def main():
try:
attribute.initializeInstDetails(args.iT, args.sP, args.oT, args.rev)
if args.i is not None:
attribute.checkIfAttributeOutputFileExists(
os.path.basename(moduleName), args.n, args.i, args.o, args.m,
args.d)
else:
attribute.checkIfAttributeOutputFileExists(
os.path.basename(moduleName), args.n, args.c, args.o, args.m,
args.d)
if args.rev != None and args.rev.lower() == "yes":
dataFile.getSelectedDataIntoMatrix(args.d)
else:
if (args.cType == "synthetic"):
if "For6Levels" not in args.g:
dataFile.getDataIntoMatrix(args.d, args.c, level=5)
else:
try:
dataFile.getDataIntoMatrix(args.d, args.c, level=5)
except:
dataFile.getDataIntoMatrix(args.d, args.c, level=6)
else:
if "For6Levels" not in args.g:
dataFile.getDataIntoMatrix(args.d, level=5)
else:
try:
dataFile.getDataIntoMatrix(args.d, level=5)
except:
dataFile.getDataIntoMatrix(args.d, level=6)
attribute.initList()
lHeaderColumnNamesList = userModule.extractAttributeFromDataMatrix(
args)
if args.i is not None:
fileName = attribute.getOutputFileNameFromGeneratorName(
os.path.basename(moduleName), args.n, args.i, args.o, args.m,
args.d)
else:
fileName = attribute.getOutputFileNameFromGeneratorName(
os.path.basename(moduleName), args.n, args.c, args.o, args.m,
args.d)
print fileName
attribute.writeToFile(fileName, lHeaderColumnNamesList)
attribute.callRProgramToConvertToBinary(fileName)
except:
traceback.print_exc()
e = sys.exc_info()[0]
print e
os._exit(-1)
def main():
try:
attribute.initializeInstDetails(args.iT,args.sP,args.oT,args.rev)
if args.i is not None:
attribute.checkIfAttributeOutputFileExists(os.path.basename(moduleName),args.n,args.i,args.o,args.m,args.d)
else:
attribute.checkIfAttributeOutputFileExists(os.path.basename(moduleName),args.n,args.c,args.o,args.m,args.d)
if args.rev!= None and args.rev.lower()=="yes":
dataFile.getSelectedDataIntoMatrix(args.d)
else:
if(args.cType == "synthetic"):
if "For6Levels" not in args.g:
dataFile.getDataIntoMatrix(args.d,args.c , level=5)
else:
try:
dataFile.getDataIntoMatrix(args.d,args.c, level=5)
except:
dataFile.getDataIntoMatrix(args.d,args.c, level=6)
else:
if "For6Levels" not in args.g:
dataFile.getDataIntoMatrix(args.d , level=5)
else:
try:
dataFile.getDataIntoMatrix(args.d, level=5)
except:
dataFile.getDataIntoMatrix(args.d, level=6)
attribute.initList()
lHeaderColumnNamesList = userModule.extractAttributeFromDataMatrix(args)
if args.i is not None:
fileName = attribute.getOutputFileNameFromGeneratorName(os.path.basename(moduleName),args.n,args.i,args.o,args.m,args.d )
else:
fileName = attribute.getOutputFileNameFromGeneratorName(os.path.basename(moduleName),args.n,args.c,args.o,args.m,args.d )
print fileName
attribute.writeToFile(fileName , lHeaderColumnNamesList)
attribute.callRProgramToConvertToBinary(fileName)
except:
traceback.print_exc()
e = sys.exc_info()[0]
print e
os._exit(-1)
def readOnceAndWrite(pFileName, pIndexOfEntryOrExitCL, predictedValuesDict):
global transactionCost , currencyDivisor
attribute.initList()
enterTradeShort = 0
enterTradeLong = 0
ltpAtTimeOfPreviousDataRow = 0
ttqAtTimeOfPreviousDataRow = 0
askP0AtTimeOfPreviousDataRow = 0
bidP0AtTimeOfPreviousDataRow = 0
askQ0AtTimeOfPreviousDataRow = 0
bidQ0AtTimeOfPreviousDataRow = 0
currentTimeStamp = 0
tradeStats = dict()
tradeStats['totalSellValueShort'] = 0
tradeStats['totalBuyValueShort'] = 0
tradeStats['currentPositionShort'] = 0
tradeStats['totalSellValueLong'] = 0
tradeStats['totalBuyValueLong'] = 0
tradeStats['currentPositionLong'] = 0
noPredictionForThisRow = 0
currentSellPredictedValue = 0
currentBuyPredictedValue = 0
entryCL = float(totalEntryCL[pIndexOfEntryOrExitCL])/100
exitCL = float(totalExitCL[pIndexOfEntryOrExitCL])/100
print (entryCL, exitCL)
# entryCLCutoff = float(args.entryCLCutoff)
# exitCLCutoff = float(args.exitCLCutoff)
numberOfTimesAskedToEnterTradeShort = 0
numberOfTimesAskedToEnterTradeLong = 0
numberOfTimesAskedToExitTradeShort = 0
numberOfTimesAskedToExitTradeLong = 0
reasonForTrade = dict()
reasonForTrade['LTPDoesNotEqualBidP0Short'] = 0
reasonForTrade['LTPDoesNotEqualAskP0Short'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptShort'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptLong'] = 0
reasonForTrade['CloseBuyTradeHappened'] = 0
reasonForTrade['OpenBuyTradeHappened'] = 0
reasonForTrade['LTPDoesNotEqualAskP0Long'] = 0
reasonForTrade['LTPDoesNotEqualBidP0Long'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptShort'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptLong'] = 0
reasonForTrade['OpenSellTradeHappened'] = 0
reasonForTrade['CloseSellTradeHappened'] = 0
reasonForTrade['PrevWasOurOrder'] = 0
lReasonForTradingOrNotTradingShort = ""
lReasonForTradingOrNotTradingLong = ""
currentIndex = 0
print("Processing the data file for trades :")
attribute.initList()
for currentDataRow in dataFile.matrix[10000:]:
lReturnList = checkIfPreviousDecisionToEnterOrExitTradeWasSuccessful(currentDataRow,ttqAtTimeOfPreviousDataRow,askP0AtTimeOfPreviousDataRow,bidP0AtTimeOfPreviousDataRow,\
askQ0AtTimeOfPreviousDataRow , bidQ0AtTimeOfPreviousDataRow , enterTradeShort,enterTradeLong,tradeStats,reasonForTrade,\
lReasonForTradingOrNotTradingLong,lReasonForTradingOrNotTradingShort )
lReasonForTradingOrNotTradingShort = lReturnList[0]
lReasonForTradingOrNotTradingLong = lReturnList[1]
lDummyBidQ0 = lReturnList[2]
lDummyAskQ0 = lReturnList[3]
lDummyTTQForBuy = lReturnList[4]
lDummyTTQForSell = lReturnList[5]
if currentIndex > 0:
attribute.aList[currentIndex-1][0] = currentTimeStamp
attribute.aList[currentIndex-1][1] = tradeStats['currentPositionLong']
attribute.aList[currentIndex-1][2] = tradeStats['currentPositionShort']
listOfStringsToPrint = [ str(bidQ0AtTimeOfPreviousDataRow) , str(bidP0AtTimeOfPreviousDataRow) , str(askP0AtTimeOfPreviousDataRow) , \
str(askQ0AtTimeOfPreviousDataRow) , str(ttqAtTimeOfPreviousDataRow) , str(ltpAtTimeOfPreviousDataRow) ,\
str(currentSellPredictedValue) , str(enterTradeShort) ,lReasonForTradingOrNotTradingShort , str(currentBuyPredictedValue) ,\
str(enterTradeLong) ,lReasonForTradingOrNotTradingLong , str(reasonForTrade['CloseBuyTradeHappened']),\
str(reasonForTrade['OpenBuyTradeHappened']),str(reasonForTrade['OpenSellTradeHappened']),\
str(reasonForTrade['CloseSellTradeHappened']),str(lDummyBidQ0),str(lDummyAskQ0),\
str(lDummyTTQForBuy),str(lDummyTTQForSell)]
attribute.aList[currentIndex-1][3] = ";".join(listOfStringsToPrint)
currentTimeStamp = common.convertTimeStampFromStringToFloat(currentDataRow[colNumberOfData.TimeStamp])
try:
currentSellPredictedValue = float(predictedValuesDict[currentTimeStamp]['sell'])
currentBuyPredictedValue = float(predictedValuesDict[currentTimeStamp]['buy'])
except:
noPredictionForThisRow += 1
#short decisions
if(currentSellPredictedValue >= entryCL and tradeStats['currentPositionLong'] == 0):
enterTradeShort = 1
numberOfTimesAskedToEnterTradeShort += 1
elif(currentBuyPredictedValue >= exitCL and tradeStats['currentPositionShort'] > 0):
numberOfTimesAskedToExitTradeShort += 1
enterTradeShort = -1 # Implies to exit the trade
else:
enterTradeShort = 0 # Implies make no change
# if enterTradeShort == 1:
# if currentPredictedValue <= entryCLCutoff:
# enterTrade = 0
# if enterTrade == -1:
# if currentPredictedValue >= exitCLCutoff:
# enterTrade = 0
#long decisions
if(currentBuyPredictedValue >= entryCL and tradeStats['currentPositionShort'] == 0):
enterTradeLong = 1
numberOfTimesAskedToEnterTradeLong += 1
elif(currentSellPredictedValue >= exitCL and tradeStats['currentPositionLong'] > 0):
numberOfTimesAskedToExitTradeLong += 1
enterTradeLong = -1 # Implies to exit the trade
else:
enterTradeLong = 0 # Implies make no change
ttqAtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.TTQ])
if((args.e).find("nsefut") >= 0):
askP0AtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.BestAskP])
bidP0AtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.BestBidP])
askQ0AtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.BestAskQ])
bidQ0AtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.BestBidQ])
else:
askP0AtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.AskP0])
bidP0AtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.BidP0])
askQ0AtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.AskQ0])
bidQ0AtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.BidQ0])
ltpAtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.LTP])
currentIndex = currentIndex + 1
# Squaring off if some open position there
if tradeStats['currentPositionLong'] > 0:
reasonForTrade['CloseSellTradeHappened'] += tradeStats['currentPositionLong']
tradeStats['totalSellValueLong'] += tradeStats['currentPositionLong'] * (bidP0AtTimeOfPreviousDataRow)
tradeStats['currentPositionLong'] = 0
lReasonForTradingOrNotTradingLong = 'CloseSell(Hitting)'
if tradeStats['currentPositionShort'] > 0:
reasonForTrade['CloseBuyTradeHappened'] += tradeStats['currentPositionShort']
tradeStats['totalBuyValueShort'] += tradeStats['currentPositionShort'] * (askP0AtTimeOfPreviousDataRow)
tradeStats['currentPositionShort'] = 0
lReasonForTradingOrNotTradingLong = 'CloseBuy(Hitting)'
attribute.aList[currentIndex-1][0] = currentTimeStamp
attribute.aList[currentIndex-1][1] = tradeStats['currentPositionLong']
attribute.aList[currentIndex-1][2] = tradeStats['currentPositionShort']
listOfStringsToPrint = [ str(bidQ0AtTimeOfPreviousDataRow) , str(bidP0AtTimeOfPreviousDataRow) , str(askP0AtTimeOfPreviousDataRow) , str(askQ0AtTimeOfPreviousDataRow) , str(ttqAtTimeOfPreviousDataRow) , str(ltpAtTimeOfPreviousDataRow) , str(currentSellPredictedValue) , str(enterTradeShort) , "" , str(currentBuyPredictedValue) , str(enterTradeLong) ,"" , str(reasonForTrade['CloseBuyTradeHappened']),str(reasonForTrade['OpenBuyTradeHappened']),str(reasonForTrade['OpenSellTradeHappened']),str(reasonForTrade['CloseSellTradeHappened']),str(lDummyBidQ0),str(lDummyAskQ0),str(lDummyTTQForBuy),str(lDummyTTQForSell)]
attribute.aList[currentIndex-1][3] = ";".join(listOfStringsToPrint)
dirName = args.pd.replace('/ro/','/rs/')
tradeLogMainDirName = dirName+"/t/"
if not os.path.exists(tradeLogMainDirName):
os.mkdir(tradeLogMainDirName)
tradeLogSubDirectoryName = tradeLogMainDirName + mainExperimentName+"/"
if not os.path.exists(tradeLogSubDirectoryName):
os.mkdir(tradeLogSubDirectoryName)
fileName = tradeLogSubDirectoryName + pFileName + ".trade"
lHeaderColumnNamesList = ['TimeStamp','CurrentPositionLong','CurrentPositionShort','BidQ0','BidP0','AskP0','AskQ0','TTQ','LTP','CurPredValueShort','EnterTradeShort','ReasonForTradingOrNotTradingShort','CurPredValueLong','EnterTradeLong','ReasonForTradingOrNotTradingLong','totalBuyTradeShort','totalBuyLong','totalSellShort','totalSellLong','DummyBidQ0','DummyAskQ0','DummyTTQChangeForSell','DummyTTQChangeForBuy']
attribute.writeToFile(fileName , lHeaderColumnNamesList)
tradeResultMainDirName = dirName+"/r/"
if not os.path.exists(tradeResultMainDirName):
os.mkdir(tradeResultMainDirName)
tradeResultSubDirectoryName = tradeResultMainDirName + mainExperimentName+"/"
if not os.path.exists(tradeResultSubDirectoryName):
os.mkdir(tradeResultSubDirectoryName)
fileName = tradeResultSubDirectoryName+pFileName+".result"
outputFile = open(fileName,"w")
gross_short_profit = tradeStats['totalSellValueShort'] - tradeStats['totalBuyValueShort']
gross_long_profit = tradeStats['totalSellValueLong'] - tradeStats['totalBuyValueLong']
gross_profit = gross_short_profit + gross_long_profit
net_short_profit = gross_short_profit - ( transactionCost * ( tradeStats['totalSellValueShort'] + tradeStats['totalBuyValueShort'] ) )
net_long_profit = gross_long_profit - ( transactionCost * ( tradeStats['totalSellValueLong'] + tradeStats['totalBuyValueLong'] ) )
net_profit = net_short_profit + net_long_profit
gross_short_profit_in_dollars = gross_profit / (currencyDivisor * 60)
net_profit_in_dollars = net_profit / (currencyDivisor * 60 )
#changed file write to modify it to Short Long version
print("Starting to write: "+pFileName)
print("The gross results for Short are: %.6f" %gross_short_profit, file = outputFile)
print("The gross results for Long are: %.6f" %gross_long_profit, file = outputFile)
print("Number of rows for which there is no prediction: " + str(0), file = outputFile)
print("Number of times asked to enter trade Short: " + str(numberOfTimesAskedToEnterTradeShort), file = outputFile)
print("Number of times asked to enter trade Long: " + str(numberOfTimesAskedToEnterTradeLong), file = outputFile)
print("Number of times asked to exit trade Short: " + str(numberOfTimesAskedToExitTradeShort), file = outputFile)
print("Number of times asked to exit trade Long: " + str(numberOfTimesAskedToExitTradeLong), file = outputFile)
print("The net results for Short are: %.6f" %net_short_profit, file = outputFile)
print("The net results for Long are: %.6f" %net_long_profit, file = outputFile)
print("Gross Results in Dollars: %.6f" %gross_short_profit_in_dollars, file = outputFile)
print("Net Results in Dollars: %.6f" %net_profit_in_dollars, file = outputFile)
print("Number of times Close buy trade happened: " + str(reasonForTrade['CloseBuyTradeHappened']), file = outputFile)
print("Number of times open buy trade happened: " + str(reasonForTrade['OpenBuyTradeHappened']), file = outputFile)
print("Assumed open sell trade did not happen since volume did not increase: " + str(reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptShort']), file = outputFile)
print("Assumed close sell trade did not happen since volume did not increase: " + str(reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptLong']), file = outputFile)
print("Assumed open sell trade did not happen since bidP0 not same as LTP: " + str(reasonForTrade['LTPDoesNotEqualAskP0Short']), file = outputFile)
print("Assumed close sell trade did not happen since bidP0 not same as LTP: " + str(reasonForTrade['LTPDoesNotEqualAskP0Long']), file = outputFile)
print("Number of Open sell trade happened: " + str(reasonForTrade['OpenSellTradeHappened']), file = outputFile)
print("Number of Close sell trade happened: " + str(reasonForTrade['CloseSellTradeHappened']), file = outputFile)
print("The total open sell value is: " + str(tradeStats['totalSellValueShort']), file = outputFile)
print("The total close sell value is: " + str(tradeStats['totalSellValueLong']), file = outputFile)
print("The total close buy value is: " + str(tradeStats['totalBuyValueShort']), file = outputFile)
print("The total open buy value is: " + str(tradeStats['totalBuyValueLong']), file = outputFile)
try:
averageOpenSellPrice = tradeStats['totalSellValueShort']/reasonForTrade['OpenSellTradeHappened']
averageCloseBuyPrice = tradeStats['totalBuyValueShort']/reasonForTrade['CloseBuyTradeHappened']
except:
averageOpenSellPrice = 0
averageCloseBuyPrice = 0
try:
averageCloseSellPrice = tradeStats['totalSellValueLong']/reasonForTrade['CloseSellTradeHappened']
averageOpenBuyPrice = tradeStats['totalBuyValueLong']/reasonForTrade['OpenBuyTradeHappened']
except:
averageCloseSellPrice = 0
averageOpenBuyPrice = 0
print("Average open sell price per unit is: " + str(averageOpenSellPrice), file = outputFile)
print("Average close sell price per unit is: " + str(averageCloseSellPrice), file = outputFile)
print("Average open buy price per unit is: " + str(averageOpenBuyPrice), file = outputFile)
print("Average close buy price per unit is: " + str(averageCloseBuyPrice), file = outputFile)
print("The current position Short: " + str(tradeStats['currentPositionShort']), file = outputFile)
print("The current position Long: " + str(tradeStats['currentPositionLong']), file = outputFile)
print("Profit or loss per Qty traded Short is: " + str(averageOpenSellPrice - averageCloseBuyPrice), file = outputFile)
print("Profit or loss per Qty traded Long is: " + str(averageCloseSellPrice - averageOpenBuyPrice), file = outputFile)
pLPerLotShort=(averageOpenSellPrice - averageCloseBuyPrice)* 1000
pLPerLotLong=(averageCloseSellPrice - averageOpenBuyPrice)* 1000
print("1 lot has 1000 qty's so P/L Short per lot is: " + str(pLPerLotShort), file = outputFile)
print("1 lot has 1000 qty's so P/L Long per lot is: " + str(pLPerLotLong), file = outputFile)
print("P/L for Short trading 10 lots is: " + str(pLPerLotShort * 10), file = outputFile)
print("P/L for Long trading 10 lots is: " + str(pLPerLotLong * 10), file = outputFile)
def readOnceAndWrite(pFileName, targetValuesDict):
global gOpenBuyPrice, gCloseSellPrice, gOpenSellPrice, gCloseBuyPrice
attribute.initList()
enterTradeShort = 0
enterTradeLong = 0
ltpAtTimeOfPreviousDataRow = 0
ttqAtTimeOfPreviousDataRow = 0
askP0AtTimeOfPreviousDataRow = 0
bidP0AtTimeOfPreviousDataRow = 0
askQ0AtTimeOfPreviousDataRow = 0
bidQ0AtTimeOfPreviousDataRow = 0
exchangeTimeStamp = 0
currentTimeStamp = 0
tradeStats = dict()
tradeStats['totalSellValueShort'] = 0
tradeStats['totalBuyValueShort'] = 0
tradeStats['currentPositionShort'] = 0
tradeStats['totalSellValueLong'] = 0
tradeStats['totalBuyValueLong'] = 0
tradeStats['currentPositionLong'] = 0
noTargetForThisRow = 0
currentSellTargetValue = 0
currentBuyTargetValue = 0
# entryCLCutoff = float(args.entryCLCutoff)
# exitCLCutoff = float(args.exitCLCutoff)
numberOfTimesAskedToEnterTradeShort = 0
numberOfTimesAskedToEnterTradeLong = 0
numberOfTimesAskedToExitTradeShort = 0
numberOfTimesAskedToExitTradeLong = 0
reasonForTrade = dict()
reasonForTrade['LTPDoesNotEqualBidP0Short'] = 0
reasonForTrade['LTPDoesNotEqualAskP0Short'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptShort'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptLong'] = 0
reasonForTrade['CloseBuyTradeHappened'] = 0
reasonForTrade['OpenBuyTradeHappened'] = 0
reasonForTrade['LTPDoesNotEqualAskP0Long'] = 0
reasonForTrade['LTPDoesNotEqualBidP0Long'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptShort'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptLong'] = 0
reasonForTrade['OpenSellTradeHappened'] = 0
reasonForTrade['CloseSellTradeHappened'] = 0
reasonForTrade['PrevWasOurOrder'] = 0
lReasonForTradingOrNotTradingShort = ""
lReasonForTradingOrNotTradingLong = ""
currentIndex = 0
lDummyBidQ0 = 0
lDummyAskQ0 = 0
lDummyTTQForBuy = 0
lDummyTTQForSell = 0
print("Processing the data file for trades :")
attribute.initList()
prevBuyTargetValue = 0
prevSellTargetValue = 0
exchangeTimeStamp = 0
lOpenBuyIndex = 0
lOpenSellIndex = 0
l_exchange_time_stamp_to_print = ""
for currentDataRow in dataFile.matrix:
l_expiry_wrt_1970 = exchangeTimeStamp + 315513000.0
l_dt = datetime.datetime.fromtimestamp(l_expiry_wrt_1970)
l_exchange_time_stamp_to_print = str(l_dt.hour) + ":" + str(
l_dt.minute) + ":" + str(l_dt.second)
lReturnList = checkIfPreviousDecisionToEnterOrExitTradeWasSuccessful(currentDataRow,ttqAtTimeOfPreviousDataRow,askP0AtTimeOfPreviousDataRow,bidP0AtTimeOfPreviousDataRow,\
askQ0AtTimeOfPreviousDataRow , bidQ0AtTimeOfPreviousDataRow , enterTradeShort,enterTradeLong,tradeStats,reasonForTrade,\
lReasonForTradingOrNotTradingLong,lReasonForTradingOrNotTradingShort )
lReasonForTradingOrNotTradingShort = lReturnList[0]
lReasonForTradingOrNotTradingLong = lReturnList[1]
lDummyBidQ0 = lReturnList[2]
lDummyAskQ0 = lReturnList[3]
lDummyTTQForBuy = lReturnList[4]
lDummyTTQForSell = lReturnList[5]
if currentIndex > 0:
lFlag = 0
if "CloseSell" in lReasonForTradingOrNotTradingLong:
if gCloseSellPrice - gOpenBuyPrice <= 0:
for i in range(lOpenBuyIndex, currentIndex):
attribute.aList[i][1] = 0
else:
lFlag = 1
lOpenBuyIndex = 0
if "CloseBuy" in lReasonForTradingOrNotTradingShort:
if gOpenSellPrice - gCloseBuyPrice <= 0:
for i in range(lOpenSellIndex, currentIndex):
attribute.aList[i][1] = 0
else:
lFlag = 1
lOpenSellIndex = 0
if "OpenSell" in lReasonForTradingOrNotTradingShort:
lOpenSellIndex = currentIndex - 1
if "OpenBuy" in lReasonForTradingOrNotTradingLong:
lOpenBuyIndex = currentIndex - 1
if (lOpenSellIndex != 0 or lOpenBuyIndex != 0):
lFlag = 1
attribute.aList[currentIndex - 1][0] = currentTimeStamp
attribute.aList[currentIndex - 1][1] = lFlag
attribute.aList[currentIndex -
1][2] = tradeStats['currentPositionLong']
listOfStringsToPrint = [ str(tradeStats['currentPositionShort']) , str(bidQ0AtTimeOfPreviousDataRow) , str(bidP0AtTimeOfPreviousDataRow) , str(askP0AtTimeOfPreviousDataRow) , \
str(askQ0AtTimeOfPreviousDataRow) , str(ttqAtTimeOfPreviousDataRow) , str(ltpAtTimeOfPreviousDataRow) ,\
str(currentSellTargetValue) , str(enterTradeShort) ,lReasonForTradingOrNotTradingShort , str(currentBuyTargetValue) ,\
str(enterTradeLong) ,lReasonForTradingOrNotTradingLong ,l_exchange_time_stamp_to_print, str(reasonForTrade['CloseBuyTradeHappened']),\
str(reasonForTrade['OpenBuyTradeHappened']),str(reasonForTrade['OpenSellTradeHappened']),str(reasonForTrade['CloseSellTradeHappened']),\
str(gCloseSellPrice),str(gOpenBuyPrice),str(gOpenSellPrice),str(gCloseBuyPrice)]
attribute.aList[currentIndex -
1][3] = ";".join(listOfStringsToPrint)
currentTimeStamp = common.convertTimeStampFromStringToFloat(
currentDataRow[colNumberOfData.TimeStamp])
try:
currentSellTargetValue = float(
targetValuesDict[currentTimeStamp]['sell'])
currentBuyTargetValue = float(
targetValuesDict[currentTimeStamp]['buy'])
except:
noTargetForThisRow += 1
#short decisions
if (currentSellTargetValue == 1):
enterTradeShort = 1
numberOfTimesAskedToEnterTradeShort += 1
elif (currentSellTargetValue == 0
and tradeStats['currentPositionShort'] > 0):
numberOfTimesAskedToExitTradeShort += 1
enterTradeShort = -1 # Implies to exit the trade
else:
enterTradeShort = 0 # Implies make no change
#long decisions
if (currentBuyTargetValue == 1):
enterTradeLong = 1
numberOfTimesAskedToEnterTradeLong += 1
elif (currentBuyTargetValue == 0
and tradeStats['currentPositionLong'] > 0):
numberOfTimesAskedToExitTradeLong += 1
enterTradeLong = -1 # Implies to exit the trade
else:
enterTradeLong = 0 # Implies make no change
ttqAtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.TTQ])
askP0AtTimeOfPreviousDataRow = float(
currentDataRow[colNumberOfData.AskP0])
bidP0AtTimeOfPreviousDataRow = float(
currentDataRow[colNumberOfData.BidP0])
askQ0AtTimeOfPreviousDataRow = float(
currentDataRow[colNumberOfData.AskQ0])
bidQ0AtTimeOfPreviousDataRow = float(
currentDataRow[colNumberOfData.BidQ0])
ltpAtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.LTP])
currentIndex = currentIndex + 1
prevBuyTargetValue = currentBuyTargetValue
prevSellTargetValue = currentSellTargetValue
exchangeTimeStamp = float(currentDataRow[colNumberOfData.ExchangeTS])
# Squaring off if some open position there
if tradeStats['currentPositionLong'] > 0:
reasonForTrade['CloseSellTradeHappened'] += tradeStats[
'currentPositionLong']
tradeStats['totalSellValueLong'] += tradeStats[
'currentPositionLong'] * (bidP0AtTimeOfPreviousDataRow)
tradeStats['currentPositionLong'] = 0
lReasonForTradingOrNotTradingLong = 'CloseSell(Hitting)'
gCloseSellPrice = bidP0AtTimeOfPreviousDataRow
if gCloseSellPrice - gOpenBuyPrice < 0:
for i in range(lOpenBuyIndex, currentIndex):
attribute.aList[i][1] = 0
if tradeStats['currentPositionShort'] > 0:
reasonForTrade['CloseBuyTradeHappened'] += tradeStats[
'currentPositionShort']
tradeStats['totalBuyValueShort'] += tradeStats[
'currentPositionShort'] * (askP0AtTimeOfPreviousDataRow)
tradeStats['currentPositionShort'] = 0
lReasonForTradingOrNotTradingLong = 'CloseBuy(Hitting)'
gCloseBuyPrice = askP0AtTimeOfPreviousDataRow
if gOpenSellPrice - gCloseBuyPrice < 0:
for i in range(lOpenSellIndex, currentIndex):
attribute.aList[i][1] = 0
attribute.aList[currentIndex - 1][0] = currentTimeStamp
attribute.aList[currentIndex - 1][1] = attribute.aList[currentIndex - 2][1]
attribute.aList[currentIndex - 1][2] = tradeStats['currentPositionLong']
listOfStringsToPrint = [ str(tradeStats['currentPositionShort']),str(bidQ0AtTimeOfPreviousDataRow) , str(bidP0AtTimeOfPreviousDataRow) , str(askP0AtTimeOfPreviousDataRow) ,\
str(askQ0AtTimeOfPreviousDataRow) , str(ttqAtTimeOfPreviousDataRow) , str(ltpAtTimeOfPreviousDataRow) , \
str(currentSellTargetValue) , str(enterTradeShort) , "" , str(currentBuyTargetValue) , str(enterTradeLong) ,\
"" ,l_exchange_time_stamp_to_print, str(reasonForTrade['CloseBuyTradeHappened']),str(reasonForTrade['OpenBuyTradeHappened']),str(reasonForTrade['OpenSellTradeHappened']),\
str(reasonForTrade['CloseSellTradeHappened']),str(gCloseSellPrice),str(gOpenBuyPrice),str(gOpenSellPrice),str(gCloseBuyPrice)]
attribute.aList[currentIndex - 1][3] = ";".join(listOfStringsToPrint)
dirName = args.d.replace('/ro/', '/wf/')
tradeLogMainDirName = dirName + "/tr/"
if not os.path.exists(tradeLogMainDirName):
os.mkdir(tradeLogMainDirName)
tradeLogSubDirectoryName = tradeLogMainDirName + mainExperimentName + "/"
if not os.path.exists(tradeLogSubDirectoryName):
os.mkdir(tradeLogSubDirectoryName)
fileName = tradeLogSubDirectoryName + pFileName + ".targetTrade"
lHeaderColumnNamesList = ['TimeStamp','targetValue','CurrentPositionLong','CurrentPositionShort','BidQ0','BidP0','AskP0','AskQ0','TTQ','LTP',\
'CurTargetValueShort','EnterTradeShort','ReasonForTradingOrNotTradingShort','CurTargetValueLong','EnterTradeLong',\
'ReasonForTradingOrNotTradingLong','Exchange_TS','totalBuyShort','totalBuyLong','totalSellShort','totalSellLong','CloseSellPrice',\
'OpenBuyPrice','OpenSellPrice','CloseBuyPrice']
attribute.writeToFile(fileName, lHeaderColumnNamesList)
tradeResultMainDirName = dirName + "/r/"
if not os.path.exists(tradeResultMainDirName):
os.mkdir(tradeResultMainDirName)
tradeResultSubDirectoryName = tradeResultMainDirName + mainExperimentName + "/"
if not os.path.exists(tradeResultSubDirectoryName):
os.mkdir(tradeResultSubDirectoryName)
fileName = tradeResultSubDirectoryName + pFileName + ".targetResult"
outputFile = open(fileName, "w")
#changed file write to modify it to Short Long version
print("Starting to write: " + fileName)
print("The net results for Short are: " +
str(tradeStats['totalSellValueShort'] -
tradeStats['totalBuyValueShort']),
file=outputFile)
print("The net results for Long are: " +
str(tradeStats['totalSellValueLong'] -
tradeStats['totalBuyValueLong']),
file=outputFile)
print("Number of rows for which there is no target: " +
str(noTargetForThisRow),
file=outputFile)
print("Number of times asked to enter trade Short: " +
str(numberOfTimesAskedToEnterTradeShort),
file=outputFile)
print("Number of times asked to enter trade Long: " +
str(numberOfTimesAskedToEnterTradeLong),
file=outputFile)
print("Number of times asked to exit trade Short: " +
str(numberOfTimesAskedToExitTradeShort),
file=outputFile)
print("Number of times asked to exit trade Long: " +
str(numberOfTimesAskedToExitTradeLong),
file=outputFile)
print(
"Assumed close buy trade did not happen since volume did not increase: "
+ str(reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptShort']),
file=outputFile)
print(
"Assumed open buy trade did not happen since volume did not increase: "
+ str(reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptLong']),
file=outputFile)
print(
"Assumed close buy trade did not happen since bidP0 not same as LTP: "
+ str(reasonForTrade['LTPDoesNotEqualBidP0Short']),
file=outputFile)
print(
"Assumed open buy trade did not happen since bidP0 not same as LTP: " +
str(reasonForTrade['LTPDoesNotEqualBidP0Long']),
file=outputFile)
print("Assumed close buy trade happened: " +
str(reasonForTrade['CloseBuyTradeHappened']),
file=outputFile)
print("Assumed open buy trade happened: " +
str(reasonForTrade['OpenBuyTradeHappened']),
file=outputFile)
print(
"Assumed open sell trade did not happen since volume did not increase: "
+ str(reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptShort']),
file=outputFile)
print(
"Assumed close sell trade did not happen since volume did not increase: "
+ str(reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptLong']),
file=outputFile)
print(
"Assumed open sell trade did not happen since bidP0 not same as LTP: "
+ str(reasonForTrade['LTPDoesNotEqualAskP0Short']),
file=outputFile)
print(
"Assumed close sell trade did not happen since bidP0 not same as LTP: "
+ str(reasonForTrade['LTPDoesNotEqualAskP0Long']),
file=outputFile)
print("Assumed open sell trade happened: " +
str(reasonForTrade['OpenSellTradeHappened']),
file=outputFile)
print("Assumed close sell trade happened: " +
str(reasonForTrade['CloseSellTradeHappened']),
file=outputFile)
print("The total open sell value is: " +
str(tradeStats['totalSellValueShort']),
file=outputFile)
print("The total close sell value is: " +
str(tradeStats['totalSellValueLong']),
file=outputFile)
print("The total close buy value is: " +
str(tradeStats['totalBuyValueShort']),
file=outputFile)
print("The total open buy value is: " +
str(tradeStats['totalBuyValueLong']),
file=outputFile)
try:
averageOpenSellPrice = tradeStats[
'totalSellValueShort'] / reasonForTrade['OpenSellTradeHappened']
averageCloseBuyPrice = tradeStats[
'totalBuyValueShort'] / reasonForTrade['CloseBuyTradeHappened']
except:
averageOpenSellPrice = 0
averageCloseBuyPrice = 0
try:
averageCloseSellPrice = tradeStats[
'totalSellValueLong'] / reasonForTrade['CloseSellTradeHappened']
averageOpenBuyPrice = tradeStats['totalBuyValueLong'] / reasonForTrade[
'OpenBuyTradeHappened']
except:
averageCloseSellPrice = 0
averageOpenBuyPrice = 0
print("Average open sell price per unit is: " + str(averageOpenSellPrice),
file=outputFile)
print("Average close sell price per unit is: " +
str(averageCloseSellPrice),
file=outputFile)
print("Average open buy price per unit is: " + str(averageOpenBuyPrice),
file=outputFile)
print("Average close buy price per unit is: " + str(averageCloseBuyPrice),
file=outputFile)
print("The current position Short: " +
str(tradeStats['currentPositionShort']),
file=outputFile)
print("The current position Long: " +
str(tradeStats['currentPositionLong']),
file=outputFile)
print("Profit or loss per Qty traded Short is: " +
str(averageOpenSellPrice - averageCloseBuyPrice),
file=outputFile)
print("Profit or loss per Qty traded Long is: " +
str(averageCloseSellPrice - averageOpenBuyPrice),
file=outputFile)
pLPerLotShort = (averageOpenSellPrice - averageCloseBuyPrice) * 1000
pLPerLotLong = (averageCloseSellPrice - averageOpenBuyPrice) * 1000
print("1 lot has 1000 qty's so P/L Short per lot is: " +
str(pLPerLotShort),
file=outputFile)
print("1 lot has 1000 qty's so P/L Long per lot is: " + str(pLPerLotLong),
file=outputFile)
print("P/L for Short trading 10 lots is: " + str(pLPerLotShort * 10),
file=outputFile)
print("P/L for Long trading 10 lots is: " + str(pLPerLotLong * 10),
file=outputFile)
def readOnceAndWrite(pFileName, entryCL1 , entryCL2 , entryCL3 , entryCL4 , exitCL1 , exitCL2 , exitCL3 , exitCL4 , predictedValuesDict):
global g_bestqty_list_for_sell, g_bestqty_list_for_buy
attribute.initList()
tradeStats = dict()
tradeStats['totalSellAmountShort'] = 0
tradeStats['totalBuyAmountShort'] = 0
tradeStats['totalSellAmountLong'] = 0
tradeStats['totalBuyAmountLong'] = 0
tradeStats['NumberOfOpenBuy'] = 0
tradeStats['NumberOfCloseSell'] = 0
tradeStats['NumberOfOpenSell'] = 0
tradeStats['NumberOfCloseBuy'] = 0
tradeStats['currentPositionShort'] = 0
tradeStats['currentPositionLong'] = 0
noPredictionForThisRow = 0
currentSellPredictedValue = 0
currentBuyPredictedValue = 0
currentIndex = 0
l_previous_obj = None
l_obj= None
print("Processing the data file for trades :")
attribute.initList()
print("EntryLevels",entryCL1 , entryCL2 , entryCL3 , entryCL4 , exitCL1 , exitCL2 , exitCL3 , exitCL4)
for currentDataRow in dataFile.matrix:
l_obj = update_obj_list(currentDataRow)
if(l_previous_obj != None):
lReturnList = checkIfPreviousDecisionToEnterOrExitTradeWasSuccessful( l_obj , l_previous_obj , tradeStats )
lDummyBidQ0 = lReturnList[0]
lDummyAskQ0 = lReturnList[1]
lDummyTTQForBuy = lReturnList[2]
lDummyTTQForSell = lReturnList[3]
lBuyTradedPrice = lReturnList[4]
lBuyTradedQty = lReturnList[5]
lSellTradedPrice = lReturnList[6]
lSellTradedQty = lReturnList[7]
if currentIndex > 0:
if(g_bestqty_list_for_buy != {}):
l_best_bidq = g_bestqty_list_for_buy['qty']
l_best_bidp = g_bestqty_list_for_buy['price']
else:
l_best_bidq = 0
l_best_bidp = 0
if(g_bestqty_list_for_sell != {}):
l_best_askq = g_bestqty_list_for_sell['qty']
l_best_askp = g_bestqty_list_for_sell['price']
else:
l_best_askq = 0
l_best_askp = 0
attribute.aList[currentIndex-1][0] = l_obj.currentTimeStamp
attribute.aList[currentIndex-1][1] = tradeStats['currentPositionLong']
attribute.aList[currentIndex-1][2] = tradeStats['currentPositionShort']
listOfStringsToPrint = [ str(l_previous_obj.BidQ) , str(l_previous_obj.BidP) , str(l_previous_obj.AskP) , \
str(l_previous_obj.AskQ) , str(l_previous_obj.TTQ) , str(l_previous_obj.LTP) ,\
str(currentSellPredictedValue) , str(l_previous_obj.EnterTradeShort) ,l_previous_obj.ReasonForTradingOrNotTradingShort , str(currentBuyPredictedValue) ,\
str(l_previous_obj.EnterTradeLong) ,l_previous_obj.ReasonForTradingOrNotTradingLong , str(tradeStats['NumberOfCloseBuy']),\
str(tradeStats['NumberOfOpenBuy']),str(tradeStats['NumberOfOpenSell']),\
str(tradeStats['NumberOfCloseBuy']),str(lDummyBidQ0),str(lDummyAskQ0),\
str(lDummyTTQForBuy),str(lDummyTTQForSell),str(l_best_bidq),str(l_best_bidp),str(l_best_askp),\
str(l_best_askq) ,str(lBuyTradedPrice), str(lBuyTradedQty), str(lSellTradedPrice),str(lSellTradedQty)]
attribute.aList[currentIndex-1][3] = ";".join(listOfStringsToPrint)
currentTimeStamp = common.convertTimeStampFromStringToFloat(currentDataRow[colNumberOfData.TimeStamp])
try:
currentSellPredictedValue = float(predictedValuesDict[l_obj.currentTimeStamp]['sell'])
currentBuyPredictedValue = float(predictedValuesDict[l_obj.currentTimeStamp]['buy'])
except:
noPredictionForThisRow += 1
#Open sell and Close Buy
if(currentSellPredictedValue >= entryCL4 and tradeStats['currentPositionLong'] == 0):
g_bestqty_list_for_sell = {}
l_obj.EnterTradeShort = 4 #For close by hitting
elif(currentSellPredictedValue >= entryCL3 and tradeStats['currentPositionLong'] == 0):
g_bestqty_list_for_sell = {}
l_obj.EnterTradeShort = 3 #For standing at Bid +1
elif (currentSellPredictedValue >= entryCL2 and currentBuyPredictedValue < exitCL1 and tradeStats['currentPositionLong'] == 0):
if(l_previous_obj.EnterTradeShort not in [2,1] ):
g_bestqty_list_for_sell = {}
l_obj.EnterTradeShort = 2 #For standing at bid
elif (l_previous_obj.EnterTradeShort > 0 and currentSellPredictedValue >= entryCL1 and currentBuyPredictedValue < exitCL1 and tradeStats['currentPositionLong'] == 0):
l_obj.EnterTradeShort = 1 ##For continuing to stand at bid
elif(currentBuyPredictedValue >= exitCL4 and tradeStats['currentPositionShort'] > 0):
g_bestqty_list_for_buy = {}
l_obj.EnterTradeShort = -4 #For close by hitting
elif(currentBuyPredictedValue >= exitCL3 and tradeStats['currentPositionShort'] > 0):
g_bestqty_list_for_buy = {}
l_obj.EnterTradeShort = -3 #For standing at Bid +1
elif (currentBuyPredictedValue >= exitCL2 and tradeStats['currentPositionShort'] > 0):
if(l_previous_obj.EnterTradeShort not in [-2,-1]):
g_bestqty_list_for_buy = {}
l_obj.EnterTradeShort = -2 #For standing at bid
elif (l_previous_obj.EnterTradeShort < 0 and currentBuyPredictedValue >= exitCL1 and tradeStats['currentPositionShort'] > 0):
l_obj.EnterTradeShort = -1 ##For continuing to stand at bid
else:
l_obj.EnterTradeShort = 0
#Open Buy
if(currentBuyPredictedValue >= entryCL4 and tradeStats['currentPositionShort'] == 0):
g_bestqty_list_for_buy = {}
l_obj.EnterTradeLong = 4 #For close by hitting
elif(currentBuyPredictedValue >= entryCL3 and tradeStats['currentPositionShort'] == 0):
g_bestqty_list_for_buy = {}
l_obj.EnterTradeLong = 3 #For standing at Bid +1
elif (currentBuyPredictedValue >= entryCL2 and currentSellPredictedValue < exitCL1 and tradeStats['currentPositionShort'] == 0):
if(l_previous_obj.EnterTradeLong not in [2,1]):
g_bestqty_list_for_buy = {}
l_obj.EnterTradeLong = 2 #For standing at bid
elif (l_previous_obj.EnterTradeLong < 0 and currentBuyPredictedValue >= entryCL1 and currentSellPredictedValue < exitCL1 and tradeStats['currentPositionShort'] == 0):
l_obj.EnterTradeLong = 1 #For continuing to stand at bid
elif(currentSellPredictedValue >= exitCL4 and tradeStats['currentPositionLong'] > 0):
g_bestqty_list_for_sell = {}
l_obj.EnterTradeLong = -4 #For close by hitting
elif(currentSellPredictedValue >= exitCL3 and tradeStats['currentPositionLong'] > 0):
g_bestqty_list_for_sell = {}
l_obj.EnterTradeLong = -3 #For standing at Bid +1
elif (currentSellPredictedValue >= exitCL2 and tradeStats['currentPositionLong'] > 0):
if(l_previous_obj.EnterTradeLong not in [-2,-1] ):
g_bestqty_list_for_sell = {}
l_obj.EnterTradeLong = -2 #For standing at bid
elif (l_previous_obj.EnterTradeLong > 0 and currentSellPredictedValue >= exitCL1 and tradeStats['currentPositionLong'] > 0):
l_obj.EnterTradeLong = -1 ##For continuing to stand at bid
else:
l_obj.EnterTradeLong = 0
l_previous_obj = l_obj
currentIndex = currentIndex + 1
# Squaring off if some open position there
if tradeStats['currentPositionLong'] > 0:
tradeStats['NumberOfCloseSell'] += tradeStats['currentPositionLong']
tradeStats['totalSellAmountLong'] += tradeStats['currentPositionLong'] * (l_previous_obj.BidP)
tradeStats['currentPositionLong'] = 0
l_obj.ReasonForTradingOrNotTradingLong = 'CloseSell(Hitting)'
if tradeStats['currentPositionShort'] > 0:
tradeStats['NumberOfCloseBuy'] += tradeStats['currentPositionShort']
tradeStats['totalBuyAmountShort'] += tradeStats['currentPositionShort'] * (l_previous_obj.AskP)
tradeStats['currentPositionShort'] = 0
l_obj.ReasonForTradingOrNotTradingLong = 'CloseBuy(Hitting)'
attribute.aList[currentIndex-1][0] = currentTimeStamp
attribute.aList[currentIndex-1][1] = tradeStats['currentPositionLong']
attribute.aList[currentIndex-1][2] = tradeStats['currentPositionShort']
if(g_bestqty_list_for_buy != {}):
l_best_bidq = g_bestqty_list_for_buy['qty']
l_best_bidp = g_bestqty_list_for_buy['price']
else:
l_best_bidq = 0
l_best_bidp = 0
if(g_bestqty_list_for_sell != {}):
l_best_askq = g_bestqty_list_for_sell['qty']
l_best_askp = g_bestqty_list_for_sell['price']
else:
l_best_askq = 0
l_best_askp = 0
listOfStringsToPrint = [ str(l_previous_obj.BidQ) , str(l_previous_obj.BidP) , str(l_previous_obj.AskP) , \
str(l_previous_obj.AskQ) , str(l_previous_obj.TTQ) , str(l_previous_obj.LTP) ,\
str(currentSellPredictedValue) , str(l_previous_obj.EnterTradeShort) ,l_previous_obj.ReasonForTradingOrNotTradingShort , str(currentBuyPredictedValue) ,\
str(l_previous_obj.EnterTradeLong) ,l_previous_obj.ReasonForTradingOrNotTradingLong , str(tradeStats['NumberOfCloseBuy']),\
str(tradeStats['NumberOfOpenBuy']),str(tradeStats['NumberOfOpenSell']),\
str(tradeStats['NumberOfCloseBuy']),str(lDummyBidQ0),str(lDummyAskQ0),\
str(lDummyTTQForBuy),str(lDummyTTQForSell),str(l_best_bidq),str(l_best_bidp),str(l_best_askp), str(l_best_askq) , "0;0;0;0"]
attribute.aList[currentIndex-1][3] = ";".join(listOfStringsToPrint)
dirName = args.pd.replace('/ro/','/rs/')
tradeLogMainDirName = dirName+"/t/"
if not os.path.exists(tradeLogMainDirName):
os.mkdir(tradeLogMainDirName)
tradeLogSubDirectoryName = tradeLogMainDirName + mainExperimentName+"/"
if not os.path.exists(tradeLogSubDirectoryName):
os.mkdir(tradeLogSubDirectoryName)
fileName = tradeLogSubDirectoryName + pFileName + ".trade"
lHeaderColumnNamesList = ['TimeStamp','CurrentPositionLong','CurrentPositionShort','BidQ0','BidP0','AskP0','AskQ0','TTQ','LTP','CurPredValueShort',\
'EnterTradeShort','ReasonForTradingOrNotTradingShort','CurPredValueLong','EnterTradeLong','ReasonForTradingOrNotTradingLong',\
'totalBuyTradeShort','totalBuyLong','totalSellShort','totalSellLong','DummyBidQ0','DummyAskQ0','DummyTTQChangeForSell','DummyTTQChangeForBuy' \
,'BestBidQ','BestBidP','BestAskP','BestAskQ','BuyTradedPrcie','BuyTradedQty','SellTradedPrice','SellTradedQty']
#attribute.writeToFile(fileName , lHeaderColumnNamesList)
tradeResultMainDirName = dirName+"/r/"
if not os.path.exists(tradeResultMainDirName):
os.mkdir(tradeResultMainDirName)
tradeResultSubDirectoryName = tradeResultMainDirName + mainExperimentName+"/"
if not os.path.exists(tradeResultSubDirectoryName):
os.mkdir(tradeResultSubDirectoryName)
fileName = tradeResultSubDirectoryName+pFileName+".result"
outputFile = open(fileName,"w")
#changed file write to modify it to Short Long version
print("Starting to write: "+fileName)
print("The gross profit for Short are: " + str(tradeStats['totalSellAmountShort'] - tradeStats['totalBuyAmountShort']), file = outputFile)
print("The gross profit for Long are: " + str(tradeStats['totalSellAmountLong'] - tradeStats['totalBuyAmountLong']), file = outputFile)
print("The total open sell amount is: " + str(tradeStats['totalSellAmountShort']), file = outputFile)
print("The total close sell amount is: " + str(tradeStats['totalSellAmountLong']), file = outputFile)
print("The total close buy amount is: " + str(tradeStats['totalBuyAmountShort']), file = outputFile)
print("The total open buy amount is: " + str(tradeStats['totalBuyAmountLong']), file = outputFile)
print("Number open sell trade happened: " + str(tradeStats['NumberOfOpenSell']), file = outputFile)
print("Number close sell trade happened: " + str(tradeStats['NumberOfCloseSell']), file = outputFile)
print("Number close buy trade happened: " + str(tradeStats['NumberOfCloseBuy']), file = outputFile)
print("Number open buy trade happened: " + str(tradeStats['NumberOfOpenBuy']), file = outputFile)
try:
averageOpenSellPrice = tradeStats['totalSellAmountShort']/tradeStats['NumberOfOpenSell']
averageCloseBuyPrice = tradeStats['totalBuyAmountShort']/tradeStats['NumberOfCloseBuy']
except:
averageOpenSellPrice = 0
averageCloseBuyPrice = 0
try:
averageCloseSellPrice = tradeStats['totalSellAmountLong']/tradeStats['NumberOfCloseSell']
averageOpenBuyPrice = tradeStats['totalBuyAmountLong']/tradeStats['NumberOfOpenBuy']
except:
averageCloseSellPrice = 0
averageOpenBuyPrice = 0
print("Average open sell price per unit is: " + str(averageOpenSellPrice), file = outputFile)
print("Average close sell price per unit is: " + str(averageCloseSellPrice), file = outputFile)
print("Average open buy price per unit is: " + str(averageOpenBuyPrice), file = outputFile)
print("Average close buy price per unit is: " + str(averageCloseBuyPrice), file = outputFile)
print("The current position Short: " + str(tradeStats['currentPositionShort']), file = outputFile)
print("The current position Long: " + str(tradeStats['currentPositionLong']), file = outputFile)
print("Profit or loss per Qty traded Short is: " + str(averageOpenSellPrice - averageCloseBuyPrice), file = outputFile)
print("Profit or loss per Qty traded Long is: " + str(averageCloseSellPrice - averageOpenBuyPrice), file = outputFile)
pLPerLotShort=(averageOpenSellPrice - averageCloseBuyPrice)* 1000
pLPerLotLong=(averageCloseSellPrice - averageOpenBuyPrice)* 1000
print("1 lot has 1000 qty's so P/L Short per lot is: " + str(pLPerLotShort), file = outputFile)
print("1 lot has 1000 qty's so P/L Long per lot is: " + str(pLPerLotLong), file = outputFile)
print("P/L for Short trading 10 lots is: " + str(pLPerLotShort * 10), file = outputFile)
print("P/L for Long trading 10 lots is: " + str(pLPerLotLong * 10), file = outputFile)
def readOnceAndWrite(pFileName, entryCL1, entryCL2, entryCL3, entryCL4,
exitCL1, exitCL2, exitCL3, exitCL4, predictedValuesDict):
global g_bestqty_list_for_sell, g_bestqty_list_for_buy
attribute.initList()
tradeStats = dict()
tradeStats['totalSellAmountShort'] = 0
tradeStats['totalBuyAmountShort'] = 0
tradeStats['totalSellAmountLong'] = 0
tradeStats['totalBuyAmountLong'] = 0
tradeStats['NumberOfOpenBuy'] = 0
tradeStats['NumberOfCloseSell'] = 0
tradeStats['NumberOfOpenSell'] = 0
tradeStats['NumberOfCloseBuy'] = 0
tradeStats['currentPositionShort'] = 0
tradeStats['currentPositionLong'] = 0
noPredictionForThisRow = 0
currentSellPredictedValue = 0
currentBuyPredictedValue = 0
currentIndex = 0
l_previous_obj = None
l_obj = None
print("Processing the data file for trades :")
attribute.initList()
print("EntryLevels", entryCL1, entryCL2, entryCL3, entryCL4, exitCL1,
exitCL2, exitCL3, exitCL4)
for currentDataRow in dataFile.matrix:
l_obj = update_obj_list(currentDataRow)
if (l_previous_obj != None):
lReturnList = checkIfPreviousDecisionToEnterOrExitTradeWasSuccessful(
l_obj, l_previous_obj, tradeStats)
lDummyBidQ0 = lReturnList[0]
lDummyAskQ0 = lReturnList[1]
lDummyTTQForBuy = lReturnList[2]
lDummyTTQForSell = lReturnList[3]
lBuyTradedPrice = lReturnList[4]
lBuyTradedQty = lReturnList[5]
lSellTradedPrice = lReturnList[6]
lSellTradedQty = lReturnList[7]
if currentIndex > 0:
if (g_bestqty_list_for_buy != {}):
l_best_bidq = g_bestqty_list_for_buy['qty']
l_best_bidp = g_bestqty_list_for_buy['price']
else:
l_best_bidq = 0
l_best_bidp = 0
if (g_bestqty_list_for_sell != {}):
l_best_askq = g_bestqty_list_for_sell['qty']
l_best_askp = g_bestqty_list_for_sell['price']
else:
l_best_askq = 0
l_best_askp = 0
attribute.aList[currentIndex - 1][0] = l_obj.currentTimeStamp
attribute.aList[currentIndex -
1][1] = tradeStats['currentPositionLong']
attribute.aList[currentIndex -
1][2] = tradeStats['currentPositionShort']
listOfStringsToPrint = [ str(l_previous_obj.BidQ) , str(l_previous_obj.BidP) , str(l_previous_obj.AskP) , \
str(l_previous_obj.AskQ) , str(l_previous_obj.TTQ) , str(l_previous_obj.LTP) ,\
str(currentSellPredictedValue) , str(l_previous_obj.EnterTradeShort) ,l_previous_obj.ReasonForTradingOrNotTradingShort , str(currentBuyPredictedValue) ,\
str(l_previous_obj.EnterTradeLong) ,l_previous_obj.ReasonForTradingOrNotTradingLong , str(tradeStats['NumberOfCloseBuy']),\
str(tradeStats['NumberOfOpenBuy']),str(tradeStats['NumberOfOpenSell']),\
str(tradeStats['NumberOfCloseBuy']),str(lDummyBidQ0),str(lDummyAskQ0),\
str(lDummyTTQForBuy),str(lDummyTTQForSell),str(l_best_bidq),str(l_best_bidp),str(l_best_askp),\
str(l_best_askq) ,str(lBuyTradedPrice), str(lBuyTradedQty), str(lSellTradedPrice),str(lSellTradedQty)]
attribute.aList[currentIndex -
1][3] = ";".join(listOfStringsToPrint)
currentTimeStamp = common.convertTimeStampFromStringToFloat(
currentDataRow[colNumberOfData.TimeStamp])
try:
currentSellPredictedValue = float(
predictedValuesDict[l_obj.currentTimeStamp]['sell'])
currentBuyPredictedValue = float(
predictedValuesDict[l_obj.currentTimeStamp]['buy'])
except:
noPredictionForThisRow += 1
#Open sell and Close Buy
if (currentSellPredictedValue >= entryCL4
and tradeStats['currentPositionLong'] == 0):
g_bestqty_list_for_sell = {}
l_obj.EnterTradeShort = 4 #For close by hitting
elif (currentSellPredictedValue >= entryCL3
and tradeStats['currentPositionLong'] == 0):
g_bestqty_list_for_sell = {}
l_obj.EnterTradeShort = 3 #For standing at Bid +1
elif (currentSellPredictedValue >= entryCL2
and currentBuyPredictedValue < exitCL1
and tradeStats['currentPositionLong'] == 0):
if (l_previous_obj.EnterTradeShort not in [2, 1]):
g_bestqty_list_for_sell = {}
l_obj.EnterTradeShort = 2 #For standing at bid
elif (l_previous_obj.EnterTradeShort > 0
and currentSellPredictedValue >= entryCL1
and currentBuyPredictedValue < exitCL1
and tradeStats['currentPositionLong'] == 0):
l_obj.EnterTradeShort = 1 ##For continuing to stand at bid
elif (currentBuyPredictedValue >= exitCL4
and tradeStats['currentPositionShort'] > 0):
g_bestqty_list_for_buy = {}
l_obj.EnterTradeShort = -4 #For close by hitting
elif (currentBuyPredictedValue >= exitCL3
and tradeStats['currentPositionShort'] > 0):
g_bestqty_list_for_buy = {}
l_obj.EnterTradeShort = -3 #For standing at Bid +1
elif (currentBuyPredictedValue >= exitCL2
and tradeStats['currentPositionShort'] > 0):
if (l_previous_obj.EnterTradeShort not in [-2, -1]):
g_bestqty_list_for_buy = {}
l_obj.EnterTradeShort = -2 #For standing at bid
elif (l_previous_obj.EnterTradeShort < 0
and currentBuyPredictedValue >= exitCL1
and tradeStats['currentPositionShort'] > 0):
l_obj.EnterTradeShort = -1 ##For continuing to stand at bid
else:
l_obj.EnterTradeShort = 0
#Open Buy
if (currentBuyPredictedValue >= entryCL4
and tradeStats['currentPositionShort'] == 0):
g_bestqty_list_for_buy = {}
l_obj.EnterTradeLong = 4 #For close by hitting
elif (currentBuyPredictedValue >= entryCL3
and tradeStats['currentPositionShort'] == 0):
g_bestqty_list_for_buy = {}
l_obj.EnterTradeLong = 3 #For standing at Bid +1
elif (currentBuyPredictedValue >= entryCL2
and currentSellPredictedValue < exitCL1
and tradeStats['currentPositionShort'] == 0):
if (l_previous_obj.EnterTradeLong not in [2, 1]):
g_bestqty_list_for_buy = {}
l_obj.EnterTradeLong = 2 #For standing at bid
elif (l_previous_obj.EnterTradeLong < 0
and currentBuyPredictedValue >= entryCL1
and currentSellPredictedValue < exitCL1
and tradeStats['currentPositionShort'] == 0):
l_obj.EnterTradeLong = 1 #For continuing to stand at bid
elif (currentSellPredictedValue >= exitCL4
and tradeStats['currentPositionLong'] > 0):
g_bestqty_list_for_sell = {}
l_obj.EnterTradeLong = -4 #For close by hitting
elif (currentSellPredictedValue >= exitCL3
and tradeStats['currentPositionLong'] > 0):
g_bestqty_list_for_sell = {}
l_obj.EnterTradeLong = -3 #For standing at Bid +1
elif (currentSellPredictedValue >= exitCL2
and tradeStats['currentPositionLong'] > 0):
if (l_previous_obj.EnterTradeLong not in [-2, -1]):
g_bestqty_list_for_sell = {}
l_obj.EnterTradeLong = -2 #For standing at bid
elif (l_previous_obj.EnterTradeLong > 0
and currentSellPredictedValue >= exitCL1
and tradeStats['currentPositionLong'] > 0):
l_obj.EnterTradeLong = -1 ##For continuing to stand at bid
else:
l_obj.EnterTradeLong = 0
l_previous_obj = l_obj
currentIndex = currentIndex + 1
# Squaring off if some open position there
if tradeStats['currentPositionLong'] > 0:
tradeStats['NumberOfCloseSell'] += tradeStats['currentPositionLong']
tradeStats['totalSellAmountLong'] += tradeStats[
'currentPositionLong'] * (l_previous_obj.BidP)
tradeStats['currentPositionLong'] = 0
l_obj.ReasonForTradingOrNotTradingLong = 'CloseSell(Hitting)'
if tradeStats['currentPositionShort'] > 0:
tradeStats['NumberOfCloseBuy'] += tradeStats['currentPositionShort']
tradeStats['totalBuyAmountShort'] += tradeStats[
'currentPositionShort'] * (l_previous_obj.AskP)
tradeStats['currentPositionShort'] = 0
l_obj.ReasonForTradingOrNotTradingLong = 'CloseBuy(Hitting)'
attribute.aList[currentIndex - 1][0] = currentTimeStamp
attribute.aList[currentIndex - 1][1] = tradeStats['currentPositionLong']
attribute.aList[currentIndex - 1][2] = tradeStats['currentPositionShort']
if (g_bestqty_list_for_buy != {}):
l_best_bidq = g_bestqty_list_for_buy['qty']
l_best_bidp = g_bestqty_list_for_buy['price']
else:
l_best_bidq = 0
l_best_bidp = 0
if (g_bestqty_list_for_sell != {}):
l_best_askq = g_bestqty_list_for_sell['qty']
l_best_askp = g_bestqty_list_for_sell['price']
else:
l_best_askq = 0
l_best_askp = 0
listOfStringsToPrint = [ str(l_previous_obj.BidQ) , str(l_previous_obj.BidP) , str(l_previous_obj.AskP) , \
str(l_previous_obj.AskQ) , str(l_previous_obj.TTQ) , str(l_previous_obj.LTP) ,\
str(currentSellPredictedValue) , str(l_previous_obj.EnterTradeShort) ,l_previous_obj.ReasonForTradingOrNotTradingShort , str(currentBuyPredictedValue) ,\
str(l_previous_obj.EnterTradeLong) ,l_previous_obj.ReasonForTradingOrNotTradingLong , str(tradeStats['NumberOfCloseBuy']),\
str(tradeStats['NumberOfOpenBuy']),str(tradeStats['NumberOfOpenSell']),\
str(tradeStats['NumberOfCloseBuy']),str(lDummyBidQ0),str(lDummyAskQ0),\
str(lDummyTTQForBuy),str(lDummyTTQForSell),str(l_best_bidq),str(l_best_bidp),str(l_best_askp), str(l_best_askq) , "0;0;0;0"]
attribute.aList[currentIndex - 1][3] = ";".join(listOfStringsToPrint)
dirName = args.pd.replace('/ro/', '/rs/')
tradeLogMainDirName = dirName + "/t/"
if not os.path.exists(tradeLogMainDirName):
os.mkdir(tradeLogMainDirName)
tradeLogSubDirectoryName = tradeLogMainDirName + mainExperimentName + "/"
if not os.path.exists(tradeLogSubDirectoryName):
os.mkdir(tradeLogSubDirectoryName)
fileName = tradeLogSubDirectoryName + pFileName + ".trade"
lHeaderColumnNamesList = ['TimeStamp','CurrentPositionLong','CurrentPositionShort','BidQ0','BidP0','AskP0','AskQ0','TTQ','LTP','CurPredValueShort',\
'EnterTradeShort','ReasonForTradingOrNotTradingShort','CurPredValueLong','EnterTradeLong','ReasonForTradingOrNotTradingLong',\
'totalBuyTradeShort','totalBuyLong','totalSellShort','totalSellLong','DummyBidQ0','DummyAskQ0','DummyTTQChangeForSell','DummyTTQChangeForBuy' \
,'BestBidQ','BestBidP','BestAskP','BestAskQ','BuyTradedPrcie','BuyTradedQty','SellTradedPrice','SellTradedQty']
#attribute.writeToFile(fileName , lHeaderColumnNamesList)
tradeResultMainDirName = dirName + "/r/"
if not os.path.exists(tradeResultMainDirName):
os.mkdir(tradeResultMainDirName)
tradeResultSubDirectoryName = tradeResultMainDirName + mainExperimentName + "/"
if not os.path.exists(tradeResultSubDirectoryName):
os.mkdir(tradeResultSubDirectoryName)
fileName = tradeResultSubDirectoryName + pFileName + ".result"
outputFile = open(fileName, "w")
#changed file write to modify it to Short Long version
print("Starting to write: " + fileName)
print("The gross profit for Short are: " +
str(tradeStats['totalSellAmountShort'] -
tradeStats['totalBuyAmountShort']),
file=outputFile)
print("The gross profit for Long are: " +
str(tradeStats['totalSellAmountLong'] -
tradeStats['totalBuyAmountLong']),
file=outputFile)
print("The total open sell amount is: " +
str(tradeStats['totalSellAmountShort']),
file=outputFile)
print("The total close sell amount is: " +
str(tradeStats['totalSellAmountLong']),
file=outputFile)
print("The total close buy amount is: " +
str(tradeStats['totalBuyAmountShort']),
file=outputFile)
print("The total open buy amount is: " +
str(tradeStats['totalBuyAmountLong']),
file=outputFile)
print("Number open sell trade happened: " +
str(tradeStats['NumberOfOpenSell']),
file=outputFile)
print("Number close sell trade happened: " +
str(tradeStats['NumberOfCloseSell']),
file=outputFile)
print("Number close buy trade happened: " +
str(tradeStats['NumberOfCloseBuy']),
file=outputFile)
print("Number open buy trade happened: " +
str(tradeStats['NumberOfOpenBuy']),
file=outputFile)
try:
averageOpenSellPrice = tradeStats['totalSellAmountShort'] / tradeStats[
'NumberOfOpenSell']
averageCloseBuyPrice = tradeStats['totalBuyAmountShort'] / tradeStats[
'NumberOfCloseBuy']
except:
averageOpenSellPrice = 0
averageCloseBuyPrice = 0
try:
averageCloseSellPrice = tradeStats['totalSellAmountLong'] / tradeStats[
'NumberOfCloseSell']
averageOpenBuyPrice = tradeStats['totalBuyAmountLong'] / tradeStats[
'NumberOfOpenBuy']
except:
averageCloseSellPrice = 0
averageOpenBuyPrice = 0
print("Average open sell price per unit is: " + str(averageOpenSellPrice),
file=outputFile)
print("Average close sell price per unit is: " +
str(averageCloseSellPrice),
file=outputFile)
print("Average open buy price per unit is: " + str(averageOpenBuyPrice),
file=outputFile)
print("Average close buy price per unit is: " + str(averageCloseBuyPrice),
file=outputFile)
print("The current position Short: " +
str(tradeStats['currentPositionShort']),
file=outputFile)
print("The current position Long: " +
str(tradeStats['currentPositionLong']),
file=outputFile)
print("Profit or loss per Qty traded Short is: " +
str(averageOpenSellPrice - averageCloseBuyPrice),
file=outputFile)
print("Profit or loss per Qty traded Long is: " +
str(averageCloseSellPrice - averageOpenBuyPrice),
file=outputFile)
pLPerLotShort = (averageOpenSellPrice - averageCloseBuyPrice) * 1000
pLPerLotLong = (averageCloseSellPrice - averageOpenBuyPrice) * 1000
print("1 lot has 1000 qty's so P/L Short per lot is: " +
str(pLPerLotShort),
file=outputFile)
print("1 lot has 1000 qty's so P/L Long per lot is: " + str(pLPerLotLong),
file=outputFile)
print("P/L for Short trading 10 lots is: " + str(pLPerLotShort * 10),
file=outputFile)
print("P/L for Long trading 10 lots is: " + str(pLPerLotLong * 10),
file=outputFile)
def main():
attribute.initList()
dataFile.getDataIntoMatrix(args.pd)
predictedValuesDict = dict()
getPredictedValuesIntoDict(predictedValuesDict)
enterTradeShort = 0
enterTradeLong = 0
ttqAtTimeOfPreviousDataRow = 0
askP0AtTimeOfPreviousDataRow = 0
bidP0AtTimeOfPreviousDataRow = 0
askQ0AtTimeOfPreviousDataRow = 0
bidQ0AtTimeOfPreviousDataRow = 0
tradeStats = dict()
tradeStats['totalSellValueShort'] = 0
tradeStats['totalBuyValueShort'] = 0
tradeStats['currentPositionShort'] = 0
tradeStats['totalSellValueLong'] = 0
tradeStats['totalBuyValueLong'] = 0
tradeStats['currentPositionLong'] = 0
noPredictionForThisRow = 0
currentPredictedValueShort = 0
currentPredictedValueLong = 0
entryCL = float(args.entryCL) / 100
exitCL = float(args.exitCL) / 100
# entryCLCutoff = float(args.entryCLCutoff)
# exitCLCutoff = float(args.exitCLCutoff)
numberOfTimesAskedToEnterTradeShort = 0
numberOfTimesAskedToEnterTradeLong = 0
numberOfTimesAskedToExitTradeShort = 0
numberOfTimesAskedToExitTradeLong = 0
reasonForTrade = dict()
reasonForTrade['LTPDoesNotEqualBidP0Short'] = 0
reasonForTrade['LTPDoesNotEqualAskP0Short'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptShort'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptLong'] = 0
reasonForTrade['AssumingBuyTradeHappenedShort'] = 0
reasonForTrade['AssumingBuyTradeHappenedLong'] = 0
reasonForTrade['LTPDoesNotEqualAskP0Long'] = 0
reasonForTrade['LTPDoesNotEqualBidP0Long'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptShort'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptLong'] = 0
reasonForTrade['AssumingSellTradeHappenedShort'] = 0
reasonForTrade['AssumingSellTradeHappenedLong'] = 0
currentIndex = 0
print("Processing the data file for trades :")
attribute.initList()
for currentDataRow in dataFile.matrix:
lReturnList = checkIfPreviousDecisionToEnterOrExitTradeWasSuccessful(
currentDataRow, ttqAtTimeOfPreviousDataRow,
askP0AtTimeOfPreviousDataRow, bidP0AtTimeOfPreviousDataRow,
askQ0AtTimeOfPreviousDataRow, bidQ0AtTimeOfPreviousDataRow,
enterTradeShort, enterTradeLong, tradeStats, reasonForTrade)
lReasonForTradingOrNotTradingShort = lReturnList[0]
lReasonForTradingOrNotTradingLong = lReturnList[1]
lDummyBidQ0 = lReturnList[2]
lDummyAskQ0 = lReturnList[3]
lDummyTTQForBuy = lReturnList[4]
lDummyTTQForSell = lReturnList[5]
if currentIndex > 0:
attribute.aList[currentIndex - 1][0] = currentTimeStamp
attribute.aList[currentIndex -
1][1] = tradeStats['currentPositionLong']
attribute.aList[currentIndex -
1][2] = tradeStats['currentPositionShort']
listOfStringsToPrint = [
str(bidQ0AtTimeOfPreviousDataRow),
str(bidP0AtTimeOfPreviousDataRow),
str(askP0AtTimeOfPreviousDataRow),
str(askQ0AtTimeOfPreviousDataRow),
str(ttqAtTimeOfPreviousDataRow),
str(ltpAtTimeOfPreviousDataRow),
str(currentPredictedValueShort),
str(enterTradeShort), lReasonForTradingOrNotTradingShort,
str(currentPredictedValueLong),
str(enterTradeLong), lReasonForTradingOrNotTradingLong,
str(reasonForTrade['AssumingBuyTradeHappenedShort']),
str(reasonForTrade['AssumingBuyTradeHappenedLong']),
str(reasonForTrade['AssumingSellTradeHappenedShort']),
str(reasonForTrade['AssumingSellTradeHappenedLong']),
str(lDummyBidQ0),
str(lDummyAskQ0),
str(lDummyTTQForBuy),
str(lDummyTTQForSell)
]
attribute.aList[currentIndex -
1][3] = ";".join(listOfStringsToPrint)
currentTimeStamp = common.convertTimeStampFromStringToFloat(
currentDataRow[colNumberOfData.TimeStamp])
try:
currentPredictedValueShort = (
float(predictedValuesDict[currentTimeStamp][-2]) +
float(predictedValuesDict[currentTimeStamp][-1]))
currentPredictedValueLong = (
float(predictedValuesDict[currentTimeStamp][2]) +
float(predictedValuesDict[currentTimeStamp][1]))
except:
noPredictionForThisRow += 1
#short decisions
if (currentPredictedValueShort > entryCL):
enterTradeShort = 1
numberOfTimesAskedToEnterTradeShort += 1
elif (currentPredictedValueShort < exitCL
and tradeStats['currentPositionShort'] > 0):
numberOfTimesAskedToExitTradeShort += 1
enterTradeShort = -1 # Implies to exit the trade
else:
enterTradeShort = 0 # Implies make no change
# if enterTradeShort == 1:
# if currentPredictedValue <= entryCLCutoff:
# enterTrade = 0
# if enterTrade == -1:
# if currentPredictedValue >= exitCLCutoff:
# enterTrade = 0
#long decisions
if (currentPredictedValueLong > entryCL):
enterTradeLong = 1
numberOfTimesAskedToEnterTradeLong += 1
elif (currentPredictedValueLong < exitCL
and tradeStats['currentPositionLong'] > 0):
numberOfTimesAskedToExitTradeLong += 1
enterTradeLong = -1 # Implies to exit the trade
else:
enterTradeLong = 0 # Implies make no change
ttqAtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.TTQ])
askP0AtTimeOfPreviousDataRow = float(
currentDataRow[colNumberOfData.AskP0])
bidP0AtTimeOfPreviousDataRow = float(
currentDataRow[colNumberOfData.BidP0])
askQ0AtTimeOfPreviousDataRow = float(
currentDataRow[colNumberOfData.AskQ0])
bidQ0AtTimeOfPreviousDataRow = float(
currentDataRow[colNumberOfData.BidQ0])
ltpAtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.LTP])
currentIndex = currentIndex + 1
# Squaring off if some open position there
if tradeStats['currentPositionLong'] > 0:
reasonForTrade['AssumingSellTradeHappenedLong'] += tradeStats[
'currentPositionLong']
tradeStats['totalSellValueLong'] += tradeStats[
'currentPositionLong'] * (bidP0AtTimeOfPreviousDataRow)
tradeStats['currentPositionLong'] = 0
lReasonForTradingOrNotTradingLong = 'CloseSell(Hitting)'
elif tradeStats['currentPositionShort'] > 0:
reasonForTrade['AssumingBuyTradeHappenedShort'] += tradeStats[
'currentPositionShort']
tradeStats['totalBuyValueShort'] += tradeStats[
'currentPositionShort'] * (askP0AtTimeOfPreviousDataRow)
tradeStats['currentPositionShort'] = 0
lReasonForTradingOrNotTradingLong = 'CloseBuy(Hitting)'
attribute.aList[currentIndex - 1][0] = currentTimeStamp
attribute.aList[currentIndex - 1][1] = tradeStats['currentPositionLong']
attribute.aList[currentIndex - 1][2] = tradeStats['currentPositionShort']
listOfStringsToPrint = [
str(bidQ0AtTimeOfPreviousDataRow),
str(bidP0AtTimeOfPreviousDataRow),
str(askP0AtTimeOfPreviousDataRow),
str(askQ0AtTimeOfPreviousDataRow),
str(ttqAtTimeOfPreviousDataRow),
str(ltpAtTimeOfPreviousDataRow),
str(currentPredictedValueShort),
str(enterTradeShort), "",
str(currentPredictedValueLong),
str(enterTradeLong), "",
str(reasonForTrade['AssumingBuyTradeHappenedShort']),
str(reasonForTrade['AssumingBuyTradeHappenedLong']),
str(reasonForTrade['AssumingSellTradeHappenedShort']),
str(reasonForTrade['AssumingSellTradeHappenedLong']),
str(lDummyBidQ0),
str(lDummyAskQ0),
str(lDummyTTQForBuy),
str(lDummyTTQForSell)
]
attribute.aList[currentIndex - 1][3] = ";".join(listOfStringsToPrint)
dirName = args.pd.replace('/ro/', '/rs/')
tradeLogMainDirName = dirName + "/t/"
if not os.path.exists(tradeLogMainDirName):
os.mkdir(tradeLogMainDirName)
tradeLogSubDirectoryName = tradeLogMainDirName + mainExperimentName + "/"
if not os.path.exists(tradeLogSubDirectoryName):
os.mkdir(tradeLogSubDirectoryName)
fileName = tradeLogSubDirectoryName + experimentName + initialFileName + ".trade"
lHeaderColumnNamesList = [
'TimeStamp', 'CurrentPositionLong', 'CurrentPositionShort', 'BidQ0',
'BidP0', 'AskP0', 'AskQ0', 'TTQ', 'LTP', 'CurPredValueShort',
'EnterTradeShort', 'ReasonForTradingOrNotTradingShort',
'CurPredValueLong', 'EnterTradeLong',
'ReasonForTradingOrNotTradingLong', 'totalBuyTradeShort',
'totalBuyLong', 'totalSellShort', 'totalSellLong', 'DummyBidQ0',
'DummyAskQ0', 'DummyTTQChangeForSell', 'DummyTTQChangeForBuy'
]
attribute.writeToFile(fileName, lHeaderColumnNamesList)
tradeResultMainDirName = dirName + "/r/"
if not os.path.exists(tradeResultMainDirName):
os.mkdir(tradeResultMainDirName)
tradeResultSubDirectoryName = tradeResultMainDirName + mainExperimentName + "/"
if not os.path.exists(tradeResultSubDirectoryName):
os.mkdir(tradeResultSubDirectoryName)
fileName = tradeResultSubDirectoryName + experimentName + initialFileName + ".result"
outputFile = open(fileName, "w")
#changed file write to modify it to Short Long version
print("Starting to write: " + fileName)
print("The net results for Short are: " +
str(tradeStats['totalSellValueShort'] -
tradeStats['totalBuyValueShort']),
file=outputFile)
print("The net results for Long are: " +
str(tradeStats['totalSellValueLong'] -
tradeStats['totalBuyValueLong']),
file=outputFile)
print("Number of rows for which there is no prediction: " +
str(noPredictionForThisRow),
file=outputFile)
print("Number of times asked to enter trade Short: " +
str(numberOfTimesAskedToEnterTradeShort),
file=outputFile)
print("Number of times asked to enter trade Long: " +
str(numberOfTimesAskedToEnterTradeLong),
file=outputFile)
print("Number of times asked to exit trade Short: " +
str(numberOfTimesAskedToExitTradeShort),
file=outputFile)
print("Number of times asked to exit trade Long: " +
str(numberOfTimesAskedToExitTradeLong),
file=outputFile)
print(
"Assumed close buy trade did not happen since volume did not increase: "
+ str(reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptShort']),
file=outputFile)
print(
"Assumed open buy trade did not happen since volume did not increase: "
+ str(reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptLong']),
file=outputFile)
print(
"Assumed close buy trade did not happen since bidP0 not same as LTP: "
+ str(reasonForTrade['LTPDoesNotEqualBidP0Short']),
file=outputFile)
print(
"Assumed open buy trade did not happen since bidP0 not same as LTP: " +
str(reasonForTrade['LTPDoesNotEqualBidP0Long']),
file=outputFile)
print("Assumed close buy trade happened: " +
str(reasonForTrade['AssumingBuyTradeHappenedShort']),
file=outputFile)
print("Assumed open buy trade happened: " +
str(reasonForTrade['AssumingBuyTradeHappenedLong']),
file=outputFile)
print(
"Assumed open sell trade did not happen since volume did not increase: "
+ str(reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptShort']),
file=outputFile)
print(
"Assumed close sell trade did not happen since volume did not increase: "
+ str(reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptLong']),
file=outputFile)
print(
"Assumed open sell trade did not happen since bidP0 not same as LTP: "
+ str(reasonForTrade['LTPDoesNotEqualAskP0Short']),
file=outputFile)
print(
"Assumed close sell trade did not happen since bidP0 not same as LTP: "
+ str(reasonForTrade['LTPDoesNotEqualAskP0Long']),
file=outputFile)
print("Assumed open sell trade happened: " +
str(reasonForTrade['AssumingSellTradeHappenedShort']),
file=outputFile)
print("Assumed close sell trade happened: " +
str(reasonForTrade['AssumingSellTradeHappenedLong']),
file=outputFile)
print("The total open sell value is: " +
str(tradeStats['totalSellValueShort']),
file=outputFile)
print("The total close sell value is: " +
str(tradeStats['totalSellValueLong']),
file=outputFile)
print("The total close buy value is: " +
str(tradeStats['totalBuyValueShort']),
file=outputFile)
print("The total open buy value is: " +
str(tradeStats['totalBuyValueLong']),
file=outputFile)
try:
averageOpenSellPrice = tradeStats[
'totalSellValueShort'] / reasonForTrade[
'AssumingSellTradeHappenedShort']
averageCloseBuyPrice = tradeStats[
'totalBuyValueShort'] / reasonForTrade[
'AssumingBuyTradeHappenedShort']
except:
averageOpenSellPrice = 0
averageCloseBuyPrice = 0
try:
averageCloseSellPrice = tradeStats[
'totalSellValueLong'] / reasonForTrade[
'AssumingSellTradeHappenedLong']
averageOpenBuyPrice = tradeStats['totalBuyValueLong'] / reasonForTrade[
'AssumingBuyTradeHappenedLong']
except:
averageCloseSellPrice = 0
averageOpenBuyPrice = 0
print("Average open sell price per unit is: " + str(averageOpenSellPrice),
file=outputFile)
print("Average close sell price per unit is: " +
str(averageCloseSellPrice),
file=outputFile)
print("Average open buy price per unit is: " + str(averageOpenBuyPrice),
file=outputFile)
print("Average close buy price per unit is: " + str(averageCloseBuyPrice),
file=outputFile)
print("The current position Short: " +
str(tradeStats['currentPositionShort']),
file=outputFile)
print("The current position Long: " +
str(tradeStats['currentPositionLong']),
file=outputFile)
print("Profit or loss per Qty traded Short is: " +
str(averageOpenSellPrice - averageCloseBuyPrice),
file=outputFile)
print("Profit or loss per Qty traded Long is: " +
str(averageCloseSellPrice - averageOpenBuyPrice),
file=outputFile)
pLPerLotShort = (averageOpenSellPrice - averageCloseBuyPrice) * 1000
pLPerLotLong = (averageCloseSellPrice - averageOpenBuyPrice) * 1000
print("1 lot has 1000 qty's so P/L Short per lot is: " +
str(pLPerLotShort),
file=outputFile)
print("1 lot has 1000 qty's so P/L Long per lot is: " + str(pLPerLotLong),
file=outputFile)
print("P/L for Short trading 10 lots is: " + str(pLPerLotShort * 10),
file=outputFile)
print("P/L for Long trading 10 lots is: " + str(pLPerLotLong * 10),
file=outputFile)
def main():
attribute.initList()
dataFile.getDataIntoMatrix(args.pd)
predictedValuesDict = dict()
getPredictedValuesIntoDict(predictedValuesDict)
enterTradeShort = 0
enterTradeLong = 0
ttqAtTimeOfPreviousDataRow = 0
askP0AtTimeOfPreviousDataRow = 0
bidP0AtTimeOfPreviousDataRow = 0
askQ0AtTimeOfPreviousDataRow = 0
bidQ0AtTimeOfPreviousDataRow = 0
tradeStats = dict()
tradeStats['totalSellValueShort'] = 0
tradeStats['totalBuyValueShort'] = 0
tradeStats['currentPositionShort'] = 0
tradeStats['totalSellValueLong'] = 0
tradeStats['totalBuyValueLong'] = 0
tradeStats['currentPositionLong'] = 0
noPredictionForThisRow = 0
currentPredictedValueShort = 0
currentPredictedValueLong = 0
entryCL = float(args.entryCL)/100
exitCL = float(args.exitCL)/100
# entryCLCutoff = float(args.entryCLCutoff)
# exitCLCutoff = float(args.exitCLCutoff)
numberOfTimesAskedToEnterTradeShort = 0
numberOfTimesAskedToEnterTradeLong = 0
numberOfTimesAskedToExitTradeShort = 0
numberOfTimesAskedToExitTradeLong = 0
reasonForTrade = dict()
reasonForTrade['LTPDoesNotEqualBidP0Short'] = 0
reasonForTrade['LTPDoesNotEqualAskP0Short'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptShort'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptLong'] = 0
reasonForTrade['AssumingBuyTradeHappenedShort'] = 0
reasonForTrade['AssumingBuyTradeHappenedLong'] = 0
reasonForTrade['LTPDoesNotEqualAskP0Long'] = 0
reasonForTrade['LTPDoesNotEqualBidP0Long'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptShort'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptLong'] = 0
reasonForTrade['AssumingSellTradeHappenedShort'] = 0
reasonForTrade['AssumingSellTradeHappenedLong'] = 0
currentIndex = 0
print("Processing the data file for trades :")
attribute.initList()
for currentDataRow in dataFile.matrix:
lReturnList = checkIfPreviousDecisionToEnterOrExitTradeWasSuccessful(currentDataRow,ttqAtTimeOfPreviousDataRow,askP0AtTimeOfPreviousDataRow,bidP0AtTimeOfPreviousDataRow,askQ0AtTimeOfPreviousDataRow , bidQ0AtTimeOfPreviousDataRow , enterTradeShort,enterTradeLong,tradeStats,reasonForTrade )
lReasonForTradingOrNotTradingShort = lReturnList[0]
lReasonForTradingOrNotTradingLong = lReturnList[1]
lDummyBidQ0 = lReturnList[2]
lDummyAskQ0 = lReturnList[3]
lDummyTTQForBuy = lReturnList[4]
lDummyTTQForSell = lReturnList[5]
if currentIndex > 0:
attribute.aList[currentIndex-1][0] = currentTimeStamp
attribute.aList[currentIndex-1][1] = tradeStats['currentPositionLong']
attribute.aList[currentIndex-1][2] = tradeStats['currentPositionShort']
listOfStringsToPrint = [ str(bidQ0AtTimeOfPreviousDataRow) , str(bidP0AtTimeOfPreviousDataRow) , str(askP0AtTimeOfPreviousDataRow) , str(askQ0AtTimeOfPreviousDataRow) , str(ttqAtTimeOfPreviousDataRow) , str(ltpAtTimeOfPreviousDataRow) , str(currentPredictedValueShort) , str(enterTradeShort) ,lReasonForTradingOrNotTradingShort , str(currentPredictedValueLong) , str(enterTradeLong) ,lReasonForTradingOrNotTradingLong , str(reasonForTrade['AssumingBuyTradeHappenedShort']),str(reasonForTrade['AssumingBuyTradeHappenedLong']),str(reasonForTrade['AssumingSellTradeHappenedShort']),str(reasonForTrade['AssumingSellTradeHappenedLong']),str(lDummyBidQ0),str(lDummyAskQ0),str(lDummyTTQForBuy),str(lDummyTTQForSell)]
attribute.aList[currentIndex-1][3] = ";".join(listOfStringsToPrint)
currentTimeStamp = common.convertTimeStampFromStringToFloat(currentDataRow[colNumberOfData.TimeStamp])
try:
currentPredictedValueShort = (float(predictedValuesDict[currentTimeStamp][-2]) + float(predictedValuesDict[currentTimeStamp][-1]))
currentPredictedValueLong = (float(predictedValuesDict[currentTimeStamp][2]) + float(predictedValuesDict[currentTimeStamp][1]))
except:
noPredictionForThisRow += 1
#short decisions
if(currentPredictedValueShort > entryCL):
enterTradeShort = 1
numberOfTimesAskedToEnterTradeShort += 1
elif(currentPredictedValueShort < exitCL and tradeStats['currentPositionShort'] > 0):
numberOfTimesAskedToExitTradeShort += 1
enterTradeShort = -1 # Implies to exit the trade
else:
enterTradeShort = 0 # Implies make no change
# if enterTradeShort == 1:
# if currentPredictedValue <= entryCLCutoff:
# enterTrade = 0
# if enterTrade == -1:
# if currentPredictedValue >= exitCLCutoff:
# enterTrade = 0
#long decisions
if(currentPredictedValueLong > entryCL):
enterTradeLong = 1
numberOfTimesAskedToEnterTradeLong += 1
elif(currentPredictedValueLong < exitCL and tradeStats['currentPositionLong'] > 0):
numberOfTimesAskedToExitTradeLong += 1
enterTradeLong = -1 # Implies to exit the trade
else:
enterTradeLong = 0 # Implies make no change
ttqAtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.TTQ])
askP0AtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.AskP0])
bidP0AtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.BidP0])
askQ0AtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.AskQ0])
bidQ0AtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.BidQ0])
ltpAtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.LTP])
currentIndex = currentIndex + 1
# Squaring off if some open position there
if tradeStats['currentPositionLong'] > 0:
reasonForTrade['AssumingSellTradeHappenedLong'] += tradeStats['currentPositionLong']
tradeStats['totalSellValueLong'] += tradeStats['currentPositionLong'] * (bidP0AtTimeOfPreviousDataRow)
tradeStats['currentPositionLong'] = 0
lReasonForTradingOrNotTradingLong = 'CloseSell(Hitting)'
elif tradeStats['currentPositionShort'] > 0:
reasonForTrade['AssumingBuyTradeHappenedShort'] += tradeStats['currentPositionShort']
tradeStats['totalBuyValueShort'] += tradeStats['currentPositionShort'] * (askP0AtTimeOfPreviousDataRow)
tradeStats['currentPositionShort'] = 0
lReasonForTradingOrNotTradingLong = 'CloseBuy(Hitting)'
attribute.aList[currentIndex-1][0] = currentTimeStamp
attribute.aList[currentIndex-1][1] = tradeStats['currentPositionLong']
attribute.aList[currentIndex-1][2] = tradeStats['currentPositionShort']
listOfStringsToPrint = [ str(bidQ0AtTimeOfPreviousDataRow) , str(bidP0AtTimeOfPreviousDataRow) , str(askP0AtTimeOfPreviousDataRow) , str(askQ0AtTimeOfPreviousDataRow) , str(ttqAtTimeOfPreviousDataRow) , str(ltpAtTimeOfPreviousDataRow) , str(currentPredictedValueShort) , str(enterTradeShort) , "" , str(currentPredictedValueLong) , str(enterTradeLong) ,"" , str(reasonForTrade['AssumingBuyTradeHappenedShort']),str(reasonForTrade['AssumingBuyTradeHappenedLong']),str(reasonForTrade['AssumingSellTradeHappenedShort']),str(reasonForTrade['AssumingSellTradeHappenedLong']),str(lDummyBidQ0),str(lDummyAskQ0),str(lDummyTTQForBuy),str(lDummyTTQForSell)]
attribute.aList[currentIndex-1][3] = ";".join(listOfStringsToPrint)
dirName = args.pd.replace('/ro/','/rs/')
tradeLogMainDirName = dirName+"/t/"
if not os.path.exists(tradeLogMainDirName):
os.mkdir(tradeLogMainDirName)
tradeLogSubDirectoryName = tradeLogMainDirName + mainExperimentName+"/"
if not os.path.exists(tradeLogSubDirectoryName):
os.mkdir(tradeLogSubDirectoryName)
fileName = tradeLogSubDirectoryName+experimentName+initialFileName+".trade"
lHeaderColumnNamesList = ['TimeStamp','CurrentPositionLong','CurrentPositionShort','BidQ0','BidP0','AskP0','AskQ0','TTQ','LTP','CurPredValueShort','EnterTradeShort','ReasonForTradingOrNotTradingShort','CurPredValueLong','EnterTradeLong','ReasonForTradingOrNotTradingLong','totalBuyTradeShort','totalBuyLong','totalSellShort','totalSellLong','DummyBidQ0','DummyAskQ0','DummyTTQChangeForSell','DummyTTQChangeForBuy']
attribute.writeToFile(fileName , lHeaderColumnNamesList)
tradeResultMainDirName = dirName+"/r/"
if not os.path.exists(tradeResultMainDirName):
os.mkdir(tradeResultMainDirName)
tradeResultSubDirectoryName = tradeResultMainDirName + mainExperimentName+"/"
if not os.path.exists(tradeResultSubDirectoryName):
os.mkdir(tradeResultSubDirectoryName)
fileName = tradeResultSubDirectoryName+experimentName+initialFileName+".result"
outputFile = open(fileName,"w")
#changed file write to modify it to Short Long version
print("Starting to write: "+fileName)
print("The net results for Short are: " + str(tradeStats['totalSellValueShort'] - tradeStats['totalBuyValueShort']), file = outputFile)
print("The net results for Long are: " + str(tradeStats['totalSellValueLong'] - tradeStats['totalBuyValueLong']), file = outputFile)
print("Number of rows for which there is no prediction: " + str(noPredictionForThisRow), file = outputFile)
print("Number of times asked to enter trade Short: " + str(numberOfTimesAskedToEnterTradeShort), file = outputFile)
print("Number of times asked to enter trade Long: " + str(numberOfTimesAskedToEnterTradeLong), file = outputFile)
print("Number of times asked to exit trade Short: " + str(numberOfTimesAskedToExitTradeShort), file = outputFile)
print("Number of times asked to exit trade Long: " + str(numberOfTimesAskedToExitTradeLong), file = outputFile)
print("Assumed close buy trade did not happen since volume did not increase: " + str(reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptShort']), file = outputFile)
print("Assumed open buy trade did not happen since volume did not increase: " + str(reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptLong']), file = outputFile)
print("Assumed close buy trade did not happen since bidP0 not same as LTP: " + str(reasonForTrade['LTPDoesNotEqualBidP0Short']), file = outputFile)
print("Assumed open buy trade did not happen since bidP0 not same as LTP: " + str(reasonForTrade['LTPDoesNotEqualBidP0Long']), file = outputFile)
print("Assumed close buy trade happened: " + str(reasonForTrade['AssumingBuyTradeHappenedShort']), file = outputFile)
print("Assumed open buy trade happened: " + str(reasonForTrade['AssumingBuyTradeHappenedLong']), file = outputFile)
print("Assumed open sell trade did not happen since volume did not increase: " + str(reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptShort']), file = outputFile)
print("Assumed close sell trade did not happen since volume did not increase: " + str(reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptLong']), file = outputFile)
print("Assumed open sell trade did not happen since bidP0 not same as LTP: " + str(reasonForTrade['LTPDoesNotEqualAskP0Short']), file = outputFile)
print("Assumed close sell trade did not happen since bidP0 not same as LTP: " + str(reasonForTrade['LTPDoesNotEqualAskP0Long']), file = outputFile)
print("Assumed open sell trade happened: " + str(reasonForTrade['AssumingSellTradeHappenedShort']), file = outputFile)
print("Assumed close sell trade happened: " + str(reasonForTrade['AssumingSellTradeHappenedLong']), file = outputFile)
print("The total open sell value is: " + str(tradeStats['totalSellValueShort']), file = outputFile)
print("The total close sell value is: " + str(tradeStats['totalSellValueLong']), file = outputFile)
print("The total close buy value is: " + str(tradeStats['totalBuyValueShort']), file = outputFile)
print("The total open buy value is: " + str(tradeStats['totalBuyValueLong']), file = outputFile)
try:
averageOpenSellPrice = tradeStats['totalSellValueShort']/reasonForTrade['AssumingSellTradeHappenedShort']
averageCloseBuyPrice = tradeStats['totalBuyValueShort']/reasonForTrade['AssumingBuyTradeHappenedShort']
except:
averageOpenSellPrice = 0
averageCloseBuyPrice = 0
try:
averageCloseSellPrice = tradeStats['totalSellValueLong']/reasonForTrade['AssumingSellTradeHappenedLong']
averageOpenBuyPrice = tradeStats['totalBuyValueLong']/reasonForTrade['AssumingBuyTradeHappenedLong']
except:
averageCloseSellPrice = 0
averageOpenBuyPrice = 0
print("Average open sell price per unit is: " + str(averageOpenSellPrice), file = outputFile)
print("Average close sell price per unit is: " + str(averageCloseSellPrice), file = outputFile)
print("Average open buy price per unit is: " + str(averageOpenBuyPrice), file = outputFile)
print("Average close buy price per unit is: " + str(averageCloseBuyPrice), file = outputFile)
print("The current position Short: " + str(tradeStats['currentPositionShort']), file = outputFile)
print("The current position Long: " + str(tradeStats['currentPositionLong']), file = outputFile)
print("Profit or loss per Qty traded Short is: " + str(averageOpenSellPrice - averageCloseBuyPrice), file = outputFile)
print("Profit or loss per Qty traded Long is: " + str(averageCloseSellPrice - averageOpenBuyPrice), file = outputFile)
pLPerLotShort=(averageOpenSellPrice - averageCloseBuyPrice)* 1000
pLPerLotLong=(averageCloseSellPrice - averageOpenBuyPrice)* 1000
print("1 lot has 1000 qty's so P/L Short per lot is: " + str(pLPerLotShort), file = outputFile)
print("1 lot has 1000 qty's so P/L Long per lot is: " + str(pLPerLotLong), file = outputFile)
print("P/L for Short trading 10 lots is: " + str(pLPerLotShort * 10), file = outputFile)
print("P/L for Long trading 10 lots is: " + str(pLPerLotLong * 10), file = outputFile)
def readOnceAndWrite(pFileName, entryCL , exitCL , predictedValuesDict):
global g_bestqty_list_for_sell, g_bestqty_list_for_buy
global transactionCost , currencyDivisor
attribute.initList()
tradeStats = dict()
tradeStats['totalSellAmountShort'] = 0
tradeStats['totalBuyAmountShort'] = 0
tradeStats['totalSellAmountLong'] = 0
tradeStats['totalBuyAmountLong'] = 0
tradeStats['NumberOfOpenBuy'] = 0
tradeStats['NumberOfCloseSell'] = 0
tradeStats['NumberOfOpenSell'] = 0
tradeStats['NumberOfCloseBuy'] = 0
tradeStats['currentPositionShort'] = 0
tradeStats['currentPositionLong'] = 0
noPredictionForThisRow = 0
currentSellPredictedValue = 0
currentBuyPredictedValue = 0
currentIndex = 0
l_previous_obj = None
l_obj= None
print("Processing the data file for trades :")
attribute.initList()
print("EntryLevels",entryCL , exitCL)
for currentDataRow in dataFile.matrix:
l_obj = update_obj_list(currentDataRow)
if(l_previous_obj != None):
lReturnList = checkIfPreviousDecisionToEnterOrExitTradeWasSuccessful( l_obj , l_previous_obj , tradeStats )
lDummyBidQ0 = lReturnList[0]
lDummyAskQ0 = lReturnList[1]
lDummyTTQForBuy = lReturnList[2]
lDummyTTQForSell = lReturnList[3]
lBuyTradedPrice = lReturnList[4]
lBuyTradedQty = lReturnList[5]
lSellTradedPrice = lReturnList[6]
lSellTradedQty = lReturnList[7]
if currentIndex > 0:
if(g_bestqty_list_for_buy != {}):
l_best_bidq = g_bestqty_list_for_buy['qty']
l_best_bidp = g_bestqty_list_for_buy['price']
else:
l_best_bidq = 0
l_best_bidp = 0
if(g_bestqty_list_for_sell != {}):
l_best_askq = g_bestqty_list_for_sell['qty']
l_best_askp = g_bestqty_list_for_sell['price']
else:
l_best_askq = 0
l_best_askp = 0
attribute.aList[currentIndex-1][0] = l_obj.currentTimeStamp
attribute.aList[currentIndex-1][1] = tradeStats['currentPositionLong']
attribute.aList[currentIndex-1][2] = tradeStats['currentPositionShort']
listOfStringsToPrint = [ str(l_previous_obj.BidQ[0]) , str(l_previous_obj.BidP[0]),str(l_previous_obj.BidQ[1]) , str(l_previous_obj.BidP[1]),str(l_previous_obj.BidQ[2]) , str(l_previous_obj.BidP[2]),str(l_previous_obj.BidQ[3]) ,str(l_previous_obj.BidP[3]),\
str(l_previous_obj.BidP[4]),str(l_previous_obj.BidQ[4]) , str(l_previous_obj.AskQ[0]) , str(l_previous_obj.AskP[0]) , str(l_previous_obj.AskQ[1]) , str(l_previous_obj.AskP[1]) ,str(l_previous_obj.AskQ[2]) , str(l_previous_obj.AskP[2]) ,\
str(l_previous_obj.AskQ[3]) , str(l_previous_obj.AskP[3]) ,str(l_previous_obj.AskQ[4]) , str(l_previous_obj.AskP[4]) ,\
str(l_previous_obj.TTQ) , str(l_previous_obj.LTP) ,\
str(currentBuyPredictedValue) , str(currentSellPredictedValue) , str(l_previous_obj.OpenBuy) ,l_previous_obj.ReasonForTradingOrNotTradingOpenBuy ,str(l_previous_obj.CloseBuy) ,l_previous_obj.ReasonForTradingOrNotTradingCloseBuy , \
str(l_previous_obj.OpenSell) ,l_previous_obj.ReasonForTradingOrNotTradingOpenSell ,str(l_previous_obj.CloseSell) ,l_previous_obj.ReasonForTradingOrNotTradingCloseSell , \
str(tradeStats['NumberOfOpenBuy']),\
str(tradeStats['NumberOfCloseBuy']),str(tradeStats['NumberOfOpenSell']),\
str(tradeStats['NumberOfCloseSell']),str(lDummyBidQ0),str(lDummyAskQ0),\
str(lDummyTTQForBuy),str(lDummyTTQForSell),str(l_best_bidq),str(l_best_bidp),str(l_best_askp),\
str(l_best_askq) ,str(lBuyTradedPrice), str(lBuyTradedQty), str(lSellTradedPrice),str(lSellTradedQty)]
attribute.aList[currentIndex-1][3] = ";".join(listOfStringsToPrint)
currentTimeStamp = common.convertTimeStampFromStringToFloat(currentDataRow[colNumberOfData.TimeStamp])
try:
currentSellPredictedValue = float(predictedValuesDict[l_obj.currentTimeStamp]['sell'])
currentBuyPredictedValue = float(predictedValuesDict[l_obj.currentTimeStamp]['buy'])
except:
noPredictionForThisRow += 1
#Open Sell and Close Buy
if(currentBuyPredictedValue >= exitCL and tradeStats['currentPositionShort'] > 0):
g_bestqty_list_for_buy = {}
l_obj.CloseBuy = -1 #For close by hitting
if(currentSellPredictedValue >= entryCL and tradeStats['currentPositionLong'] == 0):
g_bestqty_list_for_sell = {}
l_obj.OpenSell = 1 #For open buy
if(tradeStats['currentPositionShort'] > 0) and (l_obj.CloseBuy != -1) :
l_obj.CloseBuy = -2
#Open Buy and Close Sell
if(currentSellPredictedValue >= exitCL and tradeStats['currentPositionLong'] > 0):
g_bestqty_list_for_sell = {}
l_obj.CloseSell = -1 #For close by hitting
if(currentBuyPredictedValue >= entryCL and tradeStats['currentPositionShort'] == 0) :
g_bestqty_list_for_buy = {}
l_obj.OpenBuy = 1 #For close by hitting
if(tradeStats['currentPositionLong'] > 0) and (l_obj.CloseSell != -1) :
l_obj.CloseSell = -2
l_previous_obj = l_obj
currentIndex = currentIndex + 1
# Squaring off if some open position there
if tradeStats['currentPositionLong'] > 0:
tradeStats['NumberOfCloseSell'] += tradeStats['currentPositionLong']
tradeStats['totalSellAmountLong'] += tradeStats['currentPositionLong'] * (l_previous_obj.BidP[0])
tradeStats['currentPositionLong'] = 0
l_obj.ReasonForTradingOrNotTradingCloseSell = 'CloseSell(Hitting)'
if tradeStats['currentPositionShort'] > 0:
tradeStats['NumberOfCloseBuy'] += tradeStats['currentPositionShort']
tradeStats['totalBuyAmountShort'] += tradeStats['currentPositionShort'] * (l_previous_obj.AskP[0])
tradeStats['currentPositionShort'] = 0
l_obj.ReasonForTradingOrNotTradingCloseBuy = 'CloseBuy(Hitting)'
attribute.aList[currentIndex-1][0] = currentTimeStamp
attribute.aList[currentIndex-1][1] = tradeStats['currentPositionLong']
attribute.aList[currentIndex-1][2] = tradeStats['currentPositionShort']
if(g_bestqty_list_for_buy != {}):
l_best_bidq = g_bestqty_list_for_buy['qty']
l_best_bidp = g_bestqty_list_for_buy['price']
else:
l_best_bidq = 0
l_best_bidp = 0
if(g_bestqty_list_for_sell != {}):
l_best_askq = g_bestqty_list_for_sell['qty']
l_best_askp = g_bestqty_list_for_sell['price']
else:
l_best_askq = 0
l_best_askp = 0
listOfStringsToPrint = [ str(l_previous_obj.BidQ[0]) , str(l_previous_obj.BidP[0]),str(l_previous_obj.BidQ[1]) , str(l_previous_obj.BidP[1]),str(l_previous_obj.BidQ[2]) , str(l_previous_obj.BidP[2]),str(l_previous_obj.BidQ[3]) ,str(l_previous_obj.BidP[3]),\
str(l_previous_obj.BidP[4]),str(l_previous_obj.BidQ[4]) , str(l_previous_obj.AskQ[0]) , str(l_previous_obj.AskP[0]) , str(l_previous_obj.AskQ[1]) , str(l_previous_obj.AskP[1]) ,str(l_previous_obj.AskQ[2]) , str(l_previous_obj.AskP[2]) ,\
str(l_previous_obj.AskQ[3]) , str(l_previous_obj.AskP[3]) ,str(l_previous_obj.AskQ[4]) , str(l_previous_obj.AskP[4]) ,\
str(l_previous_obj.TTQ) , str(l_previous_obj.LTP) ,\
str(currentBuyPredictedValue) , str(currentSellPredictedValue) , str(l_previous_obj.OpenBuy) ,l_previous_obj.ReasonForTradingOrNotTradingOpenBuy ,str(l_previous_obj.CloseBuy) ,l_previous_obj.ReasonForTradingOrNotTradingCloseBuy , \
str(l_previous_obj.OpenSell) ,l_previous_obj.ReasonForTradingOrNotTradingOpenSell ,str(l_previous_obj.CloseSell) ,l_previous_obj.ReasonForTradingOrNotTradingCloseSell , str(tradeStats['NumberOfCloseBuy']),\
str(tradeStats['NumberOfOpenBuy']),\
str(tradeStats['NumberOfCloseBuy']),str(tradeStats['NumberOfOpenSell']),\
str(tradeStats['NumberOfCloseSell']),str(lDummyBidQ0),str(lDummyAskQ0),\
str(lDummyTTQForBuy),str(lDummyTTQForSell),str(l_best_bidq),str(l_best_bidp),str(l_best_askp), str(l_best_askq) , "0;0;0;0"]
attribute.aList[currentIndex-1][3] = ";".join(listOfStringsToPrint)
dirName = args.pd.replace('/ro/','/rs/')
tradeLogMainDirName = dirName+"/t/"
if not os.path.exists(tradeLogMainDirName):
os.mkdir(tradeLogMainDirName)
tradeLogSubDirectoryName = tradeLogMainDirName + mainExperimentName+"/"
if not os.path.exists(tradeLogSubDirectoryName):
os.mkdir(tradeLogSubDirectoryName)
fileName = tradeLogSubDirectoryName + pFileName + ".trade"
lHeaderColumnNamesList = ['TimeStamp','CurrentPositionLong','CurrentPositionShort','BidQ0;BidP0;BidQ1;BidP1;BidQ2;BidP2;BidQ3;BidP3;BidQ4;BidP4','AskQ0;AskP0;AskQ1;AskP1;AskQ2;AskP2;AskQ3;AskP3;AskQ4;AskP4','TTQ','LTP','CurBuyPredValue','CurrentSellPredValue',\
'EnterTradeOpenBuy','ReasonForTradingOrNotTradingOpenBuy','EnterTradeCloseBuy','ReasonForTradingOrNotTradingCloseBuy','EnterTradeOpenSell','ReasonForTradingOrNotTradingOpenSell','EnterTradeCloseSell','ReasonForTradingOrNotTradingCloseSell',\
'NumberOfOpenBuy','NumOfCloseBuy','NumberOfOpenSell','NumberOfCloseSell','DummyBidQ0','DummyAskQ0','DummyTTQChangeForSell','DummyTTQChangeForBuy' \
,'BestBidQ','BestBidP','BestAskP','BestAskQ','BuyTradedPrcie','BuyTradedQty','SellTradedPrice','SellTradedQty']
# attribute.writeToFile(fileName , lHeaderColumnNamesList)
tradeResultMainDirName = dirName+"/r/"
if not os.path.exists(tradeResultMainDirName):
os.mkdir(tradeResultMainDirName)
tradeResultSubDirectoryName = tradeResultMainDirName + mainExperimentName+"/"
if not os.path.exists(tradeResultSubDirectoryName):
os.mkdir(tradeResultSubDirectoryName)
fileName = tradeResultSubDirectoryName+pFileName+".result"
outputFile = open(fileName,"w")
gross_short_profit = tradeStats['totalSellAmountShort'] - tradeStats['totalBuyAmountShort']
gross_long_profit = tradeStats['totalSellAmountLong'] - tradeStats['totalBuyAmountLong']
gross_profit = gross_short_profit + gross_long_profit
net_short_profit = gross_short_profit - ( transactionCost * ( tradeStats['totalSellAmountShort'] + tradeStats['totalBuyAmountShort'] ) )
net_long_profit = gross_long_profit - ( transactionCost * (tradeStats['totalSellAmountLong'] + tradeStats['totalBuyAmountLong'] ) )
net_profit = net_short_profit + net_long_profit
gross_short_profit_in_dollars = gross_profit / (currencyDivisor * 60)
net_profit_in_dollars = net_profit / (currencyDivisor * 60 )
#changed file write to modify it to Short Long version
print("Starting to write: "+pFileName)
print("The gross results for Short are: %.6f" %gross_short_profit, file = outputFile)
print("The gross results for Long are: %.6f" %gross_long_profit, file = outputFile)
print("Number of rows for which there is no prediction: " + str(0), file = outputFile)
print("Number of times asked to enter trade Short: " + str(0), file = outputFile)
print("Number of times asked to enter trade Long: " + str(0), file = outputFile)
print("Number of times asked to exit trade Short: " + str(0), file = outputFile)
print("Number of times asked to exit trade Long: " + str(0), file = outputFile)
print("The net results for Short are: %.6f" %net_short_profit, file = outputFile)
print("The net results for Long are: %.6f" %net_long_profit, file = outputFile)
print("Gross Results in Dollars: %.6f" %gross_short_profit_in_dollars, file = outputFile)
print("Net Results in Dollars: %.6f" %net_profit_in_dollars, file = outputFile)
print("Number of times Close buy trade happened: " + str(tradeStats['NumberOfCloseBuy']), file = outputFile)
print("Number of times open buy trade happened: " + str(tradeStats['NumberOfOpenBuy']), file = outputFile)
print("Assumed open sell trade did not happen since volume did not increase: " + str(0), file = outputFile)
print("Assumed close sell trade did not happen since volume did not increase: " + str(0), file = outputFile)
print("Assumed open sell trade did not happen since bidP0 not same as LTP: " + str(0), file = outputFile)
print("Assumed close sell trade did not happen since bidP0 not same as LTP: " + str(0), file = outputFile)
print("Number of Open sell trade happened: " + str(tradeStats['NumberOfOpenSell']), file = outputFile)
print("Number of Close sell trade happened: " + str(tradeStats['NumberOfCloseSell']), file = outputFile)
print("The total open sell value is: " + str(tradeStats['totalSellAmountShort']), file = outputFile)
print("The total close sell value is: " + str(tradeStats['totalSellAmountLong']), file = outputFile)
print("The total close buy value is: " + str(tradeStats['totalBuyAmountShort']), file = outputFile)
print("The total open buy value is: " + str(tradeStats['totalBuyAmountLong']), file = outputFile)
try:
averageOpenSellPrice = tradeStats['totalSellAmountShort']/tradeStats['NumberOfOpenSell']
averageCloseBuyPrice = tradeStats['totalBuyAmountShort']/tradeStats['NumberOfCloseBuy']
except:
averageOpenSellPrice = 0
averageCloseBuyPrice = 0
try:
averageCloseSellPrice = tradeStats['totalSellAmountLong']/tradeStats['NumberOfCloseSell']
averageOpenBuyPrice = tradeStats['totalBuyAmountLong']/tradeStats['NumberOfOpenBuy']
except:
averageCloseSellPrice = 0
averageOpenBuyPrice = 0
print("Average open sell price per unit is: " + str(averageOpenSellPrice), file = outputFile)
print("Average close sell price per unit is: " + str(averageCloseSellPrice), file = outputFile)
print("Average open buy price per unit is: " + str(averageOpenBuyPrice), file = outputFile)
print("Average close buy price per unit is: " + str(averageCloseBuyPrice), file = outputFile)
print("The current position Short: " + str(tradeStats['currentPositionShort']), file = outputFile)
print("The current position Long: " + str(tradeStats['currentPositionLong']), file = outputFile)
print("Profit or loss per Qty traded Short is: " + str(averageOpenSellPrice - averageCloseBuyPrice), file = outputFile)
print("Profit or loss per Qty traded Long is: " + str(averageCloseSellPrice - averageOpenBuyPrice), file = outputFile)
pLPerLotShort=(averageOpenSellPrice - averageCloseBuyPrice)* 1000
pLPerLotLong=(averageCloseSellPrice - averageOpenBuyPrice)* 1000
print("1 lot has 1000 qty's so P/L Short per lot is: " + str(pLPerLotShort), file = outputFile)
print("1 lot has 1000 qty's so P/L Long per lot is: " + str(pLPerLotLong), file = outputFile)
print("P/L for Short trading 10 lots is: " + str(pLPerLotShort * 10), file = outputFile)
print("P/L for Long trading 10 lots is: " + str(pLPerLotLong * 10), file = outputFile)
def readOnceAndWrite(pFileName, pIndexOfEntryOrExitCL, predictedValuesDict):
global g_bestqty_list_for_sell, g_bestqty_list_for_buy
attribute.initList()
tradeStats = dict()
tradeStats['totalSellAmountShort'] = 0
tradeStats['totalBuyAmountShort'] = 0
tradeStats['totalSellAmountLong'] = 0
tradeStats['totalBuyAmountLong'] = 0
tradeStats['NumberOfOpenBuy'] = 0
tradeStats['NumberOfCloseSell'] = 0
tradeStats['NumberOfOpenSell'] = 0
tradeStats['NumberOfCloseBuy'] = 0
tradeStats['currentPositionShort'] = 0
tradeStats['currentPositionLong'] = 0
noPredictionForThisRow = 0
currentSellPredictedValue = 0
currentBuyPredictedValue = 0
entryCL = float(totalEntryCL[pIndexOfEntryOrExitCL]) / 100
exitCL = float(totalExitCL[pIndexOfEntryOrExitCL]) / 100
entryCL1 = float(totalEntryCL1[pIndexOfEntryOrExitCL]) / 100
entryCL2 = float(totalEntryCL2[pIndexOfEntryOrExitCL]) / 100
print(entryCL, exitCL, entryCL1, entryCL2)
# entryCLCutoff = float(args.entryCLCutoff)
# exitCLCutoff = float(args.exitCLCutoff)
currentIndex = 0
l_previous_obj = None
l_obj = None
print("Processing the data file for trades :")
attribute.initList()
for currentDataRow in dataFile.matrix:
l_obj = update_obj_list(currentDataRow)
lReturnList = checkIfPreviousDecisionToEnterOrExitTradeWasSuccessful(
l_obj, l_previous_obj, tradeStats)
lDummyBidQ0 = lReturnList[2]
lDummyAskQ0 = lReturnList[3]
lDummyTTQForBuy = lReturnList[4]
lDummyTTQForSell = lReturnList[5]
if currentIndex > 0:
attribute.aList[currentIndex - 1][0] = l_obj.currentTimeStamp
attribute.aList[currentIndex -
1][1] = tradeStats['currentPositionLong']
attribute.aList[currentIndex -
1][2] = tradeStats['currentPositionShort']
listOfStringsToPrint = [ str(l_previous_obj.BidQ) , str(l_previous_obj.BidP) , str(l_previous_obj.AskP0) , \
str(l_previous_obj.AskQ0) , str(l_previous_obj.TTQ) , str(l_previous_obj.LTP) ,\
str(currentSellPredictedValue) , str(l_previous_obj.enterTradeShort) ,l_previous_obj.ReasonForTradingOrNotTradingShort , str(currentBuyPredictedValue) ,\
str(l_previous_obj.enterTradeLong) ,l_previous_obj.ReasonForTradingOrNotTradingLong , str(tradeStats['NumberOfCloseBuy']),\
str(tradeStats['NumberOfOpenBuy']),str(tradeStats['NumberOfOpenSell']),\
str(tradeStats['NumberOfCloseBuy']),str(lDummyBidQ0),str(lDummyAskQ0),\
str(lDummyTTQForBuy),str(lDummyTTQForSell)]
attribute.aList[currentIndex -
1][3] = ";".join(listOfStringsToPrint)
currentTimeStamp = common.convertTimeStampFromStringToFloat(
currentDataRow[colNumberOfData.TimeStamp])
try:
currentSellPredictedValue = float(
predictedValuesDict[l_obj.currentTimeStamp]['sell'])
currentBuyPredictedValue = float(
predictedValuesDict[l_obj.currentTimeStamp]['buy'])
except:
noPredictionForThisRow += 1
#short decisions
if (currentSellPredictedValue >= entryCL):
l_obj.standingAtAsk = 0
l_obj.enterTradeShort = 1
elif (currentSellPredictedValue >= entryCL1):
if (l_previous_obj.standingAtAsk == 0):
g_bestqty_list_for_sell = {}
l_obj.standingAtAsk = 1
l_obj.enterTradeShort = 1
elif (l_previous_obj.standingAtAsk == 1
and currentSellPredictedValue >= entryCL2):
l_obj.standingAtAsk = 1
l_obj.enterTradeShort = 1
else:
l_obj.standingAtAsk = 0
l_obj.enterTradeShort = 0 # Implies make no change
if ((currentBuyPredictedValue >= exitCL)
and tradeStats['currentPositionShort'] > 0):
l_obj.enterTradeShort = -1 # Implies to exit the trade
else:
l_obj.enterTradeShort = 0 # Implies make no change
# if enterTradeShort == 1:
# if currentPredictedValue <= entryCLCutoff:
# enterTrade = 0
# if enterTrade == -1:
# if currentPredictedValue >= exitCLCutoff:
# enterTrade = 0
#long decisions
if (l_obj.currentBuyPredictedValue >= entryCL):
l_obj.standingAtBid = 0
l_obj.enterTradeLong = 1
elif (currentBuyPredictedValue >= entryCL1):
if (l_previous_obj.standingAtBid == 0):
g_bestqty_list_for_buy = {}
l_obj.standingAtBid = 1
l_obj.enterTradeLong = 1
elif (l_previous_obj.standingAtBid == 1
and currentBuyPredictedValue >= entryCL2):
l_obj.standingAtBid = 1
l_obj.enterTradeLong = 1
else:
l_obj.standingAtBid = 0
l_obj.enterTradeLong = 0 # Implies make no change
if ((currentSellPredictedValue >= exitCL)
and tradeStats['currentPositionLong'] > 0):
l_obj.enterTradeLong = -1 # Implies to exit the trade
else:
l_obj.enterTradeLong = 0 # Implies make no change
l_previous_obj = l_obj
currentIndex = currentIndex + 1
# Squaring off if some open position there
if tradeStats['currentPositionLong'] > 0:
tradeStats['NumberOfCloseSell'] += tradeStats['currentPositionLong']
tradeStats['totalSellAmountLong'] += tradeStats[
'currentPositionLong'] * (l_previous_obj.BidP)
tradeStats['currentPositionLong'] = 0
l_obj.ReasonForTradingOrNotTradingLong = 'CloseSell(Hitting)'
if tradeStats['currentPositionShort'] > 0:
tradeStats['NumberOfCloseBuy'] += tradeStats['currentPositionShort']
tradeStats['totalBuyAmountShort'] += tradeStats[
'currentPositionShort'] * (l_previous_obj.AskP)
tradeStats['currentPositionShort'] = 0
l_obj.ReasonForTradingOrNotTradingLong = 'CloseBuy(Hitting)'
attribute.aList[currentIndex - 1][0] = currentTimeStamp
attribute.aList[currentIndex - 1][1] = tradeStats['currentPositionLong']
attribute.aList[currentIndex - 1][2] = tradeStats['currentPositionShort']
listOfStringsToPrint = [ str(l_previous_obj.BidQ) , str(l_previous_obj.BidP) , str(l_previous_obj.AskP0) , \
str(l_previous_obj.AskQ0) , str(l_previous_obj.TTQ) , str(l_previous_obj.LTP) ,\
str(currentSellPredictedValue) , str(l_previous_obj.enterTradeShort) ,l_previous_obj.ReasonForTradingOrNotTradingShort , str(currentBuyPredictedValue) ,\
str(l_previous_obj.enterTradeLong) ,l_previous_obj.ReasonForTradingOrNotTradingLong , str(tradeStats['NumberOfCloseBuy']),\
str(tradeStats['NumberOfOpenBuy']),str(tradeStats['NumberOfOpenSell']),\
str(tradeStats['NumberOfCloseBuy']),str(lDummyBidQ0),str(lDummyAskQ0),\
str(lDummyTTQForBuy),str(lDummyTTQForSell)]
attribute.aList[currentIndex - 1][3] = ";".join(listOfStringsToPrint)
dirName = args.pd.replace('/ro/', '/rs/')
tradeLogMainDirName = dirName + "/t/"
if not os.path.exists(tradeLogMainDirName):
os.mkdir(tradeLogMainDirName)
tradeLogSubDirectoryName = tradeLogMainDirName + mainExperimentName + "/"
if not os.path.exists(tradeLogSubDirectoryName):
os.mkdir(tradeLogSubDirectoryName)
fileName = tradeLogSubDirectoryName + pFileName + ".trade"
lHeaderColumnNamesList = [
'TimeStamp', 'CurrentPositionLong', 'CurrentPositionShort', 'BidQ0',
'BidP0', 'AskP0', 'AskQ0', 'TTQ', 'LTP', 'CurPredValueShort',
'EnterTradeShort', 'ReasonForTradingOrNotTradingShort',
'CurPredValueLong', 'EnterTradeLong',
'ReasonForTradingOrNotTradingLong', 'totalBuyTradeShort',
'totalBuyLong', 'totalSellShort', 'totalSellLong', 'DummyBidQ0',
'DummyAskQ0', 'DummyTTQChangeForSell', 'DummyTTQChangeForBuy'
]
attribute.writeToFile(fileName, lHeaderColumnNamesList)
tradeResultMainDirName = dirName + "/r/"
if not os.path.exists(tradeResultMainDirName):
os.mkdir(tradeResultMainDirName)
tradeResultSubDirectoryName = tradeResultMainDirName + mainExperimentName + "/"
if not os.path.exists(tradeResultSubDirectoryName):
os.mkdir(tradeResultSubDirectoryName)
fileName = tradeResultSubDirectoryName + pFileName + ".result"
outputFile = open(fileName, "w")
#changed file write to modify it to Short Long version
print("Starting to write: " + fileName)
print("The gross profit for Short are: " +
str(tradeStats['totalSellAmountShort'] -
tradeStats['totalBuyAmountShort']),
file=outputFile)
print("The gross profit for Long are: " +
str(tradeStats['totalSellAmountLong'] -
tradeStats['totalBuyAmountLong']),
file=outputFile)
print("The total open sell amount is: " +
str(tradeStats['totalSellAmountShort']),
file=outputFile)
print("The total close sell amount is: " +
str(tradeStats['totalSellAmountLong']),
file=outputFile)
print("The total close buy amount is: " +
str(tradeStats['totalBuyAmountShort']),
file=outputFile)
print("The total open buy amount is: " +
str(tradeStats['totalBuyAmountLong']),
file=outputFile)
print("Number open sell trade happened: " +
str(tradeStats['NumberOfOpenSell']),
file=outputFile)
print("Number close sell trade happened: " +
str(tradeStats['NumberOfCloseSell']),
file=outputFile)
print("Number close buy trade happened: " +
str(tradeStats['NumberOfCloseBuy']),
file=outputFile)
print("Number open buy trade happened: " +
str(tradeStats['NumberOfOpenBuy']),
file=outputFile)
try:
averageOpenSellPrice = tradeStats['totalSellAmountShort'] / tradeStats[
'NumberOfOpenSell']
averageCloseBuyPrice = tradeStats['totalBuyAmountShort'] / tradeStats[
'NumberOfCloseBuy']
except:
averageOpenSellPrice = 0
averageCloseBuyPrice = 0
try:
averageCloseSellPrice = tradeStats['totalSellAmountLong'] / tradeStats[
'NumberOfCloseSell']
averageOpenBuyPrice = tradeStats['totalBuyAmountLong'] / tradeStats[
'NumberOfOpenBuy']
except:
averageCloseSellPrice = 0
averageOpenBuyPrice = 0
print("Average open sell price per unit is: " + str(averageOpenSellPrice),
file=outputFile)
print("Average close sell price per unit is: " +
str(averageCloseSellPrice),
file=outputFile)
print("Average open buy price per unit is: " + str(averageOpenBuyPrice),
file=outputFile)
print("Average close buy price per unit is: " + str(averageCloseBuyPrice),
file=outputFile)
print("The current position Short: " +
str(tradeStats['currentPositionShort']),
file=outputFile)
print("The current position Long: " +
str(tradeStats['currentPositionLong']),
file=outputFile)
print("Profit or loss per Qty traded Short is: " +
str(averageOpenSellPrice - averageCloseBuyPrice),
file=outputFile)
print("Profit or loss per Qty traded Long is: " +
str(averageCloseSellPrice - averageOpenBuyPrice),
file=outputFile)
pLPerLotShort = (averageOpenSellPrice - averageCloseBuyPrice) * 1000
pLPerLotLong = (averageCloseSellPrice - averageOpenBuyPrice) * 1000
print("1 lot has 1000 qty's so P/L Short per lot is: " +
str(pLPerLotShort),
file=outputFile)
print("1 lot has 1000 qty's so P/L Long per lot is: " + str(pLPerLotLong),
file=outputFile)
print("P/L for Short trading 10 lots is: " + str(pLPerLotShort * 10),
file=outputFile)
print("P/L for Long trading 10 lots is: " + str(pLPerLotLong * 10),
file=outputFile)
def readOnceAndWrite(pFileName, pEntryList, pExitList, predictedValuesDict):
global g_bestqty_list_for_sell, g_bestqty_list_for_buy
attribute.initList()
tradeStats = dict()
tradeStats['totalSellAmountShort'] = 0
tradeStats['totalBuyAmountShort'] = 0
tradeStats['totalSellAmountLong'] = 0
tradeStats['totalBuyAmountLong'] = 0
tradeStats['NumberOfOpenBuy'] = 0
tradeStats['NumberOfCloseSell'] = 0
tradeStats['NumberOfOpenSell'] = 0
tradeStats['NumberOfCloseBuy'] = 0
tradeStats['currentPositionShort'] = 0
tradeStats['currentPositionLong'] = 0
noPredictionForThisRow = 0
currentSellPredictedValue = 0
currentBuyPredictedValue = 0
entryCL = float(pEntryList[3])/100
entryCl0 = float(pEntryList[2])/100
entryCL1 = float(pEntryList[1])/100
entryCL2 = float(pEntryList[0])/100
exitCL = float(pExitList[3])/100
exitCl0 = float(pExitList[2])/100
exitCL1 = float(pExitList[1])/100
exitCL2 = float(pExitList[0])/100
print (entryCL, exitCL ,entryCl0, entryCL1 , entryCL2 )
# entryCLCutoff = float(args.entryCLCutoff)
# exitCLCutoff = float(args.exitCLCutoff)
currentIndex = 0
l_previous_obj = None
l_obj= None
print("Processing the data file for trades :")
attribute.initList()
for currentDataRow in dataFile.matrix:
l_obj = update_obj_list(currentDataRow)
if(l_previous_obj != None):
lReturnList = checkIfPreviousDecisionToEnterOrExitTradeWasSuccessful( l_obj , l_previous_obj , tradeStats )
lDummyBidQ0 = lReturnList[0]
lDummyAskQ0 = lReturnList[1]
lDummyTTQForBuy = lReturnList[2]
lDummyTTQForSell = lReturnList[3]
if currentIndex > 0:
if(g_bestqty_list_for_buy != {}):
l_best_bidq = g_bestqty_list_for_buy['qty']
l_best_bidp = g_bestqty_list_for_buy['price']
else:
l_best_bidq = 0
l_best_bidp = 0
if(g_bestqty_list_for_sell != {}):
l_best_askq = g_bestqty_list_for_sell['qty']
l_best_askp = g_bestqty_list_for_sell['price']
else:
l_best_askq = 0
l_best_askp = 0
attribute.aList[currentIndex-1][0] = l_obj.currentTimeStamp
attribute.aList[currentIndex-1][1] = tradeStats['currentPositionLong']
attribute.aList[currentIndex-1][2] = tradeStats['currentPositionShort']
listOfStringsToPrint = [ str(l_previous_obj.BidQ) , str(l_previous_obj.BidP) , str(l_previous_obj.AskP) , \
str(l_previous_obj.AskQ) , str(l_previous_obj.TTQ) , str(l_previous_obj.LTP) ,\
str(currentSellPredictedValue) , str(l_previous_obj.EnterTradeShort) ,l_previous_obj.ReasonForTradingOrNotTradingShort , str(currentBuyPredictedValue) ,\
str(l_previous_obj.EnterTradeLong) ,l_previous_obj.ReasonForTradingOrNotTradingLong , str(tradeStats['NumberOfCloseBuy']),\
str(tradeStats['NumberOfOpenBuy']),str(tradeStats['NumberOfOpenSell']),\
str(tradeStats['NumberOfCloseBuy']),str(lDummyBidQ0),str(lDummyAskQ0),\
str(lDummyTTQForBuy),str(lDummyTTQForSell),str(l_best_bidq),str(l_best_bidp),str(l_best_askp), str(l_best_askq) ]
attribute.aList[currentIndex-1][3] = ";".join(listOfStringsToPrint)
currentTimeStamp = common.convertTimeStampFromStringToFloat(currentDataRow[colNumberOfData.TimeStamp])
try:
currentSellPredictedValue = float(predictedValuesDict[l_obj.currentTimeStamp]['sell'])
currentBuyPredictedValue = float(predictedValuesDict[l_obj.currentTimeStamp]['buy'])
except:
noPredictionForThisRow += 1
#short decisions
if(currentSellPredictedValue >= entryCL):
g_bestqty_list_for_sell = {}
l_obj.standingAtAsk = 0
l_obj.EnterTradeShort = 1
l_obj.standingAtAskMinus1pip = 0
elif(currentSellPredictedValue >= entryCL0):
g_bestqty_list_for_sell = {}
l_obj.standingAtAsk = 0
l_obj.standingAtAskMinus1pip = 1
l_obj.EnterTradeShort = 1
elif (currentSellPredictedValue >= entryCL1):
l_obj.standingAtAskMinus1pip = 0
if(l_previous_obj.standingAtAsk == 0):
g_bestqty_list_for_sell = {}
l_obj.standingAtAsk = 1
l_obj.EnterTradeShort = 1
elif (l_previous_obj.standingAtAsk == 1 and currentSellPredictedValue >= entryCL2):
l_obj.standingAtAsk = 1
l_obj.EnterTradeShort = 1
#close Long positions
elif((currentBuyPredictedValue >= exitCL)and tradeStats['currentPositionShort'] > 0):
l_obj.EnterTradeShort = -1 # Implies to exit the trade
g_bestqty_list_for_buy = {}
l_obj.CloseStandingAtBid = 0
elif((currentBuyPredictedValue >= exitCL0)and tradeStats['currentPositionShort'] > 0):
l_obj.EnterTradeShort = -1 # Implies to exit the trade
g_bestqty_list_for_buy = {}
l_obj.CloseStandingAtBidPlus1pip = 1
l_obj.CloseStandingAtBid = 0
elif((currentBuyPredictedValue >= exitCL1)and tradeStats['currentPositionShort'] > 0):
l_obj.EnterTradeShort = -1 # Implies to exit the trade
if(l_previous_obj.CloseStandingAtBid == 0):
g_bestqty_list_for_sell = {}
g_bestqty_list_for_buy = {}
l_obj.CloseStandingAtBidPlus1pip = 0
l_obj.CloseStandingAtBid = 1
elif(l_previous_obj.CloseStandingAtBid == 1 and (currentBuyPredictedValue >= exitCL2)and tradeStats['currentPositionShort'] > 0):
l_obj.EnterTradeShort = -1 # Implies to exit the trade
l_obj.CloseStandingAtBidPlus1pip = 0
l_obj.CloseStandingAtBid = 1
else:
g_bestqty_list_for_sell = {}
l_obj.standingAtAsk = 0
l_obj.standingAtAskMinus1pip = 0
l_obj.CloseStandingAtBidPlus1pip = 0
l_obj.CloseStandingAtBid = 0
l_obj.EnterTradeShort = 0 # Implies make no change
# if EnterTradeShort == 1:
# if currentPredictedValue <= entryCLCutoff:
# enterTrade = 0
# if enterTrade == -1:
# if currentPredictedValue >= exitCLCutoff:
# enterTrade = 0
#long decisions
if(currentBuyPredictedValue >= entryCL):
g_bestqty_list_for_buy = {}
l_obj.standingAtBid = 0
l_obj.EnterTradeLong = 1
elif(currentBuyPredictedValue >= entryCL0):
g_bestqty_list_for_buy = {}
l_obj.standingAtBid = 0
l_obj.standingAtBidPlus1pip = 1
l_obj.EnterTradeLong = 1
elif (currentBuyPredictedValue >= entryCL1):
if(l_previous_obj.standingAtBid == 0):
g_bestqty_list_for_buy = {}
l_obj.standingAtBid = 1
l_obj.EnterTradeLong = 1
l_obj.standingAtBidPlus1pip = 0
elif (l_previous_obj.standingAtBid == 1 and currentBuyPredictedValue >= entryCL2):
l_obj.standingAtBid = 1
l_obj.EnterTradeLong = 1
#Close Long positions
elif((currentSellPredictedValue >= exitCL ) and tradeStats['currentPositionLong'] > 0):
l_obj.EnterTradeLong = -1 # Implies to exit the trade
l_obj.CloseStandingAtAsk = 0
l_obj.CloseStandingAtAskMinus1pip = 0
elif((currentSellPredictedValue >= exitCL0 ) and tradeStats['currentPositionLong'] > 0):
l_obj.EnterTradeLong = -1 # Implies to exit the trade
l_obj.CloseStandingAtAsk = 0
l_obj.CloseStandingAtAskMinus1pip = 1
elif((currentSellPredictedValue >= exitCL1 ) and tradeStats['currentPositionLong'] > 0):
l_obj.EnterTradeLong = -1 # Implies to exit the trade
if(l_previous_obj.CloseStandingAtAsk == 0):
g_bestqty_list_for_sell = {}
l_obj.CloseStandingAtAsk = 1
l_obj.CloseStandingAtAskMinus1pip = 0
elif(l_previous_obj.CloseStandingAtAsk == 1 and (currentSellPredictedValue >= exitCL2 ) and tradeStats['currentPositionLong'] > 0):
l_obj.EnterTradeLong = -1 # Implies to exit the trade
l_obj.CloseStandingAtAsk = 1
l_obj.CloseStandingAtAskMinus1pip = 0
else:
g_bestqty_list_for_buy = {}
l_obj.standingAtBid = 0
l_obj.CloseStandingAtAsk = 0
l_obj.standingAtBidPlus1pip = 0
l_obj.CloseStandingAtAskMinus1pip = 0
l_obj.EnterTradeLong = 0 # Implies make no change
l_previous_obj = l_obj
currentIndex = currentIndex + 1
# Squaring off if some open position there
if tradeStats['currentPositionLong'] > 0:
tradeStats['NumberOfCloseSell'] += tradeStats['currentPositionLong']
tradeStats['totalSellAmountLong'] += tradeStats['currentPositionLong'] * (l_previous_obj.BidP)
tradeStats['currentPositionLong'] = 0
l_obj.ReasonForTradingOrNotTradingLong = 'CloseSell(Hitting)'
if tradeStats['currentPositionShort'] > 0:
tradeStats['NumberOfCloseBuy'] += tradeStats['currentPositionShort']
tradeStats['totalBuyAmountShort'] += tradeStats['currentPositionShort'] * (l_previous_obj.AskP)
tradeStats['currentPositionShort'] = 0
l_obj.ReasonForTradingOrNotTradingLong = 'CloseBuy(Hitting)'
attribute.aList[currentIndex-1][0] = currentTimeStamp
attribute.aList[currentIndex-1][1] = tradeStats['currentPositionLong']
attribute.aList[currentIndex-1][2] = tradeStats['currentPositionShort']
if(g_bestqty_list_for_buy != {}):
l_best_bidq = g_bestqty_list_for_buy['qty']
l_best_bidp = g_bestqty_list_for_buy['price']
else:
l_best_bidq = 0
l_best_bidp = 0
if(g_bestqty_list_for_sell != {}):
l_best_askq = g_bestqty_list_for_sell['qty']
l_best_askp = g_bestqty_list_for_sell['price']
else:
l_best_askq = 0
l_best_askp = 0
listOfStringsToPrint = [ str(l_previous_obj.BidQ) , str(l_previous_obj.BidP) , str(l_previous_obj.AskP) , \
str(l_previous_obj.AskQ) , str(l_previous_obj.TTQ) , str(l_previous_obj.LTP) ,\
str(currentSellPredictedValue) , str(l_previous_obj.EnterTradeShort) ,l_previous_obj.ReasonForTradingOrNotTradingShort , str(currentBuyPredictedValue) ,\
str(l_previous_obj.EnterTradeLong) ,l_previous_obj.ReasonForTradingOrNotTradingLong , str(tradeStats['NumberOfCloseBuy']),\
str(tradeStats['NumberOfOpenBuy']),str(tradeStats['NumberOfOpenSell']),\
str(tradeStats['NumberOfCloseBuy']),str(lDummyBidQ0),str(lDummyAskQ0),\
str(lDummyTTQForBuy),str(lDummyTTQForSell),str(l_best_bidq),str(l_best_bidp),str(l_best_askp), str(l_best_askq) ]
attribute.aList[currentIndex-1][3] = ";".join(listOfStringsToPrint)
dirName = args.pd.replace('/ro/','/rs/')
tradeLogMainDirName = dirName+"/t/"
if not os.path.exists(tradeLogMainDirName):
os.mkdir(tradeLogMainDirName)
tradeLogSubDirectoryName = tradeLogMainDirName + mainExperimentName+"/"
if not os.path.exists(tradeLogSubDirectoryName):
os.mkdir(tradeLogSubDirectoryName)
fileName = tradeLogSubDirectoryName + pFileName + ".trade"
lHeaderColumnNamesList = ['TimeStamp','CurrentPositionLong','CurrentPositionShort','BidQ0','BidP0','AskP0','AskQ0','TTQ','LTP','CurPredValueShort','EnterTradeShort','ReasonForTradingOrNotTradingShort','CurPredValueLong','EnterTradeLong','ReasonForTradingOrNotTradingLong','totalBuyTradeShort','totalBuyLong','totalSellShort','totalSellLong','DummyBidQ0','DummyAskQ0','DummyTTQChangeForSell','DummyTTQChangeForBuy' ,'BestBidQ','BestBidP','BestAskP','BestAskQ']
attribute.writeToFile(fileName , lHeaderColumnNamesList)
tradeResultMainDirName = dirName+"/r/"
if not os.path.exists(tradeResultMainDirName):
os.mkdir(tradeResultMainDirName)
tradeResultSubDirectoryName = tradeResultMainDirName + mainExperimentName+"/"
if not os.path.exists(tradeResultSubDirectoryName):
os.mkdir(tradeResultSubDirectoryName)
fileName = tradeResultSubDirectoryName+pFileName+".result"
outputFile = open(fileName,"w")
#changed file write to modify it to Short Long version
print("Starting to write: "+fileName)
print("The gross profit for Short are: " + str(tradeStats['totalSellAmountShort'] - tradeStats['totalBuyAmountShort']), file = outputFile)
print("The gross profit for Long are: " + str(tradeStats['totalSellAmountLong'] - tradeStats['totalBuyAmountLong']), file = outputFile)
print("The total open sell amount is: " + str(tradeStats['totalSellAmountShort']), file = outputFile)
print("The total close sell amount is: " + str(tradeStats['totalSellAmountLong']), file = outputFile)
print("The total close buy amount is: " + str(tradeStats['totalBuyAmountShort']), file = outputFile)
print("The total open buy amount is: " + str(tradeStats['totalBuyAmountLong']), file = outputFile)
print("Number open sell trade happened: " + str(tradeStats['NumberOfOpenSell']), file = outputFile)
print("Number close sell trade happened: " + str(tradeStats['NumberOfCloseSell']), file = outputFile)
print("Number close buy trade happened: " + str(tradeStats['NumberOfCloseBuy']), file = outputFile)
print("Number open buy trade happened: " + str(tradeStats['NumberOfOpenBuy']), file = outputFile)
try:
averageOpenSellPrice = tradeStats['totalSellAmountShort']/tradeStats['NumberOfOpenSell']
averageCloseBuyPrice = tradeStats['totalBuyAmountShort']/tradeStats['NumberOfCloseBuy']
except:
averageOpenSellPrice = 0
averageCloseBuyPrice = 0
try:
averageCloseSellPrice = tradeStats['totalSellAmountLong']/tradeStats['NumberOfCloseSell']
averageOpenBuyPrice = tradeStats['totalBuyAmountLong']/tradeStats['NumberOfOpenBuy']
except:
averageCloseSellPrice = 0
averageOpenBuyPrice = 0
print("Average open sell price per unit is: " + str(averageOpenSellPrice), file = outputFile)
print("Average close sell price per unit is: " + str(averageCloseSellPrice), file = outputFile)
print("Average open buy price per unit is: " + str(averageOpenBuyPrice), file = outputFile)
print("Average close buy price per unit is: " + str(averageCloseBuyPrice), file = outputFile)
print("The current position Short: " + str(tradeStats['currentPositionShort']), file = outputFile)
print("The current position Long: " + str(tradeStats['currentPositionLong']), file = outputFile)
print("Profit or loss per Qty traded Short is: " + str(averageOpenSellPrice - averageCloseBuyPrice), file = outputFile)
print("Profit or loss per Qty traded Long is: " + str(averageCloseSellPrice - averageOpenBuyPrice), file = outputFile)
pLPerLotShort=(averageOpenSellPrice - averageCloseBuyPrice)* 1000
pLPerLotLong=(averageCloseSellPrice - averageOpenBuyPrice)* 1000
print("1 lot has 1000 qty's so P/L Short per lot is: " + str(pLPerLotShort), file = outputFile)
print("1 lot has 1000 qty's so P/L Long per lot is: " + str(pLPerLotLong), file = outputFile)
print("P/L for Short trading 10 lots is: " + str(pLPerLotShort * 10), file = outputFile)
print("P/L for Long trading 10 lots is: " + str(pLPerLotLong * 10), file = outputFile)
def readOnceAndWrite(pFileName, targetValuesDict):
global gOpenBuyPrice , gCloseSellPrice , gOpenSellPrice , gCloseBuyPrice
attribute.initList()
enterTradeShort = 0
enterTradeLong = 0
ltpAtTimeOfPreviousDataRow = 0
ttqAtTimeOfPreviousDataRow = 0
askP0AtTimeOfPreviousDataRow = 0
bidP0AtTimeOfPreviousDataRow = 0
askQ0AtTimeOfPreviousDataRow = 0
bidQ0AtTimeOfPreviousDataRow = 0
exchangeTimeStamp = 0
currentTimeStamp = 0
tradeStats = dict()
tradeStats['totalSellValueShort'] = 0
tradeStats['totalBuyValueShort'] = 0
tradeStats['currentPositionShort'] = 0
tradeStats['totalSellValueLong'] = 0
tradeStats['totalBuyValueLong'] = 0
tradeStats['currentPositionLong'] = 0
noTargetForThisRow = 0
currentSellTargetValue = 0
currentBuyTargetValue = 0
# entryCLCutoff = float(args.entryCLCutoff)
# exitCLCutoff = float(args.exitCLCutoff)
numberOfTimesAskedToEnterTradeShort = 0
numberOfTimesAskedToEnterTradeLong = 0
numberOfTimesAskedToExitTradeShort = 0
numberOfTimesAskedToExitTradeLong = 0
reasonForTrade = dict()
reasonForTrade['LTPDoesNotEqualBidP0Short'] = 0
reasonForTrade['LTPDoesNotEqualAskP0Short'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptShort'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptLong'] = 0
reasonForTrade['CloseBuyTradeHappened'] = 0
reasonForTrade['OpenBuyTradeHappened'] = 0
reasonForTrade['LTPDoesNotEqualAskP0Long'] = 0
reasonForTrade['LTPDoesNotEqualBidP0Long'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptShort'] = 0
reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptLong'] = 0
reasonForTrade['OpenSellTradeHappened'] = 0
reasonForTrade['CloseSellTradeHappened'] = 0
reasonForTrade['PrevWasOurOrder'] = 0
lReasonForTradingOrNotTradingShort = ""
lReasonForTradingOrNotTradingLong = ""
currentIndex = 0
lDummyBidQ0 = 0
lDummyAskQ0=0
lDummyTTQForBuy =0
lDummyTTQForSell = 0
print("Processing the data file for trades :")
attribute.initList()
prevBuyTargetValue = 0
prevSellTargetValue = 0
exchangeTimeStamp = 0
lOpenBuyIndex = 0
lOpenSellIndex = 0
l_exchange_time_stamp_to_print= ""
for currentDataRow in dataFile.matrix:
l_expiry_wrt_1970 = exchangeTimeStamp + 315513000.0
l_dt = datetime.datetime.fromtimestamp(l_expiry_wrt_1970)
l_exchange_time_stamp_to_print = str(l_dt.hour) + ":" + str(l_dt.minute) + ":" + str(l_dt.second)
lReturnList = checkIfPreviousDecisionToEnterOrExitTradeWasSuccessful(currentDataRow,ttqAtTimeOfPreviousDataRow,askP0AtTimeOfPreviousDataRow,bidP0AtTimeOfPreviousDataRow,\
askQ0AtTimeOfPreviousDataRow , bidQ0AtTimeOfPreviousDataRow , enterTradeShort,enterTradeLong,tradeStats,reasonForTrade,\
lReasonForTradingOrNotTradingLong,lReasonForTradingOrNotTradingShort )
lReasonForTradingOrNotTradingShort = lReturnList[0]
lReasonForTradingOrNotTradingLong = lReturnList[1]
lDummyBidQ0 = lReturnList[2]
lDummyAskQ0 = lReturnList[3]
lDummyTTQForBuy = lReturnList[4]
lDummyTTQForSell = lReturnList[5]
if currentIndex > 0:
lFlag = 0
if "CloseSell" in lReasonForTradingOrNotTradingLong:
if gCloseSellPrice - gOpenBuyPrice <= 0 :
for i in range(lOpenBuyIndex,currentIndex):
attribute.aList[i][1] = 0
else:
lFlag = 1
lOpenBuyIndex = 0
if "CloseBuy" in lReasonForTradingOrNotTradingShort:
if gOpenSellPrice - gCloseBuyPrice <= 0 :
for i in range(lOpenSellIndex,currentIndex):
attribute.aList[i][1] = 0
else:
lFlag = 1
lOpenSellIndex=0
if "OpenSell" in lReasonForTradingOrNotTradingShort:
lOpenSellIndex = currentIndex-1
if "OpenBuy" in lReasonForTradingOrNotTradingLong:
lOpenBuyIndex = currentIndex-1
if (lOpenSellIndex !=0 or lOpenBuyIndex!=0):
lFlag = 1
attribute.aList[currentIndex-1][0] = currentTimeStamp
attribute.aList[currentIndex-1][1] = lFlag
attribute.aList[currentIndex-1][2] = tradeStats['currentPositionLong']
listOfStringsToPrint = [ str(tradeStats['currentPositionShort']) , str(bidQ0AtTimeOfPreviousDataRow) , str(bidP0AtTimeOfPreviousDataRow) , str(askP0AtTimeOfPreviousDataRow) , \
str(askQ0AtTimeOfPreviousDataRow) , str(ttqAtTimeOfPreviousDataRow) , str(ltpAtTimeOfPreviousDataRow) ,\
str(currentSellTargetValue) , str(enterTradeShort) ,lReasonForTradingOrNotTradingShort , str(currentBuyTargetValue) ,\
str(enterTradeLong) ,lReasonForTradingOrNotTradingLong ,l_exchange_time_stamp_to_print, str(reasonForTrade['CloseBuyTradeHappened']),\
str(reasonForTrade['OpenBuyTradeHappened']),str(reasonForTrade['OpenSellTradeHappened']),str(reasonForTrade['CloseSellTradeHappened']),\
str(gCloseSellPrice),str(gOpenBuyPrice),str(gOpenSellPrice),str(gCloseBuyPrice)]
attribute.aList[currentIndex-1][3] = ";".join(listOfStringsToPrint)
currentTimeStamp = common.convertTimeStampFromStringToFloat(currentDataRow[colNumberOfData.TimeStamp])
try:
currentSellTargetValue = float(targetValuesDict[currentTimeStamp]['sell'])
currentBuyTargetValue = float(targetValuesDict[currentTimeStamp]['buy'])
except:
noTargetForThisRow += 1
#short decisions
if(currentSellTargetValue == 1):
enterTradeShort = 1
numberOfTimesAskedToEnterTradeShort += 1
elif(currentSellTargetValue == 0 and tradeStats['currentPositionShort'] > 0):
numberOfTimesAskedToExitTradeShort += 1
enterTradeShort = -1 # Implies to exit the trade
else:
enterTradeShort = 0 # Implies make no change
#long decisions
if(currentBuyTargetValue == 1):
enterTradeLong = 1
numberOfTimesAskedToEnterTradeLong += 1
elif(currentBuyTargetValue == 0 and tradeStats['currentPositionLong'] > 0):
numberOfTimesAskedToExitTradeLong += 1
enterTradeLong = -1 # Implies to exit the trade
else:
enterTradeLong = 0 # Implies make no change
ttqAtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.TTQ])
askP0AtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.AskP0])
bidP0AtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.BidP0])
askQ0AtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.AskQ0])
bidQ0AtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.BidQ0])
ltpAtTimeOfPreviousDataRow = float(currentDataRow[colNumberOfData.LTP])
currentIndex = currentIndex + 1
prevBuyTargetValue = currentBuyTargetValue
prevSellTargetValue = currentSellTargetValue
exchangeTimeStamp = float(currentDataRow[colNumberOfData.ExchangeTS])
# Squaring off if some open position there
if tradeStats['currentPositionLong'] > 0:
reasonForTrade['CloseSellTradeHappened'] += tradeStats['currentPositionLong']
tradeStats['totalSellValueLong'] += tradeStats['currentPositionLong'] * (bidP0AtTimeOfPreviousDataRow)
tradeStats['currentPositionLong'] = 0
lReasonForTradingOrNotTradingLong = 'CloseSell(Hitting)'
gCloseSellPrice = bidP0AtTimeOfPreviousDataRow
if gCloseSellPrice - gOpenBuyPrice < 0 :
for i in range(lOpenBuyIndex,currentIndex):
attribute.aList[i][1] = 0
if tradeStats['currentPositionShort'] > 0:
reasonForTrade['CloseBuyTradeHappened'] += tradeStats['currentPositionShort']
tradeStats['totalBuyValueShort'] += tradeStats['currentPositionShort'] * (askP0AtTimeOfPreviousDataRow)
tradeStats['currentPositionShort'] = 0
lReasonForTradingOrNotTradingLong = 'CloseBuy(Hitting)'
gCloseBuyPrice = askP0AtTimeOfPreviousDataRow
if gOpenSellPrice - gCloseBuyPrice < 0 :
for i in range(lOpenSellIndex,currentIndex):
attribute.aList[i][1] = 0
attribute.aList[currentIndex-1][0] = currentTimeStamp
attribute.aList[currentIndex-1][1] = attribute.aList[currentIndex-2][1]
attribute.aList[currentIndex-1][2] = tradeStats['currentPositionLong']
listOfStringsToPrint = [ str(tradeStats['currentPositionShort']),str(bidQ0AtTimeOfPreviousDataRow) , str(bidP0AtTimeOfPreviousDataRow) , str(askP0AtTimeOfPreviousDataRow) ,\
str(askQ0AtTimeOfPreviousDataRow) , str(ttqAtTimeOfPreviousDataRow) , str(ltpAtTimeOfPreviousDataRow) , \
str(currentSellTargetValue) , str(enterTradeShort) , "" , str(currentBuyTargetValue) , str(enterTradeLong) ,\
"" ,l_exchange_time_stamp_to_print, str(reasonForTrade['CloseBuyTradeHappened']),str(reasonForTrade['OpenBuyTradeHappened']),str(reasonForTrade['OpenSellTradeHappened']),\
str(reasonForTrade['CloseSellTradeHappened']),str(gCloseSellPrice),str(gOpenBuyPrice),str(gOpenSellPrice),str(gCloseBuyPrice)]
attribute.aList[currentIndex-1][3] = ";".join(listOfStringsToPrint)
dirName = args.d.replace('/ro/','/wf/')
tradeLogMainDirName = dirName+"/tr/"
if not os.path.exists(tradeLogMainDirName):
os.mkdir(tradeLogMainDirName)
tradeLogSubDirectoryName = tradeLogMainDirName + mainExperimentName+"/"
if not os.path.exists(tradeLogSubDirectoryName):
os.mkdir(tradeLogSubDirectoryName)
fileName = tradeLogSubDirectoryName + pFileName + ".targetTrade"
lHeaderColumnNamesList = ['TimeStamp','targetValue','CurrentPositionLong','CurrentPositionShort','BidQ0','BidP0','AskP0','AskQ0','TTQ','LTP',\
'CurTargetValueShort','EnterTradeShort','ReasonForTradingOrNotTradingShort','CurTargetValueLong','EnterTradeLong',\
'ReasonForTradingOrNotTradingLong','Exchange_TS','totalBuyShort','totalBuyLong','totalSellShort','totalSellLong','CloseSellPrice',\
'OpenBuyPrice','OpenSellPrice','CloseBuyPrice']
attribute.writeToFile(fileName , lHeaderColumnNamesList)
tradeResultMainDirName = dirName+"/r/"
if not os.path.exists(tradeResultMainDirName):
os.mkdir(tradeResultMainDirName)
tradeResultSubDirectoryName = tradeResultMainDirName + mainExperimentName+"/"
if not os.path.exists(tradeResultSubDirectoryName):
os.mkdir(tradeResultSubDirectoryName)
fileName = tradeResultSubDirectoryName+pFileName+".targetResult"
outputFile = open(fileName,"w")
#changed file write to modify it to Short Long version
print("Starting to write: "+fileName)
print("The net results for Short are: " + str(tradeStats['totalSellValueShort'] - tradeStats['totalBuyValueShort']), file = outputFile)
print("The net results for Long are: " + str(tradeStats['totalSellValueLong'] - tradeStats['totalBuyValueLong']), file = outputFile)
print("Number of rows for which there is no target: " + str(noTargetForThisRow), file = outputFile)
print("Number of times asked to enter trade Short: " + str(numberOfTimesAskedToEnterTradeShort), file = outputFile)
print("Number of times asked to enter trade Long: " + str(numberOfTimesAskedToEnterTradeLong), file = outputFile)
print("Number of times asked to exit trade Short: " + str(numberOfTimesAskedToExitTradeShort), file = outputFile)
print("Number of times asked to exit trade Long: " + str(numberOfTimesAskedToExitTradeLong), file = outputFile)
print("Assumed close buy trade did not happen since volume did not increase: " + str(reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptShort']), file = outputFile)
print("Assumed open buy trade did not happen since volume did not increase: " + str(reasonForTrade['VolumeDidNotIncreaseDuringBuyAttemptLong']), file = outputFile)
print("Assumed close buy trade did not happen since bidP0 not same as LTP: " + str(reasonForTrade['LTPDoesNotEqualBidP0Short']), file = outputFile)
print("Assumed open buy trade did not happen since bidP0 not same as LTP: " + str(reasonForTrade['LTPDoesNotEqualBidP0Long']), file = outputFile)
print("Assumed close buy trade happened: " + str(reasonForTrade['CloseBuyTradeHappened']), file = outputFile)
print("Assumed open buy trade happened: " + str(reasonForTrade['OpenBuyTradeHappened']), file = outputFile)
print("Assumed open sell trade did not happen since volume did not increase: " + str(reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptShort']), file = outputFile)
print("Assumed close sell trade did not happen since volume did not increase: " + str(reasonForTrade['VolumeDidNotIncreaseDuringSellAttemptLong']), file = outputFile)
print("Assumed open sell trade did not happen since bidP0 not same as LTP: " + str(reasonForTrade['LTPDoesNotEqualAskP0Short']), file = outputFile)
print("Assumed close sell trade did not happen since bidP0 not same as LTP: " + str(reasonForTrade['LTPDoesNotEqualAskP0Long']), file = outputFile)
print("Assumed open sell trade happened: " + str(reasonForTrade['OpenSellTradeHappened']), file = outputFile)
print("Assumed close sell trade happened: " + str(reasonForTrade['CloseSellTradeHappened']), file = outputFile)
print("The total open sell value is: " + str(tradeStats['totalSellValueShort']), file = outputFile)
print("The total close sell value is: " + str(tradeStats['totalSellValueLong']), file = outputFile)
print("The total close buy value is: " + str(tradeStats['totalBuyValueShort']), file = outputFile)
print("The total open buy value is: " + str(tradeStats['totalBuyValueLong']), file = outputFile)
try:
averageOpenSellPrice = tradeStats['totalSellValueShort']/reasonForTrade['OpenSellTradeHappened']
averageCloseBuyPrice = tradeStats['totalBuyValueShort']/reasonForTrade['CloseBuyTradeHappened']
except:
averageOpenSellPrice = 0
averageCloseBuyPrice = 0
try:
averageCloseSellPrice = tradeStats['totalSellValueLong']/reasonForTrade['CloseSellTradeHappened']
averageOpenBuyPrice = tradeStats['totalBuyValueLong']/reasonForTrade['OpenBuyTradeHappened']
except:
averageCloseSellPrice = 0
averageOpenBuyPrice = 0
print("Average open sell price per unit is: " + str(averageOpenSellPrice), file = outputFile)
print("Average close sell price per unit is: " + str(averageCloseSellPrice), file = outputFile)
print("Average open buy price per unit is: " + str(averageOpenBuyPrice), file = outputFile)
print("Average close buy price per unit is: " + str(averageCloseBuyPrice), file = outputFile)
print("The current position Short: " + str(tradeStats['currentPositionShort']), file = outputFile)
print("The current position Long: " + str(tradeStats['currentPositionLong']), file = outputFile)
print("Profit or loss per Qty traded Short is: " + str(averageOpenSellPrice - averageCloseBuyPrice), file = outputFile)
print("Profit or loss per Qty traded Long is: " + str(averageCloseSellPrice - averageOpenBuyPrice), file = outputFile)
pLPerLotShort=(averageOpenSellPrice - averageCloseBuyPrice)* 1000
pLPerLotLong=(averageCloseSellPrice - averageOpenBuyPrice)* 1000
print("1 lot has 1000 qty's so P/L Short per lot is: " + str(pLPerLotShort), file = outputFile)
print("1 lot has 1000 qty's so P/L Long per lot is: " + str(pLPerLotLong), file = outputFile)
print("P/L for Short trading 10 lots is: " + str(pLPerLotShort * 10), file = outputFile)
print("P/L for Long trading 10 lots is: " + str(pLPerLotLong * 10), file = outputFile)