| """Flow - Algorithmic HF trader |
| |
| Copyright 2016, Yazan Obeidi |
| |
| Licensed under the Apache License, Version 2.0 (the "License"); |
| you may not use this file except in compliance with the License. |
| You may obtain a copy of the License at |
| |
| http://www.apache.org/licenses/LICENSE-2.0 |
| |
| Unless required by applicable law or agreed to in writing, software |
| distributed under the License is distributed on an "AS IS" BASIS, |
| WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. |
| See the License for the specific language governing permissions and |
| limitations under the License. |
| """ |
|
|
| __author__ = 'matthew/yazan' |
|
|
| BUY = 'buy' |
| SELL = 'sell' |
| OPEN = 'open' |
| ACTIONS = [1, -1, 0] |
|
|
| |
| class Order(object): |
| """ |
| This class defines a single order and records details to bankroll and log. |
| """ |
| def __init__(self, scope, bankroll, log=None): |
| self.bankroll = bankroll |
| self.log = log |
| self.scope = scope |
| self.open_cost = float() |
| self.close_profit = float() |
| self.profit = float() |
| |
| def open_order(self, action, quote, volume): |
| self.action = action |
| self.volume = volume |
| self.open_cost = quote*volume |
| self.bankroll.transaction(-self.open_cost) |
| self.logger.info('{volume} {action} opened by {agent} in {scope}.'\ |
| .format(action=action, volume=volume, |
| agent=self, scope=self.scope)) |
|
|
| def close_order(self, action, quote): |
| self.close_profit = quote*self.volume |
| self.bankroll.transaction(self.close_profit) |
| self.profit = self.close_profit - self.open_cost |
| self.logger.info('{volume} {action} closed by {agent} in {scope}. '\ |
| 'Profit = ${profit}.'.format(action=action, agent=self, |
| volume=self.volume, scope=self.scope, profit=self.profit)) |
| def get_profit(self): |
| return self.profit |
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