From d1216ac4211dbd0b97a26f22d9c4123fc407b1ea Mon Sep 17 00:00:00 2001 From: Peter Dekkers Date: Thu, 29 Feb 2024 12:26:45 +0100 Subject: [PATCH] better logging flex trader --- roboquant/brokers/ibkrbroker.py | 6 +++- roboquant/feeds/csvfeed.py | 2 +- roboquant/signal.py | 2 +- roboquant/traders/flextrader.py | 58 ++++++++++++++++++++++++--------- 4 files changed, 49 insertions(+), 19 deletions(-) diff --git a/roboquant/brokers/ibkrbroker.py b/roboquant/brokers/ibkrbroker.py index 5238375..5f35e46 100644 --- a/roboquant/brokers/ibkrbroker.py +++ b/roboquant/brokers/ibkrbroker.py @@ -176,7 +176,11 @@ def place_orders(self, orders): self.__has_new_orders_since_sync = len(orders) > 0 - for order in orders: + for idx, order in enumerate(orders, start=1): + if idx % 25 == 0: + # avoid to many API calls + time.sleep(1) + assert not order.closed, "cannot place a closed order" if order.size.is_zero(): assert order.id is not None diff --git a/roboquant/feeds/csvfeed.py b/roboquant/feeds/csvfeed.py index 3363822..0e531a5 100644 --- a/roboquant/feeds/csvfeed.py +++ b/roboquant/feeds/csvfeed.py @@ -62,7 +62,7 @@ def _parse_csvfile(self, filename: str): freq = self.freq t = time.fromisoformat(self.time_offset) if self.time_offset is not None else None - with open(filename) as csvfile: + with open(filename, encoding="utf8") as csvfile: reader = csv.DictReader(csvfile) for row in reader: diff --git a/roboquant/signal.py b/roboquant/signal.py index b60e879..b327bae 100644 --- a/roboquant/signal.py +++ b/roboquant/signal.py @@ -13,7 +13,7 @@ class SignalType(Flag): @dataclass(slots=True, frozen=True) class Signal: """Signal that a strategy can create. - It contains both a rating between -1.0 and 1.0 and a type. + It contains both a rating between -1.0 and 1.0 and the type of signal. """ rating: float diff --git a/roboquant/traders/flextrader.py b/roboquant/traders/flextrader.py index ab2a6ab..644dabc 100644 --- a/roboquant/traders/flextrader.py +++ b/roboquant/traders/flextrader.py @@ -26,6 +26,11 @@ def get_change(rating: float, pos_size: Decimal) -> "_PositionChange": return _PositionChange.CLOSE if float(pos_size) * rating < 0.0 else _PositionChange.INCREASE +def _log_rule(rule: str, signal: Signal, symbol: str, position: Decimal): + if logger.isEnabledFor(logging.INFO): + logger.info("signal=%s symbol=%s position=%s discarded because of %s", signal, symbol, position, rule) + + class FlexTrader(Trader): """Implementation of a Trader that has configurable rules to modify its behavior. This implementation will not generate orders if there is not a price in the event for the underlying symbol. @@ -41,13 +46,16 @@ class FlexTrader(Trader): - shorting: allow orders that could result in a short position, default is false - price_type: the price type to use when determining order value + It might be sometimes challenging to understand wby a signal isn't converted into an order. The flex-trader logs + at INFO level when certain rules have been fired. + """ def __init__( self, one_order_only=True, size_fractions=0, - min_buying_power=0.0, + min_buying_power_perc=0.05, # don't use this buying power expressed as a percentage of the equity increase_position=False, shorting=False, max_order_perc=0.05, @@ -57,7 +65,7 @@ def __init__( super().__init__() self.one_order_only = one_order_only self.size_digits: int = size_fractions - self.min_buying_power: float = min_buying_power + self.min_buying_power_perc: float = min_buying_power_perc self.increase_position = increase_position self.shorting = shorting self.max_order_perc = max_order_perc @@ -75,51 +83,69 @@ def create_orders(self, signals: dict[str, Signal], event: Event, account: Accou return [] orders: list[Order] = [] - buying_power = account.buying_power - max_order_value = account.equity * self.max_order_perc - min_order_value = account.equity * self.min_order_perc + equity = account.equity + max_order_value = equity * self.max_order_perc + min_order_value = equity * self.min_order_perc + available = account.buying_power - self.min_buying_power_perc * equity + for symbol, signal in signals.items(): + pos_size = account.get_position_size(symbol) if self.one_order_only and account.has_open_order(symbol): - logger.debug("rating=%s for symbol=%s discarded because of one order rule", signal, symbol) + _log_rule("one order only", signal, symbol, pos_size) continue item = event.price_items.get(symbol) if item is None: - logger.debug("rating=%s for symbol=%s discarded because of no price available", signal, symbol) + _log_rule("no price is available", signal, symbol, pos_size) continue price = item.price(self.price_type) - pos_size = account.get_position_size(symbol) - change = _PositionChange.get_change(signal.rating, pos_size) + if not self.shorting and change == _PositionChange.OPEN_SHORT: - logger.debug("signal=%s for symbol=%s discarded because of shorting rule", signal, symbol) + _log_rule("no shorting", signal, symbol, pos_size) continue if not self.increase_position and change == _PositionChange.INCREASE: - logger.debug("signal=%s for symbol=%s discarded because of increase position rule", signal, symbol) + _log_rule("no increase position sizing", signal, symbol, pos_size) continue if change == _PositionChange.CLOSE: # Closing orders don't require or use buying power + if not signal.is_exit: + _log_rule("no exit signal", signal, symbol, pos_size) + continue new_orders = self._get_orders(symbol, pos_size * -1, item, signal.rating) orders += new_orders else: + if not signal.is_entry: + _log_rule("no entry signal", signal, symbol, pos_size) + continue + + if available < min_order_value: + _log_rule("available buying power below minimum order value", signal, symbol, pos_size) + continue + + available_order_value = min(available, max_order_value) contract_price = account.contract_value(symbol, Decimal(1), price) - order_size = self._get_order_size(signal.rating, contract_price, max_order_value) + order_size = self._get_order_size(signal.rating, contract_price, available_order_value) + + if order_size.is_zero(): + _log_rule("calculated order size is zero", signal, symbol, pos_size) + continue order_value = abs(account.contract_value(symbol, order_size, price)) - if order_value > (buying_power - self.min_buying_power): - logger.debug("signal=%s for symbol=%s discarded because of insufficient buying power", signal, symbol) + if order_value > available: + _log_rule("order value above available buying power", signal, symbol, pos_size) continue if order_value < min_order_value: - logger.debug("signal=%s for symbol=%s discarded because of minimum order value", signal, symbol) + _log_rule("order value below minimum order value", signal, symbol, pos_size) continue new_orders = self._get_orders(symbol, order_size, item, signal.rating) if new_orders: orders += new_orders - buying_power -= order_value + available -= order_value return orders