# $$_ Lines starting with # $$_* autogenerated by jup_mini. Do not modify these
# $$_code
# $$_ %%checkall
import pandas as pd
import numpy as np
import types
import math
import datetime
from dataclasses import dataclass
from types import SimpleNamespace
from typing import MutableSet, Mapping, Optional, Union, Any
[docs]class ContractGroup:
'''A way to group contracts for figuring out which indicators, rules and signals to apply to a contract and for PNL reporting'''
_group_names: MutableSet = set()
name: str
contracts: MutableSet['Contract']
contracts_by_symbol: Mapping[str, 'Contract']
[docs] @staticmethod
def clear() -> None:
'''
When running Python interactively you may create a ContractGroup with a given name multiple times because you don't restart Python
therefore global variables are not cleared. This function clears global ContractGroups
'''
ContractGroup._group_names = set()
[docs] @staticmethod
def create(name) -> 'ContractGroup':
'''
Args:
name (str): Name of the group
'''
if name in ContractGroup._group_names:
raise Exception(f'Contract group: {name} already exists')
ContractGroup._group_names.add(name)
contract_group = ContractGroup()
contract_group.name = name
contract_group.contracts = set()
contract_group.contracts_by_symbol = {}
return contract_group
[docs] def add_contract(self, contract):
self.contracts.add(contract)
self.contracts_by_symbol[contract.symbol] = contract
[docs] def get_contract(self, symbol):
return self.contracts_by_symbol.get(symbol)
def __repr__(self):
return self.name
[docs]class Contract:
_symbol_names: MutableSet[str] = set()
symbol: str
expiry: Optional[np.datetime64]
multiplier: float
properties: SimpleNamespace
contract_group: ContractGroup
contracts_by_symbol: Mapping[str, 'Contract']
'''A contract such as a stock, option or a future that can be traded'''
[docs] @staticmethod
def create(symbol: str, contract_group: ContractGroup, expiry: Optional[Union[np.datetime64, datetime.datetime]] = None, multiplier: float = 1.,
properties: Optional[SimpleNamespace] = None) -> 'Contract':
'''
Args:
symbol: A unique string reprenting this contract. e.g IBM or ESH9
contract_group: We sometimes need to group contracts for calculating PNL, for example, you may have a strategy
which has 3 legs, a long option, a short option and a future or equity used to hedge delta. In this case, you will be trading
different symbols over time as options and futures expire, but you may want to track PNL for each leg using a contract group for each leg.
So you could create contract groups 'Long Option', 'Short Option' and 'Hedge' and assign contracts to these.
expiry: In the case of a future or option, the date and time when the
contract expires. For equities and other non expiring contracts, set this to None. Default None.
multiplier: If the market price convention is per unit, and the unit is not the same as contract size,
set the multiplier here. For example, for E-mini contracts, each contract is 50 units and the price is per unit,
so multiplier would be 50. Default 1
properties: Any data you want to store with this contract.
For example, you may want to store option strike. Default None
'''
assert(isinstance(symbol, str) and len(symbol) > 0)
if symbol in Contract._symbol_names:
raise Exception(f'Contract with symbol: {symbol} already exists')
Contract._symbol_names.add(symbol)
assert(multiplier > 0)
contract = Contract()
contract.symbol = symbol
assert(expiry is None or isinstance(expiry, datetime.datetime) or isinstance(expiry, np.datetime64))
if expiry is not None and isinstance(expiry, datetime.datetime):
expiry = np.datetime64(expiry)
contract.expiry = expiry
contract.multiplier = multiplier
if properties is None:
properties = types.SimpleNamespace()
contract.properties = properties
contract_group.add_contract(contract)
contract.contract_group = contract_group
return contract
[docs] @staticmethod
def clear() -> None:
'''
When running Python interactively you may create a Contract with a given symbol multiple times because you don't restart Python
therefore global variables are not cleared. This function clears global Contracts
'''
Contract._symbol_names = set()
def __repr__(self) -> str:
return f'{self.symbol}' + (f' {self.multiplier}' if self.multiplier != 1 else '') + (
f' expiry: {self.expiry.astype(datetime.datetime):%Y-%m-%d %H:%M:%S}' if self.expiry is not None else '') + (
f' group: {self.contract_group.name}' if self.contract_group else '') + (
f' {self.properties.__dict__}' if self.properties.__dict__ else '')
[docs]@dataclass
class Price:
'''
>>> price = Price(datetime.datetime(2020, 1, 1), 15.25, 15.75, 189, 300)
>>> print(price)
15.25@189/15.75@300
>>> price.properties = SimpleNamespace(delta = -0.3)
>>> price.valid = False
>>> print(price)
15.25@189/15.75@300 delta: -0.3 invalid
>>> print(price.mid())
15.5
'''
timestamp: datetime.datetime
bid: float
ask: float
bid_size: int
ask_size: int
valid: bool = True
properties: Optional[SimpleNamespace] = None
[docs] @staticmethod
def invalid() -> 'Price':
return Price(datetime.datetime(datetime.MINYEAR, 1, 1),
bid=math.nan,
ask=math.nan,
bid_size=-1,
ask_size=-1,
valid=False)
[docs] def mid(self) -> float:
return 0.5 * (self.bid + self.ask)
[docs] def vw_mid(self) -> float:
'''
Volume weighted mid
>>> price = Price(datetime.datetime(2020, 1, 1), 15.25, 15.75, 189, 300)
>>> print(f'{price.vw_mid():.4f}')
15.4433
>>> price.bid_size = 0
>>> price.ask_size = 0
>>> assert math.isnan(price.vw_mid())
'''
if self.bid_size + self.ask_size == 0: return math.nan
return (self.bid * self.ask_size + self.ask * self.bid_size) / (self.bid_size + self.ask_size)
[docs] def set_property(self, name: str, value: Any) -> None:
if self.properties is None:
self.properties = SimpleNamespace()
setattr(self.properties, name, value)
[docs] def spread(self) -> float:
if self.ask < self.bid: return math.nan
return self.ask - self.bid
def __repr__(self) -> str:
msg = f'{self.bid:.2f}@{self.bid_size}/{self.ask:.2f}@{self.ask_size}'
if self.properties:
for k, v in self.properties.__dict__.items():
if isinstance(v, (np.floating, float)):
msg += f' {k}: {v:.5g}'
else:
msg += f' {k}: {v}'
if not self.valid:
msg += ' invalid'
return msg
[docs]class OrderStatus:
'''
Enum for order status
'''
OPEN = 'open'
FILLED = 'filled'
[docs]class ReasonCode:
'''A class containing constants for predefined order reason codes. Prefer these predefined reason codes if they suit
the reason you are creating your order. Otherwise, use your own string.
'''
ENTER_LONG = 'enter long'
ENTER_SHORT = 'enter short'
EXIT_LONG = 'exit long'
EXIT_SHORT = 'exit short'
BACKTEST_END = 'backtest end'
ROLL_FUTURE = 'roll future'
NONE = 'none'
# Used for plotting trades
MARKER_PROPERTIES = {
ENTER_LONG: {'symbol': 'P', 'color': 'blue', 'size': 50},
ENTER_SHORT: {'symbol': 'P', 'color': 'red', 'size': 50},
EXIT_LONG: {'symbol': 'X', 'color': 'blue', 'size': 50},
EXIT_SHORT: {'symbol': 'X', 'color': 'red', 'size': 50},
ROLL_FUTURE: {'symbol': '>', 'color': 'green', 'size': 50},
BACKTEST_END: {'symbol': '*', 'color': 'green', 'size': 50},
NONE: {'symbol': 'o', 'color': 'green', 'size': 50}
}
[docs]class Order:
def __init__(self):
self.contract: Contract = None
self.timestamp: np.datetime64 = None
self.qty: float = math.nan
self.reason_code: str = None
self.properties: SimpleNamespace = None
self.status: str = None
[docs]class MarketOrder(Order):
[docs] def __init__(self, contract: Contract,
timestamp: np.datetime64,
qty: float,
reason_code: str = ReasonCode.NONE,
properties: SimpleNamespace = None,
status: str = 'open') -> None:
'''
Args:
contract: The contract this order is for
timestamp: Time the order was placed
qty: Number of contracts or shares. Use a negative quantity for sell orders
reason_code: The reason this order was created.
Prefer a predefined constant from the ReasonCode class if it matches your reason for creating this order.
Default None
properties: Any order specific data we want to store. Default None
status: Status of the order, "open", "filled", etc. Default "open"
'''
self.contract = contract
self.timestamp = timestamp
if not np.isfinite(qty) or math.isclose(qty, 0): raise Exception(f'order qty must be finite and nonzero: {qty}')
self.qty = qty
self.reason_code = reason_code
self.status = status
if properties is None: properties = types.SimpleNamespace()
self.properties = properties
def __repr__(self):
timestamp = pd.Timestamp(self.timestamp).to_pydatetime()
return f'{self.contract.symbol} {timestamp:%Y-%m-%d %H:%M:%S} qty: {self.qty}' + (
'' if self.reason_code == ReasonCode.NONE else f' {self.reason_code}') + (
'' if not self.properties.__dict__ else f' {self.properties}') + (
f' {self.status}')
[docs]class LimitOrder(Order):
[docs] def __init__(self,
contract: Contract,
timestamp: np.datetime64,
qty: float,
limit_price: float,
reason_code: str = ReasonCode.NONE,
properties: SimpleNamespace = None,
status: str = 'open') -> None:
'''
Args:
contract: The contract this order is for
timestamp: Time the order was placed
qty: Number of contracts or shares. Use a negative quantity for sell orders
limit_price: Limit price (float)
reason_code: The reason this order was created.
Prefer a predefined constant from the ReasonCode class if it matches your reason for creating this order.
Default None
properties: Any order specific data we want to store. Default None
status: Status of the order, "open", "filled", etc. (default "open")
'''
self.contract = contract
self.timestamp = timestamp
if not np.isfinite(qty) or math.isclose(qty, 0): raise Exception(f'order qty must be finite and nonzero: {qty}')
self.qty = qty
self.reason_code = reason_code
self.limit_price = limit_price
if properties is None: properties = types.SimpleNamespace()
self.properties = properties
self.properties.limit_price = self.limit_price
self.status = status
def __repr__(self) -> str:
timestamp = pd.Timestamp(self.timestamp).to_pydatetime()
return f'{self.contract.symbol} {timestamp:%Y-%m-%d %H:%M:%S} qty: {self.qty} lmt_prc: {self.limit_price}' + (
'' if self.reason_code == ReasonCode.NONE else f' {self.reason_code}') + (
'' if not self.properties.__dict__ else f' {self.properties}') + (
f' {self.status}')
[docs]class RollOrder(Order):
'''A roll order is used to roll a future from one series to the next. It represents a sell of one future and the buying of another future.'''
[docs] def __init__(self,
contract: Contract,
timestamp: np.datetime64,
close_qty: float,
reopen_qty: float,
reason_code: str = ReasonCode.ROLL_FUTURE,
properties: SimpleNamespace = None,
status: str = 'open') -> None:
'''
Args:
contract: The contract this order is for
timestamp: Time the order was placed
close_qty: Quantity of the future you are rolling
reopen_qty: Quantity of the future you are rolling to
reason_code: The reason this order was created.
Prefer a predefined constant from the ReasonCode class if it matches your reason for creating this order.
Default None
properties: Any order specific data we want to store. Default None
status: Status of the order, "open", "filled", etc. (default "open")
'''
self.contract = contract
self.timestamp = timestamp
if not np.isfinite(close_qty) or math.isclose(close_qty, 0) or not np.isfinite(reopen_qty) or math.isclose(reopen_qty, 0):
raise Exception(f'order quantities must be non-zero and finite: {close_qty} {reopen_qty}')
self.close_qty = close_qty
self.reopen_qty = reopen_qty
self.reason_code = reason_code
self.qty = close_qty # For display purposes when we print varying order types
if properties is None: properties = types.SimpleNamespace()
self.properties = properties
self.properties.close_qty = self.close_qty
self.properties.reopen_qty = self.reopen_qty
self.status = status
def __repr__(self) -> str:
timestamp = pd.Timestamp(self.timestamp).to_pydatetime()
return f'{self.contract.symbol} {timestamp:%Y-%m-%d %H:%M:%S} close_qty: {self.close_qty} reopen_qty: {self.reopen_qty}' + (
'' if self.reason_code == ReasonCode.NONE else f' {self.reason_code}') + '' if not self.properties.__dict__ else f' {self.properties}' + (
f' {self.status}')
[docs]class StopLimitOrder(Order):
'''Used for stop loss or stop limit orders. The order is triggered when price goes above or below trigger price, depending on whether this is a short
or long order. Becomes either a market or limit order at that point, depending on whether you set the limit price or not.
'''
[docs] def __init__(self,
contract: Contract,
timestamp: np.datetime64,
qty: float,
trigger_price: float,
limit_price: float = np.nan,
reason_code: str = ReasonCode.NONE,
properties: SimpleNamespace = None,
status: str = 'open') -> None:
'''
Args:
contract: The contract this order is for
timestamp: Time the order was placed
qty: Number of contracts or shares. Use a negative quantity for sell orders
trigger_price: Order becomes a market or limit order if price crosses trigger_price.
limit_price: If not set (default), order becomes a market order when price crosses trigger price.
Otherwise it becomes a limit order. Default np.nan
reason_code: The reason this order was created.
Prefer a predefined constant from the ReasonCode class if it matches your reason for creating this order.
Default None
properties: Any order specific data we want to store. Default None
status: Status of the order, "open", "filled", etc. (default "open")
'''
self.contract = contract
self.timestamp = timestamp
if not np.isfinite(qty) or math.isclose(qty, 0): raise Exception(f'order qty must be finite and nonzero: {qty}')
self.qty = qty
self.trigger_price = trigger_price
self.limit_price = limit_price
self.reason_code = reason_code
self.triggered = False
if properties is None: properties = types.SimpleNamespace()
self.properties = properties
self.properties.trigger_price = trigger_price
self.properties.limit_price = limit_price
self.status = status
def __repr__(self) -> str:
timestamp = pd.Timestamp(self.timestamp).to_pydatetime()
return f'{self.contract.symbol} {timestamp:%Y-%m-%d %H:%M:%S} qty: {self.qty} trigger_prc: {self.trigger_price} limit_prc: {self.limit_price}' + (
'' if self.reason_code == ReasonCode.NONE else f' {self.reason_code}') + ('' if not self.properties.__dict__ else f' {self.properties}') + (
f' {self.status}')
[docs]class Trade:
[docs] def __init__(self, contract: Contract,
order: Order,
timestamp: np.datetime64,
qty: float,
price: float,
fee: float = 0.,
commission: float = 0.,
properties: Optional[SimpleNamespace] = None) -> None:
'''
Args:
contract: The contract we traded
order: A reference to the order that created this trade. Default None
timestamp: Trade execution datetime
qty: Number of contracts or shares filled
price: Trade price
fee: Fees paid to brokers or others. Default 0
commision: Commission paid to brokers or others. Default 0
properties: Any data you want to store with this contract.
For example, you may want to store bid / ask prices at time of trade. Default None
'''
assert(isinstance(contract, Contract))
assert(isinstance(order, Order))
assert(np.isfinite(qty))
assert(np.isfinite(price))
assert(np.isfinite(fee))
assert(np.isfinite(commission))
assert(isinstance(timestamp, np.datetime64))
self.contract = contract
self.order = order
self.timestamp = timestamp
self.qty = qty
self.price = price
self.fee = fee
self.commission = commission
if properties is None:
properties = types.SimpleNamespace()
self.properties = properties
def __repr__(self) -> str:
'''
>>> Contract.clear()
>>> ContractGroup.clear()
>>> contract = Contract.create('IBM', contract_group = ContractGroup.create('IBM'))
>>> order = MarketOrder(contract, np.datetime64('2019-01-01T14:59'), 100)
>>> print(Trade(contract, order, np.datetime64('2019-01-01 15:00'), 100, 10.2130000, 0.01))
IBM 2019-01-01 15:00:00 qty: 100 prc: 10.213 fee: 0.01 order: IBM 2019-01-01 14:59:00 qty: 100 open
'''
timestamp = pd.Timestamp(self.timestamp).to_pydatetime()
fee = f' fee: {self.fee:.6g}' if self.fee else ''
commission = f' commission: {self.commission:.6g}' if self.commission else ''
return f'{self.contract.symbol}' + (
f' {self.contract.properties.__dict__}' if self.contract.properties.__dict__ else '') + (
f' {timestamp:%Y-%m-%d %H:%M:%S} qty: {self.qty} prc: {self.price:.6g}{fee}{commission} order: {self.order}') + (
f' {self.properties.__dict__}' if self.properties.__dict__ else '')
[docs]@dataclass
class RoundTripTrade:
contract: Contract
entry_order: Order
exit_order: Order
entry_timestamp: np.datetime64
exit_timestamp: np.datetime64
qty: int
entry_price: float
exit_price: float
entry_reason: str
exit_reason: str
entry_commission: float
exit_commission: float
entry_properties: Optional[SimpleNamespace]
exit_properties: Optional[SimpleNamespace]
net_pnl: float
if __name__ == "__main__":
import doctest
doctest.testmod(optionflags=doctest.NORMALIZE_WHITESPACE)
# $$_end_code