def _get_position(self, symbol):
if symbol not in self._position_dict:
contract = ContractData.get_contract(symbol)
position = PositionFactory(contract.contract_type)
position.symbol = symbol
position.strategy_id = self._strategy_id
position.asset_base = contract.asset_base
position.asset_quote = contract.asset_quote
self._position_dict[symbol] = position
return self._position_dict[symbol]
def check_risk(self, strategy: StrategyTemplate):
strategy.update_portfolio()
for position in strategy.portfolio:
symbol = position.symbol
pnl_ratio = position.unrealized_pnl_rate()
contract = ContractData.get_contract(symbol)
if (abs(position.amount) > contract.min_quantity) and (
pnl_ratio < -abs(self.stop_loss)):
logger.info(
f'Stop loss triggered by {self} with pnl rate {pnl_ratio}\n{position.pretty_string()}'
)
strategy.close_position(position.symbol)
def execute(self, actor: _Actor):
balance_df = super(CloseOpenPositionCommand, self).execute(actor)
for asset in balance_df.index:
position = balance_df.loc[asset]
symbol = position['symbol']
if symbol:
price = position['price']
contract = ContractData.get_contract(symbol)
if position['total_amount'] > contract.min_quantity and \
position['notional'] > contract.min_notional:
self.render(f'handling position {asset}...')
if position['frozen_amount'] > 0:
pass
order = OrderData()
order.symbol = symbol
order.direction = EnumOrderDirection.SELL
order.price = price
order.volume = position['total_amount']
order.strategy_id = 'manual'
actor.send_order(order)
def contract(self):
return ContractData.get_contract(self.symbol)
def available_quote_amount(self, symbol):
quote_symbol = ContractData.get_contract(symbol).asset_quote
return self._available_balance(quote_symbol)
def available_base_amount(self, symbol):
base_symbol = ContractData.get_contract(symbol).asset_base
return self._available_balance(base_symbol)