def print_capital_and_get_user_input(data: dataBlob):
data_capital = dataCapital(data)
all_calcs = data_capital.get_series_of_all_global_capital()
print("\n")
if all_calcs is missing_data:
# No capital
no_capital_setup = True
print("No capital setup yet")
else:
no_capital_setup = False
print(all_calcs.tail(10))
print("\n")
if no_capital_setup:
possible_options = {1: "Setup initial capital parameters"}
else:
possible_options = {
2: "Update capital from IB account value",
3: "Adjust account value for withdrawal or deposit",
4: "Modify any/all values",
5: "Delete values of capital since time T",
6: "Delete everything and start again"
}
user_option_int = print_menu_and_get_response(possible_options,
default_option=0,
default_str="EXIT")
return user_option_int
def run_system_classic(
strategy_name,
data,
backtest_config_filename="systems.provided.futures_chapter15.futures_config.yaml"
):
capital_data = dataCapital(data)
capital_value = capital_data.get_capital_for_strategy(strategy_name)
if capital_data is missing_data:
## critical log will send email
error_msg = "Capital data is missing for %s: can't run backtest" % strategy_name
data.log.critical(error_msg)
raise Exception(error_msg)
currency_data = currencyData(data)
base_currency = currency_data.get_base_currency()
system = production_classic_futures_system(
data,
backtest_config_filename,
log=data.log,
notional_trading_capital=capital_value,
base_currency=base_currency)
updated_buffered_positions(data, strategy_name, system)
store_backtest_state(data,
system,
strategy_name=strategy_name,
backtest_config_filename=backtest_config_filename)
return success
def update_total_capital(self):
data = self.data
capital_data = dataCapital(data)
broker_data = dataBroker(data)
log = data.log
# This assumes that each account only reports either in one currency or
# for each currency, i.e. no double counting
total_account_value_in_base_currency = broker_data.get_total_capital_value_in_base_currency(
)
log.msg("Broker account value is %f" %
total_account_value_in_base_currency)
# Update total capital
try:
new_capital = capital_data.get_total_capital_with_new_broker_account_value(
total_account_value_in_base_currency)
except Exception as e:
# Problem, most likely spike
log.critical(
"Error %s whilst updating total capital; you may have to use update_capital_manual script or function"
% e)
return failure
log.msg("New capital is %f" % new_capital)
def interactive_update_capital_manual():
"""
Interactive session that allows you to manipulate capital manually
:return: Nothing
"""
with dataBlob(log_name="Interactive-Update-Capital-Manual") as data:
data_capital = dataCapital(data)
still_running = True
while still_running:
# display capital and get input
user_option_int = print_capital_and_get_user_input(data_capital)
if user_option_int==0:
setup_initial_capital(data_capital)
elif user_option_int==1:
update_capital_from_ib(data_capital)
elif user_option_int==2:
adjust_capital_for_delta(data_capital)
elif user_option_int==3:
modify_any_value(data_capital)
elif user_option_int==4:
delete_capital_since_time(data_capital)
elif user_option_int==919:
delete_all_capital(data_capital)
elif user_option_int==5:
still_running=False
break
else:
print("%d is not a valid option but was in list of possible options: check code" % str(user_option_int))
## Back to top of while loop
return success
def capital_strategy(data):
data_capital = dataCapital(data)
strat_list = data_capital.get_list_of_strategies_with_capital()
strategy_name = print_menu_of_values_and_get_response(strat_list, default_str=strat_list[0])
capital_series = data_capital.get_capital_pd_series_for_strategy(strategy_name)
print(capital_series)
return None
def get_values_from_user_to_modify(data: dataBlob):
data_capital = dataCapital(data)
capital_calculator = data_capital.total_capital_calculator
current_broker_value = capital_calculator.get_broker_account()[-1]
broker_account_value = get_and_convert("Broker account value",
type_expected=float,
default_value=current_broker_value)
current_total_capital = capital_calculator.get_current_total_capital()
total_capital = get_and_convert("Total capital at risk",
type_expected=float,
default_value=current_total_capital)
current_maximum_capital = capital_calculator.get_maximum_account()[-1]
maximum_capital = get_and_convert(
"Max capital, only used for half compounding",
type_expected=float,
default_value=current_maximum_capital)
current_acc_profit = capital_calculator.get_profit_and_loss_account()[-1]
acc_pandl = get_and_convert("Accumulated profit",
type_expected=float,
default_value=current_acc_profit)
return broker_account_value, total_capital, maximum_capital, acc_pandl
def run_system_classic(self):
strategy_name = self.strategy_name
data = self.data
capital_data = dataCapital(data)
capital_value = capital_data.get_capital_for_strategy(strategy_name)
if capital_data is missing_data:
# critical log will send email
error_msg = (
"Capital data is missing for %s: can't run backtest" %
strategy_name)
data.log.critical(error_msg)
raise Exception(error_msg)
currency_data = currencyData(data)
base_currency = currency_data.get_base_currency()
system = self.system_method(
notional_trading_capital=capital_value, base_currency=base_currency
)
updated_buffered_positions(data, strategy_name, system)
store_backtest_state(data, system, strategy_name=strategy_name)
return success
def capital_for_strategy(data, strategy_name):
data_capital = dataCapital(data)
capital = data_capital.get_capital_for_strategy(strategy_name)
if capital is missing_data:
return 0.00001
return capital
def write_allocated_weights(data, strategy_capital_dict):
capital_data = dataCapital(data)
date = datetime.datetime.now()
for strategy_name, strategy_capital in strategy_capital_dict.items():
capital_data.update_capital_value_for_strategy(strategy_name, strategy_capital, date=date)
data.log.msg("Updated capital for %s to %f" % (strategy_name, strategy_capital))
return success
def delete_capital_since_time(data: dataBlob):
data_capital = dataCapital(data)
start_date = get_datetime_input("Delete capital from when?")
ans = input("Are you sure about this? Can't be undone Yes/<other for no>")
if ans == "Yes":
data_capital.total_capital_calculator.delete_recent_capital(
start_date, are_you_sure=True)
def get_total_current_capital(data: dataBlob) -> float:
data_capital = dataCapital(data)
total_capital = data_capital.get_current_total_capital()
if total_capital is missing_data:
data.log.critical("Can't allocate strategy capital without total capital")
raise Exception()
return total_capital
def write_allocated_strategy_capital(data: dataBlob, strategy_capital_dict: dict):
capital_data = dataCapital(data)
date = datetime.datetime.now()
for strategy_name, strategy_capital in strategy_capital_dict.items():
capital_data.update_capital_value_for_strategy(
strategy_name, strategy_capital, date=date
)
data.log.msg(
"Updated capital for %s to %f" % (strategy_name, strategy_capital),
strategy_name=strategy_name,
)
def get_daily_perc_pandl(data):
data_capital_object = dataCapital(data)
## This is for 'non compounding' p&l
total_pandl_series = data_capital_object.get_series_of_accumulated_capital(
)
daily_pandl_series = total_pandl_series.ffill().diff()
all_capital = get_total_capital_series(data)
perc_pandl_series = daily_pandl_series / all_capital
return perc_pandl_series
def get_daily_perc_pandl(data):
data_capital_object = dataCapital(data)
all_capital_data = data_capital_object.total_capital_calculator.get_all_capital_calcs()
## This is for 'non compounding' p&l
total_pandl_series = all_capital_data.Accumulated
daily_pandl_series = total_pandl_series.ffill().diff()
all_capital = get_total_capital_series(data)
perc_pandl_series = daily_pandl_series / all_capital
return perc_pandl_series
def adjust_capital_for_delta(data: dataBlob):
data_capital = dataCapital(data)
capital_delta = get_and_convert(
"What change have you made to brokerage account that will not change capital +ve deposit, -ve withdrawal",
type_expected=float,
)
old_capital = data_capital.get_series_of_broker_capital()[-1]
new_capital = old_capital + capital_delta
user_wants_adjustment = true_if_answer_is_yes(
"New brokerage capital will be %f, are you sure? " % new_capital)
if user_wants_adjustment:
data_capital.total_capital_calculator.adjust_broker_account_for_delta(
capital_delta)
def adjust_capital_for_delta(data: dataBlob):
data_capital = dataCapital(data)
capital_delta = get_and_convert(
"What change have you made to brokerage account that will not change capital +ve deposit, -ve withdrawal",
type_expected=float,
)
old_capital = data_capital.get_current_total_capital()
new_capital = old_capital + capital_delta
ans = input(
"New brokerage capital will be %f, are you sure? Yes/<anything else for no>"
% new_capital)
if ans == "Yes":
data_capital.total_capital_calculator.adjust_broker_account_for_delta(
capital_delta)
def delete_all_capital(data: dataBlob):
data_capital = dataCapital(data)
ans = input(
"Will delete all capital history (though not for individual strategies). Really sure this is a good idea? Can't be recovered from: 'YESyesYES'/<anything else for no>"
)
if ans == "YESyesYES":
try:
data_capital.total_capital_calculator.delete_all_capital(
are_you_really_sure=True)
except BaseException:
print(
"Something went wrong: You may have to manually drop collection in mongo DB"
)
def _get_currency_and_capital(self):
data = self.data
strategy_name = self.strategy_name
capital_data = dataCapital(data)
notional_trading_capital = capital_data.get_capital_for_strategy(
strategy_name)
if notional_trading_capital is missing_data:
# critical log will send email
error_msg = ("Capital data is missing for %s: can't run backtest" %
strategy_name)
data.log.critical(error_msg)
raise Exception(error_msg)
currency_data = dataCurrency(data)
base_currency = currency_data.get_base_currency()
return base_currency, notional_trading_capital
def update_capital_from_ib(data: dataBlob):
data_capital = dataCapital(data)
broker_account_value = get_broker_account_value(data)
try:
total_capital = data_capital.total_capital_calculator.get_total_capital_with_new_broker_account_value(
broker_account_value, check_limit=0.1)
except BaseException:
ans = input(
"Do you want to try again, without checking for large capital changes? Yes/<anything else>"
)
if ans == "Yes":
total_capital = data_capital.total_capital_calculator.get_total_capital_with_new_broker_account_value(
broker_account_value, check_limit=9999)
else:
return failure
print("New total capital is %s" % total_capital)
def update_account_values():
"""
Do a daily update of accounting information
Get the total account value from IB, and calculate the p&l since we last ran
This calculation is done using a user specified handler, which can deal with eg multiple accounts if required
Needs to know about any withdrawals.
Does spike checking: large changes in account value are checked before writing
If your strategy has very high risk you may wish to do this more frequently than daily
:return: Nothing
"""
with mongoDb() as mongo_db,\
logger("Update-Account-Values", mongo_db=mongo_db) as log,\
connectionIB(mongo_db = mongo_db, log=log.setup(component="IB-connection")) as ib_conn:
data = dataBlob(mongo_db=mongo_db, log=log, ib_conn=ib_conn)
capital_data = dataCapital(data)
## This assumes that each account only reports eithier in one currency or for each currency, i.e. no double counting
total_account_value_in_base_currency = capital_data.get_ib_total_capital_value(
)
log.msg("Broker account value is %f" %
total_account_value_in_base_currency)
# Update total capital
try:
new_capital = capital_data.total_capital_calculator.\
get_total_capital_with_new_broker_account_value(total_account_value_in_base_currency)
except Exception as e:
## Problem, most likely spike
log.critical(
"Error %s whilst updating total capital; you may have to use update_capital_manual script or function"
% e)
return failure
log.msg("New capital is %f" % new_capital)
return success
def setup_initial_capital(data: dataBlob):
(
broker_account_value,
total_capital,
maximum_capital,
acc_pandl,
) = get_initial_capital_values_from_user(data)
ans = input(
"Are you sure about this? Will delete all existing capital (not for individual strategies) Yes/<anything else>"
)
if ans == "Yes":
data_capital = dataCapital(data)
data_capital.total_capital_calculator.create_initial_capital(
broker_account_value,
total_capital=total_capital,
maximum_capital=maximum_capital,
acc_pandl=acc_pandl,
are_you_really_sure=True,
)
def modify_any_value(data: dataBlob):
data_capital = dataCapital(data)
(
broker_account_value,
total_capital,
maximum_capital,
acc_pandl,
) = get_values_from_user_to_modify(data=data)
ans_is_yes = true_if_answer_is_yes(
"Sure about this? May cause subtle weirdness in capital calculations?")
if ans_is_yes:
data_capital.total_capital_calculator.modify_account_values(
broker_account_value=broker_account_value,
total_capital=total_capital,
maximum_capital=maximum_capital,
acc_pandl=acc_pandl,
propagate=True)
def setup_initial_capital(data: dataBlob):
(
broker_account_value,
total_capital,
maximum_capital,
acc_pandl,
) = get_initial_capital_values_from_user(data)
user_agrees_to_do_this = true_if_answer_is_yes(
"Are you *REALLY* sure about this? Will delete all existing capital (not for individual strategies)?"
)
if user_agrees_to_do_this:
data_capital = dataCapital(data)
data_capital.total_capital_calculator.create_initial_capital(
broker_account_value,
total_capital=total_capital,
maximum_capital=maximum_capital,
acc_pandl=acc_pandl,
are_you_really_sure=True,
)
def modify_any_value(data: dataBlob):
data_capital = dataCapital(data)
(
broker_account_value,
total_capital,
maximum_capital,
acc_pandl,
) = get_values_from_user_to_modify()
ans = input(
"Sure about this? May cause subtle weirdness in capital calculations? Yes/<anything else>"
)
if ans == "Yes":
data_capital.total_capital_calculator.modify_account_values(
broker_account_value=broker_account_value,
total_capital=total_capital,
maximum_capital=maximum_capital,
acc_pandl=acc_pandl,
)
def update_capital_from_ib(data: dataBlob):
data_capital = dataCapital(data)
broker_account_value = get_broker_account_value(data)
try:
total_capital = data_capital.\
update_and_return_total_capital_with_new_broker_account_value(broker_account_value)
print("New total capital is %s" % total_capital)
except BaseException:
ans = input(
"Do you want to try again, without checking for large capital changes? Yes/<anything else>"
)
if ans == "Yes":
total_capital = data_capital.update_and_return_total_capital_with_new_broker_account_value(
broker_account_value, check_limit=9999)
else:
total_capital = "Capital not updated"
print("New total capital is %s" % str(total_capital))
def update_capital_manual():
"""
Interactive session that allows you to manipulate capital manually
:return: Nothing
"""
with mongoDb() as mongo_db,\
logger("Update-Capital-Manual", mongo_db=mongo_db) as log,\
connectionIB(mongo_db = mongo_db, log=log.setup(component="IB-connection")) as ib_conn:
data = dataBlob(mongo_db = mongo_db, log = log, ib_conn = ib_conn)
data_capital = dataCapital(data)
still_running = True
while still_running:
# display capital and get input
user_option_int = print_capital_and_get_user_input(data_capital)
if user_option_int==0:
setup_initial_capital(data_capital)
elif user_option_int==1:
update_capital_from_ib(data_capital)
elif user_option_int==2:
adjust_capital_for_delta(data_capital)
elif user_option_int==3:
modify_any_value(data_capital)
elif user_option_int==4:
delete_capital_since_time(data_capital)
elif user_option_int==919:
delete_all_capital(data_capital)
elif user_option_int==5:
still_running=False
break
else:
print("%d is not a valid option but was in list of possible options: check code" % str(user_option_int))
## Back to top of while loop
return success
def update_capital_from_ib(data: dataBlob):
data_capital = dataCapital(data)
broker_account_value = get_broker_account_value(data)
try:
total_capital = (
data_capital.
update_and_return_total_capital_with_new_broker_account_value(
broker_account_value))
print("New total capital is %s" % total_capital)
except LargeCapitalChange:
ans_is_yes = true_if_answer_is_yes(
"Do you want to try again, without checking for large capital changes??"
)
if ans_is_yes:
total_capital = data_capital.update_and_return_total_capital_with_new_broker_account_value(
broker_account_value, check_limit=A_VERY_LARGE_NUMBER)
else:
print("Capital not updated")
return failure
print("New total capital is %s" % str(total_capital))
def get_total_capital_series(data):
data_capital_object = dataCapital(data)
return data_capital_object.get_series_of_maximum_capital()
def total_capital(data):
data_capital = dataCapital(data)
total_capital = data_capital.get_current_total_capital()
return total_capital
def capital():
capital_data = dataCapital(data)
capital_series = capital_data.get_series_of_all_global_capital()
now = capital_series.iloc[-1]["Actual"]
yesterday = capital_series.last("1D").iloc[0]["Actual"]
return {"now": now, "yesterday": yesterday}