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132 lines
3.9 KiB
Python
132 lines
3.9 KiB
Python
import numpy as np
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from catalyst.constants import LOG_LEVEL
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from catalyst.protocol import Portfolio, Positions, Position
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from logbook import Logger
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log = Logger('ExchangePortfolio', level=LOG_LEVEL)
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class ExchangePortfolio(Portfolio):
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"""
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Since the goal is to support multiple exchanges, it makes sense to
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include additional stats in the portfolio object. This fills the role
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of Blotter and Portfolio in live mode.
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Instead of relying on the performance tracker, each exchange portfolio
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tracks its own holding. This offers a separation between tracking an
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exchange and the statistics of the algorithm.
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"""
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def __init__(self, start_date, starting_cash=None):
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self.capital_used = 0.0
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self.starting_cash = starting_cash
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self.portfolio_value = starting_cash
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self.pnl = 0.0
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self.returns = 0.0
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self.cash = starting_cash
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self.positions = Positions()
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self.start_date = start_date
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self.positions_value = 0.0
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self.open_orders = dict()
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def create_order(self, order):
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"""
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Create an open order and store in memory.
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Parameters
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----------
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order: Order
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"""
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log.debug('creating order {}'.format(order.id))
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open_orders = self.open_orders[order.asset] \
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if order.asset is self.open_orders else []
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open_orders.append(order)
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self.open_orders[order.asset] = open_orders
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order_position = self.positions[order.asset] \
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if order.asset in self.positions else None
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if order_position is None:
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order_position = Position(order.asset)
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self.positions[order.asset] = order_position
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order_position.amount += order.amount
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log.debug('open order added to portfolio')
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def _remove_open_order(self, order):
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try:
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open_orders = self.open_orders[order.asset]
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if order in open_orders:
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open_orders.remove(order)
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except Exception:
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raise ValueError(
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'unable to clear order not found in open order list.'
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)
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def execute_order(self, order, transaction):
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"""
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Update the open orders and positions to apply an executed order.
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Unlike with backtesting, we do not need to add slippage and fees.
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The executed price includes transaction fees.
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Parameters
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----------
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order: Order
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transaction: Transaction
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"""
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log.debug('executing order {}'.format(order.id))
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self._remove_open_order(order)
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order_position = self.positions[order.asset] \
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if order.asset in self.positions else None
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if order_position is None:
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raise ValueError(
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'Trying to execute order for a position not held:'
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' {}'.format(order.id)
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)
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self.capital_used += order.amount * transaction.price
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if order.amount > 0:
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if order_position.cost_basis > 0:
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order_position.cost_basis = np.average(
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[order_position.cost_basis, transaction.price],
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weights=[order_position.amount, order.amount]
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)
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else:
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order_position.cost_basis = transaction.price
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log.debug('updated portfolio with executed order')
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def remove_order(self, order):
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"""
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Removing an open order.
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Parameters
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----------
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order: Order
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"""
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log.info('removing cancelled order {}'.format(order.id))
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self._remove_open_order(order)
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order_position = self.positions[order.asset] \
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if order.asset in self.positions else None
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if order_position is None:
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raise ValueError(
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'Trying to remove order for a position not held: %s' % order.id
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)
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order_position.amount -= order.amount
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log.debug('removed order from portfolio')
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