def change_position_limit_for_instrument_strategy(data):
view_position_limit(data)
data_position_limits = dataPositionLimits(data)
strategy_name = get_valid_strategy_name_from_user(data,
allow_all=False,
source="positions")
instrument_code = get_valid_instrument_code_from_user(data,
allow_all=False)
new_position_limit = get_and_convert(
"New position limit?",
type_expected=int,
allow_default=True,
default_value=-1,
default_str="No limit",
)
instrument_strategy = instrumentStrategy(instrument_code=instrument_code,
strategy_name=strategy_name)
if new_position_limit == -1:
data_position_limits.delete_position_limit_for_instrument_strategy(
instrument_strategy)
else:
new_position_limit = abs(new_position_limit)
data_position_limits.set_position_limit_for_instrument_strategy(
instrument_strategy, new_position_limit)
def set_position_limit_for_instrument(
data, instrument_code: str,
auto_parameters: parametersForAutoPopulation
):
data_position_limits = dataPositionLimits(data)
existing_position_limit = data_position_limits._get_position_limit_object_for_instrument(instrument_code)
max_position_int = get_max_rounded_position_for_instrument(
data,
instrument_code=instrument_code,
auto_parameters = auto_parameters
)
if np.isnan(max_position_int):
print(
"Can't get standard position for %s, not setting max position"
% instrument_code
)
else:
print("Update limit for %s from %s to %d" %
(instrument_code,
str(existing_position_limit.position_limit),
max_position_int))
data_position_limits.set_abs_position_limit_for_instrument(
instrument_code, max_position_int
)
def set_position_limit_for_instrument(data, instrument_code, risk_multiplier):
data_position_limits = dataPositionLimits(data)
max_position_int = get_max_position_for_instrument(data, instrument_code, risk_multiplier)
if np.isnan(max_position_int):
print("Can't get standard position for %s, not setting max position" % instrument_code)
else:
data_position_limits.set_abs_position_limit_for_instrument( instrument_code, max_position_int)
def get_instrument_limits_as_df(data):
data_position_limits = dataPositionLimits(data)
instrument_limits = data_position_limits.get_all_instrument_limits_and_positions(
)
instrument_limits_as_df = df_from_list_of_limits_and_positions(
instrument_limits)
return instrument_limits_as_df
def get_strategy_instrument_limits_as_df(data):
data_position_limits = dataPositionLimits(data)
strat_instrument_limits = data_position_limits.get_all_strategy_instrument_limits_and_positions(
)
strat_instrument_limits_as_df = df_from_list_of_limits_and_positions(
strat_instrument_limits)
return strat_instrument_limits_as_df
def roll_state_was_closed_now_something_else(data: dataBlob,
instrument_code: str):
print(
"Roll state is no longer closed, so removing temporary position limit of zero"
)
data_position_limits = dataPositionLimits(data)
data_position_limits.reset_position_limit_for_instrument_to_original_value(
instrument_code)
def change_position_limit_for_instrument(data):
data_position_limits = dataPositionLimits(data)
instrument_code = get_valid_instrument_code_from_user(data, allow_all=False)
new_position_limit = get_and_convert("New position limit?", type_expected=int, allow_default=True,
default_str="No limit", default_value=-1)
if new_position_limit==-1:
data_position_limits.delete_position_limit_for_instrument(instrument_code)
else:
new_position_limit = abs(new_position_limit)
data_position_limits.set_abs_position_limit_for_instrument(instrument_code, new_position_limit)
def view_position_limit(data):
data_position_limits = dataPositionLimits(data)
instrument_limits = data_position_limits.get_all_instrument_limits_and_positions()
strategy_instrument_limits = data_position_limits.get_all_strategy_instrument_limits_and_positions()
print("\nInstrument limits across strategies\n")
for limit_tuple in instrument_limits:
print(limit_tuple)
print("\nInstrument limits per strategy\n")
for limit_tuple in strategy_instrument_limits:
print(limit_tuple)
def get_maximum_position_contracts_for_instrument_strategy(
data: dataBlob, instrument_strategy: instrumentStrategy) -> int:
override = get_override_for_instrument_strategy(data, instrument_strategy)
if override == CLOSE_OVERRIDE:
return 0
position_limit_data = dataPositionLimits(data)
maximum = position_limit_data.get_maximum_position_contracts_for_instrument_strategy(
instrument_strategy)
if maximum is NO_LIMIT:
return ARBITRARILY_LARGE_CONTRACT_LIMIT
return maximum
def adjust_order_for_position_limits(self, order):
log = order.log_with_attributes(self.log)
data_position_limits = dataPositionLimits(self.data)
cut_down_order = data_position_limits.cut_down_proposed_instrument_trade_okay(order)
if cut_down_order.trade != order.trade:
if cut_down_order.is_zero_trade():
## at position limit, can't do anything
log.warn("Can't trade at all because of position limits %s" % str(order))
else:
log.warn("Can't do full trade of %s because of position limits, can only do %s" %
(str(order), str(cut_down_order.trade)))
return cut_down_order
def get_maximum_position_contracts_for_instrument_strategy(
data: dataBlob,
instrument_strategy: instrumentStrategy,
previous_position: int = 0) -> int:
override = get_override_for_instrument_strategy(data, instrument_strategy)
if override == CLOSE_OVERRIDE:
return 0
position_limit_data = dataPositionLimits(data)
spare = int(
position_limit_data.get_spare_checking_all_position_limits(
instrument_strategy))
maximum = int(spare) + abs(previous_position)
return maximum
def set_position_limit_for_instrument(data, instrument_code: str,
risk_multiplier: float,
max_leverage: float):
data_position_limits = dataPositionLimits(data)
max_position_int = get_max_position_for_instrument(
data,
instrument_code=instrument_code,
risk_multiplier=risk_multiplier,
max_leverage=max_leverage,
)
if np.isnan(max_position_int):
print("Can't get standard position for %s, not setting max position" %
instrument_code)
else:
print("Update limit for %s with %d" %
(instrument_code, max_position_int))
data_position_limits.set_abs_position_limit_for_instrument(
instrument_code, max_position_int)
def roll_state_is_now_closing(data: dataBlob, instrument_code: str):
print("Roll state is Close, so setting temporary position limit of zero")
data_position_limits = dataPositionLimits(data)
data_position_limits.temporarily_set_position_limit_to_zero_and_store_original_limit(
instrument_code)