def calc_portfolio_returns(portfolio_id: str) -> pd.DataFrame:
loop = asyncio.get_event_loop()
_ = loop.run_until_complete(Portfolio.load_by_portfolio_id(portfolio_id))
account_id, initial_account_size = loop.run_until_complete(
Portfolio.load_details(portfolio_id)
)
data_loader = DataLoader()
trades = load_trades_by_portfolio(portfolio_id)
start_date = trades.client_time.min().date()
end_date = trades.client_time.max().date()
trader = trader_factory()()
td = trader.get_trading_days(start_date=start_date, end_date=end_date)
td["equity"] = 0.0
cash_df = get_cash(account_id, initial_account_size)
symbols = trades.symbol.unique().tolist()
for i in tqdm(range(len(symbols))):
symbol = symbols[i]
symbol_trades = trades[trades.symbol == symbol].sort_values(
by="client_time"
)
calc_symbol_trades_returns(symbol, symbol_trades, td, data_loader)
td = td.join(cash_df)
td = td.fillna(method="ffill")
td["totals"] = td["equity"] + td["cash"]
return pd.DataFrame(td, columns=["equity", "cash", "totals"])
def calc_batch_returns(batch_id: str) -> pd.DataFrame:
loop = asyncio.get_event_loop()
portfolio = loop.run_until_complete(Portfolio.load_by_batch_id(batch_id))
data_loader = DataLoader()
trades = load_trades_by_batch_id(batch_id)
start_date = trades.client_time.min().date()
end_date = trades.client_time.max().date()
trader = trader_factory()()
td = trader.get_trading_days(start_date=start_date, end_date=end_date)
td["equity"] = 0.0
td["cash"] = portfolio.portfolio_size
num_symbols = len(trades.symbol.unique().tolist())
for c, symbol in enumerate(trades.symbol.unique().tolist(), start=1):
print(f"{symbol} ({c}/{num_symbols})")
symbol_trades = trades[trades.symbol == symbol].sort_values(
by="client_time"
)
calc_symbol_trades_returns(symbol, symbol_trades, td, data_loader)
td["totals"] = td["equity"] + td["cash"]
# td["date"] = pd.to_datetime(td.index)
# td = td.set_index("date")
return pd.DataFrame(td, columns=["equity", "cash", "totals"])
async def run(self) -> bool:
trader = trader_factory()
self.trend_logic = TrendLogic(
symbols=await sp500_historical_constituents(datetime.today()),
portfolio_size=self.portfolio_size,
rank_days=self.rank_days,
debug=self.debug,
stock_count=self.stock_count,
volatility_threshold=self.volatility_threshold,
data_loader=DataLoader(),
trader=trader,
)
if self.debug:
tlog(f"symbols: {self.trend_logic.symbols}")
df = (await self.trend_logic.run_short(
nyc.localize(datetime.utcnow()) +
timedelta(days=1)) if self.short else await self.trend_logic.run(
nyc.localize(datetime.utcnow()) + timedelta(days=1)))
portfolio_id = await self.save_portfolio()
await self.display_portfolio(df)
# await self.execute_portfolio(
# portfolio_id, df, nyc.localize(datetime.utcnow())
# )
print(
"-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-="
)
tlog(f"PORTFOLIO_ID:{portfolio_id}")
print(
"-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-="
)
return True
async def consumer_async_main(
queue: Queue,
symbols: List[str],
unique_id: str,
strategies_conf: Dict,
):
await create_db_connection(str(config.dsn))
data_loader = DataLoader()
if symbols:
try:
trending_db = TrendingTickers(unique_id)
await trending_db.save(symbols)
except Exception as e:
tlog(
f"Exception in consumer_async_main() while storing symbols to DB:{type(e).__name__} with args {e.args}"
)
exc_info = sys.exc_info()
lines = traceback.format_exception(*exc_info)
for line in lines:
tlog(f"error: {line}")
traceback.print_exception(*exc_info)
del exc_info
trader = trader_factory()()
config.market_open, config.market_close = trader.get_market_schedule()
tlog(
f"market open:{config.market_open} market close:{config.market_close}")
loaded = await create_strategies(
batch_id=unique_id,
symbols=symbols,
trader=trader,
data_loader=data_loader,
strategies_conf=strategies_conf,
)
if symbols and loaded != len(symbols):
tlog(
f"[ERROR] Consumer process loaded only {loaded} out of {len(symbols)} open positions. HINT: make sure that your tradeplan.toml file includes all strategies from previous trading session."
)
queue_consumer_task = asyncio.create_task(
queue_consumer(queue, data_loader, trader))
liquidate_task = asyncio.create_task(liquidator(trader))
periodic_runner_task = asyncio.create_task(
periodic_runner(data_loader, trader))
tear_down = asyncio.create_task(
teardown_task(trader, [queue_consumer_task, periodic_runner_task]))
await asyncio.gather(
tear_down,
liquidate_task,
queue_consumer_task,
periodic_runner_task,
return_exceptions=True,
)
tlog("consumer_async_main() completed")
def compare_to_symbol_returns(batch_id: str, symbol: str) -> pd.DataFrame:
data_loader = DataLoader()
trades = load_trades_by_batch_id(batch_id)
start_date = trades.client_time.min().date()
end_date = trades.client_time.max().date()
trader = trader_factory()()
td = trader.get_trading_days(start_date=start_date, end_date=end_date)
td[symbol] = td.apply(
lambda row: data_loader[symbol].close[row.name.to_pydatetime().replace(
tzinfo=est)],
axis=1,
)
return td[symbol]
async def execute_portfolio(self, portfolio_id: str, df: df,
now: datetime) -> None:
tlog("Executing portfolio buys")
trader = trader_factory()
algo_run = await trader.create_session(self.name)
await DBPortfolio.associate_batch_id_to_profile(
portfolio_id, algo_run.batch_id)
orders = [
await trader.submit_order(
symbol=row.symbol,
qty=row.qty,
side="buy",
order_type="market",
time_in_force="day",
) for _, row in df.iterrows()
]
open_orders = []
while True:
for order in orders:
(
order_completed,
executed_price,
) = await trader.is_order_completed(order)
if order_completed:
db_trade = NewTrade(
algo_run_id=algo_run.run_id,
symbol=order.symbol,
qty=int(order.qty),
operation="buy",
price=executed_price,
indicators={},
)
await db_trade.save(
config.db_conn_pool,
str(now),
0.0,
0.0,
)
else:
open_orders.append(order)
if not len(open_orders):
break
await asyncio.sleep(5.0)
orders = open_orders
def test_trader_calendar() -> bool:
trader = trader_factory()()
td = trader.get_trading_days(start_date=date(year=2021, month=1, day=1))
print(td)
return True
async def consumer_async_main(
queue: Queue,
symbols: List[str],
unique_id: str,
strategies_conf: Dict,
):
await create_db_connection(str(config.dsn))
data_loader = DataLoader()
if symbols:
try:
trending_db = TrendingTickers(unique_id)
await trending_db.save(symbols)
except Exception as e:
tlog(
f"Exception in consumer_async_main() while storing symbols to DB:{type(e).__name__} with args {e.args}"
)
exc_info = sys.exc_info()
lines = traceback.format_exception(*exc_info)
for line in lines:
tlog(f"error: {line}")
traceback.print_exception(*exc_info)
del exc_info
trader = trader_factory()()
config.market_open, config.market_close = trader.get_market_schedule()
tlog(
f"market open:{config.market_open} market close:{config.market_close}")
strategy_types = []
for strategy_name in strategies_conf:
strategy_details = strategies_conf[strategy_name]
tlog(f"strategy {strategy_name} selected")
if strategy_details.get("off_hours", False):
tlog(f"{strategy_name} if off-hours, skipping during market hours")
try:
spec = importlib.util.spec_from_file_location(
"module.name", strategy_details["filename"])
custom_strategy_module = importlib.util.module_from_spec(spec)
spec.loader.exec_module(custom_strategy_module) # type: ignore
class_name = strategy_name
custom_strategy = getattr(custom_strategy_module, class_name)
if not issubclass(custom_strategy, Strategy):
tlog(f"strategy must inherit from class {Strategy.__name__}")
exit(0)
strategy_details.pop("filename", None)
strategy_types += [(custom_strategy, strategy_details)]
except FileNotFoundError as e:
tlog(f"[Error] file not found `{strategy_details['filename']}`")
exit(0)
except Exception as e:
tlog(
f"[Error]exception of type {type(e).__name__} with args {e.args}"
)
traceback.print_exc()
exit(0)
loaded = 0
for strategy_tuple in strategy_types:
strategy_type = strategy_tuple[0]
strategy_details = strategy_tuple[1]
tlog(f"initializing {type(strategy_type).__name__}")
s = strategy_type(batch_id=unique_id,
data_loader=data_loader,
**strategy_details)
await s.create()
trading_data.strategies.append(s)
if symbols:
loaded += await load_current_positions(
trading_api=trader,
symbols=symbols,
strategy=s,
)
if symbols and loaded != len(symbols):
tlog(
f"[ERROR] Consumer process loaded only {loaded} out of {len(symbols)} open positions. HINT: make sure that your tradeplan.toml file includes all strategues in previous trading session."
)
queue_consumer_task = asyncio.create_task(
queue_consumer(queue, data_loader, trader))
liquidate_task = asyncio.create_task(liquidator(trader))
tear_down = asyncio.create_task(teardown_task(trader, queue_consumer_task))
await asyncio.gather(
tear_down,
liquidate_task,
queue_consumer_task,
return_exceptions=True,
)
tlog("consumer_async_main() completed")