def getInstrumentExecutionsFromExecutions(self, time, executions):
instrumentExecutions = []
for (instrumentId, position) in executions.iteritems():
if position == 0:
continue
instExecution = InstrumentExection(time=time,
instrumentId=instrumentId,
volume=np.abs(position),
executionType=np.sign(position))
instrumentExecutions.append(instExecution)
return instrumentExecutions
def getExecutionsAtClose(self, time, instrumentsManager):
instrumentExecutions = []
instruments = instrumentsManager.getAllInstrumentsByInstrumentId().values()
for instrument in instruments:
position = instrument.getCurrentPosition()
if position == 0:
continue
instrumentExec = InstrumentExection(time=time,
instrumentId=instrument.getInstrumentId(),
volume=np.abs(position),
executionType=-np.sign(position))
instrumentExecutions.append(instrumentExec)
return instrumentExecutions
def getInstrumentExecutionsFromExecutions(self, time, executions):
instrumentExecutions = []
for row in executions.iterrows():
instrumentId = row[0]
position = row[1]['position']
price = row[1]['price']
spread = row[1]['spread']
instExecution = InstrumentExection(time=time,
instrumentId=instrumentId,
volume=np.abs(position),
executionType=np.sign(position))
setattr(instExecution, 'price', price)
setattr(instExecution, 'spread', spread)
instrumentExecutions.append(instExecution)
return instrumentExecutions