def import_prices(self, limit: int = 100) -> int: results: Dict = { 'stock_prices': [], 'etf_prices': [], 'missing_symbols': [], 'errors': [] } try: symbol_masters: List[SymbolMaster] = self.__stock_service.get_symbols(instrument='', exclude_status=[AppConsts.SYMBOL_STATUS_ARCHIVED]) symbols: List[str] = [s.symbol for s in symbol_masters] price_set: BarSet = self.__alpaca_client.get_prices(symbols, limit) if not price_set: raise NotFoundException('BarSet', 'symbols', '') for symbol in symbol_masters: LogUtils.debug('start {0}'.format(symbol.symbol)) prices: Bars = price_set[symbol.symbol] if not prices: LogUtils.warning('{0} price not found.'.format(symbol)) results['missing_symbols'].append(symbol.symbol) continue for price in prices: price_date: datetime = price.t.to_pydatetime() data: tuple = ( symbol.id, price_date, NumberUtils.to_float(price.o), NumberUtils.to_float(price.h), NumberUtils.to_float(price.l), NumberUtils.to_float(price.c), NumberUtils.to_int(price.v), ) if symbol.instrument == AppConsts.INSTRUMENT_STOCK: org: StockPriceDaily = self.__stock_service.get_single_stock_price_daily(symbol.id, price_date) if not org: results['stock_prices'].append(data) else: org: EtfPriceDaily = self.__stock_service.get_single_etf_price_daily(symbol.id, price_date) if not org: results['etf_prices'].append(data) if results['stock_prices']: BaseService._insert_bulk(StockPriceDaily, results['stock_prices']) if results['etf_prices']: BaseService._insert_bulk(EtfPriceDaily, results['etf_prices']) except NotFoundException as ex: results['errors'].append(ex) except Exception as ex: results['errors'].append(ex) finally: self.__email_client.send_html( subject=AppConsts.EMAIL_SUBJECT_IMPORT_PRICES, template_path=AppConsts.TEMPLATE_PATH_IMPORT_PRICES, model=results) if results['errors']: for error in results['errors']: LogUtils.error('Import Price Error', error) return 1
def import_from_csv_yahoo(self) -> str: BaseService._truncate(EPD) files: List[str] = FileUtils.get_files(AppConsts.ETF_PRICE_FOLDER, is_full=True) for file in files: symbol: str = FileUtils.get_wo_ext(FileUtils.get_base_name(file)) org_symbol: SM = self.__stock_service.get_symbol( symbol, AppConsts.INSTRUMENT_ETF) if not org_symbol: continue records: List[Dict] = CsvUtils.parse_as_dict(file) models: List[Any] = [] for record in records: models.append(( org_symbol.id, DateUtils.get_date(record.get(AppConsts.YAHOO_KEY_DATE), AppConsts.YAHOO_DATE_FORMAT), NumberUtils.to_float(record.get(AppConsts.YAHOO_KEY_OPEN)), NumberUtils.to_float(record.get(AppConsts.YAHOO_KEY_HIGH)), NumberUtils.to_float(record.get(AppConsts.YAHOO_KEY_LOW)), NumberUtils.to_float(record.get( AppConsts.YAHOO_KEY_CLOSE)), NumberUtils.to_int(record.get(AppConsts.YAHOO_KEY_VOLUME)), )) BaseService._insert_bulk(EPD, models) return "1"
def import_from_csv_balancesheets(self) -> str: file: str = FileUtils.get_file(AppConsts.BALANCE_SHEET_FILE) records: List[Dict] = CsvUtils.parse_as_dict(file) for record in records: if not self.__is_valid_intrinio_record(record): continue symbol: str = record.get(AppConsts.INTRINIO_KEY_BLNC_SHEET_TICKER) fiscal_period: str = record.get( AppConsts.INTRINIO_KEY_BLNC_SHEET_FISC_PD) year: int = NumberUtils.to_int( record.get(AppConsts.INTRINIO_KEY_BLNC_SHEET_FISC_YR)) quarter: int = self.__get_quarter(fiscal_period) org_symbol: SM = self.__stock_service.get_symbol( symbol, AppConsts.INSTRUMENT_STOCK) if not org_symbol: continue org_fn: FN = self.__stock_service.get_financial( org_symbol.id, year, quarter) if not org_fn: continue org_fn.current_assets = NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_BLNC_SHEET_CURR_ASSETS)) org_fn.ttl_assets = NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_BLNC_SHEET_ASSETS)) org_fn.current_liabilities = NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_BLNC_SHEET_CURR_LIABS)) org_fn.ttl_liabilities = NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_BLNC_SHEET_LIABS)) org_fn.ttl_equity = NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_BLNC_SHEET_EQUITY)) BaseService._update() return "1"
def get_dict(item: Any) -> Dict: ret: Dict = {} if not item: return ret for key, val in vars(item).items(): key = key.lstrip('_') if isinstance(val, int): ret[key] = NumberUtils.to_int(val) elif isinstance(val, (Decimal, float)): ret[key] = NumberUtils.to_float(val) elif isinstance(val, (bool, np.bool_)): ret[key] = bool(val) elif isinstance(val, (datetime.date, datetime.datetime)): ret[key] = val.isoformat() elif isinstance(val, list): ret[key] = ModelUtils.get_dicts(val) elif isinstance(val, Dict): ret[key] = val elif isinstance(val, db.Model): ret[key] = ModelUtils.get_dict(val) elif isinstance(val, (BaseResponse, Entity)): ret[key] = ModelUtils.get_dict(val) else: ret[key] = str(val) return ret
def get_all_suggestions(self) -> int: error: Exception = None try: accnt: Account = self.get_account() capital: float = NumberUtils.to_floor( NumberUtils.to_float(accnt._raw['buying_power']) / 2) # 2 to trade everyday # Double Bottoms req: TradeSuggestionsRequest = TradeSuggestionsRequest() req.is_job = True req.current_capital = capital req.pct_risk_per_trade = 2.5 req.volume_limit = 0.01 req.test_limit_symbol = 800 req.adv_min = AppConsts.ADV_MIN_DFLT req.adpv_min = AppConsts.ADPV_MIN_DFLT req.strategy_type = AppConsts.STRATEGY_DOUBLE_BOTTOMS req.strategy_request = {} req.strategy_request['exponential_smoothing_alpha'] = 0.8 req.strategy_request['exponential_smoothing_max_min_diff'] = 0.7 req.strategy_request['double_bottoms_diff'] = 1 LogUtils.debug(StringUtils.to_json(req)) self.get_suggestions(req) # Double Tops req: TradeSuggestionsRequest = TradeSuggestionsRequest() req.is_job = True req.current_capital = capital req.pct_risk_per_trade = 2.5 req.volume_limit = 0.01 req.test_limit_symbol = 800 req.adv_min = AppConsts.ADV_MIN_DFLT req.adpv_min = AppConsts.ADPV_MIN_DFLT req.strategy_type = AppConsts.STRATEGY_DOUBLE_TOPS req.strategy_request = {} req.strategy_request['exponential_smoothing_alpha'] = 0.8 req.strategy_request['exponential_smoothing_max_min_diff'] = 0.7 req.strategy_request['double_tops_diff'] = 1 LogUtils.debug(StringUtils.to_json(req)) self.get_suggestions(req) except Exception as ex: error = ex finally: self.__email_client.send_html( subject=AppConsts.EMAIL_SUBJECT_GET_SUGGESTIONS, template_path=AppConsts.TEMPLATE_PATH_GET_SUGGESTIONS, model={'errors': [error] if error else []}) if error: LogUtils.error('Get Suggestions Error', error) return 1
def get_price_dataframe(self, prices: List[Any]) -> DataFrame: if not prices \ or not isinstance(prices, List) \ or not isinstance(prices[0], (SPD, EPD)): return None df: DataFrame = pd.DataFrame( data=[ [ p.id, p.symbol_id, # idx = 0, 0 p.price_date, # idx = 0, 1 NumberUtils.to_float(p.open_price), NumberUtils.to_float(p.high_price), NumberUtils.to_float(p.low_price), NumberUtils.to_float(p.close_price), p.volume ] for p in prices ], columns=AppConsts.PRICE_COLS) df = df.set_index( [AppConsts.PRICE_COL_SYMBOL_ID, AppConsts.PRICE_COL_DATE]) return df
def import_from_csv_incomestatements(self) -> str: BaseService._truncate(FN) file: str = FileUtils.get_file(AppConsts.INCOME_STMT_FILE) records: List[Dict] = CsvUtils.parse_as_dict(file) models: List[Any] = [] for record in records: if not self.__is_valid_intrinio_record(record): continue symbol: str = record.get(AppConsts.INTRINIO_KEY_INC_STMT_TICKER) fiscal_period: str = record.get( AppConsts.INTRINIO_KEY_INC_STMT_FISC_PD) org_symbol: SM = self.__stock_service.get_symbol( symbol, AppConsts.INSTRUMENT_STOCK) if not org_symbol: continue quarter_end_dte: date = DateUtils.get_date( record.get(AppConsts.INTRINIO_KEY_INC_STMT_END_DTE), AppConsts.INTRINIO_END_DTE_FMT) file_date: date = DateUtils.get_date( record.get(AppConsts.INTRINIO_KEY_INC_STMT_FILE_DTE), AppConsts.INTRINIO_FILE_DTE_FMT) models.append( (org_symbol.id, record.get(AppConsts.INTRINIO_KEY_INC_STMT_FISC_YR), self.__get_quarter(fiscal_period), quarter_end_dte, file_date, None, NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_INC_STMT_TTLREV)), NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_INC_STMT_TTLPROF)), NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_INC_STMT_TTLOPINC)), NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_INC_STMT_NETINC)), None, None, None, None, None, None, None, None, None, None, None, None, None, None, None, None, None, None, None)) BaseService._insert_bulk(FN, models) return "1"
def _has_entry_conditions(self, symbol_id: int, current_date: date) -> bool: current_row: Series = self._prices.loc[symbol_id, current_date] if NumberUtils.to_float( current_row.loc[AppConsts.CUSTOM_COL_SMA_SLOW]) == 0: return False is_above: bool = (current_row.loc[AppConsts.CUSTOM_COL_SMA_FAST] > current_row.loc[AppConsts.CUSTOM_COL_SMA_SLOW]) if not symbol_id in self._target: self._target[symbol_id] = {} self._target[symbol_id]['is_above'] = is_above return False was_above: bool = self._target[symbol_id]['is_above'] self._target[symbol_id]['is_above'] = is_above return (is_above and not was_above)
def end_price(self, val: Any) -> None: self._end_price = NumberUtils.to_float(val)
def start_price(self, val: Any) -> None: self._start_price = NumberUtils.to_float(val)
def sync_orders(self) -> int: errors: List[Exception] = [] try: req: GetTradeOrdersRequest = GetTradeOrdersRequest() req.status = [ AppConsts.ORDER_STATUS_SUBMITTED_ENTRY, AppConsts.ORDER_STATUS_SUBMITTED_EXIT ] orders: List[TradeOrderCustom] = self.get_trade_orders(req) if not orders: LogUtils.debug('No orders submitted') for order in orders: try: LogUtils.debug('Sync order for = {0}'.format( order.symbol_master.symbol)) resp: Order = None if order.trade_order.status == AppConsts.ORDER_STATUS_SUBMITTED_ENTRY: resp = self.__alpaca_client.get_order( order.trade_order.alpaca_id) elif order.trade_order.status == AppConsts.ORDER_STATUS_SUBMITTED_EXIT: resp = self.__alpaca_client.get_order( order.trade_order.exit_alpaca_id) if resp: org: TradeOrder = BaseService._get_by_id( TradeOrder, order.trade_order.id) if not org: raise NotFoundException('TradeOrder', 'id', order.trade_order.id) if order.trade_order.status == AppConsts.ORDER_STATUS_SUBMITTED_ENTRY \ and resp.status == AppConsts.ALPACA_ORDER_STATUS_FILLED: org.status = AppConsts.ORDER_STATUS_IN_POSITION org.actual_qty = NumberUtils.to_int( resp.filled_qty) org.actual_entry_price = NumberUtils.to_float( resp.filled_avg_price) org.modified = datetime.now() BaseService._update() elif order.trade_order.status == AppConsts.ORDER_STATUS_SUBMITTED_ENTRY \ and resp.status == AppConsts.ALPACA_ORDER_STATUS_CANCELLED: org.status = AppConsts.ORDER_STATUS_CANCELLED_ENTRY org.modified = datetime.now() BaseService._update() elif order.trade_order.status == AppConsts.ORDER_STATUS_SUBMITTED_EXIT \ and resp.status == AppConsts.ALPACA_ORDER_STATUS_FILLED: exit_price: StockPriceDaily = self.__stock_service.get_single_stock_price_daily( order.symbol_master.id, DateUtils.get_date( datetime.today().strftime('%Y-%m-%d'), '%Y-%m-%d')) if exit_price: org.exit_stock_price_daily_id = exit_price.id org.status = AppConsts.ORDER_STATUS_COMPLETED org.actual_exit_price = NumberUtils.to_float( resp.filled_avg_price) org.modified = datetime.now() BaseService._update() elif order.trade_order.status == AppConsts.ORDER_STATUS_SUBMITTED_EXIT \ and resp.status == AppConsts.ALPACA_ORDER_STATUS_CANCELLED: org.status = AppConsts.ORDER_STATUS_CANCELLED_EXIT org.modified = datetime.now() BaseService._update() raise Exception('Exit Error = {0}'.format( resp.status)) else: raise Exception('Sync Status = {0}'.format( resp.status)) else: raise NotFoundException('Alpaca Order', 'id', order.trade_order.alpaca_id) except Exception as ex: LogUtils.error('Sync Orders Error', ex) errors.append(ex) except Exception as ex: LogUtils.error('Sync Orders Error', ex) errors.append(ex) finally: self.__email_client.send_html( subject=AppConsts.EMAIL_SUBJECT_SYNC_ORDERS, template_path=AppConsts.TEMPLATE_PATH_SYNC_ORDERS, model={'errors': errors}) return 1
def queue_positions(self) -> int: errors: List[Exception] = [] try: is_tmrw_valid: bool = self.__alpaca_client.is_tmrw_valid() if not is_tmrw_valid: LogUtils.warning('Tmrw is not a valid trade date') raise BadRequestException('Date', DateUtils.to_string(date.today())) req: GetTradeOrdersRequest = GetTradeOrdersRequest() # If Sunday, check Friday's price. today: date = date.today() if today.weekday() == AppConsts.WEEKDAY_IDX_SUN: today = DateUtils.add_business_days(today, -1) req.created = today.strftime('%Y-%m-%d') req.exact_status = AppConsts.ORDER_STATUS_INIT orders: List[TradeOrderCustom] = self.get_trade_orders(req) req_to_ignore: GetTradeOrdersRequest = GetTradeOrdersRequest() req_to_ignore.status = [ AppConsts.ORDER_STATUS_SUBMITTED_ENTRY, AppConsts.ORDER_STATUS_IN_POSITION, AppConsts.ORDER_STATUS_SUBMITTED_EXIT, AppConsts.ORDER_STATUS_CANCELLED_EXIT ] orders_to_ignore: List[TradeOrderCustom] = self.get_trade_orders( req_to_ignore) symbols_to_ignore: List[str] = [ o.symbol_master.symbol for o in orders_to_ignore ] if orders_to_ignore else [] LogUtils.debug('symbols_to_ignore = {0}'.format(symbols_to_ignore)) if not orders: LogUtils.debug('No orders suggested') shuffle(orders) prioritized_orders: List[TradeOrderCustom] = [] for order in orders: if order.trade_order.strategy == AppConsts.STRATEGY_DOUBLE_BOTTOMS: prioritized_orders.append(order) for order in orders: if order.trade_order.strategy == AppConsts.STRATEGY_DOUBLE_TOPS: prioritized_orders.append(order) accnt: Account = self.__alpaca_client.get_account() capital: float = NumberUtils.to_floor( NumberUtils.to_float(accnt._raw['buying_power']) / 2) # 2 to trade everyday for order in prioritized_orders: try: LogUtils.debug('Try symbol = {0}'.format( order.symbol_master.symbol)) if order.symbol_master.symbol in symbols_to_ignore: LogUtils.debug('Ignore for = {0}'.format( order.symbol_master.symbol)) continue cost: float = NumberUtils.to_float( order.stock_price_daily.close_price * order.trade_order.qty) if cost > capital: LogUtils.debug('Too expensive for = {0}'.format( order.symbol_master.symbol)) continue capital = capital - cost resp: Order = self.__alpaca_client.submit_order( symbol=order.symbol_master.symbol, qty=order.trade_order.qty, action=order.trade_order.action) if resp: org: TradeOrder = BaseService._get_by_id( TradeOrder, order.trade_order.id) if not org: raise NotFoundException('TradeOrder', 'id', order.trade_order.id) org.alpaca_id = resp.id org.status = AppConsts.ORDER_STATUS_SUBMITTED_ENTRY org.order_type = AppConsts.ORDER_TYPE_MARKET org.time_in_force = AppConsts.TIME_IN_FORCE_DAY org.modified = datetime.now() BaseService._update() except Exception as ex: LogUtils.error('Queue Position Error', ex) errors.append(ex) except Exception as ex: LogUtils.error('Queue Position Error', ex) errors.append(ex) finally: self.__email_client.send_html( subject=AppConsts.EMAIL_SUBJECT_QUEUE_POSITIONS, template_path=AppConsts.TEMPLATE_PATH_QUEUE_POSITIONS, model={'errors': errors}) return 1
def import_from_csv_calculations(self) -> str: file: str = FileUtils.get_file(AppConsts.FINANCIAL_CALCS_FILE) records: List[Dict] = CsvUtils.parse_as_dict(file) for record in records: if not self.__is_valid_intrinio_record(record): continue symbol: str = record.get(AppConsts.INTRINIO_KEY_CALCS_TICKER) fiscal_period: str = record.get( AppConsts.INTRINIO_KEY_CALCS_FISC_PD) year: int = NumberUtils.to_int( record.get(AppConsts.INTRINIO_KEY_CALCS_FISC_YR)) quarter: int = self.__get_quarter(fiscal_period) org_symbol: SM = self.__stock_service.get_symbol( symbol, AppConsts.INSTRUMENT_STOCK) if not org_symbol: continue org_fn: FN = self.__stock_service.get_financial( org_symbol.id, year, quarter) if not org_fn: continue org_fn.market_cap = NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_CALCS_MARK_CAP)) org_fn.revenue_growth = NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_CALCS_REV_GRTH)) org_fn.revenue_qq_growth = NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_CALCS_REV_QQ_GRTH)) org_fn.nopat_growth = NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_CALCS_NOPAT_GRTH)) org_fn.nopat_qq_growth = NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_CALCS_NOTPAT_QQ_GRTH)) org_fn.net_income_growth = NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_CALCS_INCM_GRTH)) org_fn.net_income_qq_growth = NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_CALCS_INCM_QQ_GRTH)) org_fn.free_cash_flow = NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_CALCS_CSH_FLOW)) org_fn.current_ratio = NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_CALCS_CURR_RATIO)) org_fn.debt_to_equity_ratio = NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_CALCS_DE_RATIO)) org_fn.pe_ratio = NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_CALCS_PE_RATIO)) org_fn.pb_ratio = NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_CALCS_PB_RATIO)) org_fn.div_payout_ratio = NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_CALCS_DIV_PAYOUT_RATIO)) org_fn.roe = NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_CALCS_ROE)) org_fn.roa = NumberUtils.to_float( record.get(AppConsts.INTRINIO_KEY_CALCS_ROA)) BaseService._update() return "1"