def _add_market_order(self, order: MarketOrder) -> bool:
"""
Add a MARKET order.
:param order: (Order) New order to be used for updating existing order or
placing a new order
"""
if self.full_inventory:
LOGGER.debug(' %s inventory max' % order.side)
return False
# Create a hypothetical average execution price incorporating a fixed slippage
order.average_execution_price = order.price
order.executed = order.DEFAULT_SIZE
# Update position inventory attributes
self.cancel_limit_order() # remove any unfilled limit orders
self.positions.append(order) # execute and save the market order
self.total_exposure += order.average_execution_price
self.average_price = self.total_exposure / self.position_count
self.full_inventory = self.position_count >= self.max_position_count
self.total_trade_count += 1
# deduct transaction fees whenever an order gets filled
if self.transaction_fee:
self.realized_pnl -= MARKET_ORDER_FEE
# update statistics
self.statistics.market_orders += 1
LOGGER.debug(' %s @ %.2f | step %i' %
(order.side, order.average_execution_price, order.step))
return True
def test_case_three(self):
print('\nTest_Case_Three')
test_position = Broker(5)
midpoint = 100.
for i in range(10):
order_open = MarketOrder(ccy='BTC-USD',
side='long',
price=midpoint - i,
step=i)
test_position.add(order=order_open)
self.assertEqual(5, test_position.long_inventory.position_count)
self.assertEqual(0, test_position.short_inventory.position_count)
print('Confirm we have 5 positions: %i' %
test_position.long_inventory.position_count)
for i in range(10):
order_open = MarketOrder(ccy='BTC-USD',
side='long',
price=midpoint + i,
step=i)
test_position.remove(order=order_open)
self.assertEqual(0, test_position.long_inventory.position_count)
self.assertEqual(0, test_position.short_inventory.position_count)
def test_case_two(self):
print('\nTest_Case_Two')
test_position = Broker()
midpoint = 100.
fee = .003
order_open = MarketOrder(ccy='BTC-USD',
side='short',
price=midpoint,
step=1)
test_position.add(order=order_open)
self.assertEqual(1, test_position.short_inventory.position_count)
self.assertEqual(0, test_position.long_inventory.position_count)
self.assertEqual(
0.,
test_position.long_inventory.get_unrealized_pnl(price=midpoint))
print('SHORT Unrealized_pnl: %f' %
test_position.short_inventory.get_unrealized_pnl(price=midpoint))
order_close = MarketOrder(ccy='BTC-USD',
side='short',
price=midpoint - (midpoint * fee * 15),
step=100)
test_position.remove(order=order_close)
self.assertEqual(0, test_position.short_inventory.position_count)
self.assertEqual(0, test_position.long_inventory.position_count)
self.assertEqual(
0.,
test_position.long_inventory.get_unrealized_pnl(price=midpoint))
print('SHORT Unrealized_pnl: %f' %
test_position.short_inventory.get_unrealized_pnl(price=midpoint))
print('SHORT Realized_pnl: %f' % test_position.realized_pnl)
def test_case_one(self):
print('\nTest_Case_One')
test_position = Broker()
midpoint = 100.
fee = .003
order_open = MarketOrder(ccy='BTC-USD', side='long', price=midpoint, step=1)
test_position.add(order=order_open)
self.assertEqual(1, test_position.long_inventory.position_count)
print('LONG Unrealized_pnl: %f' % test_position.long_inventory.get_unrealized_pnl(
midpoint=midpoint))
self.assertEqual(0, test_position.short_inventory.position_count)
self.assertEqual(0., test_position.short_inventory.get_unrealized_pnl(
midpoint=midpoint))
order_close = MarketOrder(ccy='BTC-USD', side='long',
price=midpoint + (midpoint * fee * 5), step=100)
test_position.remove(order=order_close)
self.assertEqual(0, test_position.long_inventory.position_count)
print('LONG Unrealized_pnl: %f' % test_position.long_inventory.get_unrealized_pnl(
midpoint=midpoint))
self.assertEqual(test_position.short_inventory.position_count, 0)
self.assertEqual(
test_position.short_inventory.get_unrealized_pnl(midpoint=midpoint), 0.)
print('LONG Realized_pnl: %f' % test_position.realized_pnl)
def flatten_inventory(self, price: float) -> float:
"""
Flatten all positions held in inventory.
:param price: (float) current bid or ask price
:return: (float) PnL from flattening inventory
"""
LOGGER.debug('{} is flattening inventory of {}'.format(
self.side, self.position_count))
if self.position_count < 1:
return -ENCOURAGEMENT
pnl = 0.
# Need to reverse the side to reflect the correct direction of
# the flatten_order()
side = 'long' if self.side == 'short' else 'short'
while self.position_count > 0:
order = MarketOrder(ccy=None, side=side, price=price)
pnl += self.remove(netting_order=order)
self.total_trade_count += 1
# Deduct transaction fee based on order type
if self.transaction_fee:
pnl -= MARKET_ORDER_FEE
# Update statistics
self.statistics.market_orders += 1
return pnl
def map_action_to_broker(self, action: int) -> Tuple[float, float]:
"""
Create or adjust orders per a specified action and adjust for penalties.
:param action: (int) current step's action
:return: (float) reward
"""
action_penalty_reward = pnl = 0.0
if action == 0: # do nothing
action_penalty_reward += ENCOURAGEMENT
elif action == 1: # buy
# Deduct transaction costs
if self.broker.transaction_fee:
pnl -= MARKET_ORDER_FEE
if self.broker.short_inventory_count > 0:
# Net out existing position
order = MarketOrder(ccy=self.symbol,
side='short',
price=self.best_ask,
step=self.local_step_number)
pnl += self.broker.remove(order=order)
elif self.broker.long_inventory_count >= 0:
order = MarketOrder(ccy=self.symbol,
side='long',
price=self.best_ask,
step=self.local_step_number)
if self.broker.add(order=order) is False:
action_penalty_reward -= ENCOURAGEMENT
else:
raise ValueError(
('gym_trading.get_reward() Error for action #{} - '
'unable to place an order with broker').format(action))
elif action == 2: # sell
# Deduct transaction costs
if self.broker.transaction_fee:
pnl -= MARKET_ORDER_FEE
if self.broker.long_inventory_count > 0:
# Net out existing position
order = MarketOrder(ccy=self.symbol,
side='long',
price=self.best_bid,
step=self.local_step_number)
pnl += self.broker.remove(order=order)
elif self.broker.short_inventory_count >= 0:
order = MarketOrder(ccy=self.symbol,
side='short',
price=self.best_bid,
step=self.local_step_number)
if self.broker.add(order=order) is False:
action_penalty_reward -= ENCOURAGEMENT
else:
raise ValueError(
('gym_trading.get_reward() Error for action #{} - '
'unable to place an order with broker').format(action))
else:
raise ValueError(
('Unknown action to take in get_reward(): '
'action={} | midpoint={}').format(action, self.midpoint))
return action_penalty_reward, pnl
def map_action_to_broker(self, action: int):
"""
Create or adjust orders per a specified action and adjust for penalties.
:param action: (int) current step's action
:return: (float) reward
"""
reward = pnl = 0.0
discouragement = 0.000000000001
if action == 0: # do nothing
reward += discouragement
elif action == 1: # buy
if self.broker.short_inventory_count > 0:
order = MarketOrder(ccy=self.sym,
side='short',
price=self.midpoint,
step=self.local_step_number)
pnl += self.broker.remove(order=order)
elif self.broker.long_inventory_count >= 0:
order = MarketOrder(
ccy=self.sym,
side='long',
price=self.midpoint,
# price_fee_adjusted,
step=self.local_step_number)
if self.broker.add(order=order) is False:
reward -= discouragement
else:
print((
'gym_trading.get_reward() Error for action #{} - unable to place '
'an order with broker').format(action))
elif action == 2: # sell
if self.broker.long_inventory_count > 0:
order = MarketOrder(ccy=self.sym,
side='long',
price=self.midpoint,
step=self.local_step_number)
pnl += self.broker.remove(order=order)
elif self.broker.short_inventory_count >= 0:
order = MarketOrder(ccy=self.sym,
side='short',
price=self.midpoint,
step=self.local_step_number)
if self.broker.add(order=order) is False:
reward -= discouragement
else:
print((
'gym_trading.get_reward() Error for action #{} - unable to place '
'an order with broker').format(action))
else:
print((
'Unknown action to take in get_reward(): action={} | midpoint={}'
).format(action, self.midpoint))
return reward, pnl
