Public Member Functions | |
| def | __init__ (self, initialDeposit=10000, leverage=1, currency="USD", positions="long & short", marginCallTreeshold=100, marginMinimum=50, minimumBalance=200, maximumProfit=10000, maximumDrawDown=70, maximumConsecutiveLoss=5000, maximumConsecutiveGain=10000, maximumNumberOfConsecutiveGains=30) |
| def | addSymbol (self, symbol) |
| Description : More... | |
| def | placeOrder (self, symbolName, action="long", orderType="MKT", volume=0.1, stoploss=None, takeprofit=None, lmtPrice=None, auxPrice=None) |
| Description : More... | |
| def | editSLOrder (self, symbolName, order, stoploss=None) |
| Description : More... | |
| def | editTPOrder (self, symbolName, order, takeprofit=None) |
| Description : More... | |
| def | cancelOrder (self, symbolName, order) |
| Description : More... | |
| def | closePosition (self, symbolName, order) |
| Description : More... | |
| def | getActivePositions (self, symbolName) |
| Description : More... | |
| def | getHistoricalData (self, symbolName, dateIni, dateEnd, timeframe, onlyOpen=True) |
| Description : More... | |
| def | getLastPrice (self, symbolName) |
| Description : More... | |
| def | message (self, messageStr, category="Strategy Message", kwargs=dict()) |
| Portfolio system functions. | |
| def | error (self, errorStr, category="Portfolio Error.", kwargs=dict()) |
| def | newTurn (self, index_, portfolio_state=None, simulation_state=None) |
| def | initiate (self, simulation=None, portfolio=None) |
 Public Member Functions inherited from SLIPPAGE | |
| def | slippageModel (self, model="gaussian relative", parameters={"std" :0.0001}) |
| Description : More... | |
| Public Member Functions inherited from SYSTEM | |
| def | write_log (self, action, nargs, args, kwargs, result) |
| def | init_write_log (self, action, nargs, args, kwargs, mode="a") |
| def | init (function) |
| def | message (function) |
| def | error (function) |
| def | step (function) |
| def | placeOrder (function) |
| def | closePosition (function) |
| def | editSLOrder (function) |
| def | editTPOrder (function) |
| def | cancelOrder (function) |
| def | getActivePositions (function) |
| def | getHistoricalData (function) |
| def | getLastPrice (function) |
Detailed Description
Q26 - QuanTester module - PORTFOLIO object.
Description :
This class is dedicated in initializing a trading PORTFOLIO.
Examples :
Planned developments :
Known bugs :
Member Function Documentation
◆ addSymbol()
| def addSymbol | ( | self, | |
| symbol | |||
| ) |
Description :
Function allowing to add a new SYMBOL object in the portfolio symbols dictionnary.
Parameters :
- symbol [class SYMBOL()] : A SYMBOL object
Returns :
None
◆ cancelOrder()
| def cancelOrder | ( | self, | |
| symbolName, | |||
| order | |||
| ) |
Description :
This function allows to cancel an ORDER that have been placed but not executed yet given the symbol name and the pending ORDER. If the ORDER is a parent order, the parent ORDER AND the children ORDERs will be cancelled. If the ORDER is a children ORDER, only the provided order will be cancelled.
Parameters :
- symbolName [string] :
Name of the symbol
- order [class ORDER()] :
The ORDER object that have been placed
Returns :
None
◆ closePosition()
| def closePosition | ( | self, | |
| symbolName, | |||
| order | |||
| ) |
Description :
This function allows to close a POSITION object, the symbol name and the main ORDER object (the one which allowed to open the POSITION object) being provided.
Parameters :
- symbolName [string] :
Name of the symbol
- order [class ORDER()] :
The ORDER object that have been placed
Returns :
None
◆ editSLOrder()
| def editSLOrder | ( | self, | |
| symbolName, | |||
| order, | |||
stoploss = None |
|||
| ) |
Description :
This function allows to edit the stoploss value of a placed order. To do it, the user has to provide the stoploss ORDER object (not the main ORDER object), and the new stoploss value.
Parameters :
- symbolName [string] :
Name of the symbol
- order [class ORDER()] :
The pending stoploss ORDER object that have been placed
- stoploss [float] :
The new stoploss value
Returns :
None
◆ editTPOrder()
| def editTPOrder | ( | self, | |
| symbolName, | |||
| order, | |||
takeprofit = None |
|||
| ) |
Description :
This function allows to edit the takeprofit value of a placed order. To do it, the user has to provide the takeprofit ORDER object (not the main ORDER object), and the new takeprofit value.
Parameters :
- symbolName [string] :
Name of the symbol
- order [class ORDER()] :
The pending takeprofit ORDER object that have been placed
- takeprofit [float] :
The new takeprofit value
Returns :
None
◆ getActivePositions()
| def getActivePositions | ( | self, | |
| symbolName | |||
| ) |
Description :
Returns the list of currently active positions given a symbol name.
Parameters :
- symbolName [string] :
Name of the symbol
Returns :
List of active POSITION objects.
◆ getHistoricalData()
| def getHistoricalData | ( | self, | |
| symbolName, | |||
| dateIni, | |||
| dateEnd, | |||
| timeframe, | |||
onlyOpen = True |
|||
| ) |
Description :
This function returns the historical dataset available to the portfolio according the different constraints provided as a parameter.
Parameters :
- symbolName [string] :
Name of the symbol
- dateIni [datetime/integer] :
If datetime: The initial dataset datetime value
If integer: The number of price candle in the past, 0 being the
last available candle.
Note : dateIni and dateEnd have to have the same type
- dateEnd [datetime/integer] :
If datetime: The latest dataset datetime value
If integer: The number of price candle in the past, 0 being the
last available candle.
Note : dateIni and dateEnd have to have the same type
- timeframe [integer] :
Timeframe sampling of the historical data in minute unit.
0 means the simulation base timeframe.
Note : The requested timeframe have to have been prepared
in the simulation header.
Returns :
The function returns a dictionnary of the following shape :
{askopen : list(float),
askhigh : list(float),
asklow : list(float),
askclose: list(float),
bidopen : list(float),
bidhigh : list(float),
bidlow : list(float),
bidclose: list(float),
volume : list(float),
time : list(datetime)}
◆ getLastPrice()
| def getLastPrice | ( | self, | |
| symbolName | |||
| ) |
Description :
This function returns the last simulation price available to the
portfolio given the name of the symbol.
Note : In certain cases, because of the subloop models, the
portfolio can return prices from the future that have
theoretically not been released yet. To avoid this
potential time ahead-bias, please for any action from
the STRATEGY object, use only the askprice/bidprice to
know the last existing price.
If the subLoopModel is "close only", everything is fine,
there is no risk of time ahead bias.
Parameters :
- symbolName [string] :
Name of the symbol
Returns :
This function returns a dictionnary of the following shape :
{"askopen" : float,
"askhigh" : float,
"asklow" : float,
"askclose": float,
"askprice": float,
"bidopen" : float,
"bidhigh" : float,
"bidlow" : float,
"bidclose": float,
"bidprice": float,
"date" : datetime,
"volume" : float,
"market state" : string ("open" or "closed") }
◆ placeOrder()
| def placeOrder | ( | self, | |
| symbolName, | |||
action = "long", |
|||
orderType = "MKT", |
|||
volume = 0.1, |
|||
stoploss = None, |
|||
takeprofit = None, |
|||
lmtPrice = None, |
|||
auxPrice = None |
|||
| ) |
Description :
This function allows to place an order, the symbol name being provided. Three types of orders can be placed : market, market if touched and limit order. For every placed order, three orders are placed, the immediately desired transaction and two pending orders simulating the stoploss and takeprofit values. If stoploss and/or takeprofit is not required, the user can put an extraordinary value so that the security pending orders will never be triggered.
Parameters :
- symbolName [string] :
Name of the symbol as registered in the portfolio.
- action [string] = "long" :
"long" or "short", direction of the position.
- orderType [string] = "MKT" :
"MKT" (Market) : The order is placed as soon as possible.
"MIT" (Market If Touched) :
If action = "long", the order is executed if price < lmtprice
If action = "short", the order is executed if price > lmtPrice
"LMT" (Limit) :
If action = "long", the order is executed if price > lmtPrice
If action = "short", the order is executed if price < lmtPrice
- volume [float] = 0.1 :
Volume of the asset to be traded in the unit defined by the
associated SYMBOL object in the portfolio symbol dictionnary.
- stoploss [float] :
Stoploss value
- takeprofit [float] :
Takeprofit value
- lmtPrice [float] :
Secondary price value which becomes usefull in case of
MIT or LMT order
- auxPrice [float] :
This variable is not used for instance
Returns :
If the order is correctly placed, the function returns a list of three ORDER objects where the first element is the desired transction while the second and the third are the stoploss and takeprofit orders respectively. Else, the function returns a list of Falses, of size 3.
Member Data Documentation
◆ availableMargin
| availableMargin |
Available margin
Type : integer/float
Simulation variable Description :
The portfolio available margin all along the simulation.
◆ balance
| balance |
Portfolio balance
Type : integer/float
Simulation variable
Description :
The balance of cash available to the portfolio all along the simulation.
◆ closedPositions
| closedPositions |
Closed positions list
Type : list(class POSITION)
Simulation variable
Description :
This list stores all the POSITIONs that have been closed by the current portfolio or automatically by the simulated broker.
◆ currency
| currency |
Portfolio Currency
Type : string
Defaut value : "USD"
Description :
The portfolio devise. !!!This feature is not implemented yet, the only available devise in USD for instance!!!
◆ currentDrawDown
| currentDrawDown |
Current drawdown
Type : float
Simulation variable
Description :
The current drawdown is calculated as a percentage value of the portfolio balance.
◆ currentMaximumNumberOfConsecutiveGains
| currentMaximumNumberOfConsecutiveGains |
Current maximum number of consecutive gains
Type : integer
Simulation variable
Description :
Each time a new gain is registered, this variable is incremented by an unitary value. If the last transation was a loss, this variable becomes 0.
◆ currentValueGainSerie
| currentValueGainSerie |
Current value gain serie
Type : float
Simulation variable
Description :
Current value gain serie. 0 if the last transaction was a loss.
◆ currentValueLossSerie
| currentValueLossSerie |
Current value loss serie
Type : float
Simulation variable
Description :
Current value loss serie. 0 if the last transaction was a gain.
◆ database
| database |
Database associated with the portfolio
Type: alphatrading.system.database.DATABASE
Description:
This object corresponds to the client connector to the simulated portfolio database
◆ equity
| equity |
Equity balance
Type : integer/float
Simulation variable
Description :
The portfolio equity all along the simulation. The equity variable represents the portfolio balance but also takes in account the instant potential gains/loses of the currently actyive positions.
◆ equityCurve
| equityCurve |
Portfolio equity curve
Type : list(float)
Simulation variable
Description :
This list represent the value of the portfolio equity at each time a position is closed. It is in particular involved in the calculation of the portfolio current draw down and other gain/loss series.
◆ executedOrders
| executedOrders |
Executed orders list
Type : list(class ORDER)
Simulation variable
Description :
Every executed or cancelled order is stored here. This list allows to have an history of every portfolio trading action.
◆ historicalDataPrice
| historicalDataPrice |
!
Historical available data price
Type : dictionnary(symbolName : dictionnary(price : list(value)))
Simulation variable
Description :
This variable contains all the historical data price available to the portfolio according the actual time date. This is the place where historical data price can be accessed from STRATEGY classes. This variable is structured as follows :
◆ historicalDataTimeframe
| historicalDataTimeframe |
Simulation data timeframe
Type : integer
Description :
Timeframe (in minutes unit) of the not-resampled simulation data.
◆ initialDeposit
| initialDeposit |
Initial client desposit amount
Type : float/integer
Defaut value : 10000
Description :
Determine the initial portfolio value
◆ leverage
| leverage |
Portfolio leverage
Type : float/integer
Defaut value : 1
Description :
A selected leverage.
◆ log
| log |
Add a default log to the database
Type: boolean
Description :
If True, a default log table will be considered in the database and all the actions stored in the trading_log_actions list will be written in the portfolio database at each simulation time step. One should use it only for debug mode.
◆ marginCallTreeshold
| marginCallTreeshold |
Margin call treeshold
Type : float
Defaut value : 100
Description :
Defines the treeshold below which the trading is deactivated for the current portfolio. The margin rate is expressed as a percentage. If marginLevel < marginCallTreeshold : Warning (no more trading allowed)
◆ marginLevel
| marginLevel |
Margin level
Type : float
Simulation variable
Description :
The margin level is defined by : availableMargin / usedMargin * 100 and is expressed as a percentage.
◆ marginMinimum
| marginMinimum |
Margin Minimum treeshold
Type : float
Defaut value : 50
Description :
Defines the treeshold below which the simulator starts to automatically close the most losing positions, and this until the portfolio margin goes up to the minimum allowed value. The value is expressed as a percentage.
◆ maximumConsecutiveGain
| maximumConsecutiveGain |
Maximum consecutive gain
Type : integer/float
Defaut value : 10000
Description :
If the portfolio meet a consecutive gain higher than the maximum allowed consecutive gain, the trading is deactivated.
◆ maximumConsecutiveLoss
| maximumConsecutiveLoss |
Maximum consecutive loss
Type : integer/float
Defaut value : 5000
Description :
If the portfolio meet a consecutive loss higher than the maximum allowed consecutive loss, the trading is deactivated.
◆ maximumDrawDown
| maximumDrawDown |
Maximum allowed drawdown
Type : integer/float
Defaut value : 70
Description :
If the current looses generate a drawdown percentage higher than the maximum allowed, the trading is deactivated.
◆ maximumNumberOfConsecutiveGains
| maximumNumberOfConsecutiveGains |
Maximum number consecutive gain
Type : integer
Defaut value : 30
Description :
If the portfolio meet a a number of consecutive gain higher than the maximum allowed number of consecutive gain, the trading is deactivated.
◆ maximumProfit
| maximumProfit |
Maximum allowed profit
Type : integer/float
Defaut value : 1000
Description :
If the current portfolio makes more profit than the maximum allowed profit, the trading is deactivated.
◆ minimumBalance
| minimumBalance |
Minimum balance
Type : integer/float
Defaut value : 200
Description :
If the portfolio balance goes below the minimum allowed balance, the trading is deactivated.
◆ openPositions
| openPositions |
Open positions list
Type : list(class POSITION)
Simulation variable
Description :
This list stores all the currently active POSITION taken by the current portfolio.
◆ pendingOrders
| pendingOrders |
Pending orders list
Type : list(class ORDER)
Simulation variable
Description :
Every submitted ORDER is stored here. If conditions are met, the order is executed. It means that it is removed from this list and placed in the executedOrders list, and a POSITION object is generated in the openPositions list.
◆ positions
| positions |
Allowed positions types
Type : string
Defaut value : "long & short"
Description :
If "long", only long positions are allowed, if "short", only short positions are allowed. If "long & short", both direction positions are allowed. !!! Not working yet !!! For instance "long & short" is the only possible value.
◆ symbols
| symbols |
Symbols
Type : dictionnary(string : class SYMBOL)
Description :
This variable stores all the SYMBOL objects involved in the simulation.
◆ tradeAuthorisation
| tradeAuthorisation |
Trading authorisation
Type : boolean
Description :
If False, trading is unauthorised.
◆ trading_log_actions
| trading_log_actions |
Trading log actions
Type: list(string)
Description:
This list contains a list of actions which will be recorded in the log table for the database if the attribute self.log is set to True. Each element of the list record a specific action but all the elements follows the same structure in the default log table.
◆ usedMargin
| usedMargin |
Used margin
Type : integer/float
Simulation variable
Description :
The portfolio used margin all along the simulation.
◆ verbose
| verbose |
Verbose, debug mode
Type : boolean
Description :
If True, a lot of technical informations are printed during the simulation.
The documentation for this class was generated from the following file:
- portfolio.py
