def bar_open(context,data):
if context.xiv_buy is True and data.can_trade(context.XIV) and len(get_open_orders()) == 0:
set_fixed_stop_xiv(context, data)
order_target_percent(context.XIV, context.VOLorderpct)
order_target_percent(context.BOND, context.BONDorderpct)
context.xiv_sell = False
context.xiv_buy = False
if context.xiv_sell is True and context.portfolio.positions[context.XIV].amount > 0:
order_target_percent(context.XIV, 0)
context.xiv_buy = False
context.xiv_sell = False
if context.vxx_buy is True and context.vxx_sell is False and len(get_open_orders()) == 0:
if data.can_trade(context.VXX):
set_fixed_stop_vxx(context, data)
order_target_percent(context.VXX, context.VOLorderpct)
order_target_percent(context.BOND, context.BONDorderpct)
context.vxx_sell = False
context.vxx_buy = False
if context.vxx_sell is True and context.portfolio.positions[context.VXX].amount > 0:
order_target_percent(context.VXX, 0)
context.vxx_buy = False
context.vxx_sell = False
def bar_open(context, data):
if context.buy is True and len(get_open_orders()) == 0 and data.can_trade(
context.XIV):
set_fixed_stop(context, data)
if context.portfolio.positions[context.VXX].amount > 0:
order_target_percent(context.VXX, 0)
#log.info("Sell VXX at %.2f" %data.current(context.VXX, 'price'))
order_target_percent(context.XIV, context.xivTradePercent * 0.35)
order_target_percent(context.XIV, context.xivTradePercent * 0.3)
order_target_percent(context.XIV, context.xivTradePercent * 0.3)
#log.info("Buy XIV at %.2f" %data.current(context.XIV, 'price'))
context.buy = False
context.sell = False
context.buyVXX = False
context.newsl = 0
if context.buyVXX is True and context.portfolio.positions[
context.VXX].amount == 0 and len(
get_open_orders()) == 0 and data.can_trade(context.VXX):
#set_fixed_stop(context, data)
order_target_percent(context.VXX, context.vxxTradePercent * 0.35)
order_target_percent(context.VXX, context.vxxTradePercent * 0.3)
order_target_percent(context.VXX, context.vxxTradePercent * 0.3)
#log.info("Buy VXX at %.2f" %data.current(context.VXX, 'price'))
context.buyVXX = False
if context.sell is True and context.portfolio.positions[
context.XIV].amount > 0:
order_target_percent(context.XIV, 0)
#log.info("Sell XIV at %.2f" %data.current(context.XIV, 'price'))
context.sell = False
context.buy = False
def set_fixed_stop_short(context, data):
#Only call this once when the stock is bought
if data.can_trade(context.GDXJ):
price = data.current(context.GDXJ, 'price')
context.BuyPrice = price
context.SellLossPrice= price + (context.StopLossPct * price)
context.SellProfitPrice= price - (price * context.TakeProfitPct)
def set_fixed_stop_vxx(context, data):
#Only call this once when the stock is bought
if data.can_trade(context.VXX):
price = data.current(context.VXX, 'price')
context.VXX_BuyPrice = price
context.VXX_SellLossPrice= max(context.StopPrice, price - (context.VXX_StopLossPct * price))
context.VXX_SellProfitPrice= (price * context.VXX_TakeProfitPct) + price
def watch(context, data): # On schedule, process any sids in watch_list
prices = data.history(context.watch_list, 'close', 2,
'1d') # Daily, couple days
for s in context.watch_list:
if s not in context.portfolio.positions: # If sold elsewhere, drop it from watch
context.watch_list.remove(s)
continue
# Slope of prices, minute
slp = slope(
data.history(s, 'close', 60,
'1m').dropna()) # Minutes, note dropna(), important
if slp < 0: # Close if downward
log.info('sell {} at {} prv {} {}%'.format(
s.symbol, data.current(s, 'price'), '%.2f' % prices[s][0],
'%.0f' % (100 * data.current(s, 'price') / prices[s][0])))
order_target(s, 0) # Close/sell
context.watch_list.remove(s)
# Any new for price jump watch_list
prices = data.history(context.portfolio.positions.keys(), 'close', 2,
'1d') # Couple days
for s in context.portfolio.positions: # Add to watch_list with price jump
if not data.can_trade(s): continue
if data.current(
s,
'price') > 1.10 * prices[s][0]: # If price has jumped upward
if s in context.watch_list: continue
log.info('{} to watch_list at {} prv {} {}%'.format(
s.symbol, data.current(s, 'price'), '%.2f' % prices[s][0],
'%.0f' % (100 * data.current(s, 'price') / prices[s][0])))
context.watch_list.append(s)
def set_fixed_stop(context, data):
#Only call this once when the stock is bought
if data.can_trade(context.XIV):
price = data.current(context.XIV, 'price')
context.BuyPrice = price
context.SellLossPrice= price - (context.StopLossPct * price)
