class PortfolioManager(object):
def __init__(self, context):
# list of strategies
self.list_strategies = []
self.order_management = OrderManager(context)
self.portf_allocation = 0
self.instruments = dict()
def add_strategy(self, value, allocation):
if (self.portf_allocation + allocation > 1):
print('Error: Strategy **'+str(value.name) +' ** cannot be added to portfolio. Total allocation exceeds 100%')
return
value.set_allocation(allocation)
self.portf_allocation += allocation
self.list_strategies.append(value)
value.set_send_percent_orders(self.order_management.add_percent_orders)
value.set_send_order_through(self.order_management.send_order_through)
self.set_instruments(value.get_instruments())
self.order_management.add_instruments(value.get_instruments())
return
def get_portf_allocation(self):
return self.portf_allocation
def set_instruments(self, value):
self.instruments = merge_dicts(self.instruments, value)
return
def get_instruments(self):
return self.instruments
def TryToBuy(price):
"""
这里尝试买入，因为想要尽量快点成交，所以这里比第一卖出价出更高的价格买入
先判断一定时间内，是否有比当前价格更低的买入还没有卖出去
再判断是否有和当前价格相差在150usdt之内的买入
再检查资金是否足够
"""
price += 1
dtNow = datetime.now()
rangeSeconds = 4 * 3600
count = 0
for hold in HoldManager.holds:
dtHold = hold.buyTime
timeDiff = (dtNow - dtHold).seconds
if timeDiff < rangeSeconds:
if hold.buyPrice < price:
count += 1
priceDiff = abs(hold.buyPrice - price)
if priceDiff < 150:
return False
if count >= 2:
return False
costQuote, buyAmount = BalanceManager.Buy(price)
if costQuote < 0 or buyAmount < 0:
return False
operationId = str(time.time())
OrderManager.SendBuy(operationId, price, buyAmount, costQuote)
return True
def StartSystem():
"""
启动各子系统
"""
HoldManager.Start()
DataDownloader.Start()
BalanceManager.Start()
OrderManager.Start()
def TryToSell(price):
"""
这里尝试买入，因为想要尽量快点成交，所以这里要卖的便宜一点，比最低的买入者价格再低一1usdt
"""
price -= 1
index = 0
canSellList = HoldManager.GetCanSellHolds(price)
if canSellList != None and len(canSellList) > 0:
for hold in canSellList:
index += 1
operationId = hold.operationId
OrderManager.SendSell(operationId, price, hold.holdAmount,
hold.buyCost)
class PortfolioManager(object):
def __init__(self, context):
# list of strategies
self.list_strategies = []
self.order_management = OrderManager(context)
self.portf_allocation = 0
self.instruments = dict()
def add_strategy(self, value, allocation):
if (self.portf_allocation + allocation > 1):
print(
'Error: Strategy **' + str(value.name) +
' ** cannot be added to portfolio. Total allocation exceeds 100%'
)
return
value.set_allocation(allocation)
self.portf_allocation += allocation
self.list_strategies.append(value)
value.set_send_percent_orders(self.order_management.add_percent_orders)
value.set_send_order_through(self.order_management.send_order_through)
self.set_instruments(value.get_instruments())
self.order_management.add_instruments(value.get_instruments())
return
def get_portf_allocation(self):
return self.portf_allocation
def set_instruments(self, value):
self.instruments = merge_dicts(self.instruments, value)
return
def get_instruments(self):
return self.instruments
def __init__(self, context, name):
self.context = context # currently only required for get_portf_allocation
self.portf_name = name
# by default, the Portfolio logger is set to output to the console
# at a level sufficient to report problems.
AnalyticsManager.__init__(self, analytics_name=name)
self.set_log_option(logconsole=True, logfile=False, level=3)
# list of strategies
self.list_strategies = []
self.portf_allocation = 0
self.instruments = dict()
self.strategies = list()
self.order_manager = OrderManager(context, name = "OrderManager")
return
def __init__(self, context, name):
self.context = context # currently only required for get_portf_allocation
self.portf_name = name
# by default, the Portfolio logger is set to output to the console
# at a level sufficient to report problems.
AnalyticsManager.__init__(self, analytics_name=name)
self.set_log_option(logconsole=True, logfile=False, level=3)
# list of strategies
self.list_strategies = []
self.portf_allocation = 0
self.instruments = dict()
self.strategies = list()
# make the order_manager object persistent
self.context.order_manager = OrderManager(context, name="OrderManager")
return
def __init__(self, context):
# list of strategies
self.list_strategies = []
self.order_management = OrderManager(context)
self.portf_allocation = 0
self.instruments = dict()
def StopSystem():
"""
停止各子系统
"""
OrderManager.Stop()
DataDownloader.Stop()
class PortfolioManager(object, AnalyticsManager):
def __init__(self, context, name):
self.context = context # currently only required for get_portf_allocation
self.portf_name = name
# by default, the Portfolio logger is set to output to the console
# at a level sufficient to report problems.
AnalyticsManager.__init__(self, analytics_name=name)
self.set_log_option(logconsole=True, logfile=False, level=3)
# list of strategies
self.list_strategies = []
self.portf_allocation = 0
self.instruments = dict()
self.strategies = list()
self.order_manager = OrderManager(context, name = "OrderManager")
return
def add_strategy(self, value, allocation):
if (self.portf_allocation + allocation > 1):
msg = '\n\t Strategy named**'+str(value.name) +' ** cannot be added to portfolio. Total allocation exceeds 100%'
self.add_log('error',msg)
return
if value.name in self.list_strategies:
msg = '\n\t Strategy named ' +str(value.name) +' already exists and cannot be added to portfolio'
self.add_log('error',msg)
return
value.portfolio.set_allocation(allocation)
self.portf_allocation += allocation
self.list_strategies.append(value.name)
self.strategies.append(value)
# Registrating with third-party methods
#
# value.set_send_percent_orders(self.order_manager.add_percent_orders)
# value.set_send_order_through(self.order_manager.send_order_through)
# value.set_add_orders(self.order_manager.add_orders)
# value.portfolio.set_portf_allocation(self.get_portf_allocation)
#
# End of registration
self.set_instruments(value.get_instruments())
self.order_manager.add_instruments(value.get_instruments())
return
def get_portf_allocation(self):
return self.portf_allocation
def get_total_portfolio_value (self):
return self.context.portfolio.portfolio_value
def set_instruments(self, value):
self.instruments = merge_dicts(self.instruments, value)
return
def get_instruments(self):
return self.instruments
def analytics_save (self, outdir):
savepath = outdir+self.portf_name+'/'
for strat in self.strategies:
if strat.get_dumpanalytics():
strat.write_analytics_tocsv(output_directory=savepath)
if self.order_manager.get_dumpanalytics():
self.order_manager.write_analytics_tocsv(output_directory=savepath)
def sendorder_to_ordermanager (self, target_dollar_value):
#
# target_dollar_value: dictionary of positions target in dollar value
# dict{inst; dollarvalue}
#
self.order_manager.add_orders (target_dollar_value)
return
def handle_data (self, data):
self.order_manager.update(data)
return
def __init__(self, context):
# list of strategies
self.list_strategies = []
self.order_management = OrderManager(context)
self.portf_allocation = 0
self.instruments = dict()
