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BUG: for issue #237, update positions before checking balances

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AvishaiW
2018-02-21 20:42:39 +02:00
parent 7e22674d40
commit 20f8a75f4a
2 changed files with 18 additions and 14 deletions
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catalyst/exchange/exchange.py
+8 -3
View File
@@ -656,16 +656,21 @@ class Exchange:
return df
def _check_low_balance(self, currency, balances, amount):
def _check_low_balance(self, currency, balances, amount, open_orders=None):
free = balances[currency]['free'] if currency in balances else 0.0
if open_orders:
# TODO: make sure that this works
free += sum([order.amount for order in open_orders])
if free < amount:
return free, True
else:
return free, False
def sync_positions(self, positions, cash=None, check_balances=False):
def sync_positions(self, positions, open_orders=None, cash=None,
check_balances=False):
"""
Update the portfolio cash and position balances based on the
latest ticker prices.
@@ -694,7 +699,7 @@ class Exchange:
balances=balances,
amount=cash,
)
if is_lower:
if is_lower and not open_orders:
raise NotEnoughCashError(
currency=self.base_currency,
exchange=self.name,
catalyst/exchange/exchange_algorithm.py
+10 -11
View File
@@ -631,23 +631,12 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
if base_currency is None:
base_currency = exchange.base_currency
# Don't check the cash if there are open orders. This could
# results in false positives.
orders = []
for asset in self.blotter.open_orders:
asset_orders = self.blotter.open_orders[asset]
if asset_orders:
orders += asset_orders
required_cash = self.portfolio.cash if not orders else None
cash, positions_value = exchange.sync_positions(
positions=exchange_positions,
check_balances=check_balances,
cash=required_cash,
)
total_cash += cash
total_positions_value += positions_value
# Applying modifications to the original positions
for position in exchange_positions:
tracker.update_position(
@@ -657,6 +646,16 @@ class ExchangeTradingAlgorithmLive(ExchangeTradingAlgorithmBase):
last_sale_price=position.last_sale_price,
)
required_cash = self.portfolio.cash if not orders else None
cash, positions_value = exchange.sync_positions(
positions=exchange_positions,
open_orders=orders,
check_balances=check_balances,
cash=required_cash,
)
total_cash += cash
total_positions_value += positions_value
if not check_balances:
total_cash = self.portfolio.cash