def getEnterDate(self,nextED=None, TOD="", calendar=None, stk=""):
''' Establish Enter Date '''
enterDate = None
if ( TOD in ['Before Market', 'During Market'] ):
''' Back shift enter date if necessary '''
idx = utils.find_date_in_list(calendar=calendar, target_date=nextED, move=0 )
if(idx ==np.nan):
last_idx = utils.find_date_in_list(calendar=calendar, target_date=nextED, move=1 )
else:
last_idx = idx -1
try:
enterDate = calendar[last_idx]
return enterDate
except:
print stk, ": Couldn't locate earnings date"
else:
return nextED
def getScrubDate(self,nextED=None, TOD="", calendar=None):
idx = utils.find_date_in_list(calendar=calendar, target_date=nextED, move=0 )
if( (TOD=='After Market') ):
try:
return calendar[idx+1]
except:
print nextED, " not in trading Calendar "
elif( TOD!='nan' ):
return nextED
elif ( TOD=='nan' ):
print "We should not even be attempting to update"
def momentumGuard(self):
''' # ========================================================= # '''
pos = self.execBroker.getPositions()
for key, position_ in pos.iterrows():
if (position_['Symbol'] == self.hedgeInstrument):
continue
sgn = np.sign(position_['Number_of_Units'])
ticker = (position_['Symbol'])
if (sgn != 0):
''' Check if returns have moved against us '''
contract = self.execBroker.createContract(
ticker=ticker,
instrument_type=position_['Financial_Instrument'])
todayOpen = datetime.datetime.now().replace(hour=9, minute=30)
idx = utils.find_date_in_list(
calendar=nysecal,
target_date=datetime.date.today(),
move=0)
prevClose = datetime.datetime.combine(nysecal[idx - 1],
datetime.time(16, 00))
prevClosePrice = self.execBroker.getDataAtTime(
type_data='MIDPOINT',
contract=contract,
data_time=prevClose,
bar_size='1 secs')['close'].iloc[-1]
todayOpenPrice = self.execBroker.getDataAtTime(
type_data='MIDPOINT',
contract=contract,
data_time=todayOpen,
bar_size='1 secs')['close'].iloc[-1]
interDayRtns = sgn * (todayOpenPrice -
prevClosePrice) / prevClosePrice
print ticker, interDayRtns
if (interDayRtns <= 0):
self.execBroker.closePosition(symbol=ticker,
order_type='MARKET')
if (position['Symbol'] == hedgeInstrument):
continue
sgn = np.sign(position['Number_of_Units'])
ticker = (position['Symbol'])
if (sgn != 0):
''' Check if returns have moved against us '''
contract = ib.createContract(
ticker=ticker, instrument_type=position['Financial_Instrument'])
todayOpen = datetime.datetime.now().replace(hour=9, minute=30)
idx = utils.find_date_in_list(calendar=nysecal,
target_date=datetime.date.today(),
move=0)
prevClose = datetime.datetime.combine(nysecal[idx - 1],
datetime.time(15, 59))
prevClosePrice = ib.getDataAtTime(type_data='MIDPOINT',
contract=contract,
data_time=prevClose,
bar_size='1 secs')['close'].iloc[-1]
todayOpenPrice = ib.getDataAtTime(type_data='MIDPOINT',
contract=contract,
data_time=todayOpen,
bar_size='1 secs')['close'].iloc[-1]
def enterNewPositions(self):
''' This should be entered at the close '''
todayBulls = pd.Series()
todayBears = pd.Series()
# Get top 30 positions
''' ------------------- '''
''' BULLS '''
''' ------------------- '''
for stk in self.decision_algorithm.bulls.keys():
''' live Data '''
contract = self.broker.createContract(ticker=stk,
instrument_type='STK')
liveData = self.broker.getLiveMarketData(contract=contract)
print(stk, liveData)
try:
askPrice = liveData['price'][liveData['Type'] == 'ASK PRICE']
bidPrice = liveData['price'][liveData['Type'] == 'BID PRICE']
except: # Josh's fix
askPrice = pd.Series()
bidPrice = pd.Series()
if ((not askPrice.empty) & (not bidPrice.empty)):
todayClosePrice = (askPrice.values[0] +
bidPrice.values[0]) * 0.5 #mid point
else:
try:
todayClosePrice = liveData['price'][
liveData['Type'] == 'CLOSE PRICE'].values[0]
except:
print("Close price DNE for: ", stk)
continue
''' prevClose '''
idx = utils.find_date_in_list(calendar=nysecal,
target_date=dt.date.today(),
move=0)
print(idx)
prevClose = dt.datetime.combine(nysecal[int(idx - 1)],
dt.time(16, 0, 0))
prevClosePrice = self.broker.getDataAtTime(
type_data='MIDPOINT',
contract=contract,
data_time=prevClose,
bar_size='1 min',
)['close']
''' Inter Close-Close returns '''
# prevClosePrice=0.1
todayBulls[stk] = (todayClosePrice -
prevClosePrice) / prevClosePrice
print(stk, todayBulls[stk])
# print(stk, prevClosePrice)
''' ------------------- '''
''' BEARS '''
''' ------------------- '''
for stk in self.decision_algorithm.bears.keys():
''' live Data '''
contract = self.broker.createContract(ticker=stk,
instrument_type='STK')
liveData = self.broker.getLiveMarketData(contract=contract)
print(stk, liveData)
try:
askPrice = liveData['price'][liveData['Type'] == 'ASK PRICE']
bidPrice = liveData['price'][liveData['Type'] == 'BID PRICE']
except: # Josh's fix
askPrice = pd.Series()
bidPrice = pd.Series()
if ((not askPrice.empty) & (not bidPrice.empty)):
todayClosePrice = (askPrice.values[0] +
bidPrice.values[0]) * 0.5 #mid point
else:
try:
todayClosePrice = liveData['price'][
liveData['Type'] == 'CLOSE PRICE'].values[0]
except:
print("Close price DNE for: ", stk)
continue
''' prevClose '''
idx = utils.find_date_in_list(calendar=nysecal,
target_date=dt.date.today(),
move=0)
prevClose = dt.datetime.combine(nysecal[idx - 1],
dt.time(16, 0, 0))
prevClosePrice = self.broker.getDataAtTime(
type_data='MIDPOINT',
contract=contract,
data_time=prevClose,
bar_size='1 min',
)['close']
''' Inter Close-Close returns '''
# prevClosePrice=0.1
todayBears[stk] = (todayClosePrice -
prevClosePrice) / prevClosePrice
print(stk, todayBears[stk])
# ''' live Data '''
# contract = self.broker.createContract(ticker=stk, instrument_type='STK')
# liveData = self.broker.getLiveMarketData(contract=contract)
#
# askPrice = liveData['price'][ liveData['Type']=='ASK PRICE' ].values[0]
# bidPrice = liveData['price'][ liveData['Type']=='BID PRICE' ].values[0]
#
# todayClosePrice = ( askPrice +bidPrice )*0.5 #mid price
#
# ''' prevClose '''
# idx = utils.find_date_in_list(calendar=nysecal,
# target_date=dt.date.today(),
# move=0)
# prevClose = dt.datetime.combine( nysecal[idx-1], dt.time(16,0,0) )
# prevClosePrice = self.broker.getDataAtTime( type_data='MIDPOINT',
# contract = contract,
# data_time = prevClose,
# bar_size='1 secs'
# )['close'].iloc[-1]
#
# ''' Inter Close-Close returns '''
# todayBears[stk] = (todayClosePrice - prevClosePrice) /prevClosePrice
todayBulls.sort_values(inplace=True, ascending=True)
todayBears.sort_values(
inplace=True, ascending=False
) # note the sign for bears is incorrectly calculated so we flip the sign.
''' keep only the top 30 '''
todayBears = todayBears.iloc[:min(self.decision_algorithm.
params[2], todayBears.size)]
todayBulls = todayBulls.iloc[:min(self.decision_algorithm.
params[2], todayBulls.size)]
''' List of tickers to remove '''
# Bears
popBear = []
for stk in self.decision_algorithm.bears.keys():
if stk not in todayBears.keys():
popBear.append(stk)
# Bulls
popBull = []
for stk in self.decision_algorithm.bulls.keys():
if stk not in todayBulls.keys():
popBull.append(stk)
''' Remove those not in top 30 '''
for stk in popBull:
self.decision_algorithm.bulls.pop(stk, "None")
for stk in popBear:
self.decision_algorithm.bears.pop(stk, "None")
print("Bears: ", self.decision_algorithm.bears)
print("Bulls: ", self.decision_algorithm.bulls)
''' ---------------- '''
print("Enter Shorts")
''' ---------------- '''
for stk in self.decision_algorithm.bears.keys():
print(stk)
try:
stk_ = stk.replace(".", " ")
c = self.broker.createContract(ticker=stk_,
instrument_type="STK",
primary_exchange='NYSE')
sell_order = self.broker.createDollarOrder(
trade_type='SELL',
amount_dollars=self.dW,
contract=c,
order_type='MOC',
)
#order_type='MARKET',)
# time_in_force='MOC'
# ) # default is market order
time.sleep(1)
order_id = self.broker.nextOrderId()
# self.broker.placeRecordedOrder(order_id=order_id,
# contract= c,
# order=sell_order,
# path = self.broker.exec_path
# )
self.broker.placeOrder(order_id, c, sell_order)
print('Short: ', stk_, order_id)
# time.sleep(1)
except:
print("error:", traceback.format_exc())
continue
''' ---------------- '''
print("Enter Longs")
''' ---------------- '''
for stk in self.decision_algorithm.bulls.keys():
print(stk)
try:
stk_ = stk.replace(".", " ")
c = self.broker.createContract(ticker=stk_,
instrument_type="STK",
primary_exchange='NYSE')
buy_order = self.broker.createDollarOrder(
trade_type='BUY',
contract=c,
amount_dollars=self.dW,
order_type='MOC',
)
# order_type='#MARKET',)
# time_in_force='MOC'
# ) # default is market order
order_id = self.broker.nextOrderId()
self.broker.placeOrder(order_id, c, buy_order)
# self.broker.placeRecordedOrder(order_id=order_id,
# contract= c,
# order=buy_order,
# path = self.broker.exec_path
# )
print('Long: ', stk, order_id)
time.sleep(1)
self.broker.callback.order_Status
# time.sleep(1)
except:
print("error:", traceback.format_exc())
continue
def momentumGuard(self):
pos = self.broker.getPositions()
for key, position_ in pos.iterrows():
if (position_['Symbol'] == self.hedgeInstrument):
continue
if (position_['Financial_Instrument'] != 'STK'):
continue
sgn = np.sign(position_['Number_of_Units'])
ticker = (position_['Symbol'])
if (sgn != 0):
''' Check if returns have moved against us '''
contract = self.broker.createContract(
ticker=ticker,
instrument_type=position_['Financial_Instrument'])
#todayOpen = dt.datetime.now().replace( hour=9, minute=30,second=0 )
idx = utils.find_date_in_list(calendar=nysecal,
target_date=dt.date.today(),
move=0)
prevClose = dt.datetime.combine(nysecal[idx - 1],
dt.time(16, 0, 0))
try:
prevClosePrice = self.broker.getDataAtTime(
type_data='MIDPOINT',
contract=contract,
data_time=prevClose,
bar_size='1 min' # used to be 1 secs
)['close']
# NO ILOC WHEN BAR_SIZE == DURATION
'''prevClosePrice = self.broker.getDataAtTime( type_data='MIDPOINT',
contract = contract,
data_time = prevClose,
bar_size='1 min' # used to be 1 secs
)['close'].iloc[-1]'''
except:
try:
prevClosePrice = self.broker.getDataAtTime(
type_data='BID',
contract=contract,
data_time=prevClose,
bar_size='1 min' # used to be 1 secs
)['close'] #.iloc[-1]
# NO ILOC WHEN BAR_SIZE == DURATION
except:
prevClosePrice = self.broker.getDataAtTime(
type_data='ASK',
contract=contract,
data_time=prevClose,
bar_size='1 min' # used to be 1 secs
)['close'] #.iloc[-1]
# NO ILOC WHEN BAR_SIZE == DURATION
print(ticker, prevClosePrice)
# prevClose = self.broker.getDailyData(ticker, provider='yahoo', date_start=nysecal[idx-1], date_end=nysecal[idx-1] )
# prevClosePrice = prevClose['Adj Close'].values[0]
time.sleep(1)
liveData = self.broker.getLiveMarketData(contract=contract)
try:
askPrice = liveData['price'][liveData['Type'] ==
'ASK PRICE'].values[0]
except Exception as e:
print(e)
continue
try:
bidPrice = liveData['price'][liveData['Type'] ==
'BID PRICE'].values[0]
except Exception as e:
print(e)
continue
todayOpenPrice = (askPrice + bidPrice) * 0.5 #mid point
# todayOpenPrice = self.broker.getDataAtTime( type_data='MIDPOINT',
# contract = contract,
# data_time = todayOpen,
# bar_size='1 secs'
# )['close'].iloc[-1]
interDayRtns = sgn * (todayOpenPrice -
prevClosePrice) / prevClosePrice
print(ticker, interDayRtns)
if (interDayRtns <= 0):
self.broker.closePosition(symbol=ticker,
order_type='MARKET',
record=True)