def get_symbol(self, symbol: str, instrument: str) -> SM:
if StringUtils.isNullOrWhitespace(symbol):
return None
symbol = symbol.strip().upper()
return BaseService._get_first(
SM, [SM.symbol == symbol, SM.instrument == instrument])
def get_single_etf_price_daily(self, symbol_id: int,
price_date: date) -> SPD:
return BaseService._get_first(
EPD, [EPD.symbol_id == symbol_id, EPD.price_date == price_date])
def get_financial(self, symbol_id: int, year: int, quarter: int) -> FN:
return BaseService._get_first(FN, [
FN.symbol_id == symbol_id, FN.year == year, FN.quarter == quarter
])
def get_suggestions(self,
req: TradeSuggestionsRequest) -> List[TradeOrder]:
if not req or not req.is_valid_model():
raise BadRequestException()
response: List[TradeOrder] = []
# Init Symbols
symbols: List[SymbolMaster] = self.__get_symbols__(req)
# Init Prices
date_to: date = date.today()
date_from: date = date_to - timedelta(days=100) # fix this
prices: DataFrame = self.__get_prices__(symbols, date_from, date_to)
# Do Base Preparation
prices[AppConsts.CUSTOM_COL_PV] = prices[
AppConsts.PRICE_COL_CLOSE] * prices[AppConsts.PRICE_COL_VOLUME]
for s in symbols:
prices = self.__calc_service.append_sma(
prices=prices,
index=[s.id],
sma_period=AppConsts.ADV_PERIOD_DFLT,
sma_column_name=AppConsts.CUSTOM_COL_ADV,
target_column=AppConsts.PRICE_COL_VOLUME)
prices = self.__calc_service.append_sma(
prices=prices,
index=[s.id],
sma_period=AppConsts.ADPV_PERIOD_DFLT,
sma_column_name=AppConsts.CUSTOM_COL_ADPV,
target_column=AppConsts.CUSTOM_COL_PV)
LogUtils.debug('Prices shape after base preparation={0}'.format(
prices.shape))
# region Init Service
strategy_service: Any = self.__stock_service.get_strategy_service(
req.strategy_type, req.strategy_request, symbols, prices)
if not strategy_service or not strategy_service._is_valid_request():
raise BadRequestException()
strategy_service._do_preparations()
LogUtils.debug('Prices shape after strategy preparation={0}'.format(
prices.shape))
# endregion
LogUtils.debug(prices.info())
# region Init Dates
end_date: date = prices.index.get_level_values(
AppConsts.PRICE_COL_DATE).max()
LogUtils.debug('End_date={0}'.format(end_date))
for symbol in symbols:
LogUtils.debug('Start {0}'.format(symbol.symbol))
has_price: bool = (symbol.id, end_date) in prices.index
if not has_price:
continue
price: Series = prices.loc[symbol.id, end_date]
adv: float = price.loc[AppConsts.CUSTOM_COL_ADV] if price.loc[
AppConsts.CUSTOM_COL_ADV] > 0 else price.loc[
AppConsts.PRICE_COL_VOLUME]
if adv < req.adv_min:
continue
adpv: float = price.loc[AppConsts.CUSTOM_COL_ADPV] if price.loc[
AppConsts.CUSTOM_COL_ADPV] > 0 else price.loc[
AppConsts.CUSTOM_COL_PV]
if adpv < req.adpv_min:
continue
has_entry_conditions: bool = strategy_service._has_entry_conditions(
symbol.id, end_date)
if not has_entry_conditions:
continue
no_of_shares: int = self.__stock_service.get_no_of_shares(
req.current_capital, req.pct_risk_per_trade, req.volume_limit,
price)
if no_of_shares == 0:
continue
LogUtils.debug('Has Entry Condition = {0}'.format(symbol.symbol))
now: datetime = datetime.now()
order: TradeOrder = TradeOrder()
order.stock_price_daily_id = price.loc[AppConsts.COL_ID]
order.strategy = req.strategy_type
order.status = AppConsts.ORDER_STATUS_INIT
order.action = strategy_service._get_action()
order.qty = no_of_shares
# order.target_price = price.loc[AppConsts.CUSTOM_COL_DOUBLE_BOTTOMS_TARGET_PRICE]
# order.stop_loss = price.loc[AppConsts.CUSTOM_COL_DOUBLE_BOTTOMS_STOP_LOSS]
order.created = now
order.modified = now
response.append(order)
if req.is_job:
org: TradeOrder = BaseService._get_first(
TradeOrder, [
TradeOrder.stock_price_daily_id
== order.stock_price_daily_id, TradeOrder.strategy
== order.strategy
])
if not org:
BaseService._insert(order)
return response