def fetch_quotes(ticker_id_dict):
global logger
global logger_alert
# timestamp
start_time = datetime.datetime.now()
fetch_time = chop_microseconds(start_time)
count = -1
try:
# build query url for api
baseurl = "https://query.yahooapis.com/v1/public/yql?"
yql_query = "select * from yahoo.finance.quote where symbol in ('"
ticker_url = "','".join(ticker_id_dict.keys())
yql_query = yql_query + ticker_url + "')"
yql_url = baseurl + urllib.urlencode({'q': yql_query}) + \
"&format=json&diagnostics=true&env=store://datatables.org/alltableswithkeys&callback="
# get data
for i in range(5):
try:
result = urllib2.urlopen(yql_url).read()
log_string = '(QUERY:' + yql_url + '),SUCCESS'
logger.info(log_string)
break
except:
log_string = '(QUERY:' + yql_url + '),FAIL'
logger.info(log_string)
if (i == 4):
return
data = json.loads(result)
quote_data = data['query']['results']['quote']
# create objects
quotes = [Entry.Quote(id=ticker_id_dict[q['symbol']],
price=unicode2int(q['LastTradePriceOnly']),
volume=q['Volume'],
time=fetch_time)
for q in quote_data]
count = len(quotes)
# write results into db
Entry.Quote.add(quotes)
result = 'True'
except Exception as e:
result = 'False'
logger_alert.exception('fetch_error@' + str(fetch_time))
finish_time = datetime.datetime.now()
log_string = "[({0}),({1}),{2},{3}]".format(start_time, finish_time, result, count)
logger.info(log_string)
def buy(self, portfolio, stock, shares, price):
# get order time
start_time = datetime.datetime.now()
order_time = chop_microseconds(start_time)
try:
# do calculation
total = price * shares + self.commission
# get portfolio, cash position, and stock id
port = Portfolio.search(name=portfolio)[0]
st = Stock.search(ticker=stock)[0]
cash = Position.search(portfolio=port['id'], stock=0)[0]
if cash['total_cost'] < total:
result = 'False'
self.logger_alert.exception(
'Order_error: buy@' + str(order_time) + ': portfolio %s not enough balance' % portfolio)
else:
# add or update position
positions = Position.search(portfolio=port['id'], stock=st['id'])
if positions == []:
pos = Position(portfolio=port['id'], stock=st['id'], shares=shares,
avg_cost=total / shares, total_cost=total, aggr_cost=total)
Position.add([pos])
else:
pos = positions[0]
pos['shares'] += shares
pos['total_cost'] += total
pos['aggr_cost'] += total
pos['avg_cost'] = pos['total_cost'] / pos['shares']
pos.save()
# update cash
cash['shares'] -= total
cash['total_cost'] -= total
cash.save()
# record transaction
trans = Transaction(time=order_time, portfolio=port['id'],
stock=st['id'], action='buy', shares=shares,
price=price, total=total)
Transaction.add([trans])
result = 'True'
except Exception:
result = 'False'
self.logger_alert.exception('Order_error: buy@' + str(order_time))
log_string = '%s: portfolio %s bought %d shares %s @ $%d/share. %s.' % (
str(order_time), portfolio, shares, stock, price, result)
self.logger.info(log_string)
def short(self, portfolio, stock, shares, price):
# get order time
start_time = datetime.datetime.now()
order_time = chop_microseconds(start_time)
try:
# do calculation
total = price * shares - self.commission
# get portfolio, cash, and stock id
port = Portfolio.search(name=portfolio)[0]
st = Stock.search(ticker=stock)[0]
cash = Position.search(portfolio=port['id'], stock=0)[0]
# add or update position
result = Position.search(portfolio=port['id'], stock=st['id'])
if result == []:
pos = Position(portfolio=port['id'], stock=st['id'], shares=(-shares),
avg_cost=total / shares, total_cost=(-total), aggr_cost=(-total))
Position.add([pos])
else:
pos = result[0]
if pos['shares'] > 0:
result = 'False'
self.logger_alert.exception(
'Order_error: short@' + str(order_time) + ': portfolio %s has long position' % portfolio)
else:
pos['shares'] -= shares
pos['total_cost'] -= total
pos['avg_cost'] = pos['total_cost'] / pos['shares']
pos['aggr_cost'] -= total
pos.save()
# update cash
cash['shares'] += total
cash['total_cost'] += total
cash.save()
# record transaction
trans = Transaction(time=order_time, portfolio=port['id'],
stock=st['id'], action='short', shares=(-shares),
price=price, total=(-total))
Transaction.add([trans])
result = 'True'
except Exception:
result = 'False'
self.logger_alert.exception('Order_error: short@' + str(order_time))
log_string = '%s: portfolio %s shortsold %d shares %s @ $%d/share. %s.' % (
str(order_time), portfolio, shares, stock, price, result)
self.logger.info(log_string)
def sell(self, portfolio, stock, shares, price):
# get order time
start_time = datetime.datetime.now()
order_time = chop_microseconds(start_time)
try:
# do calculation
total = price * shares - self.commission
# get portfolio, position, cash, and stock id
port = Portfolio.search(name=portfolio)[0]
st = Stock.search(ticker=stock)[0]
cash = Position.search(portfolio=port['id'], stock=0)[0]
pos = Position.search(portfolio=port['id'], stock=st['id'])[0]
if pos['shares'] < shares:
result = 'False'
self.logger_alert.exception(
'Order_error: sell@' + str(order_time) + ': portfolio %s not enough shares' % portfolio)
else:
# update position
pos['total_cost'] -= pos['total_cost'] * shares / pos['shares']
pos['shares'] -= shares
pos['aggr_cost'] -= total
if pos['shares'] == 0:
pos['avg_cost'] = 0
pos.save()
# update cash
cash['shares'] += total
cash['total_cost'] += total
cash.save()
# record transaction
trans = Transaction(time=order_time, portfolio=port['id'],
stock=st['id'], action='sell', shares=(-shares),
price=price, total=(-total))
Transaction.add([trans])
result = 'True'
except Exception:
result = 'False'
self.logger_alert.exception('Order_error: sell@' + str(order_time))
log_string = '%s: portfolio %s sold %d shares %s @ $%d/share. %s.' % (
str(order_time), portfolio, shares, stock, price, result)
self.logger.info(log_string)
record = Indicator.search(id=self.id, time=self.quotes[self.period - 1]['time'])
k_1 = 50
d_1 = 50
if 'k' in record[0].keys() and record[0]['k'] > 0:
k_1 = record[0]['k']
if 'd' in record[0].keys() and record[0]['d'] > 0:
d_1 = record[0]['d']
rsv = (self.price(self.period) - self.low(self.period - 9, self.period)) / (
self.high(self.period - 9, self.period) - self.low(self.period - 9, self.period)) * 100
k = rsv / 3 + 2 * k_1 / 3
d = k / 3 + 2 * d_1 / 3
j = 3 * d - 2 * k
return k, d, j
def boll(self):
pass
def wr(self):
pass
def vr(self):
pass
def record(self):
pass
if __name__ == '__main__':
time = chop_microseconds(datetime.datetime(2015, 7, 31, 4, 0, 0))
cal = iCalculator('YHOO', time, 30, 30)
