self.purchase_episode_shifted = True
self.sale_episode_shifted = True
self.leverage.correct_purchases(self.buy_limit)
elif item.current_price <= self.loss_limit:
self.post('Situation 4')
self.open_correct_orders = len(self.leverage.sales)
self.shift_reference_down()
self.purchase_episode_shifted = True
self.sale_episode_shifted = True
self.leverage.correct_sales(self.reference_price)
def update_execution_info(self, order):
# Inverse update execution
self.leverage.update_execution_info(order)
# Order processing
self.process_subsequent_order(order)
self.process_synchronization(order)
self.signal('algorithm_update')
self.broker.draw_chart.start()
def process_subsequent_order(self, order):
if order.order_position in (PURCHASE, CORRECT_PURCHASE):
self.update_episode_purchase(order)
if order.executed_amount:
order_amount = self.leverage.holding_amount - self.episode_sale.virtual_open_amount
if order_amount >= self.minimum_transaction_amount and not self.settle_up_in_progress:
self.episode_sale.virtual_open_amount += order_amount
self.leverage.sell(self.reference_price, order_amount)
elif order.order_position in (SELL, CORRECT_SELL):
self.update_episode_sale(order)
if order.executed_amount:
order_amount = self.episode_amount - self.episode_purchase.virtual_open_amount
order_amount -= self.leverage.holding_amount
if order_amount >= self.minimum_transaction_amount and not self.settle_up_in_progress:
self.episode_purchase.virtual_open_amount += order_amount
self.leverage.buy(self.buy_limit, order_amount)
self.total_profit += order.profit
self.total_fee += order.transaction_fee
self.net_profit += order.net_profit
def process_synchronization(self, order):
if order.order_position in (CORRECT_PURCHASE, CORRECT_SELL) and order.order_state == CONFIRMED:
self.open_correct_orders -= 1
elif order.order_position in (CANCEL_PURCHASE, CANCEL_SELL) and order.order_state == CONFIRMED:
if self.open_cancel_orders:
self.open_cancel_orders -= 1
if self.settle_up_in_progress:
self.open_orders -= 1
self.debug('%%%%%%%% (SETTLE UP) OPEN ORDER', self.open_orders)
if not self.open_orders:
self.settle_up_proper()
elif self.finish_up_in_progress:
self.open_orders -= 1
if not self.open_orders:
self.finish_up_proper()
def update_episode_purchase(self, order):
executed_amount = abs(order.executed_amount)
if self.purchase_episode_shifted:
old_purchase = self.episode_purchase
self.purchase_episode_shifted = False
self.episode_purchase = Order()
self.episode_purchase_number = self.get_episode_purchase_number()
self.episode_purchase.episode_number = self.episode_purchase_number
self.episode_purchase.item_name = order.item_name
self.episode_purchase.order_price = order.order_price
self.episode_purchase.virtual_open_amount = old_purchase.virtual_open_amount
self.episode_purchase.executed_time = order.executed_time
self.episode_purchase.order_number = order.order_number
self.episode_purchase.order_position = order.order_position
self.episode_purchase.order_state = order.order_state
self.episode_purchase.executed_price_avg = order.executed_price_avg
if order.order_state == RECEIPT:
self.episode_purchase.order_amount += order.order_amount
self.episode_purchase.open_amount += order.open_amount
elif order.order_state == ORDER_EXECUTED:
self.episode_purchase.open_amount -= executed_amount
self.episode_purchase.virtual_open_amount -= executed_amount
self.episode_purchase.executed_amount_sum += executed_amount
self.orders[self.episode_purchase_number] = self.episode_purchase
def update_episode_sale(self, order):
executed_amount = abs(order.executed_amount)
if self.sale_episode_shifted:
old_sale = self.episode_sale
self.sale_episode_shifted = False
self.episode_sale = Order()
self.episode_sale_number = self.get_episode_sale_number()
self.episode_sale.episode_number = self.episode_sale_number
self.episode_sale.item_name = order.item_name
self.episode_sale.order_price = order.order_price
self.episode_sale.virtual_open_amount = old_sale.virtual_open_amount
self.episode_sale.executed_time = order.executed_time
self.episode_sale.order_number = order.order_number
self.episode_sale.order_position = order.order_position
self.episode_sale.order_state = order.order_state
self.episode_sale.executed_price_avg = order.executed_price_avg
if order.order_state == RECEIPT:
self.episode_sale.order_amount += order.order_amount
self.episode_sale.open_amount += order.open_amount
elif order.order_state == ORDER_EXECUTED:
self.episode_sale.open_amount -= executed_amount
self.episode_sale.virtual_open_amount -= executed_amount
self.episode_sale.executed_amount_sum += executed_amount
self.episode_sale.profit += order.profit
self.episode_sale.net_profit += order.net_profit
self.orders[self.episode_sale_number] = self.episode_sale
if self.sell_off_ordered and not order.open_amount:
self.sale_episode_shifted = True
self.sell_off_ordered = False
class QuantumJumpAlgorithm3(AlgorithmBase):
def __init__(self, log):
super().__init__(log)
self.log = log
self.reference_price = 0
self.buy_limit = 0
self.loss_limit = 0
self.situation_processing = False
self.inverse = None
self.episode_purchase = Order()
self.episode_sale = Order()
def start(self, broker, capital, interval, loss_cut, fee,
minimum_transaction_amount):
self.inverse = AlgorithmItem('252670')
self.inverse.set_broker(broker)
self.inverse.set_log(self.log)
self.inverse.fee_ratio = fee
self.broker = broker
self.capital = capital
self.interval = interval
self.loss_cut = loss_cut
self.fee = fee
self.minimum_transaction_amount = minimum_transaction_amount
self.is_running = True
# Charting & Monitoring
broker.go_chart(self.inverse.item_code)
broker.demand_monitoring_items_info(self.inverse)
# Open Orders cancellation
open_orders = list(broker.open_orders.values())
for order in open_orders:
self.broker.cancel(order)
self.post('STARTED')
def stop(self):
if not self.is_running:
return
self.post('STOPPED')
# Open Orders cancellation
open_orders = list(self.broker.open_orders.values())
for order in open_orders:
self.broker.cancel(order)
# Init Fields
self.orders.clear()
self.broker = None
self.inverse = None
self.is_running = False
self.capital = 0
self.interval = 0
self.loss_cut = 0
self.fee = 0
self.minimum_transaction_amount = 0
self.total_profit = 0
self.net_profit = 0
self.start_time_text = ''
self.start_time = 0
self.start_price = 0
self.reference_price = 0
self.buy_limit = 0
self.loss_limit = 0
self.situation_processing = False
self.previous_situation = ''
self.previous_msg = ()
def resume(self):
self.is_running = True
def halt(self):
self.is_running = False
def set_reference(self, price):
self.reference_price = price
self.buy_limit = self.reference_price - self.interval
self.loss_limit = self.buy_limit - self.loss_cut
self.episode_amount = self.capital // self.buy_limit
self.episode_count += 1
self.episode_purchase_number = self.get_episode_purchase_number()
self.episode_sale_number = self.get_episode_sale_number()
def shift_reference_up(self):
self.set_reference(self.reference_price + self.loss_cut)
def shift_reference_down(self):
self.set_reference(self.reference_price - self.loss_cut)
def update_transaction_info(self, item):
# First time work
if not self.start_price:
self.start_time_text = datetime.now().strftime('%H:%M')
self.start_time = self.to_min_count(self.start_time_text)
self.start_price = item.current_price
reference_price = item.current_price + self.loss_cut
self.set_reference(reference_price)
self.episode_purchase.virtual_open_amount = self.episode_amount
self.inverse.buy(self.buy_limit, self.episode_amount)
return
# Block during situation processing
# if self.situation_processing:
# return
# Trade according to current price
if item.current_price > self.reference_price:
self.post('Situation 1')
self.shift_reference_up()
self.inverse.correct_purchases(self.buy_limit)
self.inverse.init_sale()
elif item.current_price < self.buy_limit:
self.post('Situation 4')
self.shift_reference_down()
self.inverse.correct_sales(self.reference_price)
self.inverse.init_purchase()
def update_execution_info(self, order):
# Inverse update execution
self.inverse.update_execution_info(order)
# Order processing
if order.order_position in (PURCHASE, CORRECT_PURCHASE):
self.update_episode_purchase(order)
# Order
if order.executed_amount:
order_amount = self.inverse.holding_amount - self.episode_sale.virtual_open_amount
if order_amount >= self.minimum_transaction_amount:
self.episode_sale.virtual_open_amount += order_amount
self.inverse.sell(self.reference_price, order_amount)
elif order.order_position in (SELL, CORRECT_SELL):
self.update_episode_sale(order)
# Order
if order.executed_amount:
order_amount = self.episode_amount - self.episode_purchase.virtual_open_amount - self.inverse.holding_amount
if order_amount >= self.minimum_transaction_amount:
self.episode_purchase.virtual_open_amount += order_amount
self.inverse.buy(self.buy_limit, order_amount)
self.total_profit += order.profit
self.total_fee += order.transaction_fee
self.net_profit += order.net_profit
self.signal('algorithm_update')
self.broker.draw_chart.start()
def update_episode_purchase(self, order):
executed_amount = abs(order.executed_amount)
if self.episode_purchase.order_price != order.order_price:
old_purchase = self.episode_purchase
self.episode_purchase = Order()
self.episode_purchase.item_name = order.item_name
self.episode_purchase.episode_number = self.episode_purchase_number
self.episode_purchase.order_price = order.order_price
self.episode_purchase.virtual_open_amount = old_purchase.virtual_open_amount
self.episode_purchase.executed_time = order.executed_time
self.episode_purchase.order_number = order.order_number
self.episode_purchase.order_position = order.order_position
self.episode_purchase.order_state = order.order_state
self.episode_purchase.executed_price_avg = order.executed_price_avg
if order.order_state == RECEIPT:
self.episode_purchase.order_amount += order.order_amount
self.episode_purchase.open_amount += order.open_amount
elif order.order_state == ORDER_EXECUTED:
self.episode_purchase.open_amount -= executed_amount
self.episode_purchase.virtual_open_amount -= executed_amount
self.episode_purchase.executed_amount_sum += executed_amount
self.orders[self.episode_purchase_number] = self.episode_purchase
def update_episode_sale(self, order):
executed_amount = abs(order.executed_amount)
if self.episode_sale.order_price != order.order_price:
old_sale = self.episode_sale
self.episode_sale = Order()
self.episode_sale.item_name = order.item_name
self.episode_sale.episode_number = self.episode_sale_number
self.episode_sale.order_price = order.order_price
self.episode_sale.virtual_open_amount = old_sale.virtual_open_amount
self.episode_sale.executed_time = order.executed_time
self.episode_sale.order_number = order.order_number
self.episode_sale.order_position = order.order_position
self.episode_sale.order_state = order.order_state
self.episode_sale.executed_price_avg = order.executed_price_avg
if order.order_state == RECEIPT:
self.episode_sale.order_amount += order.order_amount
self.episode_sale.open_amount += order.open_amount
elif order.order_state == ORDER_EXECUTED:
self.episode_sale.open_amount -= executed_amount
self.episode_sale.virtual_open_amount -= executed_amount
self.episode_sale.executed_amount_sum += executed_amount
self.episode_sale.profit += order.profit
self.orders[self.episode_sale_number] = self.episode_sale
def display_situation(self, current_situation):
if current_situation != self.previous_situation:
self.post(current_situation)
self.previous_situation = current_situation
def post(self, *args):
if args != self.previous_msg:
self.debug('\033[93mALGORITHM', *args, '\033[97m')
self.previous_msg = args
def post(self, *args):
self.debug('\033[93mALGORITHM', *args, '\033[97m')