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moneymanagementatr.py
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moneymanagementatr.py
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from alpha import Alpha
from drawdown import Drawdown
from position import Position
from positionsize import PositionSize
from stoplose import StopLose
class MoneyManagementAtr(Alpha, PositionSize, Drawdown, StopLose):
positions = []
orderType = 0
def __init__(self, algorithm, symbol, tenkan, kijun, senkou, period=15):
super().__init__(algorithm, symbol, tenkan, kijun, senkou, period)
self.algorithm = algorithm
self.symbol = symbol
self.tenkan = tenkan
self.kijun = kijun
self.senkou = senkou
self.positions = []
self.balanceHistory = []
self.period = period
def open_position(self, data, type=1):
openNewPosition = True
for position in self.positions:
if position.tp[2] < data[-1].Close and position.type == type and position.leave == 0:
openNewPosition = False
break
if openNewPosition:
self.open_order(data, type)
def open_order(self, data, type=1):
self.close_orders(type*-1)
sl = self.calc_stop_lose(data, type)
delta = self.calc_delta_with_atr(data, sl)
check_position = self.checkSLPosition(delta, type, data)
self.algorithm.EmitInsights(
# Creates an insight for our symbol, predicting that it will move down
Insight.Price(self.symbol,
self.getInsightTimedelta(), InsightDirection.Down if type == -1 else InsightDirection.Up,
self.getMagnitude(data[-1].Close, delta*4*type+data[-1].Close),
self.getConfidence())
)
newPosition = Position("MM", self.algorithm, self.symbol, check_position, type, delta, sl)
self.orderType = type
if newPosition.order.Status != OrderStatus.Invalid:
pos = 0
for position in self.positions:
if position.type == type and position.leave == 0:
position.tp = newPosition.tp
position.sl = newPosition.sl
self.positions[pos] = position
pos += 1
self.positions.append(newPosition)
def close_orders(self, type=1):
self.orderType = 0
pos = 0
for position in self.positions:
if position.stopOrder and position.stopOrder.Status != OrderStatus.Filled and position.stopOrder.Status != OrderStatus.Canceled and position.type == type:
position.stopOrder.Cancel("Close Stop")
if position.leave == 0 and position.type == type:
newTicket = self.algorithm.MarketOrder(self.symbol, -position.order.QuantityFilled, False,
"Close Long " + str(position.enter))
if newTicket.Status != OrderStatus.Invalid:
self.algorithm.Log("Close Long {0}: L {1} {2}".format(self.algorithm.Time, newTicket.AverageFillPrice, position.order.QuantityFilled))
position.leave = newTicket.AverageFillPrice
self.positions[pos] = position
pos += 1
def update_positions(self, data):
pos = 0
for position in self.positions:
if position.leave == 0:
if self.close_positions_at_the_end(position, data):
continue
for k in range(len(position.tp)-1, 2, -1):
# Move SL to previous TP
if position.type == -1 and data[-1].Close <= position.tp[k - 1] and position.sl > position.tp[
k - 2] and data[-1].isDown:
position.sl = position.tp[k - 2]
if position.stopOrder:
order = self.algorithm.Transactions.GetOrderById(position.stopOrder.OrderId)
if order.Status != OrderStatus.Filled and order.Status != OrderStatus.Canceled:
stopTicket = self.algorithm.StopMarketOrder(self.symbol, order.Quantity, position.sl,
"SL to " + str(
position.order.AverageFillPrice))
self.algorithm.Log(
"Stop Short {0}: {1}: {2}".format(self.algorithm.Time, position.sl, order.Quantity))
position.stopOrder.Cancel("SL to " + str(position.order.AverageFillPrice))
position.stopOrder = stopTicket
else:
stopTicket = self.algorithm.StopMarketOrder(self.symbol, -position.order.Quantity,
position.sl,
"SL to " + str(position.order.AverageFillPrice))
self.algorithm.Log("Stop Short {0}: {1}: {2}".format(self.algorithm.Time, position.sl,
position.order.Quantity))
position.stopOrder = stopTicket
break
elif position.type == 1 and data[-1].Close >= position.tp[k - 1] and position.sl < position.tp[
k - 2] and data[-1].isUp:
position.sl = position.tp[k - 2]
if position.stopOrder:
order = self.algorithm.Transactions.GetOrderById(position.stopOrder.OrderId)
if order.Status != OrderStatus.Filled and order.Status != OrderStatus.Canceled:
stopTicket = self.algorithm.StopMarketOrder(self.symbol, order.Quantity, position.sl,
"SL to " + str(
position.order.AverageFillPrice))
self.algorithm.Log(
"Stop Long {0}: {1}: {2}".format(self.algorithm.Time, position.sl, order.Quantity))
position.stopOrder.Cancel("SL to " + str(position.order.AverageFillPrice))
position.stopOrder = stopTicket
else:
stopTicket = self.algorithm.StopMarketOrder(self.symbol, -position.order.Quantity,
position.sl,
"SL to " + str(position.order.AverageFillPrice))
self.algorithm.Log("Stop Long {0}: {1}: {2}".format(self.algorithm.Time, position.sl,
position.order.Quantity))
position.stopOrder = stopTicket
break
position.counterCheck += 1
self.positions[pos] = position
pos += 1
def close_positions_at_the_end(self, position, data):
if (position.type == -1 and data[-1].Close <= position.tp[-1]) or (
position.type == 1 and data[-1].Close >= position.tp[-1]):
self.close_position(data, position)
return True
elif position.counterCheck == 3 and self.period < 60:
if position.type == 1 and data[-1].Close < data[-1].Tenkan:
self.close_position(data, position)
return True
if position.type == -1 and data[-1].Close > data[-1].Tenkan:
self.close_position(data, position)
return True
return False
def close_position(self, data, position):
position.leave = data[-1].Close
if position.stopOrder:
position.stopOrder.Cancel()
if position.type != 0:
self.close_orders(position.type)
self.algorithm.MarketOrder(self.symbol, -position.order.Quantity, False,
"Result " + str(position.type * (position.leave - position.enter)))
self.algorithm.Log(
"Close Short {0}: {1}: {2}".format(self.algorithm.Time, data[-1].Close, position.order.Quantity))
return position