def GetPositions(self, ClientCode, FirmId, LimitKind, Lots):
"""Все активные позиции по счету"""
if FirmId == 'SPBFUT': # Для фьючерсов свои расчеты
futuresHoldings = self.qpProvider.GetFuturesHoldings()[
'data'] # Все фьючерсные позиции
activeFuturesHoldings = [
futuresHolding for futuresHolding in futuresHoldings
if futuresHolding['totalnet'] != 0
] # Активные фьючерсные позиции
for activeFuturesHolding in activeFuturesHoldings: # Пробегаемся по всем активным фьючерсным позициям
classCode = 'SPBFUT' # Код площадки
secCode = activeFuturesHolding['sec_code'] # Код тикера
dataname = self.ClassSecCodeToDataName(
classCode, secCode
) # Получаем название тикера по коду площадки и коду тикера
size = activeFuturesHolding['totalnet'] # Кол-во
if Lots: # Если входящий остаток в лотах
size = self.LotsToSize(
classCode, secCode,
size) # то переводим кол-во из лотов в штуки
price = float(
activeFuturesHolding['avrposnprice']) # Цена приобретения
price = self.QKToBTPrice(
classCode, secCode, price
) # Переводим цену приобретения за лот в цену приобретения за штуку
self.positions[dataname] = Position(
size, price) # Сохраняем в списке открытых позиций
else: # Для остальных фирм
depoLimits = self.qpProvider.GetAllDepoLimits()[
'data'] # Все лимиты по бумагам (позиции по инструментам)
accountDepoLimits = [
depoLimit for depoLimit in depoLimits # Бумажный лимит
if depoLimit['client_code'] == ClientCode
and # выбираем по коду клиента
depoLimit['firmid'] == FirmId and # фирме
depoLimit['limit_kind'] == LimitKind and # дню лимита
depoLimit['currentbal'] != 0
] # только открытые позиции
for firmKindDepoLimit in accountDepoLimits: # Пробегаемся по всем позициям
dataname = firmKindDepoLimit[
'sec_code'] # В позициях код тикера указывается без кода площадки
classCode, secCode = self.DataNameToClassSecCode(
dataname
) # По коду тикера без площадки получаем код площадки и код тикера
size = int(firmKindDepoLimit['currentbal']) # Кол-во
if Lots: # Если входящий остаток в лотах
size = self.LotsToSize(
classCode, secCode,
size) # то переводим кол-во из лотов в штуки
price = float(firmKindDepoLimit['wa_position_price']
) # Цена приобретения
price = self.QKToBTPrice(
classCode, secCode, price
) # Для рынка облигаций цену приобретения умножаем на 10
dataname = self.ClassSecCodeToDataName(
classCode, secCode
) # Получаем название тикера по коду площадки и коду тикера
self.positions[dataname] = Position(
size, price) # Сохраняем в списке открытых позиций
def update_positions(self):
"""
this method syncs the Alpaca real broker positions and the Backtrader
broker instance. the positions is defined in BrokerBase(in getposition)
and used in bbroker (the backtrader broker instance) with Data as the
key. so we do the same here. we create a defaultdict of Position() with
data as the key.
:return: collections.defaultdict ({data: Position})
"""
positions = collections.defaultdict(Position)
if self.p.use_positions:
broker_positions = self.o.oapi.list_positions()
broker_positions_symbols = [p.symbol for p in broker_positions]
broker_positions_mapped_by_symbol = \
{p.symbol: p for p in broker_positions}
for name, data in iteritems(self.cerebro.datasbyname):
if name in broker_positions_symbols:
is_sell = broker_positions_mapped_by_symbol[name].side ==\
'short'
size = broker_positions_mapped_by_symbol[name].qty
if is_sell:
size = -size
positions[data] = Position(
size, broker_positions_mapped_by_symbol[name].
avg_entry_price)
return positions
def updateposition(self, data):
"""Update position from streamer"""
try:
position = Position(data['Qty'],
abs(data['TotalAmt']/data['Qty']))
self.positions[data['ProdCode']] = position
except KeyError:
print("key-error in updateposition", data, file=self.log)
def start(self):
super(CtpBroker, self).start()
self.o.start(broker=self)
self.startingcash = self.cash = cash = self.o.get_cash()
self.startingvalue = self.value = self.o.get_value()
if self.p.use_positions:
for instrument, p in self.o.get_positions().items():
self.positions[instrument] = Position(p.size, p.price)
def _fill(self, oref, size, price, **kwargs):
order = self.o.order_by_ref(oref)
if order is None:
return
if 'pqty' in kwargs and \
'avgprice' in kwargs:
pos = Position(kwargs['pqty'], kwargs['avgprice'])
else:
data = order.data
pos = self.getposition(data)
psize, pprice, opened, closed = pos.update(size, price)
closedvalue = closedcomm = 0.0
openedvalue = openedcomm = 0.0
margin = pnl = 0.0
order.execute(data.datetime[0], size, price, closed, closedvalue,
closedcomm, opened, openedvalue, openedcomm, margin, pnl,
psize, pprice)
def on_position(self, position: PositionData, last=False):
is_sell = position.direction == Direction.SHORT
size = position.volume
if is_sell:
size = -size
price = position.price
self._positions[position.symbol] = Position(size, price)
if last:
self._pos_inited = True
for k, v in self._positions.items():
print(f"intrument: {k}, size: {v.size}, price: {v.price}")
def _fill(self, oref, size, price, **kwargs):
order = self.o.order_by_ref(oref)
if order is None:
return
if 'pqty' in kwargs and \
'avgprice' in kwargs:
pos = Position(kwargs['pqty'],
kwargs['avgprice'])
else:
data = order.data
pos = self.getposition(data)
psize, pprice, opened, closed = pos.update(size, price)
closedvalue = closedcomm = 0.0
openedvalue = openedcomm = 0.0
margin = pnl = 0.0
order.execute(data.datetime[0], size, price,
closed, closedvalue, closedcomm,
opened, openedvalue, openedcomm,
margin, pnl,
psize, pprice)
def start(self):
super().start()
self.k.start(broker=self)
self.startingcash = self.cash = self.k.get_cash()
self.startingvalue = self.value = self.k.get_value()
if self.p.use_positions: # pylint: disable=no-member
for p in self.k.get_positions():
is_sell = p['side'] == 'sell'
size = p['units']
if is_sell:
size = -size
price = p['avgPrice']
self.positions[p['instrument']] = Position(size, price)
def start(self):
super().start()
self.k.start(broker=self)
self.startingcash = self.cash = self.k.get_cash()
self.startingvalue = self.value = self.k.get_value()
if self.p.use_positions: # pylint: disable=no-member
for p in self.k.get_positions():
is_sell = p["side"] == "sell"
size = p["units"]
if is_sell:
size = -size
price = p["avgPrice"]
self.positions[p["instrument"]] = Position(size, price)
def start(self):
super(OandaV20Broker, self).start()
self.addcommissioninfo(self, OandaV20CommInfo(mult=1.0,
stocklike=False))
self.o.start(broker=self)
self.startingcash = self.cash = cash = self.o.get_cash()
self.startingvalue = self.value = self.o.get_value()
if self.p.use_positions:
for p in self.o.get_positions():
print('position for instrument:', p['instrument'])
size = float(p['long']['units']) + float(p['short']['units'])
price = (float(p['long']['averagePrice'])
if size > 0 else float(p['short']['averagePrice']))
self.positions[p['instrument']] = Position(size, price)
def start(self):
super(OandaBroker, self).start()
self.o.start(broker=self)
self.startingcash = self.cash = cash = self.o.get_cash()
self.startingvalue = self.value = self.o.get_value()
if self.p.use_positions:
for p in self.o.get_positions():
print('position for instrument:', p['instrument'])
is_sell = p['side'] == 'sell'
size = p['units']
if is_sell:
size = -size
price = p['avgPrice']
self.positions[p['instrument']] = Position(size, price)
def start(self):
super(IGBroker, self).start()
self.addcommissioninfo(self, IGCommInfo(mult=1.0, stocklike=False))
self.o.start(broker=self)
self.startingcash = self.cash = cash = self.o.get_cash()
self.startingvalue = self.value = self.o.get_value()
if self.p.use_positions:
for p in self.o.get_positions():
print('position for instrument:', p['market']['epic'])
is_sell = p['position']['direction'] == 'SELL'
size = p['position']['dealSize']
if is_sell:
size = -size
price = p['position']['openLevel']
self.positions[p['market']['epic']] = Position(size, price)
def start(self):
super(AlpacaBroker, self).start()
self.addcommissioninfo(self, AlpacaCommInfo(mult=1.0, stocklike=False))
self.o.start(broker=self)
self.startingcash = self.cash = self.o.get_cash()
self.startingvalue = self.value = self.o.get_value()
if self.p.use_positions:
for p in self.o.get_positions():
# print('position for instrument:', p['symbol'])
# print('position for instrument:', p.symbol)
is_sell = p.side == 'short'
size = float(p.qty)
if is_sell:
size = -size
price = float(p.avg_entry_price)
self.positions[p.symbol] = Position(size, price)
def start(self):
super(fxcmBroker, self).start()
self.o.start(broker=self)
self.startingcash = self.cash = self.o.get_cash()
self.startingvalue = self.value = self.o.get_value()
comminfo = fxcmCommInfo(leverage=self.o.get_leverage(),
stocklike=False,
commtype=CommInfoBase.COMM_FIXED)
# set as default comminfo
self.addcommissioninfo(comminfo, name=None)
if self.p.use_positions:
positions = self.o.get_positions()
if positions is None:
return
for p in positions:
size = float(p['long']['units']) + float(p['short']['units'])
price = (float(p['long']['averagePrice'])
if size > 0 else float(p['short']['averagePrice']))
self.positions[p['instrument']] = Position(size, price)
def start(self):
super(MTraderBroker, self).start()
self.addcommissioninfo(self, MTraderCommInfo(mult=1.0, stocklike=False))
self.o.start(broker=self)
# Check MetaTrader account
self.o.check_account()
# Get balance on start
self.o.get_balance()
self.startingcash = self.cash = self.o.get_cash()
self.startingvalue = self.value = self.o.get_value()
if self.p.use_positions:
for p in self.o.get_positions():
# print('position for instrument:', p.symbol)
is_sell = p.type.endswith("_SELL")
size = float(p.volume)
if is_sell:
size = -size
price = float(p.open)
self.positions[p.symbol] = Position(size, price)
def rebuild_positions(self):
datas = dict((d._name, d) for d in self.o.datas)
for p in self.o.get_positions():
print('position for instrument:', p)
size = float(p.volume)
is_buy = p.type.endswith("_BUY")
if not is_buy:
size = -size
price = float(p.open)
if not self.positions[p.symbol]:
self.positions[p.symbol] = Position(size, price)
else:
self.positions[p.symbol].update(size, price)
data = datas.get(p.symbol, None)
if data is None:
logger.warn("data %s not found", p.symbol)
continue
# Info
info = p.comment
if "ref" in info:
Order.refbasis = itertools.count(info["ref"])
# Parent order
PRClass = BuyOrder if is_buy else SellOrder
order = PRClass(
data=data,
size=float(p.volume),
price=float(p.open),
exectype=Order.Market,
transmit=p.stoploss <= 0 and p.takeprofit <= 0,
simulated=True,
)
pref = order.ref
self.orders[order.ref] = order
self.brackets[pref] = [order]
self.o.rebuild_order(order, p.id)
# Stoploss
if p.stoploss > 0:
if "sl" in info:
Order.refbasis = itertools.count(info["sl"])
# opposite with position size
SLClass = SellOrder if is_buy else BuyOrder
slorder = SLClass(
data=data,
size=float(p.volume),
price=float(p.stoploss),
exectype=Order.Stop,
parent=order,
transmit=p.takeprofit <= 0,
simulated=True,
)
self.orders[slorder.ref] = slorder
self.brackets[pref].append(slorder)
# Takeprofit
if p.takeprofit > 0:
if "tp" in info:
Order.refbasis = itertools.count(info["tp"])
# opposite with position size
TPClass = SellOrder if is_buy else BuyOrder
tporder = TPClass(
data=data,
size=float(p.volume),
price=float(p.takeprofit),
exectype=Order.Limit,
parent=order,
transmit=True,
simulated=True,
)
self.orders[tporder.ref] = tporder
self.brackets[pref].append(tporder)
# Submit order will auto submit bracket orders
self._submit(pref)
# complete parent order
order.addcomminfo(self.getcommissioninfo(data))
order.execute(0, order.size, order.price, 0, 0.0, 0.0, order.size,
0.0, 0.0, 0.0, 0.0, order.size, order.price)
order.completed()
self.notify(order)
self._bracketize(order)
self._ococheck(order)
