def get_no_of_shares(self,
capital: float,
pct_risk_per_trade: float,
volume_limit: float,
price: Series,
slippage: int = None,
is_slip_up: bool = True) -> int:
if not AppConsts.PRICE_COL_OPEN in price.index \
or not AppConsts.CUSTOM_COL_ADV in price.index:
return 0
open_price: float = price.loc[AppConsts.PRICE_COL_OPEN]
if slippage:
if is_slip_up:
open_price = NumberUtils.round(open_price + (
open_price * AppConsts.BASIS_POINT * slippage))
else:
open_price = NumberUtils.round(open_price - (
open_price * AppConsts.BASIS_POINT * slippage))
no_of_shares: int = NumberUtils.to_floor(capital * pct_risk_per_trade /
100 / open_price)
adv: float = price.loc[AppConsts.CUSTOM_COL_ADV] if price.loc[
AppConsts.CUSTOM_COL_ADV] > 0 else price.loc[
AppConsts.PRICE_COL_VOLUME]
max_volume: float = NumberUtils.to_int(adv * volume_limit / 100)
if no_of_shares > max_volume:
LogUtils.warning(
'Capping max_volume adv={0}, no_of_shares={1}, max_volume={2}'.
format(adv, no_of_shares, max_volume))
no_of_shares = max_volume
return no_of_shares
def get_all_suggestions(self) -> int:
error: Exception = None
try:
accnt: Account = self.get_account()
capital: float = NumberUtils.to_floor(
NumberUtils.to_float(accnt._raw['buying_power']) /
2) # 2 to trade everyday
# Double Bottoms
req: TradeSuggestionsRequest = TradeSuggestionsRequest()
req.is_job = True
req.current_capital = capital
req.pct_risk_per_trade = 2.5
req.volume_limit = 0.01
req.test_limit_symbol = 800
req.adv_min = AppConsts.ADV_MIN_DFLT
req.adpv_min = AppConsts.ADPV_MIN_DFLT
req.strategy_type = AppConsts.STRATEGY_DOUBLE_BOTTOMS
req.strategy_request = {}
req.strategy_request['exponential_smoothing_alpha'] = 0.8
req.strategy_request['exponential_smoothing_max_min_diff'] = 0.7
req.strategy_request['double_bottoms_diff'] = 1
LogUtils.debug(StringUtils.to_json(req))
self.get_suggestions(req)
# Double Tops
req: TradeSuggestionsRequest = TradeSuggestionsRequest()
req.is_job = True
req.current_capital = capital
req.pct_risk_per_trade = 2.5
req.volume_limit = 0.01
req.test_limit_symbol = 800
req.adv_min = AppConsts.ADV_MIN_DFLT
req.adpv_min = AppConsts.ADPV_MIN_DFLT
req.strategy_type = AppConsts.STRATEGY_DOUBLE_TOPS
req.strategy_request = {}
req.strategy_request['exponential_smoothing_alpha'] = 0.8
req.strategy_request['exponential_smoothing_max_min_diff'] = 0.7
req.strategy_request['double_tops_diff'] = 1
LogUtils.debug(StringUtils.to_json(req))
self.get_suggestions(req)
except Exception as ex:
error = ex
finally:
self.__email_client.send_html(
subject=AppConsts.EMAIL_SUBJECT_GET_SUGGESTIONS,
template_path=AppConsts.TEMPLATE_PATH_GET_SUGGESTIONS,
model={'errors': [error] if error else []})
if error:
LogUtils.error('Get Suggestions Error', error)
return 1
def queue_positions(self) -> int:
errors: List[Exception] = []
try:
is_tmrw_valid: bool = self.__alpaca_client.is_tmrw_valid()
if not is_tmrw_valid:
LogUtils.warning('Tmrw is not a valid trade date')
raise BadRequestException('Date',
DateUtils.to_string(date.today()))
req: GetTradeOrdersRequest = GetTradeOrdersRequest()
# If Sunday, check Friday's price.
today: date = date.today()
if today.weekday() == AppConsts.WEEKDAY_IDX_SUN:
today = DateUtils.add_business_days(today, -1)
req.created = today.strftime('%Y-%m-%d')
req.exact_status = AppConsts.ORDER_STATUS_INIT
orders: List[TradeOrderCustom] = self.get_trade_orders(req)
req_to_ignore: GetTradeOrdersRequest = GetTradeOrdersRequest()
req_to_ignore.status = [
AppConsts.ORDER_STATUS_SUBMITTED_ENTRY,
AppConsts.ORDER_STATUS_IN_POSITION,
AppConsts.ORDER_STATUS_SUBMITTED_EXIT,
AppConsts.ORDER_STATUS_CANCELLED_EXIT
]
orders_to_ignore: List[TradeOrderCustom] = self.get_trade_orders(
req_to_ignore)
symbols_to_ignore: List[str] = [
o.symbol_master.symbol for o in orders_to_ignore
] if orders_to_ignore else []
LogUtils.debug('symbols_to_ignore = {0}'.format(symbols_to_ignore))
if not orders:
LogUtils.debug('No orders suggested')
shuffle(orders)
prioritized_orders: List[TradeOrderCustom] = []
for order in orders:
if order.trade_order.strategy == AppConsts.STRATEGY_DOUBLE_BOTTOMS:
prioritized_orders.append(order)
for order in orders:
if order.trade_order.strategy == AppConsts.STRATEGY_DOUBLE_TOPS:
prioritized_orders.append(order)
accnt: Account = self.__alpaca_client.get_account()
capital: float = NumberUtils.to_floor(
NumberUtils.to_float(accnt._raw['buying_power']) /
2) # 2 to trade everyday
for order in prioritized_orders:
try:
LogUtils.debug('Try symbol = {0}'.format(
order.symbol_master.symbol))
if order.symbol_master.symbol in symbols_to_ignore:
LogUtils.debug('Ignore for = {0}'.format(
order.symbol_master.symbol))
continue
cost: float = NumberUtils.to_float(
order.stock_price_daily.close_price *
order.trade_order.qty)
if cost > capital:
LogUtils.debug('Too expensive for = {0}'.format(
order.symbol_master.symbol))
continue
capital = capital - cost
resp: Order = self.__alpaca_client.submit_order(
symbol=order.symbol_master.symbol,
qty=order.trade_order.qty,
action=order.trade_order.action)
if resp:
org: TradeOrder = BaseService._get_by_id(
TradeOrder, order.trade_order.id)
if not org:
raise NotFoundException('TradeOrder', 'id',
order.trade_order.id)
org.alpaca_id = resp.id
org.status = AppConsts.ORDER_STATUS_SUBMITTED_ENTRY
org.order_type = AppConsts.ORDER_TYPE_MARKET
org.time_in_force = AppConsts.TIME_IN_FORCE_DAY
org.modified = datetime.now()
BaseService._update()
except Exception as ex:
LogUtils.error('Queue Position Error', ex)
errors.append(ex)
except Exception as ex:
LogUtils.error('Queue Position Error', ex)
errors.append(ex)
finally:
self.__email_client.send_html(
subject=AppConsts.EMAIL_SUBJECT_QUEUE_POSITIONS,
template_path=AppConsts.TEMPLATE_PATH_QUEUE_POSITIONS,
model={'errors': errors})
return 1
