def makeDesire(stckID,keyname,step):
symbol = meTools.getStckSymbol(stckID)
pricekey = str(stckID) + "_" + str(step)
price = meTools.memGet(meSchema.stck,pricekey,priority=0).quote
key_name = meTools.buildDesireKey(step,keyname,stckID)
meDesire = meSchema.desire(key_name = key_name, CueKey = keyname, Symbol = symbol, Quote = price)
return meDesire
def getStepQuotes(step):
from google.appengine.api import namespace_manager
originalNameSpace = namespace_manager.get_namespace()
namespace_manager.set_namespace('')
stckKeyList = []
for i in range(1,5):
stckKeyList.append(str(i) + "_" + str(step))
quotes = meTools.memGet_multi(meSchema.stck, stckKeyList)
stepQuotes = {}
for quote in quotes:
symbol = meTools.getStckSymbol(quotes[quote].ID)
stepQuotes[symbol] = quotes[quote].quote
namespace_manager.set_namespace(originalNameSpace)
return stepQuotes
def closeoutPositions(step):
algstats = getAlgStats()
alglist = {}
desires = {}
prices = {}
for stckID in [1,2,3,4]:
symbol = meTools.getStckSymbol(stckID)
pricekey = str(stckID)+"_"+str(step)
price = meTools.memGet(meSchema.stck,pricekey,priority=0).quote
prices[symbol] = price
for alg in algstats:
desires[alg] = eval(algstats[alg].Positions)
for stck in desires[alg]:
desires[alg][stck]['Shares'] *= -1
desires[alg][stck]['Price'] = prices[stck]
desires[alg][stck]['Value'] = prices[stck]*(desires[alg][stck]['Shares'])
cash,positions = mergePosition(desires[alg],eval(algstats[alg].Positions))
cash += algstats[alg].Cash
algstats[alg].Cash = cash
algstats[alg].Positions = repr(positions)
alglist[alg] = algstats[alg]
return alglist
def doStops(step, statDict, alginfo, stopRange, scaleFactor = 0.0):
from random import random
stopDesires = []
stckKeys = [str(stckID) + '_' + str(step) for stckID in [1,2,3,4]]
stocks = memGetStcks(stckKeys)
stckQuotes = {}
for stock in stocks:
if stock is None:
return statDict
else:
stckQuotes[meTools.getStckSymbol(stock.ID)] = stock.quote
for pos in statDict['Positions']:
stckID = meTools.getStckID(pos)
stckDeltas = calculateDeltas(stckID,step)
shares = statDict['Positions'][pos]['Shares']
longshort = cmp(shares,0) # -1 for short, +1 for long
stckQuote = stckQuotes[pos]
offsetDesire = meSchema.desire(Symbol = pos,
Quote = stckQuote,
CueKey = '0000')
dictDesire = convertDesireToDict(offsetDesire, -1*longshort, alginfo.TradeSize, alginfo.Cash, -1*shares)
# Now only using maxmin deviations for stops.
maxDevStop, minDevStop = getMaxMinDevMeans(stckDeltas)
# Using scaleFactor for metaAlgs. Moves stop 40% closer to 1.0
stopLoss = statDict['Positions'][pos]['StopLoss']
stopProfit = statDict['Positions'][pos]['StopProfit']
if longshort == 1:
if stckQuote < stopLoss or stckQuote > stopProfit:
stopDesires.append(dictDesire)
else:
stopLoss = max(statDict['Positions'][pos]['StopLoss'], stckQuote*minDevStop)
if stopProfit > 1.15*statDict['Positions'][pos]['Price']:
stopPrice = stckQuote*(maxDevStop - ((maxDevStop-1)*scaleFactor))
stopProfit = min(statDict['Positions'][pos]['StopProfit'], stopPrice)
elif longshort == -1:
if stckQuote > stopLoss or stckQuote < stopProfit:
stopDesires.append(dictDesire)
else:
stopLoss = min(statDict['Positions'][pos]['StopLoss'], stckQuote*maxDevStop)
if stopProfit < 0.85*statDict['Positions'][pos]['Price']:
stopPrice = stckQuote*(minDevStop + ((1-minDevStop)*scaleFactor))
stopProfit = max(statDict['Positions'][pos]['StopProfit'], stopPrice)
statDict['Positions'][pos]['StopLoss'] = stopLoss
statDict['Positions'][pos]['StopProfit'] = stopProfit
for stop in stopDesires:
tradeCash, PandL, position = princeFunc.mergePosition(eval(stop), copy.deepcopy(statDict['Positions']), step, True)
cash = tradeCash + copy.deepcopy(statDict['Cash'])
Symbol = eval(stop).keys()[0]
buysell = cmp(eval(stop)[Symbol]['Shares'], 0)
statDict['CashDelta'].appendleft({'Symbol' : Symbol,
'buysell' : str(buysell) + '_stop',
'value' : tradeCash,
'PandL' : PandL,
'step' : step})
if len(statDict['CashDelta']) > 800:
statDict['CashDelta'].pop()
statDict['Cash'] = cash
statDict['PandL'] += PandL
statDict['Positions'] = position
return statDict