class ExitTrade:
def __init__(self, stratName, isLive=False):
logging.debug("Initialising ExitTrade()")
self.isLive = isLive
self.stratName = stratName
db = MongoClient("localhost", 27017)[stratName]
self.transCol = db["transactionLogs"]
self.currentCol = db["currentPositions"]
self.pull = Pull()
self.capDict = None
def initBooks(self):
logging.debug("Starting ExitTrade.initBooks")
with open(
"%s/Pipeline/resources/%s/capital.yml"
% (Settings.BASE_PATH, self.stratName)
) as capFile:
self.capDict = yaml.load(capFile)
logging.debug("Ending ExitTrade.initBooks")
def _getPrice(self, fills):
return round(
sum([float(val["price"]) * float(val["qty"]) for val in fills])
/ sum([float(val["qty"]) for val in fills]),
8,
)
def exit(self, positionDict, currentPrice):
logging.debug("Starting ExitTrade.exit")
fees = ExchangeUtil().fees(exchange=positionDict["exchange"])
dir = positionDict["dir"] if "dir" in positionDict.keys() else "buy"
leverage = positionDict["leverage"] if "leverage" in positionDict.keys() else 1
exitPositionSize = (
round(
(currentPrice / float(positionDict["openPrice"]))
* float(positionDict["positionSize"])
* (1 - fees),
6,
)
if dir == "buy"
else round(
(float(positionDict["openPrice"] / currentPrice))
* float(positionDict["positionSize"])
* (1 - fees),
6,
)
)
logging.debug(
"Removing val from db.currentPosition & inserting into db.tranactionLog"
)
self.currentCol.delete_one({"assetName": positionDict["assetName"]})
if not self.isLive:
realPnL = (exitPositionSize - positionDict["positionSize"]) * leverage
exitDict = {
"assetName": positionDict["assetName"],
"openPrice": round(float(positionDict["openPrice"]), 8),
"closePrice": round(currentPrice, 8),
"percentPnL": round(currentPrice / positionDict["openPrice"] - 1, 6),
"TSOpen": positionDict["TSOpen"],
"TSClose": round(time.time()),
"periods": positionDict["periods"] + 1,
"positionSize": positionDict["positionSize"],
"realPnL": round(realPnL, 8),
}
else:
orderDict = self.pull.makeTrade(
exchange=positionDict["exchange"],
asset=positionDict["assetName"],
quantity=positionDict["posSizeBase"],
dir="SELL",
)
realPnL = float(orderDict["cummulativeQuoteQty"]) - float(
positionDict["positionSize"]
)
closePrice = self._getPrice(orderDict["fills"])
exitDict = {
"assetName": positionDict["assetName"],
"openPrice": round(positionDict["openPrice"], 8),
"hitPrice": round(positionDict["hitPrice"], 8),
"sellPrice": round(positionDict["sellPrice"], 8),
"closePrice": closePrice,
"percentPnL": round(closePrice / positionDict["openPrice"] - 1, 6),
"TSOpen": positionDict["TSOpen"],
"TSClose": round(time.time()),
"periods": positionDict["periods"] + 1,
"positionSize": positionDict["positionSize"],
"realPnL": round(realPnL, 8),
}
self.transCol.insert_one(exitDict)
self.capDict["liquidCurrent"] += exitPositionSize
logging.debug("Ending ExitTrade.run")
def paperValue(self):
logging.debug("Starting ExitTrade.paperValue")
return sum([val["paperSize"] for val in list(self.currentCol.find())])
def closeOutBooks(self):
logging.debug("Starting ExitTrade.closeOutBooks")
if not self.isLive:
self.capDict["paperCurrent"] = round(
self.capDict["liquidCurrent"] + self.paperValue(), 4
)
self.capDict["percentAllocated"] = round(
1 - self.capDict["liquidCurrent"] / self.capDict["paperCurrent"], 3
)
self.capDict["paperPnL"] = round(
self.capDict["paperCurrent"] / self.capDict["initialCapital"], 3
)
self.capDict["liquidCurrent"] = round(self.capDict["liquidCurrent"], 4)
else:
# **TODO hard coding 'Binance' as whole capDict system will need to change to capListDict when adding multiple
self.capDict = AccountUtil(exchange="Binance").getValue(
initCapital=self.capDict["initialCapital"]
)
with open(
"%s/Pipeline/resources/%s/capital.yml"
% (Settings.BASE_PATH, self.stratName),
"w",
) as capFile:
yaml.dump(self.capDict, capFile)
logging.debug("Ending ExitTrade.closeOutBooks")
class OpenTrade:
def __init__(self, stratName, isLive=False):
self.stratName = stratName
logging.debug("Initialising OpenTrade()")
self.isLive = isLive
self.resourcePath = "%s/Pipeline/resources/%s" % (Settings.BASE_PATH,
stratName)
self.db = MongoClient("localhost", 27017)[stratName]
self.EU = ExchangeUtil()
self.P = Position(stratName)
self.pull = Pull()
self.capDict = None
def initRun(self):
with open("%s/capital.yml" % self.resourcePath) as capFile:
self.capDict = yaml.load(capFile)
def _getPrice(self, fills):
return round(
sum([float(val["price"]) * float(val["qty"])
for val in fills]) / sum([float(val["qty"])
for val in fills]),
8,
)
def open(self, assetVals):
logging.debug("Starting OpenTrade.open")
# assetVals = (name, exchange, price)
capAllocated = self.P.getSize(asset=assetVals[0])
posSize = capAllocated * (1 - self.EU.fees(exchange=assetVals[1]))
if not self.isLive:
openDict = {
"assetName": assetVals[0],
"openPrice": assetVals[2],
"currentPrice": assetVals[2],
"periods": 0,
"positionSize": posSize,
"paperSize": posSize,
"TSOpen": round(time.time()),
"exchange": assetVals[1],
}
else:
try:
quantity = round(capAllocated / assetVals[2], 2)
orderDict = self.pull.makeTrade(
exchange=assetVals[1],
asset=assetVals[0],
quantity=np.floor(quantity),
dir="BUY",
)
buyPrice = self._getPrice(orderDict["fills"])
openDict = {
"assetName": assetVals[0],
"openPrice": buyPrice,
"currentPrice": buyPrice,
"periods": 0,
"positionSize": float(orderDict["cummulativeQuoteQty"]),
"posSizeBase": float(orderDict["executedQty"]),
"TSOpen": round(time.time()),
"exchange": assetVals[1],
"clientOrderId": orderDict["clientOrderId"],
}
except KeyError as e:
EmailUtil(strat=self.stratName).errorExit(
file=self.stratName, funct="Enter.runNorm()", message=e)
logging.error("orderDict: %s" % orderDict)
raise Exception(
"Failed with error message: %s and assetVals: %s" %
(e, assetVals))
self.db["currentPositions"].insert_one(openDict)
self.capDict["paperCurrent"] -= round(
capAllocated - openDict["positionSize"], 6)
self.capDict["liquidCurrent"] -= capAllocated
def updateBooks(self):
logging.debug("Starting OpenTrade.updateBooks()")
if not self.isLive:
self.capDict["percentAllocated"] = round(
1 -
self.capDict["liquidCurrent"] / self.capDict["paperCurrent"],
3)
self.capDict["paperPnL"] = round(
self.capDict["paperCurrent"] / self.capDict["initialCapital"],
3)
else:
# **TODO hard coding 'Binance' as whole capDict system will need to change to capListDict when adding multiple
self.capDict = AccountUtil(exchange="Binance").getValue(
initCapital=self.capDict["initialCapital"])
with open("%s/capital.yml" % self.resourcePath, "w") as capFile:
yaml.dump(self.capDict, capFile)