import re
import csv
import os
import sys
import time
import de
def start_operation(operation,ticktime):#operation=[symbol,'long',goal,stoploss,thislatestindex,timeout, best_tunnel,living_tunnels]
global open_orders,ordNum, cash_held_up_by_orders,testedparam
symbol=operation[0]
if operation[1]=='long':
side=1
elif operation[1]=='short':
side=5
goal=operation[2]
stoploss=operation[3]
timeout_in_minutes=operation[5]
short_equity=0
for i in positions:
if positions[i][0]<0:
short_equity=short_equity-positions[i][0]*positions[i][1]*2
afforded=min(cash-short_equity,1000000)/int(goal)
ordQty=afforded-afforded%100
if ordQty>0:
ordID='MO('+str(testedparam)+')'+ticktime+'_'+str(goal)+'_'+str(stoploss)
thisorder={'ordID':ordID,'ordType':'market','ordSide':side,'ordSymbol':symbol,'ordQty':ordQty,'ordTime':ticktime,'ordTimeout':time.mktime(time.strptime(ticktime.split('.')[0],'%Y%m%d-%H:%M:%S'))+timeout_in_minutes*60}
send_order(ordID)
open_orders[thisorder['ordID']]=thisorder
def send_order(ordID):
pass
def cancel_order(ordID):
pass
def simulate(symbol, cell):#an order entry length of 5 means the order has not been processed. Higher length means it's alive
global open_orders,positions,cash,days,account_value
symbol_matches=False
to_delete=[]
to_cl=[]
ticktime=cell[0].replace('-','')+'-'+cell[1]+':00.000'
will_place_limitOrd=[]
if symbol in positions:
positions[symbol][1]=float(cell[5])
for i in open_orders:
if i[:2]== 'MO' and open_orders[i]['ordSymbol'] == symbol:#market order to open position
volume_traded=int(cell[6])/2#I divide by 2 to harden the simulation
t=open_orders[i]
ordQty=int(t['ordQty'])
ordSymbol=t['ordSymbol']
if t['ordSide']==1:
direction=1
elif t['ordSide']==5:
direction=-1
else:
print "unrecognized order side",t
raw_input()
price=float(cell[5])
if ordSymbol not in positions:
positions[ordSymbol]=[0,price]
if 'filled' not in t:
open_orders[i]['filled']=0
transacted=min(volume_traded,ordQty-open_orders[i]['filled'])
positions[ordSymbol][0]=positions[ordSymbol][0]+transacted*direction
cash=cash-transacted*direction*price
open_orders[i]['filled']=open_orders[i]['filled']+transacted
if open_orders[i]['filled']==t['ordQty']:
to_delete.append(i)
to_cl.append([])
will_place_limitOrd.append([open_orders[i],price])
if i[:2]== 'CL' and open_orders[i]['ordSymbol'] == symbol:#limit order to close position
if (float(cell[5]) >= open_orders[i]['ordPrice'] and open_orders[i]['ordSide'] == 2) \
or (float(cell[5]) <= open_orders[i]['ordPrice'] and open_orders[i]['ordSide'] == 1) \
or (float(cell[5]) <= open_orders[i]['ordStop'] and open_orders[i]['ordSide'] == 2) \
or (float(cell[5]) >= open_orders[i]['ordStop'] and open_orders[i]['ordSide'] == 1) \
or time.mktime(time.strptime(ticktime.split('.')[0],'%Y%m%d-%H:%M:%S'))>open_orders[i]['ordTimeout']:
horizon=(time.mktime(time.strptime(ticktime.split('.')[0],'%Y%m%d-%H:%M:%S'))-time.mktime(time.strptime(open_orders[i]['ordTime'].split('.')[0],'%Y%m%d-%H:%M:%S')))/60
openprice=float(open_orders[i]['ordID'].split('_')[3])
volume_traded=int(cell[6])/2#I divide by 2 to harden the simulation
t=open_orders[i]
ordQty=int(t['ordQty'])
ordSymbol=t['ordSymbol']
if t['ordSide']==1:
direction=1
elif t['ordSide']==2:
direction=-1
else:
print "unrecognized order side",t
raw_input()
price=float(cell[5])
#determine whether this is a win or a loss:
global daylongwins,daylonglosses,dayshortwins,dayshortlosses,accumlongprofit,accumlonglosses,accumshortprofit,accumshortlosses
openprice=float(t['ordID'].split('_')[3])
invested=ordQty*openprice+commission
if open_orders[i]['ordSide'] == 2:
earned=(price-openprice)*ordQty
if earned>0:
accumlongprofit=accumlongprofit+earned
elif earned<0:
accumlonglosses=accumlonglosses+earned
if price > openprice+commission/ordQty:
result='longwin'
daylongwins=daylongwins+1
else:
result = 'longloss'
daylonglosses=daylonglosses+1
elif open_orders[i]['ordSide'] == 1:
earned=(openprice-price)*ordQty
if earned>0:
accumshortprofit=accumshortprofit+earned
elif earned<0:
accumshortlosses=accumshortlosses+earned
if price < openprice-commission/ordQty:
result='shortwin'
dayshortwins=dayshortwins+1
else:
result = 'shortloss'
dayshortlosses=dayshortlosses+1
transaction_return=earned/invested
if ordSymbol not in positions:
print "attempting to close a nonexistent position"
if 'filled' not in t:
open_orders[i]['filled']=0
transacted=min(volume_traded,ordQty-open_orders[i]['filled'])
positions[ordSymbol][0]=positions[ordSymbol][0]+transacted*direction
positions_value=0
for j in positions:
positions_value=positions_value+positions[j][0]*positions[j][1]
cash=cash-transacted*direction*price-commission
account_value=positions_value+cash
transactions_file.writerow([t['ordID'],ticktime,result,ordQty,transacted,openprice,price,account_value,horizon,invested,transaction_return])
transfile.flush()
open_orders[i]['filled']=open_orders[i]['filled']+transacted
if open_orders[i]['filled']==t['ordQty']:
cash=cash-commission*2
print days,positions,cash,"{:0.2%}".format((account_value/startcash)-1)
to_delete.append(i)
for i in to_delete:
del open_orders[i]
for i in will_place_limitOrd:
place_closing_limit(i[0],ticktime,i[1])
def place_closing_limit(mkt_open_dict,ticktime,openprice):
opening_side=mkt_open_dict['ordSide']
if opening_side==1:
closing_side=2
elif opening_side==5:
closing_side=1
ordID=mkt_open_dict['ordID'].replace('MO','CL')+'_'+str(openprice)
price=float(ordID.split('_')[1])
stop_price=float(ordID.split('_')[2])
symbol=mkt_open_dict['ordSymbol']
ordQty=mkt_open_dict['filled']
ordTimeout=mkt_open_dict['ordTimeout']
thisorder={'ordID':ordID,'ordType':'limit','ordSide':closing_side,'ordPrice':price,'ordStop':stop_price,'ordSymbol':symbol,'ordQty':ordQty,'ordTime':ticktime,'ordTimeout':ordTimeout}
send_order(ordID)
open_orders[thisorder['ordID']]=thisorder
#files=os.listdir("/home/alt/Projects/stock_data/2/")
thisfile='UMC'
symbollist=re.findall('[A-Z]+',thisfile)
a= csv.reader(open("/home/alt/Projects/stock_data/2/"+thisfile+".csv","r"), delimiter=",")
transfile=open("/home/alt/Projects/algo/concerto/logs/"+time.strftime('%y%m%d%H%M',time.gmtime(time.time()))+symbollist[0]+'trnsc.csv','w')
transactions_file= csv.writer(transfile, delimiter="\t")
resfile=open("/home/alt/Projects/algo/concerto/logs/"+time.strftime('%y%m%d%H%M',time.gmtime(time.time()))+symbollist[0]+'results.csv','w')
results_file=csv.writer(resfile, delimiter="\t")
transactions_file.writerow(['OrdID','Ticktime','Side','ordQuan','Quantity','Open Price', 'Close Price','Account Value','Horizon','invested in trnsc','Return'])
results_file.writerow(['Ticktime','Long Wins','Long Losses','Short Wins','Short Losses','Account Value','Day Return','Accum Return','longprofit','longlosses','shortprofit','shortlosses','longnet','shortnet'])
print "opened",a
lines = [line for line in a]
lines=lines[::-1]
de.initialize(symbollist,False)
counter=0
ordNum=0
operations={}
startcash=30000
cash=startcash
previous_day_account_value=cash
account_value=cash
commission=0#4.95
cash_held_up_by_orders=0
open_orders={}
triggers=[]
positions={}
last_day=32
daylongwins=0
daylonglosses=0
dayshortwins=0
dayshortlosses=0
accumlongprofit=0
accumlonglosses=0
accumshortprofit=0
accumshortlosses=0
days=0
for i in lines:
counter=counter+1
ticktime=i[0].replace('-','')+'-'+i[1]+':00.000'
#if counter%1000==0: print counter
operation,testedparam = de.process_tick(symbollist[0], i[5], float(i[6]))
simulate(symbollist[0],i)
timea=time.strptime(ticktime.split('.')[0],'%Y%m%d-%H:%M:%S')
if operation and len(operation)>0 and timea.tm_hour <14:
start_operation(operation,ticktime)
#day calculations
day=timea.tm_mday
if day!=last_day:
days=days+1
ret=(account_value/previous_day_account_value*1.0)-1
acc_ret=account_value/startcash
results_file.writerow([ticktime,daylongwins,daylonglosses,dayshortwins,dayshortlosses,account_value,ret,acc_ret,accumlongprofit,accumlonglosses,accumshortprofit,accumshortlosses,accumlongprofit+accumlonglosses,accumshortprofit+accumshortlosses])
resfile.flush()
daylongwins=0
daylonglosses=0
dayshortwins=0
dayshortlosses=0
previous_day_account_value=account_value
last_day=day
