class OneTraker(object):
''' tracker for one stock '''
def __init__(self, security, strategy, buyingRatio):
''' constructor '''
self.__security = security
self.__strategy = strategy
self.__startDate = strategy.startDate
self.__buyingRatio = buyingRatio
# order id
self.__stopOrderId = None
self.__stopOrder = None
self.__buyOrder = None
self.__smaShort = Sma(10)
self.__smaMid = Sma(60)
self.__smaLong = Sma(200)
self.__smaVolumeShort = Sma(10)
self.__smaVolumeMid = Sma(60)
self.__movingLowShort = MovingLow(10)
self.__movingLowWeek = MovingLow(3)
# state of previous day
self.__previousTick = None
self.__previousSmaShort = None
self.__previousMovingLowShort = None
self.__previousMovingLowWeek = None
self.__previousSmaMid = None
self.__previousSmaLong = None
self.__previousSmaVolumeShort = None
self.__previousSmaVolumeMid = None
def __buyIfMeet(self, tick):
''' place buy order if conditions meet '''
# place short sell order
'''
if (self.__smaShort.getLastValue() < self.__smaLong.getLastValue() or self.__smaMid.getLastValue() < self.__smaLong.getLastValue()):
if tick.close/self.__previousMovingLowWeek < 0.95:
return
if self.__previousSmaShort > self.__previousSmaLong and self.__smaShort.getLastValue() < self.__smaLong.getLastValue() and self.__previousSmaVolumeMid < (self.__previousSmaVolumeShort/1.1):
# assume no commission fee for now
self.__placeSellShortOrder(tick)
elif self.__previousSmaLong > self.__previousSmaShort > self.__previousSmaMid and self.__smaLong.getLastValue() > self.__smaMid.getLastValue() > self.__smaShort.getLastValue():
# assume no commission fee for now
self.__placeSellShortOrder(tick)
'''
# place buy order
if (self.__smaShort.getLastValue() > self.__smaLong.getLastValue() or
self.__smaMid.getLastValue() > self.__smaLong.getLastValue()):
if tick.close / self.__previousMovingLowWeek > 1.05:
return
if self.__previousSmaShort < self.__previousSmaLong and self.__smaShort.getLastValue(
) > self.__smaLong.getLastValue(
) and self.__previousSmaVolumeMid < (
self.__previousSmaVolumeShort / 1.1):
# assume no commission fee for now
self.__placeBuyOrder(tick)
elif self.__previousSmaLong < self.__previousSmaShort < self.__previousSmaMid and self.__smaLong.getLastValue(
) < self.__smaMid.getLastValue() < self.__smaShort.getLastValue(
) and self.__previousSmaVolumeMid < (
self.__previousSmaVolumeShort / 1.1):
# assume no commission fee for now
self.__placeBuyOrder(tick)
def __placeSellShortOrder(self, tick):
''' place short sell order'''
share = math.floor(self.__strategy.getAccountCopy().getCash() /
float(tick.close))
sellShortOrder = Order(accountId=self.__strategy.accountId,
action=Action.SELL_SHORT,
is_market=True,
security=self.__security,
share=share)
if self.__strategy.placeOrder(sellShortOrder):
self.__buyOrder = sellShortOrder
# place stop order
stopOrder = Order(accountId=self.__strategy.accountId,
action=Action.BUY_TO_COVER,
is_stop=True,
security=self.__security,
price=tick.close * 1.05,
share=0 - share)
self.__placeStopOrder(stopOrder)
def __getCashToBuyStock(self):
''' calculate the amount of money to buy stock '''
account = self.__strategy.getAccountCopy()
if (account.getCash() >= account.getTotalValue() / self.__buyingRatio):
return account.getTotalValue() / self.__buyingRatio
else:
return 0
def __placeBuyOrder(self, tick):
''' place buy order'''
cash = self.__getCashToBuyStock()
if cash == 0:
return
share = math.floor(cash / float(tick.close))
buyOrder = Order(accountId=self.__strategy.accountId,
action=Action.BUY,
is_market=True,
security=self.__security,
share=share)
if self.__strategy.placeOrder(buyOrder):
self.__buyOrder = buyOrder
# place stop order
stopOrder = Order(accountId=self.__strategy.accountId,
action=Action.SELL,
is_stop=True,
security=self.__security,
price=tick.close * 0.95,
share=0 - share)
self.__placeStopOrder(stopOrder)
def __placeStopOrder(self, order):
''' place stop order '''
orderId = self.__strategy.placeOrder(order)
if orderId:
self.__stopOrderId = orderId
self.__stopOrder = order
else:
LOG.error("Can't place stop order %s" % order)
def __sellIfMeet(self, tick):
''' place sell order if conditions meet '''
pass
def orderExecuted(self, orderId):
''' call back for executed order '''
if orderId == self.__stopOrderId:
LOG.debug("smaStrategy stop order canceled %s" % orderId)
# stop order executed
self.__clearStopOrder()
def __clearStopOrder(self):
''' clear stop order status '''
self.__stopOrderId = None
self.__stopOrder = None
def __adjustStopOrder(self, tick):
''' update stop order if needed '''
if not self.__stopOrderId:
return
if self.__stopOrder.action == Action.SELL:
orgStopPrice = self.__buyOrder.price * 0.95
newStopPrice = max(((tick.close + orgStopPrice) / 2),
tick.close * 0.85)
newStopPrice = min(newStopPrice, tick.close * 0.95)
if newStopPrice > self.__stopOrder.price:
self.__strategy.tradingEngine.cancelOrder(
self.__security, self.__stopOrderId)
stopOrder = Order(accountId=self.__strategy.accountId,
action=Action.SELL,
is_stop=True,
security=self.__security,
price=newStopPrice,
share=self.__stopOrder.share)
self.__placeStopOrder(stopOrder)
'''
elif self.__stopOrder.action == Action.BUY_TO_COVER:
orgStopPrice=self.__buyOrder.price * 1.05
newStopPrice=min(((orgStopPrice + tick.close) / 2), tick.close * 1.15)
newStopPrice=max(newStopPrice, tick.close * 1.05)
if newStopPrice < self.__stopOrder.price:
self.__strategy.tradingEngine.cancelOrder(self.__security, self.__stopOrderId)
stopOrder=Order(accountId=self.__strategy.accountId,
action=Action.BUY_TO_COVER,
type=Type.STOP,
security=self.__security,
price=newStopPrice,
share=self.__stopOrder.share)
self.__placeStopOrder(stopOrder)
'''
def __updatePreviousState(self, tick):
''' update previous state '''
self.__previousTick = tick
self.__previousSmaShort = self.__smaShort.getLastValue()
self.__previousSmaMid = self.__smaMid.getLastValue()
self.__previousSmaLong = self.__smaLong.getLastValue()
self.__previousSmaVolumeShort = self.__smaVolumeShort.getLastValue()
self.__previousSmaVolumeMid = self.__smaVolumeMid.getLastValue()
self.__previousMovingLowShort = self.__movingLowShort.getLastValue()
self.__previousMovingLowWeek = self.__movingLowWeek.getLastValue()
def tickUpdate(self, tick):
''' consume ticks '''
LOG.debug("tickUpdate %s with tick %s, price %s" %
(self.__security, tick.time, tick.close))
# update sma
self.__smaShort(tick.close)
self.__smaMid(tick.close)
self.__smaLong(tick.close)
self.__smaVolumeShort(tick.volume)
self.__smaVolumeMid(tick.volume)
self.__movingLowShort(tick.close)
self.__movingLowWeek(tick.close)
# if not enough data, skip to reduce risk -- SKIP NEWLY IPOs
if not self.__smaLong.getLastValue() or not self.__smaMid.getLastValue(
) or not self.__smaShort.getLastValue():
self.__updatePreviousState(tick)
return
# if haven't started, don't do any trading
if tick.time <= self.__startDate:
return
# already have some holdings
if self.__stopOrderId:
self.__sellIfMeet(tick)
self.__adjustStopOrder(tick)
# don't have any holdings
if not self.__stopOrderId and self.__getCashToBuyStock():
self.__buyIfMeet(tick)
self.__updatePreviousState(tick)
class OneTraker(object):
''' tracker for one stock '''
def __init__(self, security, strategy, buying_ratio):
''' constructor '''
self.__security=security
self.__strategy=strategy
self.start_date=strategy.start_date
self.buying_ratio=buying_ratio
# order id
self.__stopOrderId=None
self.__stopOrder=None
self.__buyOrder=None
self.__smaShort=Sma(10)
self.__smaMid=Sma(60)
self.__smaLong=Sma(200)
self.__smaVolumeShort=Sma(10)
self.__smaVolumeMid=Sma(60)
self.__movingLowShort=MovingLow(10)
self.__movingLowWeek=MovingLow(3)
# state of previous day
self.__previousTick=None
self.__previousSmaShort=None
self.__previousMovingLowShort=None
self.__previousMovingLowWeek=None
self.__previousSmaMid=None
self.__previousSmaLong=None
self.__previousSmaVolumeShort=None
self.__previousSmaVolumeMid=None
def __buyIfMeet(self, tick):
''' place buy order if conditions meet '''
# place short sell order
'''
if (self.__smaShort.getLastValue() < self.__smaLong.getLastValue() or self.__smaMid.getLastValue() < self.__smaLong.getLastValue()):
if tick.close/self.__previousMovingLowWeek < 0.95:
return
if self.__previousSmaShort > self.__previousSmaLong and self.__smaShort.getLastValue() < self.__smaLong.getLastValue() and self.__previousSmaVolumeMid < (self.__previousSmaVolumeShort/1.1):
# assume no commission fee for now
self.__placeSellShortOrder(tick)
elif self.__previousSmaLong > self.__previousSmaShort > self.__previousSmaMid and self.__smaLong.getLastValue() > self.__smaMid.getLastValue() > self.__smaShort.getLastValue():
# assume no commission fee for now
self.__placeSellShortOrder(tick)
'''
# place buy order
if (self.__smaShort.getLastValue() > self.__smaLong.getLastValue() or self.__smaMid.getLastValue() > self.__smaLong.getLastValue()):
if tick.close / self.__previousMovingLowWeek > 1.05:
return
if self.__previousSmaShort < self.__previousSmaLong and self.__smaShort.getLastValue() > self.__smaLong.getLastValue() and self.__previousSmaVolumeMid < (self.__previousSmaVolumeShort / 1.1):
# assume no commission fee for now
self.__placeBuyOrder(tick)
elif self.__previousSmaLong < self.__previousSmaShort < self.__previousSmaMid and self.__smaLong.getLastValue() < self.__smaMid.getLastValue() < self.__smaShort.getLastValue() and self.__previousSmaVolumeMid < (self.__previousSmaVolumeShort / 1.1):
# assume no commission fee for now
self.__placeBuyOrder(tick)
def __placeSellShortOrder(self, tick):
''' place short sell order'''
share=math.floor(self.__strategy.getAccountCopy().getCash() / float(tick.close))
sellShortOrder=Order(accountId=self.__strategy.accountId,
action=Action.SELL_SHORT,
is_market=True,
security=self.__security,
share=share)
if self.__strategy.placeOrder(sellShortOrder):
self.__buyOrder=sellShortOrder
# place stop order
stopOrder=Order(accountId=self.__strategy.accountId,
action=Action.BUY_TO_COVER,
is_stop=True,
security=self.__security,
price=tick.close * 1.05,
share=0 - share)
self.__placeStopOrder(stopOrder)
def __getCashToBuyStock(self):
''' calculate the amount of money to buy stock '''
account=self.__strategy.getAccountCopy()
if (account.getCash() >= account.getTotalValue() / self.buying_ratio):
return account.getTotalValue() / self.buying_ratio
else:
return 0
def __placeBuyOrder(self, tick):
''' place buy order'''
cash=self.__getCashToBuyStock()
if cash == 0:
return
share=math.floor(cash / float(tick.close))
buyOrder=Order(accountId=self.__strategy.accountId,
action=Action.BUY,
is_market=True,
security=self.__security,
share=share)
if self.__strategy.placeOrder(buyOrder):
self.__buyOrder=buyOrder
# place stop order
stopOrder=Order(accountId=self.__strategy.accountId,
action=Action.SELL,
is_stop=True,
security=self.__security,
price=tick.close * 0.95,
share=0 - share)
self.__placeStopOrder(stopOrder)
def __placeStopOrder(self, order):
''' place stop order '''
orderId=self.__strategy.placeOrder(order)
if orderId:
self.__stopOrderId=orderId
self.__stopOrder=order
else:
LOG.error("Can't place stop order %s" % order)
def __sellIfMeet(self, tick):
''' place sell order if conditions meet '''
pass
def orderExecuted(self, orderId):
''' call back for executed order '''
if orderId == self.__stopOrderId:
LOG.debug("smaStrategy stop order canceled %s" % orderId)
# stop order executed
self.__clearStopOrder()
def __clearStopOrder(self):
''' clear stop order status '''
self.__stopOrderId=None
self.__stopOrder=None
def __adjustStopOrder(self, tick):
''' update stop order if needed '''
if not self.__stopOrderId:
return
if self.__stopOrder.action == Action.SELL:
orgStopPrice=self.__buyOrder.price * 0.95
newStopPrice=max(((tick.close + orgStopPrice) / 2), tick.close * 0.85)
newStopPrice=min(newStopPrice, tick.close * 0.95)
if newStopPrice > self.__stopOrder.price:
self.__strategy.tradingEngine.cancelOrder(self.__security, self.__stopOrderId)
stopOrder=Order(accountId=self.__strategy.accountId,
action=Action.SELL,
is_stop=True,
security=self.__security,
price=newStopPrice,
share=self.__stopOrder.share)
self.__placeStopOrder(stopOrder)
'''
elif self.__stopOrder.action == Action.BUY_TO_COVER:
orgStopPrice=self.__buyOrder.price * 1.05
newStopPrice=min(((orgStopPrice + tick.close) / 2), tick.close * 1.15)
newStopPrice=max(newStopPrice, tick.close * 1.05)
if newStopPrice < self.__stopOrder.price:
self.__strategy.tradingEngine.cancelOrder(self.__security, self.__stopOrderId)
stopOrder=Order(accountId=self.__strategy.accountId,
action=Action.BUY_TO_COVER,
type=Type.STOP,
security=self.__security,
price=newStopPrice,
share=self.__stopOrder.share)
self.__placeStopOrder(stopOrder)
'''
def __updatePreviousState(self, tick):
''' update previous state '''
self.__previousTick=tick
self.__previousSmaShort=self.__smaShort.getLastValue()
self.__previousSmaMid=self.__smaMid.getLastValue()
self.__previousSmaLong=self.__smaLong.getLastValue()
self.__previousSmaVolumeShort=self.__smaVolumeShort.getLastValue()
self.__previousSmaVolumeMid=self.__smaVolumeMid.getLastValue()
self.__previousMovingLowShort=self.__movingLowShort.getLastValue()
self.__previousMovingLowWeek=self.__movingLowWeek.getLastValue()
def tickUpdate(self, tick):
''' consume ticks '''
LOG.debug("tickUpdate %s with tick %s, price %s" % (self.__security, tick.time, tick.close))
# update sma
self.__smaShort(tick.close)
self.__smaMid(tick.close)
self.__smaLong(tick.close)
self.__smaVolumeShort(tick.volume)
self.__smaVolumeMid(tick.volume)
self.__movingLowShort(tick.close)
self.__movingLowWeek(tick.close)
# if not enough data, skip to reduce risk -- SKIP NEWLY IPOs
if not self.__smaLong.getLastValue() or not self.__smaMid.getLastValue() or not self.__smaShort.getLastValue():
self.__updatePreviousState(tick)
return
# if haven't started, don't do any trading
if tick.time <= self.start_date:
return
# already have some holdings
if self.__stopOrderId:
self.__sellIfMeet(tick)
self.__adjustStopOrder(tick)
# don't have any holdings
if not self.__stopOrderId and self.__getCashToBuyStock():
self.__buyIfMeet(tick)
self.__updatePreviousState(tick)
class SMAStrategy(BaseStrategy):
def __init__(self, config, securities):
super(SMAStrategy, self).__init__("smaStrategy", securities)
self.config = config
# order id
self.stop_orderrId = None
self.stop_orderr = None
self.buy_order = None
self.__smaShort = Sma(10)
self.__smaMid = Sma(60)
self.__smaLong = Sma(300)
# state of privious day
self.__previousTick = None
self.__previousSmaShort = None
self.__previousSmaMid = None
self.__previousSmaLong = None
def __buyIfMeet(self, tick, security):
''' place buy order if conditions meet '''
# place short sell order
if (self.__smaShort.getLastValue() < self.__smaLong.getLastValue() or
self.__smaMid.getLastValue() < self.__smaLong.getLastValue()):
if tick.close / self.__previousTick.close < 0.9:
return
if self.__previousSmaShort > self.__previousSmaLong and self.__smaShort.getLastValue(
) < self.__smaLong.getLastValue():
# assume no commission fee for now
self.__placeSellShortOrder(tick, security)
elif self.__previousSmaLong > self.__previousSmaShort > self.__previousSmaMid and self.__smaLong.getLastValue(
) > self.__smaMid.getLastValue() > self.__smaShort.getLastValue():
# assume no commission fee for now
self.__placeSellShortOrder(tick, security)
# place buy order
if (self.__smaShort.getLastValue() > self.__smaLong.getLastValue() or
self.__smaMid.getLastValue() > self.__smaLong.getLastValue()):
if tick.close / self.__previousTick.close > 1.1:
return
if self.__previousSmaShort < self.__previousSmaLong and self.__smaShort.getLastValue(
) > self.__smaLong.getLastValue():
# assume no commission fee for now
self.__placeBuyOrder(tick, security)
elif self.__previousSmaLong < self.__previousSmaShort < self.__previousSmaMid and self.__smaLong.getLastValue(
) < self.__smaMid.getLastValue() < self.__smaShort.getLastValue():
# assume no commission fee for now
self.__placeBuyOrder(tick, security)
def __placeSellShortOrder(self, tick, security):
''' place short sell order'''
share = math.floor(self.getAccountCopy().getCash() / float(tick.close))
sellShortOrder = Order(accountId=self.accountId,
action=Action.SELL_SHORT,
is_market=True,
security=symbol,
share=share)
if self.placeOrder(sellShortOrder):
self.buy_order = sellShortOrder
# place stop order
stopOrder = Order(accountId=self.accountId,
action=Action.BUY_TO_COVER,
is_stop=True,
security=symbol,
price=tick.close * 1.05,
share=share)
self.__placeStopOrder(stopOrder)
def __placeBuyOrder(self, tick, security):
''' place buy order'''
share = math.floor(self.getAccountCopy().getCash() / float(tick.close))
buyOrder = Order(accountId=self.accountId,
action=Action.BUY,
is_market=True,
security=symbol,
share=share)
if self.placeOrder(buyOrder):
self.buy_order = buyOrder
# place stop order
stopOrder = Order(accountId=self.accountId,
action=Action.SELL,
is_stop=True,
security=symbol,
price=tick.close * 0.95,
share=share)
self.__placeStopOrder(stopOrder)
def __placeStopOrder(self, order):
''' place stop order '''
orderId = self.placeOrder(order)
if orderId:
self.stop_orderrId = orderId
self.stop_orderr = order
else:
LOG.error("Can't place stop order %s" % order)
def __sellIfMeet(self, tick, security):
''' place sell order if conditions meet '''
if self.stop_orderr.action == Action.BUY_TO_COVER and self.__previousSmaShort < self.__previousSmaMid and self.__previousSmaShort < self.__previousSmaLong\
and (self.__smaShort.getLastValue() > self.__smaLong.getLastValue() or self.__smaShort.getLastValue() > self.__smaMid.getLastValue()):
self.placeOrder(
Order(accountId=self.accountId,
action=Action.BUY_TO_COVER,
is_market=True,
security=symbol,
share=self.stop_orderr.share))
self.tradingEngine.cancelOrder(security, self.stop_orderrId)
self.__clearStopOrder()
elif self.stop_orderr.action == Action.SELL and self.__previousSmaShort > self.__previousSmaMid and self.__previousSmaShort > self.__previousSmaLong\
and (self.__smaShort.getLastValue() < self.__smaLong.getLastValue() or self.__smaShort.getLastValue() < self.__smaMid.getLastValue()):
self.placeOrder(
Order(accountId=self.accountId,
action=Action.SELL,
is_market=True,
security=symbol,
share=self.stop_orderr.share))
self.tradingEngine.cancelOrder(security, self.stop_orderrId)
self.__clearStopOrder()
def order_executed(self, order):
''' call back for executed order '''
for orderId in order.keys():
if orderId == self.stop_orderrId:
LOG.debug("smaStrategy stop order canceled %s" % orderId)
# stop order executed
self.__clearStopOrder()
break
def __clearStopOrder(self):
''' clear stop order status '''
self.stop_orderrId = None
self.stop_orderr = None
def __adjustStopOrder(self, tick, security):
''' update stop order if needed '''
if not self.stop_orderrId:
return
if self.stop_orderr.action == Action.SELL:
orgStopPrice = self.buy_order.price * 0.95
newStopPrice = max(((tick.close + orgStopPrice) / 2),
tick.close * 0.85)
newStopPrice = min(newStopPrice, tick.close * 0.95)
if newStopPrice > self.stop_orderr.price:
self.tradingEngine.cancelOrder(security, self.stop_orderrId)
stopOrder = Order(accountId=self.accountId,
action=Action.SELL,
is_stop=True,
security=symbol,
price=newStopPrice,
share=self.stop_orderr.share)
self.__placeStopOrder(stopOrder)
elif self.stop_orderr.action == Action.BUY_TO_COVER:
orgStopPrice = self.buy_order.price * 1.05
newStopPrice = min(((orgStopPrice + tick.close) / 2),
tick.close * 1.15)
newStopPrice = max(newStopPrice, tick.close * 1.05)
if newStopPrice < self.stop_orderr.price:
self.tradingEngine.cancelOrder(security, self.stop_orderrId)
stopOrder = Order(accountId=self.accountId,
action=Action.BUY_TO_COVER,
is_stop=True,
security=symbol,
price=newStopPrice,
share=self.stop_orderr.share)
self.__placeStopOrder(stopOrder)
def update_previous_state(self, tick):
''' update privous state '''
self.__previousTick = tick
self.__previousSmaShort = self.__smaShort.getLastValue()
self.__previousSmaMid = self.__smaMid.getLastValue()
self.__previousSmaLong = self.__smaLong.getLastValue()
def update(self, tick):
''' consume ticks '''
assert self.securities
# assert self.securitys[0] in tickDict.keys()
security = self.securities[0]
# tick=tickDict[security]
LOG.debug("tickUpdate security %s with tick %s, price %s" %
(security.symbol, tick.time, tick.close))
# update sma
self.__smaShort(tick.close)
self.__smaMid(tick.close)
self.__smaLong(tick.close)
# if not enough data, skip to reduce risk -- SKIP NEWLY IPOs
if not self.__smaLong.getLastValue() or not self.__smaMid.getLastValue(
) or not self.__smaShort.getLastValue():
self.updatePreviousState(tick)
return
# don't have any holdings
if not self.stop_orderrId:
self.__buyIfMeet(tick, security)
# already have some holdings
else:
self.__sellIfMeet(tick, security)
self.__adjustStopOrder(tick, security)
self.updatePreviousState(tick)