def execute_signal(self, signal_event):
side = signal_event.side
market = signal_event.instrument
units = int(self.trade_units)
# Check side for correct bid/ask prices
if side == "buy":
add_price = Decimal(str(self.ticker.cur_ask))
remove_price = Decimal(str(self.ticker.cur_bid))
else:
add_price = Decimal(str(self.ticker.cur_bid))
remove_price = Decimal(str(self.ticker.cur_ask))
exposure = Decimal(str(units))
# If there is no position, create one
if market not in self.positions:
self.add_new_position(side, market, units, exposure, add_price,
remove_price)
order = OrderEvent(market, units, "market", side)
self.events.put(order)
# If a position exists add or remove units
else:
ps = self.positions[market]
# Check if the sides equal
if side == ps.side:
# Add to the position
add_position_units(market, units, exposure, add_price,
remove_price)
else:
# Check if the units close out the position
if units == ps.units:
# Close the position
self.close_position(market, remove_price)
order = OrderEvent(market, units, "market", side)
self.events.put(order)
elif units < ps.units:
# Remove from the position
self.remove_position_units(market, units, remove_price)
else: # units > ps.units
# Close the position and add a new one with
# additional units of opposite side
new_units = units - ps.units
self.close_position(market, remove_price)
if side == "buy":
new_side = "sell"
else:
new_side = "buy"
new_exposure = Decimal(str(units))
self.add_new_position(new_side, market, new_units,
new_exposure, add_price,
remove_price)
print "Balance: %0.2f" % self.balance
def execute_signal(self, signal_event):
side = signal_event.side
market = signal_event.instrument
units = int(self.trade_units)
exposure = Decimal(str(units))
bid = Decimal(str(self.ticker.cur_bid))
ask = Decimal(str(self.ticker.cur_ask))
# If there is no position, create one
if market not in self.positions:
if side == "buy":
position_type = "long"
else:
position_type = "short"
self.add_new_position(position_type, market, units, exposure, bid,
ask)
# If a position exists add or remove units
else:
ps = self.positions[market]
if side == "buy" and ps.position_type == "long":
add_position_units(market, units, exposure, bid, ask)
elif side == "sell" and ps.position_type == "long":
if units == ps.units:
self.close_position(market, bid, ask)
# TODO: Allow units to be added/removed
elif units < ps.units:
return
elif units > ps.units:
return
elif side == "buy" and ps.position_type == "short":
if units == ps.units:
self.close_position(market, bid, ask)
# TODO: Allow units to be added/removed
elif units < ps.units:
return
elif units > ps.units:
return
elif side == "sell" and ps.position_type == "short":
add_position_units(market, units, exposure, bid, ask)
order = OrderEvent(market, units, "market", side)
self.events.put(order)
print "Balance: %0.2f" % self.balance
def execute_signal(self, signal_event):
side = signal_event.side
currency_pair = signal_event.instrument
units = int(self.trade_units)
time = signal_event.time
# If there is no position, create one
if currency_pair not in self.positions:
if side == "buy":
position_type = "long"
else:
position_type = "short"
self.add_new_position(
position_type, currency_pair,
units, self.ticker
)
# If a position exists add or remove units
else:
ps = self.positions[currency_pair]
if side == "buy" and ps.position_type == "long":
add_position_units(currency_pair, units)
elif side == "sell" and ps.position_type == "long":
if units == ps.units:
self.close_position(currency_pair)
# TODO: Allow units to be added/removed
elif units < ps.units:
return
elif units > ps.units:
return
elif side == "buy" and ps.position_type == "short":
if units == ps.units:
self.close_position(currency_pair)
# TODO: Allow units to be added/removed
elif units < ps.units:
return
elif units > ps.units:
return
elif side == "sell" and ps.position_type == "short":
add_position_units(currency_pair, units)
order = OrderEvent(currency_pair, units, "market", side)
self.events.put(order)
def execute_signal(self, signal_event):
# Check that the prices ticker contains all necessary
# currency pairs prior to executing an order
execute = True
tp = self.ticker.prices
for pair in tp:
if tp[pair]["ask"] is None or tp[pair]["bid"] is None:
execute = False
# All necessary pricing data is available,
# we can execute
if execute:
side = signal_event.side
currency_pair = signal_event.instrument
units = int(self.trade_units)
time = signal_event.time
# If there is no position, create one
if currency_pair not in self.positions:
if side == "buy":
position_type = "long"
else:
position_type = "short"
self.add_new_position(position_type, currency_pair, units,
self.ticker)
# If a position exists add or remove units
else:
ps = self.positions[currency_pair]
if side == "buy" and ps.position_type == "long":
add_position_units(currency_pair, units)
elif side == "sell" and ps.position_type == "long":
if units == ps.units:
self.close_position(currency_pair)
# TODO: Allow units to be added/removed
elif units < ps.units:
return
elif units > ps.units:
return
elif side == "buy" and ps.position_type == "short":
if units == ps.units:
self.close_position(currency_pair)
# TODO: Allow units to be added/removed
elif units < ps.units:
return
elif units > ps.units:
return
elif side == "sell" and ps.position_type == "short":
add_position_units(currency_pair, units)
order = OrderEvent(currency_pair, units, "market", side)
self.events.put(order)
self.logger.info("Portfolio Balance: %s" % self.balance)
else:
self.logger.info(
"Unable to execute order as price data was insufficient.")
def execute_signal(self, signal_event):
# Check that the prices ticker contains all necessary
# currency pairs prior to executing an order
execute = True
tp = self.ticker.prices
for pair in tp:
if tp[pair]["ask"] is None or tp[pair]["bid"] is None:
execute = False
print("unable to execute as ask or bid was None")
# All necessary pricing data is available,
# we can execute
if execute:
side = signal_event.side
currency_pair = signal_event.instrument
units = int(self.trade_units)
time = signal_event.time
# If there is no position, create one
if currency_pair not in self.positions:
if side == "buy":
print("Not in positions; long handler")
position_type = "long"
else:
print("Not in positions; short handler")
position_type = "short"
self.add_new_position(
position_type, currency_pair,
units, self.ticker
)
# print("adding units: " + str(units) + " at price: " + str(self.ticker.prices))
# INSERT balance updating code here. (add_new_position *and* add_new_position_units)
# TEST by showing how much "equity" exits in positions
# If a position exists add or remove units
else:
ps = self.positions[currency_pair]
if side == "buy" and ps.position_type == "long":
print("Have positions; buy/long")
add_position_units(currency_pair, units)
elif side == "sell" and ps.position_type == "long":
print("Have positions; sell/long")
if units == ps.units:
self.close_position(currency_pair)
# TODO: Allow units to be added/removed
elif units < ps.units:
return
elif units > ps.units:
return
elif side == "buy" and ps.position_type == "short":
print("have positions; buy/short")
if units == ps.units:
self.close_position(currency_pair)
# TODO: Allow units to be added/removed
elif units < ps.units:
return
elif units > ps.units:
return
elif side == "sell" and ps.position_type == "short":
print("have positions; sell/short")
add_position_units(currency_pair, units)
order = OrderEvent(currency_pair, units, "market", side)
print("putting order in")
self.events.put(order)
print("Portfolio Balance: %s" % self.balance)
self.logger.info("Portfolio Balance: %s" % self.balance)
else:
self.logger.info("Unable to execute order as price data was insufficient.")