def updatePositionsByFill(self, fill_evevt):
posClosed = 0
pnl = 0.
symbol = fill_evevt.symbol
currDT = fill_evevt.timeindex.date()
quantity = fill_evevt.quantity
direction = convertDirection(fill_evevt.direction)
value = fill_evevt.nominal / quantity / direction
if symbol not in self._allPositions:
lag = self._lags[symbol]
short = self._shortable[symbol]
self._allPositions[symbol] = SymbolPositionsHistory(symbol,
lag,
short,
currDT,
quantity,
0,
direction,
value)
posOpened = quantity
else:
symbolPositionsHistory = self._allPositions[symbol]
posClosed, posOpened, pnl = \
symbolPositionsHistory.updatePositionsByFill(currDT, quantity, direction, value)
if symbolPositionsHistory.empty():
del self._allPositions[symbol]
self._avaliableForTrade(symbol, currDT)
return -posClosed * direction, posOpened * direction, pnl
def updatePositionsByCancelOrder(self, symbol, currDT, quantity, direction):
direction = convertDirection(direction)
if symbol in self._allPositions:
symbolPositionsHistory = self._allPositions[symbol]
symbolPositionsHistory.updatePositionsByCancelOrder(currDT, quantity, direction)
# update cache for future usage
self._avaliableForTrade(symbol, currDT)
def updatePositionsByFill(self, currDT, quantity, direction, value):
posClosed = 0
posOpened = 0
pnl = 0.
toFinish = quantity
direction = convertDirection(direction)
for i, d in enumerate(self.existDirections):
if d != direction:
amount = self.positions[i]
if amount >= toFinish:
self.positions[i] -= toFinish
self.locked[i] -= toFinish
posClosed += toFinish
pnl += (value - self.existValues[i]) * d * toFinish
toFinish = 0
break
else:
toFinish -= amount
self.positions[i] = 0
self.locked[i] = 0
posClosed += amount
pnl += (value - self.existValues[i]) * d * amount
if toFinish:
if len(self.dates) >= 1 and self.existDirections[
-1] == direction and self.dates[-1] == currDT:
self.existValues[-1] = \
(self.positions[-1] * self.existValues[-1] + toFinish * value) / (self.positions[-1] + toFinish)
self.positions[-1] += toFinish
toFinish = 0
if toFinish and len(self.dates) >= 2 and self.existDirections[
-2] == direction and self.dates[-2] == currDT:
self.existValues[-2] = \
(self.positions[-2] * self.existValues[-2] + toFinish * value) / (self.positions[-2] + toFinish)
self.positions[-2] += toFinish
toFinish = 0
if toFinish:
self.dates.append(currDT)
self.positions.append(toFinish)
self.locked.append(0)
self.existDirections.append(direction)
self.existValues.append(value)
posOpened = toFinish
deleted = 0
for k in range(i + 1):
if self.positions[k - deleted] == 0:
del self.dates[k - deleted]
del self.positions[k - deleted]
del self.locked[k - deleted]
del self.existDirections[k - deleted]
del self.existValues[k - deleted]
deleted += 1
return posClosed, posOpened, pnl
def updatePositionsByFill(self, currDT, quantity, direction, value):
posClosed = 0
posOpened = 0
pnl = 0.
toFinish = quantity
direction = convertDirection(direction)
for i, d in enumerate(self.existDirections):
if d != direction:
amount = self.positions[i]
if amount >= toFinish:
self.positions[i] -= toFinish
self.locked[i] -= toFinish
posClosed += toFinish
pnl += (value - self.existValues[i]) * d * toFinish
toFinish = 0
break
else:
toFinish -= amount
self.positions[i] = 0
self.locked[i] = 0
posClosed += amount
pnl += (value - self.existValues[i]) * d * amount
if toFinish:
if len(self.dates) >= 1 and self.existDirections[-1] == direction and self.dates[-1] == currDT:
self.existValues[-1] = \
(self.positions[-1] * self.existValues[-1] + toFinish * value) / (self.positions[-1] + toFinish)
self.positions[-1] += toFinish
toFinish = 0
if toFinish and len(self.dates) >= 2 and self.existDirections[-2] == direction and self.dates[-2] == currDT:
self.existValues[-2] = \
(self.positions[-2] * self.existValues[-2] + toFinish * value) / (self.positions[-2] + toFinish)
self.positions[-2] += toFinish
toFinish = 0
if toFinish:
self.dates.append(currDT)
self.positions.append(toFinish)
self.locked.append(0)
self.existDirections.append(direction)
self.existValues.append(value)
posOpened = toFinish
deleted = 0
for k in range(i+1):
if self.positions[k - deleted] == 0:
del self.dates[k - deleted]
del self.positions[k - deleted]
del self.locked[k - deleted]
del self.existDirections[k - deleted]
del self.existValues[k - deleted]
deleted += 1
return posClosed, posOpened, pnl
def updatePositionsByOrder(self, symbol, currDT, quantity, direction):
direction = convertDirection(direction)
if symbol not in self._allPositions:
if not self._shortable[symbol] and direction == -1:
raise ValueError("Short sell is not allowed for {0}".format(symbol))
else:
symbolPositionsHistory = self._allPositions[symbol]
symbolPositionsHistory.updatePositionsByOrder(currDT, quantity, direction)
# update cache for future usage
self._avaliableForTrade(symbol, currDT)