contractstrade.py

from syslogdiag.ourlogging import logger
from math import copysign

def contracts_trade(total_trades,  pos_priced, pos_forward,  rolling=False):
    """
    Given actual contracts decide what to trade
    
    Note at this stage contracts are identified in as PRICE, FORWARD
    
    Any rogue contracts not in that space would have been signalled / weeded out by now
    
    Note this function doesn't produce 'proper' rolls these would only be on the back of a force roll
    
    
    
    Returns tuple - trade_priced, trade_forward, cancel_priced, cancel_forward 
    """
    log=logger()
    
    assert type(total_trades) is int
    assert type(pos_priced) is int
    assert type(pos_forward) is int
    
    if not total_trades==0.0:
    
        if rolling:
            ### Rolling so reduce in near, increase in far
            ## Simplified
            reducing=False
            
            if total_trades<0 and pos_priced>0:
                reducing=True
            if total_trades>0 and pos_priced<0:
                reducing=True
                
            
            
            if reducing:
                ## Old contract
                
                if abs(total_trades)>abs(pos_priced):
                    ## do the closing part in old and the new part in new
                    
                    closing_bit= - pos_priced
                    trade_priced = closing_bit
                    trade_forward= total_trades - closing_bit
                    log.info("Doing closing part of trade %f in old contract, new part %f in new contract" % (trade_priced, trade_forward))
                    
                else:
                    ## Do all in current
                    log.info("Doing closing trade %f in old contract, nothing in new contract" % total_trades)
    
                    trade_priced=total_trades
                    trade_forward=0
                
            else:
                ## New contract
                ## 
    
                log.info("Doing opening trade %f in new contract, nothing in old contract" % total_trades)
    
                trade_priced=0
                trade_forward=total_trades
    
                
        else:
            ## Not rolling so will only trade in current contract
            ## Check haven't screwed up and already trading forward
            if not pos_forward==0:
                errormsg="Not rolling but have positions in forward contract!!! Suggest you turn rolling on as we won't trade eithier contract!!! "
                log.critical(errormsg)
                return (0,0)
            
            log.info("Not rolling; all trade of %f in priced contract" % total_trades)
            trade_priced=total_trades
            trade_forward=0
            
    else:
        log.info("Nothing to do")
        trade_priced=0
        trade_forward=0

        
        
    return (trade_priced, trade_forward)


if __name__=="__main__":

    assert contracts_trade(7.0, 0.0, 0.0, 0.0, 5.0, 1.0, rolling=False)==(-1.0, 0.0, 0.0, 0.0)
    assert contracts_trade(3.0, 0.0, 0.0, 0.0, 5.0, 1.0, rolling=False)==(1.0, 0.0, 0.0, 0.0)
    assert contracts_trade(4.0, 0.0, 0.0, 0.0, 5.2, 1.0, rolling=False)==(0.0, 0.0, 0.0, 0.0)
    try:
        assert contracts_trade(4.0, 1.0, 0.0, 0.0, 5.2, 1.0, rolling=False)==(0.0, 0.0, 0.0, 0.0)
        raise Exception("should be broken")
    except:
        print "expected exception"
    assert contracts_trade(4.0, 0.0, 0.0, 0.0, 5.2, 1.0, rolling=True)==(0.0, 0.0, 0.0, 0.0)
    assert contracts_trade(4.0, 0.0, 0.0, 0.0, 6.2, 1.0, rolling=True)==(0.0, 1.0, 0.0, 0.0)
    assert contracts_trade(-10.0, 0.0, 0.0, 0.0, -3.2, 1.0, rolling=True)==(6.0, 0.0, 0.0, 0.0)
    assert contracts_trade(-10.0, 0.0, 0.0, 0.0, 3.2, 1.0, rolling=True)==(10.0, 2.0, 0.0, 0.0)
    assert contracts_trade(10.0, 0.0, 0.0, 0.0, -3.2, 1.0, rolling=True)==(-10.0, -2.0, 0.0, 0.0)
    assert contracts_trade(2.0, 2.0, 0.0, 0.0, 6.2, 1.0, rolling=True)==(0.0, 1.0, 0.0, 0.0)
    assert contracts_trade(-8.0, -2.0, 0.0, 0.0, -3.2, 1.0, rolling=True)==(6.0, 0.0, 0.0, 0.0)
    assert contracts_trade(-6.0, 2.0, 0.0, 0.0, -1.0, 1.0, rolling=True)==(2.0, 0.0, 0.0, 0.0)
    assert contracts_trade(-2.0, -4.0, 0.0, 0.0, -1.0, 1.0, rolling=True)==(2.0, 2.0, 0.0, 0.0)
    assert contracts_trade(-5.0, 3.0, 0.0, 0.0, 2.0, 1.0, rolling=True)==(3.0, 0.0, 0.0, 0.0)
    assert contracts_trade(2.0, 2.0, 0.0, 0.0, -1.0, 1.0, rolling=True)==(-2.0, -2.0, 0.0, 0.0)
    assert contracts_trade(0.0, 2.0, 0.0, 0.0, -1.0, 1.0, rolling=True)==(0.0, -2.0, 0.0, 0.0)

    ## These should never happen, but ...
    assert contracts_trade(3.0, -3.0, 0.0, 0.0, -2.0, 1.0, rolling=True)==(-1.0, 0.0, 0.0, 0.0)
    assert contracts_trade(-3.0, 3.0, 0.0, 0.0, -2.0, 1.0, rolling=True)==(0.0, -1.0, 0.0, 0.0)