def updated_buffered_positions(data: dataBlob, strategy_name: str,
system: System):
log = data.log
data_optimal_positions = dataOptimalPositions(data)
list_of_instruments = system.get_instrument_list()
for instrument_code in list_of_instruments:
lower_buffer, upper_buffer = get_position_buffers_from_system(
system, instrument_code)
position_entry = construct_position_entry(
data=data,
system=system,
instrument_code=instrument_code,
lower_buffer=lower_buffer,
upper_buffer=upper_buffer,
)
instrument_strategy = instrumentStrategy(
instrument_code=instrument_code, strategy_name=strategy_name)
data_optimal_positions.update_optimal_position_for_instrument_strategy(
instrument_strategy=instrument_strategy,
position_entry=position_entry)
log.msg(
"New buffered positions %.3f %.3f" %
(position_entry.lower_position, position_entry.upper_position),
instrument_code=instrument_code,
)
def updated_optimal_positions(data: dataBlob, strategy_name: str,
system: System):
log = data.log
data_optimal_positions = dataOptimalPositions(data)
list_of_instruments = system.get_instrument_list()
for instrument_code in list_of_instruments:
position_entry = construct_optimal_position_entry(
data=data,
system=system,
instrument_code=instrument_code,
)
instrument_strategy = instrumentStrategy(
instrument_code=instrument_code, strategy_name=strategy_name)
data_optimal_positions.update_optimal_position_for_instrument_strategy(
instrument_strategy=instrument_strategy,
raw_positions=True,
position_entry=position_entry,
)
log.msg("New Optimal position %s %s" %
(str(position_entry), instrument_code))
rule_variations=system.rules.trading_rules()
rule_variation_name="ewmac16"
this_stage=system.accounts
price = this_stage.get_daily_price(instrument_code)
get_daily_returns_volatility = this_stage.get_daily_returns_volatility(
instrument_code)
forecast = this_stage.get_capped_forecast(
instrument_code, rule_variation_name)
accountCurve(percentage=True, price=price, forecast=forecast, get_daily_returns_volatility=get_daily_returns_volatility)
instruments=system.get_instrument_list()
capital = this_stage.get_notional_capital()
ann_risk_target=system.positionSize.get_daily_cash_vol_target()['percentage_vol_target']/100.0
acc_list=[]
for instrument_code in instruments:
price = this_stage.get_daily_price(instrument_code)
positions = this_stage.get_notional_position(instrument_code)
fx = this_stage.get_fx_rate(instrument_code)
value_of_price_point = this_stage.get_value_of_price_move(
instrument_code)
ans2=accountCurve(percentage=True, price=price, positions=positions, fx=fx, get_daily_returns_volatility=get_daily_returns_volatility,
capital=capital, ann_risk_target=ann_risk_target, value_of_price_point=value_of_price_point)
