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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)
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