def profit_on_close(strat, records):
last_record = records[-1]
value, position = last_record[1]
last_update = strat.series[-1]
last_order = base.Order(quantity=abs(position),
limit_price=last_update,
transmit=0,
open_close='C')
close = last_order.cost_long() * (abs(position) / position)
return value + close
def ib_open_order(self, evt):
""" open_order(...) -> message the account supervisor
with the details of a new order
This method converts the contract and order objects supplied by Ib
into the contract and order types from the base module.
"""
order_id, contract, order = evt.order_id, evt.contract, evt.order
co, oo = base.Contract(), base.Order()
co.__dict__.update(contract.__dict__)
oo.__dict__.update(order.__dict__)
self.account.existing_order(order_id, co, oo)
def emitOrder(self):
""" emitOrder() -> emit an order and a contract
"""
symbol = '%s' % self.symbolCombo.currentText()
action = self.actions['%s' % self.actionCombo.currentText()]
orty = self.types['%s' % self.typeCombo.currentText()]
quan = self.quantitySpin.value()
lmt = self.priceEdit.value()
aux = self.auxEdit.value()
contract = base.Contract.stock_factory(symbol)
order = base.Order(quantity=quan, limit_price=lmt, aux_price=aux,
open_close='O', action=action, order_type=orty)
self.emit(util.sigSubmitOrder, (contract, order))
def handle(self, parent, ticker, guidance):
symb = ticker.symbol
csize, cdir = 0, 0
try:
## match size and direction to current position if any
csize = parent.positions[symb].position
cdir = csize / abs(csize)
except (KeyError, ZeroDivisionError, ):
pass
if guidance.direction == base.Directions.Long:
## long guidance; determine buy/open or close/sell
if cdir == 0 or cdir == base.Directions.Long:
size = self.default_size
ooc = base.OrderPositions.Open
oact = base.OrderActions.Buy
elif cdir == base.Directions.Short:
size = csize
ooc = base.OrderPositions.Close
oact = base.OrderActions.Buy
elif guidance.direction == base.Directions.Short:
## short guidance; determine ssell/open or close/sell
if cdir == 0 or cdir == base.Directions.Short:
size = self.default_size
ooc = base.OrderPositions.Open
oact = base.OrderActions.ShortSell
elif cdir == base.Directions.Long:
size = csize
ooc = base.OrderPositions.Close
oact = base.OrderActions.Sell
elif guidance.direction == base.Directions.NoDirection:
## guidance was neither long or short; nothing to do
return 0
else:
## unknown direction
return 0
## add 'contract' and 'order' attributes to the guidance for other
## handlers to reference
guidance.contract = base.Contract.stock_factory(symb)
guidance.order = base.Order(quantity=abs(size), limit_price=0,
aux_price=0, open_close=ooc,
origin=0, transmit=1, tif="DAY",
action=oact, order_type="LMT")
return 1
def gauge(self):
""" gauge() -> a generator for strategy performance measurement
"""
running_pnl = 0
running_pos = 0
opencloselookup = {NoReverse: 'O', Reverse: 'C'}
for record in self.history:
index, price, direction, reverse, movesize = record[0:5]
if not direction:
continue
order = base.Order(quantity=movesize,
limit_price=price,
transmit=0,
open_close=opencloselookup[reverse])
cost = base.Order.cost_long(order)
running_pnl += -cost
running_pos += movesize
yield (
(index, price),
(running_pnl, running_pos),
order,
)