def timeToClose(self, currentQuote, strategyMaker):
"""is it time to close (take-profit, save-loss, stop-loss triggered), or update stop-loss-value?"""
avgPrice = self.relevantPrice(currentQuote)
newStopValue = self.expectedTrailingStopValue(currentQuote)
benefRatio = 0.0
lossRatio = 0.0
holdRatio = 0.0
if(newStopValue is not None and self.trailingStopValue is not None):
if((self.forBUY and newStopValue < 0.9999*self.trailingStopValue) or
(not self.forBUY and 0.9999*newStopValue > self.trailingStopValue)):
corelog.critical( "WARNING: stop value calculations are retrograde!" )
import pdb; pdb.set_trace()
newStopValue2 = self.expectedTrailingStopValue(currentQuote)
# import pdb; pdb.set_trace()
if(self.forBUY):
delta = avgPrice - self.entryQuote.ask.o
benefRatio = 100*delta/self.expGain
lossRatio = -100*delta/self.expLoss
# whe losing, use lossRatio and make it negative
holdRatio = -lossRatio if(delta<0)else benefRatio
if(avgPrice < self.saveLoss ):
return ('save-loss', 'close', delta, lossRatio)
elif(avgPrice > self.takeProfit):
return ('take-profit', 'close', delta, benefRatio)
elif(self.trailingStopValue is None and newStopValue is not None):
return ('trailing-stop', 'trailing-stop', delta, holdRatio)
elif(self.trailingStopValue is not None and newStopValue is not None and round(newStopValue,7) != round(self.trailingStopValue,7)):
return ('trailing-stop', 'trailing-progress', delta,holdRatio)
elif(self.trailingStopValue is not None and self.trailingStopValue>avgPrice):
delta = self.trailingStopValue - self.entryQuote.ask.o
return ('trailing-stop', 'close', delta, benefRatio)
else:
delta = self.entryQuote.bid.o - avgPrice
benefRatio = 100*delta/self.expGain
lossRatio = -100*delta/self.expLoss
holdRatio = benefRatio if(delta>0)else -lossRatio
if(avgPrice > self.saveLoss ):
expLoss = self.saveLoss - self.entryQuote.ask.o
return ('save-loss', 'close', delta, lossRatio)
elif(avgPrice < self.takeProfit ):
return ('take-profit', 'close', delta, benefRatio)
elif(newStopValue is not None and self.trailingStopValue is None):
return ('trailing-stop', 'trailing-stop', delta, holdRatio)
elif(self.trailingStopValue is not None and newStopValue is not None and round(newStopValue,7) != round(self.trailingStopValue,7)):
return ('trailing-stop', 'trailing-progress',delta,holdRatio)
elif(self.trailingStopValue is not None and self.trailingStopValue < avgPrice):
delta = self.entryQuote.bid.o - self.trailingStopValue
return ('trailing-stop', 'close', delta, benefRatio)
if(self.trailingStopNeedsReplacement):
return ('trailing-stop', 'trailing-update', delta, holdRatio)
return ('hold', 'hold', delta, holdRatio)
def refresh(self, force=False, raiseX=True):
if (self.simulation): return
if (force or self.refreshIsDue()):
try:
whenT = time.time()
accountResp = self.api.account.get(self.accountId)
self.account = accountResp.get('account', '200')
self.accountTime = time.time()
except:
corelog.critical("issue refreshing account ... skipping ...")
if (force or raiseX): raise
def executeTrade(self, looper, pos,wait=1200,noMore=5):
"""Execute a trade for a position, and a looper.
On success, returns a 2-tuple: position object identified after successful trade, trade id
When trade-id is None, the position object is the same as originally thought, the trade hasn't happened yet
On failure, the 2-tuple is not returned, but None is returned. Some other issue at the broker (or with the order) have occurred"""
kwargs = {}
kwargs['instrument'] = looper.instrumentName
# kwargs['price']=pos.entryQuote.ask.o if(pos.forBUY) else pos.entryQuote.bid.o
kwargs['units']=(pos.size if(pos.forBUY) else -pos.size)
#kwargs['timeInForce']='GTC'
# saveLoss / takeProfit - user minimal minimumTrailingStopDistance to not annoy the broker
mtsd = looper.instrument.minimumTrailingStopDistance
sl = pos.saveLoss;tp=pos.takeProfit
def nicepadding(x,prec):
x = str(x)
if(x.find(".")>0):
x += "00000"
return x[0:(x.index(".")+1+prec)]
return x
kwargs['stopLossOnFill'] = {"price": nicepadding(sl, looper.displayPrecision)}
kwargs['takeProfitOnFill'] = {"price": nicepadding(tp, looper.displayPrecision)}
corelog.debug(kwargs)
response = looper.api.order.market(
looper.accountId,
**kwargs
)
if(not(response.status == 201 or response.status == '201')):
corelog.critical( "Position / Trade could not be executed...")
corelog.critical(response.body)
else:
newTrades =[]
prevTradeIDs = map(lambda t: t.id, looper.account.trades)
while(len(newTrades)==0):
time.sleep(wait/1000.0)
looper.refreshPositions(self, force=True)
newTrades = [ t for t in looper.account.trades if t.id not in prevTradeIDs and t.instrument == looper.instrumentName ]
if(len(newTrades)==0):
noMore -= 1
if(noMore>0):
corelog.info("new trade not executed yet - waiting again...")
else:
corelog.warning("new trade not executed yet - but continuing...")
return pos, None
newPos = self.makeFromExistingTrade(pos.entryQuote, looper.account, newTrades[0].id)
# if(pos.trailingSpecs is not None):
# newPos.calibrateTrailingStopLossDesireForSteppedSpecs(pos.traillingSpecs,
return newPos, newTrades[0].id
return None
def executeClose(self, looper, pos, size=None, wait=1200, noMore=5):
""" when the close executes, this returns a pair (position, trade-id).
If the position is actually closed, then the position is returned as None, so what is returned is (None, trade-id).
If the close fails, None is returned """
kwargs = {}
if (size is not None):
fsize = float(size)
if (pos.size > fsize):
kwargs["units"] = str(size)
else:
raise ValueError(
"Cannot use executeClose to with a size greater than current position: {} is great than current {}"
.format(size, pos.size))
response = looper.api.trade.close(looper.accountId, pos.tradeID,
**kwargs)
if (response.status.code == "200" or response.status.code == 200):
corelog.debug("Closing trade {} with {} was successful".format(
pos.tradeID, kwargs))
else:
corelog.critical("Unable to close trade: {}\n{}".format(
response.status, response.body))
return None
myTrade = None
while (myTrade is None and noMore > 0):
time.sleep(wait / 1000.0)
looper.refreshPositions(self, force=True)
myTrades = [
t for t in looper.account.positions if t.id == pos.tradeID
]
if (len(myTrades) > 0):
if (float(myTrades[0].currentUnits) < float(pos.size)):
myTrade = myTrades[0]
else:
if (size is None):
# the position is not on the account (not open, but gone, closed) and we didn't pass a size, so it is all good.
break
else:
noMore -= 1
if (myTrade is not None):
newPosVersion = self.makeFromExistingTrade(pos.entryQuote,
looper.account,
myTrade.id)
return newPosVersion, myTrade.id
else:
return None, pos.tradeID