def build_transfer_ratio_text(self, market_ctx):
trade_ratios = [
TransferRatio.build_transfer_ratio(chain, market_ctx)
for chain in self.chains
]
trade_ratios = sorted(
trade_ratios,
key=lambda x: to_comparable_repr(x.exchange_pair + x.equity))
last_exchange_pair = trade_ratios[0].exchange_pair
lines = []
for trade_ratio in trade_ratios:
# exchange_pair가 바뀌었다면 한 줄 띄워준다.
if last_exchange_pair != trade_ratio.exchange_pair:
last_exchange_pair = trade_ratio.exchange_pair
lines.append('')
# TradeRatio에 대해 한줄씩 넣어준다.
equity = trade_ratio.equity
ratio = trade_ratio.ratio
price_diff = trade_ratio.price_diff
percentile = (ratio - 1) * 100
log_percentile = 100 * math.log1p(ratio - 1)
diff = int(price_diff)
lines.append('{0:12}: {1:+.3f} % ({2:+.3f} ln%) [{3:+,d}]'.format(
equity, percentile, log_percentile, diff))
return '\n'.join(lines)
def _build_balance_status_text(self):
asset_volumes = self._total_asset_volumes().items()
asset_volumes = sorted(asset_volumes,
key=lambda x: to_comparable_repr(x[0]))
texts = []
for (equity, volume) in asset_volumes:
texts.append(ContentLines.get_balance_line(equity, volume))
return '\n'.join(texts)
def _build_assets_text(self, assets):
texts = []
sorted_keys = sorted(assets.keys(),
key=lambda x: to_comparable_repr(x))
for key in sorted_keys:
asset = assets[key]
texts.append(' {}'.format(
ContentLines.get_balance_line(key, asset.volume)))
return '\n'.join(texts)
def balance_changes(self):
equities = self.participating_equities
equities = sorted(equities, key=lambda x: to_comparable_repr(x))
changes = []
for equity in equities:
old_asset_volume = self.before_balance.assets[equity].volume
new_asset_volume = self.after_balance.assets[equity].volume
diff = new_asset_volume - old_asset_volume
change = TradeTaskAssetChange()
change.equity = equity
change.volume = new_asset_volume
change.diff = diff
changes.append(change)
return changes
def build_orderbook_spread_text(self, market_ctx):
orderbook_spreads = OrderbookSpread.build_orderbook_spreads(
self.chains, market_ctx)
orderbook_spreads = sorted(
orderbook_spreads,
key=lambda x: to_comparable_repr(x.orderbook_key))
last_exchange = orderbook_spreads[0].exchange
lines = []
for orderbook_spread in orderbook_spreads:
# exchange가 바뀌었다면 한 줄 띄워준다.
if last_exchange != orderbook_spread.exchange:
last_exchange = orderbook_spread.exchange
lines.append('')
orderbook_key = orderbook_spread.orderbook_key
spread_percentile = orderbook_spread.spread * 100
lines.append('{0:16}: {1:.5f} %'.format(orderbook_key,
spread_percentile))
return '\n'.join(lines)
def total_balance_changes(self):
equities = self.participating_equities
total_changes_builder = {}
for equity in equities:
_, symbol = equity.split(':')
old_asset_volume = self.before_balance.assets[equity].volume
new_asset_volume = self.after_balance.assets[equity].volume
diff = new_asset_volume - old_asset_volume
if symbol not in total_changes_builder:
change = TradeTaskAssetChange()
change.equity = symbol
change.volume = 0
change.diff = 0
total_changes_builder[symbol] = change
change = total_changes_builder[symbol]
change.volume += new_asset_volume
change.diff += diff
changes = total_changes_builder.values()
return sorted(changes, key=lambda x: to_comparable_repr(x.equity))