def doAlgSteps(algKey, startStep, stopStep, stats, stckIDs, MaxTrade = False):
if len(stckIDs) == 1:
accumulate = True
else:
accumulate = False
alginfo = meTools.memGet(meSchema.meAlg, algKey)
if MaxTrade:
alginfo.Cash = alginfo.Cash + stats['PandL']
alginfo.TradeSize = (0.94/len(stckIDs))
desires = liveAlg.getStepRangeAlgDesires(algKey, alginfo, startStep, stopStep)
buydelta = meTools.memGet(meSchema.tradeCue, alginfo.BuyCue).TimeDelta
selldelta = meTools.memGet(meSchema.tradeCue, alginfo.SellCue).TimeDelta
orderDesires = desires.keys()
orderDesires.sort()
for step in range(startStep, stopStep + 1):
stopRange = 80
if (step - startStep - 44)%stopRange == 0:
stats = doStops(step, copy.deepcopy(stats), alginfo, stopRange)
potentialDesires = [meTools.buildDesireKey(step, algKey, stckID) for stckID in stckIDs] # must feed stckIDs into func?
for key in potentialDesires:
if key in orderDesires:
currentDesire = eval(desires[key])
for des in currentDesire: # Eventually re-do desires[key] to be just dict with 'Symbol' 'Shares' keys.
buysell = cmp(currentDesire[des]['Shares'], 0)
Symbol = des
tradeCash, PandL, position = princeFunc.mergePosition(eval(desires[key]), copy.deepcopy(stats['Positions']), step, accumulate)
cash = tradeCash + copy.deepcopy(stats['Cash'])
if buysell == -1:
timedelta = selldelta
lastTradeStep = stats['lastSell']
elif buysell == 1:
timedelta = buydelta
lastTradeStep = stats['lastBuy']
if cash > 0 and lastTradeStep <= step - timedelta:
if buysell == -1:
stats['lastSell'] = step
elif buysell == 1:
stats['lastBuy'] = step
stats['CashDelta'].appendleft({'Symbol' : Symbol,
'buysell' : buysell,
'value' : tradeCash,
'PandL' : PandL,
'step' : step})
if len(stats['CashDelta']) > 800:
stats['CashDelta'].pop()
stats['Cash'] = cash
stats['PandL'] += PandL
stats['Positions'] = position
return stats
def getCurrentReturn(liveAlgInfo, stopStep, Cash=None):
originalNameSpace = namespace_manager.get_namespace()
namespace_manager.set_namespace("")
alginfo = meTools.memGet(meSchema.meAlg, meTools.buildAlgKey(1))
namespace_manager.set_namespace(originalNameSpace)
if Cash is not None:
startCash = Cash
else:
startCash = alginfo.Cash
stopStepQuotes = princeFunc.getStepQuotes(stopStep)
for liveAlgKey in liveAlgInfo:
positions = eval(liveAlgInfo[liveAlgKey].Positions)
positionsValue = 0.0
for symbol in positions:
currentPrice = stopStepQuotes[symbol]
posPrice = positions[symbol]["Price"]
shares = positions[symbol]["Shares"]
positionsValue += (currentPrice - posPrice) * shares
liveAlgInfo[liveAlgKey].PosVal = positionsValue
liveAlgInfo[liveAlgKey].percentReturn = (
liveAlgInfo[liveAlgKey].PosVal + liveAlgInfo[liveAlgKey].PandL
) / startCash
liveAlgInfo[liveAlgKey].numTrades = len(eval(liveAlgInfo[liveAlgKey].CashDelta))
history = eval(liveAlgInfo[liveAlgKey].history)
history.appendleft({"step": stopStep, "return": liveAlgInfo[liveAlgKey].percentReturn})
liveAlgInfo[liveAlgKey].history = repr(history)
return liveAlgInfo
def doNext(JobID, stepType, model):
'''
JobID passed between all steps. Used to get globalStop, initialStop.
stepType in ['weeklyDesires', 'weeklyBackTests', 'calculateRvals', 'weeklyLiveAlgs']
model in ['', 'backTestResult', 'liveAlg']
'''
callback = '/simulate/processCallback'
unique = JobID.split('-')[1]
stops = meTools.memGet(meSchema.WorkQueue, JobID)
globalStop = stops.globalStop
initialStop = stops.initialStop
if None in [globalStop, initialStop]:
raise(BaseException('globalStop or initialStop is None!'))
if stepType == 'weeklyDesires':
import doBackTests
# batchSize = 639 takes 4 minutes.
doBackTests.addTaskRange(initialStop, globalStop, unique, '', batchSize = 284, callback = callback )
elif stepType == 'weeklyBackTests':
import calculateCompoundReturns
calculateCompoundReturns.fanoutTaskAdd(initialStop, initialStop - 1600, globalStop, '', unique, 'backTestResult', callback = callback)
elif stepType == 'calculateRvals' and model == 'backTestResult':
import liveAlg
liveAlg.doAllLiveAlgs(initialStop, 1600, globalStop, '', unique, callback = callback)
elif stepType == 'weeklyLiveAlgs':
import calculateCompoundReturns
calculateCompoundReturns.fanoutTaskAdd(initialStop, initialStop - 1600, globalStop, '', unique, 'liveAlg', callback = callback)
elif stepType == 'calculateRvals' and model == 'liveAlg':
print 'Done? or goto metaAlgs?'
else:
raise(BaseException('Received unknown stepType, model: %s, %s' % (stepType, model)))
def makeDesire(stckID,keyname,step):
symbol = meTools.getStckSymbol(stckID)
pricekey = str(stckID) + "_" + str(step)
price = meTools.memGet(meSchema.stck,pricekey,priority=0).quote
key_name = meTools.buildDesireKey(step,keyname,stckID)
meDesire = meSchema.desire(key_name = key_name, CueKey = keyname, Symbol = symbol, Quote = price)
return meDesire
def getOppositeAlg(meAlgKey):
originalNameSpace = namespace_manager.get_namespace()
namespace_manager.set_namespace("")
meAlg = meTools.memGet(meSchema.meAlg, meAlgKey)
query = meSchema.meAlg.all(keys_only=True).filter("BuyCue =", meAlg.SellCue).filter("SellCue =", meAlg.BuyCue)
oppositeAlg = query.get()
oppositeAlgKey = oppositeAlg.name()
namespace_manager.set_namespace(originalNameSpace)
return oppositeAlgKey
def updateAlgStat(algKey, startStep, stopStep, namespace, memprefix = "unpacked_"):
if namespace == '':
stckIDs = [1,2,3,4]
accumulate = False
else:
stckIDs = [meTools.getStckID(namespace)]
accumulate = True
alginfo = meTools.memGet(meSchema.meAlg, algKey)
stats = resetAlgstats(memprefix, alginfo.Cash, int(algKey), int(algKey))[memprefix+algKey]
stats = doAlgSteps(algKey, int(startStep), int(stopStep), stats, stckIDs)
bTestReturns = getBackTestReturns([memprefix + algKey],stopStep, {memprefix + algKey: stats}, namespace)
return bTestReturns
def closeoutPositions(step):
algstats = getAlgStats()
alglist = {}
desires = {}
prices = {}
for stckID in [1,2,3,4]:
symbol = meTools.getStckSymbol(stckID)
pricekey = str(stckID)+"_"+str(step)
price = meTools.memGet(meSchema.stck,pricekey,priority=0).quote
prices[symbol] = price
for alg in algstats:
desires[alg] = eval(algstats[alg].Positions)
for stck in desires[alg]:
desires[alg][stck]['Shares'] *= -1
desires[alg][stck]['Price'] = prices[stck]
desires[alg][stck]['Value'] = prices[stck]*(desires[alg][stck]['Shares'])
cash,positions = mergePosition(desires[alg],eval(algstats[alg].Positions))
cash += algstats[alg].Cash
algstats[alg].Cash = cash
algstats[alg].Positions = repr(positions)
alglist[alg] = algstats[alg]
return alglist
def doDesire(step, cuekey):
# see if tradeCue for key results in a new desire.
desires = []
tradecue = meTools.memGet(meSchema.tradeCue, cuekey)
for stckID in [1,2,3,4]:
deltakey = str(stckID) + '_' + str(step)
cval = cvalDict[deltakey]
if cval is None or len(cval) < tradecue.TimeDelta + 1:
return desires
cue = cval[tradecue.TimeDelta]
qDelta = tradecue.QuoteDelta
if (qDelta > 0 and cmp(cue,qDelta) == 1) or (qDelta < 0 and cmp(cue,qDelta) == -1):
recent = recency(tradecue,step,stckID)
if not recent:
action = makeDesire(stckID, cuekey, step)
recency_key = 'desire_' + tradecue.key().name() + '_' + str(stckID)
# Maybe combine this into function?
memcache.set(recency_key, step)
cachepy.set(recency_key, step, priority=1)
desires.append(action)
return desires
def calculateWeeklyLiveAlgs(stopStep, stepRange, namespace, JobID, totalBatches, callback):
from google.appengine.api.labs import taskqueue
namespace_manager.set_namespace("")
alginfo = meTools.memGet(meSchema.meAlg, meTools.buildAlgKey(1))
namespace_manager.set_namespace(namespace)
Cash = alginfo.Cash
initializeLiveAlgs(stopStep, stepRange, Cash)
# Get liveAlgs and branch out the different FTL, dnFTL Ntypes.
# keys like: 0003955-0001600-FTLe-N1
liveAlgs = (
meSchema.liveAlg.all(keys_only=True)
.filter("stopStep =", stopStep)
.filter("stepRange =", stepRange)
.filter("percentReturn =", 0.0)
.fetch(1000)
)
algGroup = [alg.name() for alg in liveAlgs]
taskname = "liveAlg-" + JobID + "-" + str(stopStep) + "-" + str(stopStep - stepRange)
try:
deferred.defer(
processLiveAlgStepRange,
stopStep - stepRange,
stopStep,
stepRange,
algGroup,
namespace,
JobID,
callback,
totalBatches,
taskname,
_name=taskname,
)
except (taskqueue.TaskAlreadyExistsError, taskqueue.TombstonedTaskError), e:
pass