本文整理汇总了Python中position.Position.getPNL方法的典型用法代码示例。如果您正苦于以下问题：Python Position.getPNL方法的具体用法？Python Position.getPNL怎么用？Python Position.getPNL使用的例子？那么恭喜您, 这里精选的方法代码示例或许可以为您提供帮助。您也可以进一步了解该方法所在类position.Position的用法示例。
在下文中一共展示了Position.getPNL方法的1个代码示例，这些例子默认根据受欢迎程度排序。您可以为喜欢或者感觉有用的代码点赞，您的评价将有助于系统推荐出更棒的Python代码示例。
示例1: run_data
# 需要导入模块: from position import Position [as 别名]
# 或者: from position.Position import getPNL [as 别名]
def run_data(self):
symAPosition = Position(self.symbolA)
symBPosition = Position(self.symbolB)
last_spread = 0
date = None
armedPlus = False
armedMinus = False
stop_trading= False
totalDays = 0
lastTentPNL = 0
## Invest $50,000 In Pair A, and the apropriate numer of shares in B
sharesA = int(50000/self.symAData.symData[0][1])
sharesB = int(sharesA*self.hedge_beta)
i=0
for spread in self.spread:
priceA = self.symAData.symData[i][1]
priceB = self.symBData.symData[i][1]
date = self.symAData.symData[i][0]
## Test getin conditions
if symAPosition.getShares() == 0 and spread[1] > self.trade_sd*2:
armedPlus = True
if symBPosition.getShares() == 0 and spread[1] < -self.trade_sd*2:
armedMinus = True
##TODO: Add condition not to getin within 30 days of end of trading period
if symAPosition.getShares() == 0 and armedPlus == True and spread[1] < self.trade_sd*2 and not stop_trading:
## Open Position
print date,"|1","Short A (",symAPosition.getSymbol(),") / Buy B (",symBPosition.getSymbol(),")"
#print priceA,priceB
ordA = symAPosition.createOrder("S","MARKET",priceA,sharesA)
symAPosition.executeOrder(ordA, priceA)
ordB = symBPosition.createOrder("B","MARKET",priceB,sharesB)
symBPosition.executeOrder(ordB, priceB)
armedPlus = False
if symBPosition.getShares() == 0 and armedMinus == True and spread[1] < -self.trade_sd*2 and not stop_trading:
## Open Position
print date,"|2","Buy A (",symAPosition.getSymbol(),") / Short B (",symBPosition.getSymbol(),")"
#print priceA,priceB
ordA = symAPosition.createOrder("B","MARKET",priceA,sharesA)
symAPosition.executeOrder(ordA, priceA)
ordB = symBPosition.createOrder("S","MARKET",priceB,sharesB)
symBPosition.executeOrder(ordB, priceB)
armedMinus = False
## TODO: Add condition to getout if exceeds 3.5SD's, and stop trading that pair
## Test getout conditions
if symAPosition.getShares() < 0 and (spread[1] < 0 or spread[1] > self.trade_sd*4):
if (spread[1] > self.trade_sd*4):
stop_trading = True
print date,"|3","Buy A (",symAPosition.getSymbol(),") / Sell B (",symBPosition.getSymbol(),")"
#print priceA,priceB
ordA = symAPosition.createOrder("B","MARKET",priceA,sharesA)
symAPosition.executeOrder(ordA, priceA)
ordB = symBPosition.createOrder("S","MARKET",priceB,sharesB)
symBPosition.executeOrder(ordB, priceB)
if symAPosition.getShares() > 0 and (spread[1] > 0 or spread[1] < -self.trade_sd*4):
if (spread[1] < -self.trade_sd*4):
stop_trading = True
print date,"|4","Sell A (",symAPosition.getSymbol(),") / Buy B (",symBPosition.getSymbol(),")"
#print priceA,priceB
ordA = symAPosition.createOrder("S","MARKET",priceA,sharesA)
symAPosition.executeOrder(ordA, priceA)
ordB = symBPosition.createOrder("B","MARKET",priceB,sharesB)
symBPosition.executeOrder(ordB, priceB)
## If we have a position open, add it to total days.
if symAPosition.getShares() != 0:
totalDays += 1
## Add returns to dict for that day
tentPNL = symAPosition.getPNL() + symBPosition.getPNL() + symAPosition.getTentPNL(priceA) + symBPosition.getTentPNL(priceB)
self.returns.append(tentPNL - lastTentPNL)
self.dates.append(date)
lastTentPNL = tentPNL
#print date,priceA,priceB,self.returns[-1]
## Update last_spread
last_spread = spread[1]
#print date,spread[0],spread[1]
i+=1
## Unload positions at the end of trading
if symAPosition.getShares() > 0:
print date,"|","Sell A (",symAPosition.getSymbol(),") / Buy B (",symBPosition.getSymbol(),")"
#print priceA,priceB
ordA = symAPosition.createOrder("S","MARKET",priceA,sharesA)
symAPosition.executeOrder(ordA, priceA)
ordB = symBPosition.createOrder("B","MARKET",priceB,sharesB)
symBPosition.executeOrder(ordB, priceB)
if symAPosition.getShares() < 0:
print date,"|","Buy A (",symAPosition.getSymbol(),") / Sell B (",symBPosition.getSymbol(),")"
#print priceA,priceB
#.........这里部分代码省略.........