def squareoff(context, asset=None):
"""
Square off assets. If `asset` is `None`, square of all assets.
Else the specified asset.
Args:
`context (obj)`: Algo context object.
`asset (obj)`: Asset to square off, or `None` for all.
Returns:
None.
"""
if asset:
if PLATFORM_ENGINE == 'blueshift':
square_off(asset)
else:
order_target(asset, 0)
return
cancel_open_orders(context)
if PLATFORM_ENGINE == 'blueshift':
square_off()
else:
positions = context.portfolio.positions
for asset in positions:
order_target(asset, 0)
def check_sl_tp(asset, context, data):
""" this function is called on every data update. """
px = data.current(asset, 'close')
if px > context.target[asset] or px < context.stop[asset]:
if px > context.target[asset]:
print_msg(f'book profit on asset {asset} and stop sl tp monitor.')
else:
print_msg(
f'got stopped out on asset {asset} and stop sl tp monitor.')
order_target(asset, 0)
off_data(context.data_monitors[asset])
terminate()
def check_exit(context, data, asset):
""" this function is called on every data update. """
px = data.current(asset, 'close')
move = (px - context.entry_price) / context.entry_price
if move > context.take_profit:
# we hit the take profit target, book profit and terminate
order_target(asset, 0)
off_data()
print_msg(f'booking profit at {px} and turn off data monitor.')
terminate()
elif move < -context.stop_loss:
# we hit the stoploss, sqaure off and terminate
order_target(asset, 0)
off_data()
print_msg(f'booking loss at {px} and turn off data monitor.')
terminate()
def enter_trade(context, data):
""" this function is called only once at the beginning. """
if not context.traded:
px = data.current(context.asset, 'close')
# place a limit order at the last price
order_id = order_target(context.asset, 1000, px)
## NOTE: do not use lambda for more than one asset inside a loop
## (or comprehension), you will only retain the last value of
## closure variable. Use partial from functools. See other
## samples under this folder.
f = lambda context, data: check_order(context, data, order_id)
on_trade(f)
context.traded = True
msg = f'placed a new trade {order_id} at {px} and set up order monitor.'
print_msg(msg)
def enter_trade(context, data):
""" this function is called only once at the beginning. """
if not context.traded:
px = data.current(context.assets, 'close')
# for more than one asset, set up a loop and create
# the monitoring function using partial from functools
for asset in context.assets:
# place a limit order at the last price
order_id = order_target(asset, 1, px[asset])
f = partial(check_order, order_id, asset)
context.order_monitors[asset] = f
on_trade(f)
msg = f'placed a new trade {order_id} for {asset},'
msg = msg + ' and set up order monitor.'
print_msg(msg)
context.traded = True
def rebalance(context,data):
"""
A function to rebalance - all execution logic goes here
"""
for security in context.securities:
order_target(security, context.target_position[security])
def place_order(asset, context, price):
context.target[asset] = price * 1.005
context.stop[asset] = price * 0.995
order_target(asset, 1, limit_price=price)
context.ordered[asset] = True