Bug fixes

catalyst/examples/buy_the_dip_live.py

@@ -75,6 +75,11 @@ def _handle_data(context, data):
     cost_basis = None
     if context.asset in context.portfolio.positions:
         position = context.portfolio.positions[context.asset]
+
+        if position.amount >= context.TARGET_POSITIONS:
+            log.info('reached positions target: {}'.format(position.amount))
+            return
+
         cost_basis = position.cost_basis
         log.info(
             'found {amount} positions with cost basis {cost_basis}'.format(

catalyst/exchange/exchange_order.py

@@ -2,25 +2,9 @@ import math
 
 import catalyst.protocol as zp
 from catalyst.assets import Asset
-from catalyst.finance.order import Order
-from catalyst.utils.enum import enum
+from catalyst.finance.order import Order, ORDER_STATUS
 from catalyst.utils.input_validation import expect_types
 
-ORDER_STATUS = enum(
-    'OPEN',
-    'FILLED',
-    'CANCELLED',
-    'REJECTED',
-    'HELD',
-)
-
-SELL = 1 << 0
-BUY = 1 << 1
-STOP = 1 << 2
-LIMIT = 1 << 3
-
-ORDER_FIELDS_TO_IGNORE = {'type', 'direction', '_status', 'asset'}
-
 
 class ExchangeOrder(Order):
     @expect_types(asset=Asset)

catalyst/exchange/exchange_portfolio.py

@@ -1,5 +1,6 @@
 import numpy as np
 from catalyst.protocol import Portfolio, Positions, Position
+from catalyst.finance.order import BUY
 from logbook import Logger
 
 log = Logger('ExchangePortfolio')
@@ -49,14 +50,14 @@ class ExchangePortfolio(Portfolio):
 
         self.capital_used += order.amount * order.executed_price
 
-        if order_position.cost_basis > 0:
-            # TODO: consider buy orders only
-            order_position.cost_basis = np.average(
-                [order_position.cost_basis, order.executed_price],
-                weights=[order_position.amount, order.amount]
-            )
-        else:
-            order_position.cost_basis = order.executed_price
+        if order.amount > 0:
+            if order_position.cost_basis > 0:
+                order_position.cost_basis = np.average(
+                    [order_position.cost_basis, order.executed_price],
+                    weights=[order_position.amount, order.amount]
+                )
+            else:
+                order_position.cost_basis = order.executed_price
 
         log.debug('updated portfolio with executed order')