class PortfolioHandler(object):
def __init__(self, events_queue, cash, quote_data, order_sizer, risk_manager):
self.events_queue = events_queue
self.cash = cash
self.quote_data = quote_data
self.order_sizer = order_sizer
self.risk_manager = risk_manager
self.portfolio = Portfolio(quote_data, cash)
def update_signal(self):
pass
def generate_simple_order(self, signal):
order = None
symbol = signal.symbol
direction = signal.signal_type
strength = signal.strength
# mkt_quantity = floor(100 * strength)
# cur_quantity = self.current_positions[symbol]
# order_type = 'MKT'
# if direction == 'LONG' and cur_quantity == 0:
# order = Order(symbol, order_type, mkt_quantity, 'BUY')
# if direction == 'SHORT' and cur_quantity == 0:
# order = Order(symbol, order_type, mkt_quantity, 'SELL')
# if direction == 'EXIT' and cur_quantity > 0:
# order = Order(symbol, order_type, abs(cur_quantity), 'SELL')
# if direction == 'EXIT' and cur_quantity < 0:
# order = Order(symbol, order_type, abs(cur_quantity), 'BUY')
return order
def _prelim_order_from_signal(self, signal_event):
return PrelimOrder(signal_event.instrument, signal_event.side, signal_event.order)
def _put_orders_on_queue(self, order_events):
for order in order_events:
# order.time_stamp = dt.datetime.utcnow()
self.events_queue.put(order)
def handle_signal(self, signal_event):
prelim_order = self._prelim_order_from_signal(signal_event)
prelim_order_sized = self.order_sizer.size_order(prelim_order)
order_events = self.risk_manager.check_orders(self.portfolio, prelim_order_sized)
self._put_orders_on_queue(order_events)
def handle_fill(self, fill_event):
self.update_portfolio(fill_event)
def update_portfolio(self, fill_event):
side = fill_event.side
instrument = fill_event.instrument
size = fill_event.size
price = fill_event.price
commission = fill_event.commission
# Create or modify the position from the fill info
self.portfolio.transact_position(side, instrument, size, price, commission)
def update_portfolio_value(self):
self.portfolio._update_portfolio()
