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"""trade |
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trade: Financial Application Framework |
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http://trade.readthedocs.org/ |
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https://github.com/rochars/trade |
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License: MIT |
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Copyright (c) 2015-2018 Rafael da Silva Rocha |
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Permission is hereby granted, free of charge, to any person obtaining a copy |
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of this software and associated documentation files (the "Software"), to deal |
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in the Software without restriction, including without limitation the rights |
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to use, copy, modify, merge, publish, distribute, sublicense, and/or sell |
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copies of the Software, and to permit persons to whom the Software is |
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furnished to do so, subject to the following conditions: |
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The above copyright notice and this permission notice shall be included in |
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all copies or substantial portions of the Software. |
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THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR |
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IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, |
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FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE |
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AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER |
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LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, |
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OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN |
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THE SOFTWARE. |
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""" |
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from __future__ import absolute_import |
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from __future__ import division |
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import copy |
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from . daytrade import ( |
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Daytrade, |
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merge_operations, |
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daytrade_condition |
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) |
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class Context(object): |
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"""A container for operations.""" |
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def __init__(self, operations, tasks): |
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self.operations = operations |
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self.tasks = tasks |
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self.data = {} |
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def fetch_occurrences(self): |
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"""Run the the methods defined in self.tasks. |
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This method executes all the methods defined in self.tasks |
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in the order that they are listed, applying the context rules |
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to all operations in the context. |
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""" |
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raw_operations = copy.deepcopy(self.operations) |
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for task in self.tasks: |
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task(self) |
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self.operations = raw_operations |
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# Default context rules: |
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def find_volume(container): |
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"""Find the volume of the operations in the container.""" |
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container.data['volume'] = sum( |
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operation.volume for operation in container.operations |
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) |
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def group_positions(container): |
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"""Group the container operations with the same asset.""" |
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if 'occurrences' not in container.data: |
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container.data['occurrences'] = {} |
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for operation in container.operations: |
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group_position(container, operation) |
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def group_position(container, operation): |
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"""Group one operation in the container positions.""" |
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if operation.quantity != 0 and operation.update_container: |
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add_to_position_group(container, operation) |
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def add_to_position_group(container, operation): |
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"""Adds an operation to the common operations list.""" |
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if 'operations' not in container.data['occurrences']: |
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container.data['occurrences']['operations'] = {} |
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if operation.subject.symbol in container.data['occurrences']['operations']: |
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merge_operations( |
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container.data['occurrences']\ |
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['operations'][operation.subject.symbol], |
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operation |
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) |
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else: |
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container.data['occurrences']\ |
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['operations'][operation.subject.symbol] = operation |
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def fetch_daytrades(container): |
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"""An OperationContainer task. |
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Fetches the daytrades from the OperationContainer operations. |
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The daytrades are placed on the container positions under the |
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'daytrades' key, inexed by the Daytrade asset's symbol. |
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""" |
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for index, operation in enumerate(container.operations): |
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find_daytrade_pair(index, operation, container) |
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def find_daytrade_pair(operation_a_index, operation_a, container): |
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"""Search for possible daytrade pairs for a operation. |
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If a daytrade is found, a Daytrade object is created and appended |
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to the container positions. |
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""" |
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for operation_b in [ |
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x for x in container.operations[operation_a_index:] if\ |
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daytrade_condition(x, operation_a) |
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]: |
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Daytrade(operation_a, operation_b).append_to_positions(container) |
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def prorate_commissions(container): |
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"""Prorates the container's commissions by its operations. |
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This method sum the discounts in the commissions dict of the |
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container. The total discount value is then prorated by the |
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position operations based on their volume. |
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""" |
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if 'occurrences' in container.data: |
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for position_value in container.data['occurrences'].values(): |
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for position in position_value.values(): |
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prorate(container, position) |
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def prorate(container, position): |
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"""Prorate the commissions for one position.""" |
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if position.update_position: |
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prorate_commissions_by_position(container, position) |
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else: |
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for operation in position.operations: |
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prorate_commissions_by_position(container, operation) |
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def prorate_commissions_by_position(container, operation): |
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"""Prorates the commissions of the container for one position. |
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The ratio is based on the container volume and the volume of |
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the position operation. |
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""" |
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if can_prorate_commission(container, operation): |
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percent = operation.volume / container.data['volume'] * 100 |
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for key, value in container.commissions.items(): |
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operation.commissions[key] = value * percent / 100 |
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def can_prorate_commission(container, operation): |
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"""Check if the commissions can be divided by the positions or not.""" |
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if 'volume' in container.data: |
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if operation.volume != 0 and container.data['volume'] != 0: |
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return True |
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rochars /
trade
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