Source code for pyqstrat.pq_types

import pandas as pd
import numpy as np
import types
import math
import datetime
from types import SimpleNamespace
from typing import MutableSet, Mapping, Optional, Union


[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: 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]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 '')
if __name__ == "__main__": import doctest doctest.testmod(optionflags=doctest.NORMALIZE_WHITESPACE)