def updated_buffered_positions(data: dataBlob, strategy_name: str,
system: System):
log = data.log
data_optimal_positions = dataOptimalPositions(data)
list_of_instruments = system.get_instrument_list()
for instrument_code in list_of_instruments:
lower_buffer, upper_buffer = get_position_buffers_from_system(
system, instrument_code)
position_entry = construct_position_entry(
data=data,
system=system,
instrument_code=instrument_code,
lower_buffer=lower_buffer,
upper_buffer=upper_buffer,
)
instrument_strategy = instrumentStrategy(
instrument_code=instrument_code, strategy_name=strategy_name)
data_optimal_positions.update_optimal_position_for_instrument_strategy(
instrument_strategy=instrument_strategy,
position_entry=position_entry)
log.msg(
"New buffered positions %.3f %.3f" %
(position_entry.lower_position, position_entry.upper_position),
instrument_code=instrument_code,
)
def get_raw_optimal_position_data(self) -> dict:
# This is the 'raw' data, positions pre-optimisation
# dict of optimalPositionWithReference
data = self.data
strategy_name = self.strategy_name
optimal_position_data = dataOptimalPositions(data)
list_of_instruments = optimal_position_data.get_list_of_instruments_for_strategy_with_optimal_position(
strategy_name, raw_positions=True)
list_of_instrument_strategies = [
instrumentStrategy(strategy_name=strategy_name,
instrument_code=instrument_code)
for instrument_code in list_of_instruments
]
raw_optimal_positions = dict([(
instrument_strategy.instrument_code,
optimal_position_data.
get_current_optimal_position_for_instrument_strategy(
instrument_strategy, raw_positions=True),
) for instrument_strategy in list_of_instrument_strategies])
return raw_optimal_positions
def cut_down_proposed_instrument_trade_okay(self, instrument_trade):
strategy_name = instrument_trade.strategy_name
instrument_code = instrument_trade.instrument_code
proposed_trade = instrument_trade.as_single_trade_qty_or_error()
## want to CUT DOWN rather than bool possible trades
## FIXME:
## underneath should be using tradeQuantity and position objects
## these will handle abs cases plus legs if required in future
# :FIXME
instrument_strategy = instrumentStrategy(
strategy_name=strategy_name, instrument_code=instrument_code)
max_trade_ok_against_instrument_strategy = \
self.check_if_proposed_trade_okay_against_instrument_strategy_constraint(instrument_strategy,
proposed_trade)
max_trade_ok_against_instrument = \
self.check_if_proposed_trade_okay_against_instrument_constraint(instrument_code,
proposed_trade)
## FIXME THIS IS UGLY WOULD BE BETTER IF DONE INSIDE TRADE SIZE OBJECT
mini_max_trade = sign(proposed_trade) * \
min([abs(max_trade_ok_against_instrument),
abs(max_trade_ok_against_instrument_strategy)])
mini_max_trade = tradeQuantity(mini_max_trade)
instrument_trade = instrument_trade.replace_required_trade_size_only_use_for_unsubmitted_trades(
mini_max_trade)
return instrument_trade
def actual_instrument_position(data):
diag_positions = diagPositions(data)
strategy_name_list = diag_positions.get_list_of_strategies_with_positions()
strategy_name = print_menu_of_values_and_get_response(strategy_name_list)
if strategy_name is user_exit:
return None
instrument_code_list = (
diag_positions.get_list_of_instruments_for_strategy_with_position(
strategy_name, ignore_zero_positions=False
)
)
instrument_code = get_valid_code_from_list(instrument_code_list)
if instrument_code is user_exit:
return None
instrument_strategy = instrumentStrategy(
strategy_name=strategy_name, instrument_code=instrument_code
)
pos_series = diag_positions.get_position_df_for_instrument_strategy(
instrument_strategy
)
print(pos_series)
return None
def cut_down_proposed_instrument_trade_for_position_limits(
self, order: instrumentOrder):
strategy_name = order.strategy_name
instrument_code = order.instrument_code
instrument_strategy = instrumentStrategy(
strategy_name=strategy_name, instrument_code=instrument_code)
max_order_ok_against_instrument_strategy = \
self._check_if_proposed_trade_okay_against_instrument_strategy_constraint(instrument_strategy,
order)
max_order_ok_against_instrument = \
self._check_if_proposed_trade_okay_against_instrument_constraint(instrument_code,
order)
new_order = order.\
single_leg_trade_qty_with_lowest_abs_value_trade_from_order_list(
[
max_order_ok_against_instrument,
max_order_ok_against_instrument_strategy
]
)
return new_order
def change_position_limit_for_instrument_strategy(data):
view_position_limit(data)
data_position_limits = dataPositionLimits(data)
strategy_name = get_valid_strategy_name_from_user(data,
allow_all=False,
source="positions")
instrument_code = get_valid_instrument_code_from_user(data,
allow_all=False)
new_position_limit = get_and_convert(
"New position limit?",
type_expected=int,
allow_default=True,
default_value=-1,
default_str="No limit",
)
instrument_strategy = instrumentStrategy(instrument_code=instrument_code,
strategy_name=strategy_name)
if new_position_limit == -1:
data_position_limits.delete_position_limit_for_instrument_strategy(
instrument_strategy)
else:
new_position_limit = abs(new_position_limit)
data_position_limits.set_position_limit_for_instrument_strategy(
instrument_strategy, new_position_limit)
def get_fills_for_instrument(data, instrument_code, strategy_name):
data_orders = dataOrders(data)
instrument_strategy = instrumentStrategy(instrument_code=instrument_code, strategy_name=strategy_name)
list_of_fills = data_orders.get_fills_history_for_instrument_strategy(instrument_strategy)
return list_of_fills
def _element_object_from_row(dfrow):
instrument_strategy = instrumentStrategy(
strategy_name=dfrow[KEY_STRATEGY_NAME],
instrument_code=dfrow[KEY_INSTRUMENT_CODE],
)
return instrumentStrategyPosition(dfrow[KEY_POSITION],
instrument_strategy)
def get_current_optimal_position_for_strategy_and_instrument(
self, strategy_name, instrument_code
):
# FIX ME REMOVE
instrument_strategy = instrumentStrategy(strategy_name=strategy_name,
instrument_code=instrument_code)
return self.get_current_optimal_position_for_instrument_strategy(instrument_strategy)
def get_position_df_for_strategy_and_instrument(
self, strategy_name:str, instrument_code:str
):
#FIXME THINK ABOUT REMOVING
instrument_strategy = instrumentStrategy(strategy_name=strategy_name, instrument_code=instrument_code)
position_df = self.get_position_df_for_instrument_strategy_object(instrument_strategy)
return position_df
def update_instrument_strategy_limit_with_new_limit(
self, strategy_name, instrument_code, period_days, new_limit):
#FIXME DELETE REPLACE WITH '2'
instrument_strategy = instrumentStrategy(
strategy_name=strategy_name, instrument_code=instrument_code)
self.update_instrument_strategy_limit_with_new_limit2(
instrument_strategy, period_days, new_limit)
def get_current_position_for_strategy_and_instrument(
self, strategy_name, instrument_code):
#FIXME THINK ABOUT REMOVING
instrument_strategy = instrumentStrategy(
strategy_name=strategy_name, instrument_code=instrument_code)
position = self.get_current_position_for_instrument_strategy(
instrument_strategy)
return position
def get_trade_df_for_instrument(data, instrument_code, strategy_name):
data_orders = dataOrders(data)
instrument_strategy = instrumentStrategy(instrument_code=instrument_code, strategy_name=strategy_name)
list_of_trades = data_orders.get_fills_history_for_instrument_strategy(instrument_strategy)
list_of_trades_as_pd_df = list_of_trades.as_pd_df()
return list_of_trades_as_pd_df
def update_override_for_strategy_instrument(self, strategy_name,
instrument_code, new_override):
# FIXME REMOVE
instrument_strategy = instrumentStrategy(
strategy_name=strategy_name, instrument_code=instrument_code)
self.update_override_for_instrument_strategy(instrument_strategy,
new_override)
def set_abs_position_limit_for_strategy_instrument(self, strategy_name,
instrument_code,
new_position_limit):
#FIXME DELETE
instrument_strategy = instrumentStrategy(
strategy_name=strategy_name, instrument_code=instrument_code)
self.set_position_limit_for_instrument_strategy(
instrument_strategy, new_position_limit)
def get_current_position_for_instrument_code(
data_backtest, data, instrument_code):
diag_positions = diagPositions(data)
strategy_name = data_backtest.strategy_name
instrument_strategy = instrumentStrategy(strategy_name=strategy_name, instrument_code=instrument_code)
current_position = diag_positions.get_current_position_for_instrument_strategy(instrument_strategy)
return current_position
def instrument_strategy_with_raw_tag(
instrument_strategy: instrumentStrategy, ) -> instrumentStrategy:
original_strategy_name = copy(instrument_strategy.strategy_name)
strategy_name = strategy_name_with_raw_tag(original_strategy_name)
new_instrument_strategy = instrumentStrategy(
strategy_name=strategy_name,
instrument_code=instrument_strategy.instrument_code)
return new_instrument_strategy
def get_position_series_for_instrument_strategy(
data, instrument_code, strategy_name):
diag_positions = diagPositions(data)
instrument_strategy = instrumentStrategy(strategy_name=strategy_name, instrument_code=instrument_code)
pos_series = diag_positions.get_position_df_for_instrument_strategy(instrument_strategy)
if pos_series is missing_data:
return pd.Series()
return pd.Series(pos_series.position)
def get_optimal_positions(self) -> optimalPositions:
data = self.data
strategy_name = self.strategy_name
optimal_position_data = dataOptimalPositions(data)
list_of_instruments = optimal_position_data.get_list_of_instruments_for_strategy_with_optimal_position(
strategy_name)
list_of_instrument_strategies = [
instrumentStrategy(strategy_name=strategy_name,
instrument_code=instrument_code)
for instrument_code in list_of_instruments
]
optimal_positions = dict([(
instrument_strategy.instrument_code,
optimal_position_data.
get_current_optimal_position_for_instrument_strategy(
instrument_strategy),
) for instrument_strategy in list_of_instrument_strategies])
ref_dates = dict([
(instrument_code, opt_position.date)
for instrument_code, opt_position in optimal_positions.items()
])
upper_positions = dict([
(instrument_code, opt_position.upper_position)
for instrument_code, opt_position in optimal_positions.items()
])
lower_positions = dict([
(instrument_code, opt_position.lower_position)
for instrument_code, opt_position in optimal_positions.items()
])
reference_prices = dict([
(instrument_code, opt_position.reference_price)
for instrument_code, opt_position in optimal_positions.items()
])
reference_contracts = dict([
(instrument_code, opt_position.reference_contract)
for instrument_code, opt_position in optimal_positions.items()
])
optimal_positions = optimalPositions(
upper_positions=upper_positions,
lower_positions=lower_positions,
reference_prices=reference_prices,
reference_contracts=reference_contracts,
ref_dates=ref_dates,
)
return optimal_positions
def _from_trade_limit_dict_to_required_dict(trade_limit_dict: dict) -> dict:
if INSTRUMENT_STRATEGY_KEY in trade_limit_dict.keys():
## NEW STYLE
return trade_limit_dict
## OLD STYLE
instrument_strategy = instrumentStrategy(instrument_code=trade_limit_dict.pop(LEGACY_INSTRUMENT_KEY),
strategy_name=trade_limit_dict.pop(LEGACY_STRATEGY_KEY))
trade_limit_dict[INSTRUMENT_STRATEGY_KEY] = instrument_strategy.key
return trade_limit_dict
def _from_result_dict_to_isd(result_dict: dict) -> instrumentStrategyKeyAndDays:
if INSTRUMENT_STRATEGY_KEY in result_dict.keys():
## NEW STYLE
instrument_strategy_key = result_dict[INSTRUMENT_STRATEGY_KEY]
else:
## LEGACY
instrument_strategy = instrumentStrategy(strategy_name=result_dict[LEGACY_STRATEGY_KEY],
instrument_code=result_dict[LEGACY_INSTRUMENT_KEY])
instrument_strategy_key = instrument_strategy.key
return instrumentStrategyKeyAndDays(instrument_strategy_key, result_dict[PERIOD_KEY])
def get_reduce_only_keys(data: dataBlob, strategy_name: str,
list_of_instruments: list) -> list:
no_trade_keys = [
instrument_code for instrument_code in list_of_instruments
if get_override_for_instrument_strategy(
data,
instrument_strategy=instrumentStrategy(
instrument_code=instrument_code, strategy_name=strategy_name),
) == REDUCE_ONLY_OVERRIDE
]
return no_trade_keys
def get_maximum_position_contracts(
data, strategy_name: str,
list_of_instruments: list) -> portfolioWeights:
maximum_position_contracts = dict([(
instrument_code,
get_maximum_position_contracts_for_instrument_strategy(
data,
instrument_strategy=instrumentStrategy(
strategy_name=strategy_name, instrument_code=instrument_code)),
) for instrument_code in list_of_instruments])
return portfolioWeights(maximum_position_contracts)
def update_strategy_instrument_override(data):
view_overrides(data)
update_overrides = updateOverrides(data)
instrument_code = get_valid_instrument_code_from_user(data)
strategy_name = get_valid_strategy_name_from_user(data=data,
source="positions")
instrument_strategy = instrumentStrategy(instrument_code=instrument_code,
strategy_name=strategy_name)
new_override = get_overide_object_from_user()
ans = input("Are you sure? (y/other)")
if ans == "y":
update_overrides.update_override_for_instrument_strategy(
instrument_strategy=instrument_strategy, new_override=new_override)
def get_last_position_update_for_strategy_instrument(data, strategy_name,
instrument_code):
op = dataOptimalPositions(data)
instrument_strategy = instrumentStrategy(instrument_code=instrument_code,
strategy_name=strategy_name)
pos_data = op.get_optimal_position_as_df_for_instrument_strategy(
instrument_strategy)
if pos_data is missing_data:
return None
last_update = pos_data.index[-1]
key = "%s/%s" % (strategy_name, instrument_code)
return genericUpdate(key, last_update)
def get_list_of_perc_pandl_series_for_strategy_all_instruments(
self, strategy_name: str):
instrument_list = get_list_of_instruments_held_for_a_strategy(
self.data, strategy_name)
if len(instrument_list) == 0:
return missing_data, missing_data
pandl_list = [
self.perc_pandl_series_for_strategy_instrument_vs_total_capital(
instrumentStrategy(strategy_name, instrument_code))
for instrument_code in instrument_list
]
return instrument_list, pandl_list
def backup_strategy_position_data(data):
strategy_list = get_list_of_strategies(data)
instrument_list = (data.mongo_contract_position.
get_list_of_instruments_with_any_position())
for strategy_name in strategy_list:
for instrument_code in instrument_list:
instrument_strategy = instrumentStrategy(
strategy_name=strategy_name, instrument_code=instrument_code)
mongo_data = data.mongo_strategy_position.get_position_as_df_for_instrument_strategy_object(
instrument_strategy)
if mongo_data is missing_data:
continue
data.csv_strategy_position.write_position_df_for_instrument_strategy(
instrument_strategy, mongo_data)
data.log.msg("Backed up %s %s strategy position data" %
(instrument_code, strategy_name))
def reset_limit_for_instrument_strategy(data):
trade_limits = dataTradeLimits(data)
instrument_code = get_valid_instrument_code_from_user(data)
period_days = get_and_convert(
"Period of days?", type_expected=int, allow_default=True, default_value=1
)
strategy_name = get_valid_strategy_name_from_user(data=data, source="positions")
ans = input("Reset means trade 'clock' will restart. Are you sure? (y/other)")
if ans == "y":
instrument_strategy = instrumentStrategy(
instrument_code=instrument_code, strategy_name=strategy_name
)
trade_limits.reset_instrument_strategy_limit(
instrument_strategy=instrument_strategy, period_days=period_days
)
def write_optimised_positions_data_for_code(
data: dataBlob,
strategy_name: str,
instrument_code: str,
optimised_position_entry: optimalPositionWithDynamicCalculations,
):
data_optimal_positions = dataOptimalPositions(data)
instrument_strategy = instrumentStrategy(instrument_code=instrument_code,
strategy_name=strategy_name)
data.log.msg(
"Adding optimal position for %s: %s" %
(str(instrument_strategy), optimised_position_entry.verbose_repr()))
data_optimal_positions.update_optimal_position_for_instrument_strategy(
instrument_strategy=instrument_strategy,
position_entry=optimised_position_entry)
def get_dict_of_actual_positions_for_strategy(self,
strategy_name: str) -> dict:
list_of_instruments = self.get_list_of_instruments_for_strategy_with_position(
strategy_name)
list_of_instrument_strategies = [
instrumentStrategy(strategy_name=strategy_name,
instrument_code=instrument_code)
for instrument_code in list_of_instruments
]
actual_positions = dict([(
instrument_strategy.instrument_code,
self.get_current_position_for_instrument_strategy(
instrument_strategy),
) for instrument_strategy in list_of_instrument_strategies])
return actual_positions
