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fix/open_range_breakout_codes_updated_for_multiple_orders_and_order_c… #20

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fix/open_range_breakout_codes_updated_for_multiple_orders_and_order_c…
hemendra-sakpal-algobulls Sep 17, 2022
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fix/open_range_breakout_codes_updated_for_multiple_orders_and_order_c…
hemendra-sakpal-algobulls Sep 19, 2022
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fix/open_range_breakout_codes_updated_for_multiple_orders_and_order_c…
hemendra-sakpal-algobulls Sep 20, 2022
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77 changes: 42 additions & 35 deletions pyalgostrategypool/open_range_breakout_crossover.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -29,7 +29,8 @@ def __init__(self, *args, **kwargs):

# Variables
self.main_order = None
self.order_placed_for_the_day = None
self.current_order_count = None
self.allowed_order_count = None

def initialize(self):
"""
Expand All @@ -38,7 +39,12 @@ def initialize(self):
"""

self.main_order = {}
self.order_placed_for_the_day = {}

# To keep a count of the number of orders for each instrument
self.current_order_count = {}

# Count of number of orders should not exceed the below count
self.allowed_order_count = 2

@staticmethod
def name():
Expand All @@ -61,7 +67,8 @@ def get_decision(self, instrument, decision):
"""
This method returns the entry/exit action based on the crossover value
"""
action = None

crossover_value = 0

# Get OHLC historical data for the instrument
hist_data = self.get_historical_data(instrument)
Expand All @@ -72,24 +79,26 @@ def get_decision(self, instrument, decision):
# Get string value of strategy start time
udc_candle_str = str(self.candle_start_time)

# If latest timestamp is equal to strategy start time
if timestamp_str == udc_candle_str:
latest_high = hist_data['high'].iloc[-1]
latest_close = hist_data['close'].iloc[-1]

# Return action as BUY if crossover is Upwards and decision is Entry, else SELL if decision is EXIT
if self.get_crossover_value(hist_data, latest_high) == 1:
action = ActionConstants.ENTRY_BUY if decision is DecisionConstants.ENTRY_POSITION else ActionConstants.EXIT_SELL
# Get crossover value if decision is ENTRY_POSITION and latest timestamp is equal to strategy start time or decision is EXIT_POSITION
if (decision is DecisionConstants.ENTRY_POSITION and timestamp_str > udc_candle_str) or decision is DecisionConstants.EXIT_POSITION:
crossover_value = self.get_crossover_value(hist_data, latest_close)

# Return action as SELL if crossover is Downwards and decision is Entry, else BUY if decision is EXIT
elif self.get_crossover_value(hist_data, latest_high) == -1:
action = ActionConstants.ENTRY_SELL if decision is DecisionConstants.ENTRY_POSITION else ActionConstants.EXIT_BUY
# Return action as BUY if crossover is Upwards and decision is Entry, else SELL if decision is EXIT
if crossover_value == 1:
action = ActionConstants.ENTRY_BUY if decision is DecisionConstants.ENTRY_POSITION else ActionConstants.EXIT_SELL

# Return action as NO_ACTION if there is no crossover
else:
action = ActionConstants.NO_ACTION
# Return action as SELL if crossover is Downwards and decision is Entry, else BUY if decision is EXIT
elif crossover_value == -1:
action = ActionConstants.ENTRY_SELL if decision is DecisionConstants.ENTRY_POSITION else ActionConstants.EXIT_BUY

# Return action as NO_ACTION if there is no crossover
else:
action = ActionConstants.NO_ACTION
return action

def get_crossover_value(self, hist_data, latest_high):
def get_crossover_value(self, hist_data, latest_close):
"""
This method calculates the crossover using the hist data of the instrument along with the required indicator and returns the crossover value.
"""
Expand All @@ -98,11 +107,10 @@ def get_crossover_value(self, hist_data, latest_high):

# Calculate crossover for the OHLC columns with
columns = ['open', 'high', 'low', 'close']
val_data = [latest_high] * len(hist_data)
val_data = [latest_close] * len(hist_data)
for column in columns:
crossover = self.utils.crossover(hist_data[column], val_data)
if crossover in [1, -1]:

# If crossover is upwards or downwards, stop computing the crossovers
break

Expand Down Expand Up @@ -131,26 +139,24 @@ def strategy_select_instruments_for_entry(self, candle, instruments_bucket):
# Looping over all instruments given by you in the bucket (we can give multiple instruments in the configuration)
for instrument in instruments_bucket:

# Instrument is appended once the main order is exited, this ensures that only one order is placed for the day
if instrument not in self.order_placed_for_the_day:

# Compute various things and get the decision to place an order only if no current order is going on (main order is empty / none)
if self.main_order.get(instrument) is None:
# Initiate the count
if self.current_order_count.get(instrument) is None:
self.current_order_count[instrument] = 0

# Get entry decision
action = self.get_decision(instrument, DecisionConstants.ENTRY_POSITION)
# Compute various things and get the decision to place an order only if no current order is going on (main order is empty / none) and the number of order counts is less than the count
if self.main_order.get(instrument) is None and self.current_order_count.get(instrument) < self.allowed_order_count:

if action is ActionConstants.ENTRY_BUY or (action is ActionConstants.ENTRY_SELL and self.strategy_mode is StrategyMode.INTRADAY):
# Add instrument to the bucket
selected_instruments_bucket.append(instrument)
# Get entry decision
action = self.get_decision(instrument, DecisionConstants.ENTRY_POSITION)

# Add additional info for the instrument
sideband_info_bucket.append({'action': action})
if action is ActionConstants.ENTRY_BUY or (action is ActionConstants.ENTRY_SELL and self.strategy_mode is StrategyMode.INTRADAY):
# Add instrument to the bucket
selected_instruments_bucket.append(instrument)

# If one order has exited already, below message is printed
else:
self.logger.info('Order placed for the day, no more orders will be placed for the remaining day')
# Add additional info for the instrument
sideband_info_bucket.append({'action': action})

# Return the buckets to the core engine
# Return the buckets to the core engine
# Engine will now call strategy_enter_position with each instrument and its additional info one by one
return selected_instruments_bucket, sideband_info_bucket
Expand All @@ -167,12 +173,10 @@ def strategy_enter_position(self, candle, instrument, sideband_info):
# Place buy order
if sideband_info['action'] is ActionConstants.ENTRY_BUY:
self.main_order[instrument] = self.broker.BuyOrderRegular(instrument=instrument, order_code=BrokerOrderCodeConstants.INTRADAY, order_variety=BrokerOrderVarietyConstants.MARKET, quantity=qty)
self.order_placed_for_the_day[instrument] = True

# Place sell order
elif sideband_info['action'] is ActionConstants.ENTRY_SELL:
self.main_order[instrument] = self.broker.SellOrderRegular(instrument=instrument, order_code=BrokerOrderCodeConstants.INTRADAY, order_variety=BrokerOrderVarietyConstants.MARKET, quantity=qty)
self.order_placed_for_the_day[instrument] = True

# Sanity
else:
Expand Down Expand Up @@ -211,6 +215,9 @@ def strategy_select_instruments_for_exit(self, candle, instruments_bucket):
# If order transaction type is buy and current action is sell or order transaction type is sell and current action is buy, then exit the order
if (action is ActionConstants.EXIT_SELL and main_order.order_transaction_type is BrokerOrderTransactionTypeConstants.SELL) or \
(action is ActionConstants.EXIT_BUY and main_order.order_transaction_type is BrokerOrderTransactionTypeConstants.BUY):
# Increment the count if the order is exited
self.current_order_count[instrument] += 1

# Add instrument to the bucket
selected_instruments_bucket.append(instrument)

Expand Down
75 changes: 40 additions & 35 deletions pyalgostrategypool/open_range_breakout_crossover_bracket.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -37,8 +37,8 @@ def __init__(self, *args, **kwargs):

# Variables
self.main_order = None
self.udc_high = None
self.order_placed_for_the_day = None
self.current_order_count = None
self.allowed_order_count = None

def initialize(self):
"""
Expand All @@ -47,8 +47,12 @@ def initialize(self):
"""

self.main_order = {}
self.udc_high = {}
self.order_placed_for_the_day = {}

# To keep a count of the number of orders for each instrument
self.current_order_count = {}

# Count of number of orders should not exceed the below count
self.allowed_order_count = 2

@staticmethod
def name():
Expand All @@ -72,7 +76,7 @@ def get_decision(self, instrument, decision):
This method returns the entry/exit action based on the crossover value
"""

action = None
crossover_value = 0

# Get OHLC historical data for the instrument
hist_data = self.get_historical_data(instrument)
Expand All @@ -83,24 +87,26 @@ def get_decision(self, instrument, decision):
# Get string value of strategy start time
udc_candle_str = str(self.candle_start_time)

# If latest timestamp is equal to strategy start time
if timestamp_str == udc_candle_str:
latest_high = hist_data['high'].iloc[-1]
latest_close = hist_data['close'].iloc[-1]

# Return action as BUY if crossover is Upwards and decision is Entry, else SELL if decision is EXIT
if self.get_crossover_value(hist_data, latest_high) == 1:
action = ActionConstants.ENTRY_BUY if decision is DecisionConstants.ENTRY_POSITION else ActionConstants.EXIT_SELL
# Get crossover value if decision is ENTRY_POSITION and latest timestamp is equal to strategy start time or decision is EXIT_POSITION
if (decision is DecisionConstants.ENTRY_POSITION and timestamp_str > udc_candle_str) or decision is DecisionConstants.EXIT_POSITION:
crossover_value = self.get_crossover_value(hist_data, latest_close)

# Return action as SELL if crossover is Downwards and decision is Entry, else BUY if decision is EXIT
elif self.get_crossover_value(hist_data, latest_high) == -1:
action = ActionConstants.ENTRY_SELL if decision is DecisionConstants.ENTRY_POSITION else ActionConstants.EXIT_BUY
# Return action as BUY if crossover is Upwards and decision is Entry, else SELL if decision is EXIT
if crossover_value == 1:
action = ActionConstants.ENTRY_BUY if decision is DecisionConstants.ENTRY_POSITION else ActionConstants.EXIT_SELL

# Return action as NO_ACTION if there is no crossover
else:
action = ActionConstants.NO_ACTION
# Return action as SELL if crossover is Downwards and decision is Entry, else BUY if decision is EXIT
elif crossover_value == -1:
action = ActionConstants.ENTRY_SELL if decision is DecisionConstants.ENTRY_POSITION else ActionConstants.EXIT_BUY

# Return action as NO_ACTION if there is no crossover
else:
action = ActionConstants.NO_ACTION
return action

def get_crossover_value(self, hist_data, latest_high):
def get_crossover_value(self, hist_data, latest_close):
"""
This method calculates the crossover using the hist data of the instrument along with the required indicator and returns the crossover value.
"""
Expand All @@ -109,11 +115,10 @@ def get_crossover_value(self, hist_data, latest_high):

# Calculate crossover for the OHLC columns with
columns = ['open', 'high', 'low', 'close']
val_data = [latest_high] * len(hist_data)
val_data = [latest_close] * len(hist_data)
for column in columns:
crossover = self.utils.crossover(hist_data[column], val_data)
if crossover in [1, -1]:

# If crossover is upwards or downwards, stop computing the crossovers
break

Expand Down Expand Up @@ -142,25 +147,22 @@ def strategy_select_instruments_for_entry(self, candle, instruments_bucket):
# Looping over all instruments given by you in the bucket (we can give multiple instruments in the configuration)
for instrument in instruments_bucket:

# Instrument is appended once the main order is exited, this ensures that only one order is placed for the day
if instrument not in self.order_placed_for_the_day:

# Compute various things and get the decision to place an order only if no current order is going on (main order is empty / none)
if self.main_order.get(instrument) is None:
# Initiate the count
if self.current_order_count.get(instrument) is None:
self.current_order_count[instrument] = 0

# Get entry decision
action = self.get_decision(instrument, DecisionConstants.ENTRY_POSITION)
# Compute various things and get the decision to place an order only if no current order is going on (main order is empty / none) and the number of order counts is less than the count
if self.main_order.get(instrument) is None and self.current_order_count.get(instrument) < self.allowed_order_count:

if action is ActionConstants.ENTRY_BUY or (action is ActionConstants.ENTRY_SELL and self.strategy_mode is StrategyMode.INTRADAY):
# Add instrument to the bucket
selected_instruments_bucket.append(instrument)
# Get entry decision
action = self.get_decision(instrument, DecisionConstants.ENTRY_POSITION)

# Add additional info for the instrument
sideband_info_bucket.append({'action': action})
if action is ActionConstants.ENTRY_BUY or (action is ActionConstants.ENTRY_SELL and self.strategy_mode is StrategyMode.INTRADAY):
# Add instrument to the bucket
selected_instruments_bucket.append(instrument)

# If one order has exited already, below message is printed
else:
self.logger.info('Order placed for the day, no more orders will be placed for the remaining day')
# Add additional info for the instrument
sideband_info_bucket.append({'action': action})

# Return the buckets to the core engine
# Engine will now call strategy_enter_position with each instrument and its additional info one by one
Expand Down Expand Up @@ -225,6 +227,9 @@ def strategy_select_instruments_for_exit(self, candle, instruments_bucket):
# If order transaction type is buy and current action is sell or order transaction type is sell and current action is buy, then exit the order
if (action is ActionConstants.EXIT_SELL and main_order.order_transaction_type is BrokerOrderTransactionTypeConstants.SELL) or \
(action is ActionConstants.EXIT_BUY and main_order.order_transaction_type is BrokerOrderTransactionTypeConstants.BUY):
# Increment the count if the order is exited
self.current_order_count[instrument] += 1

# Add instrument to the bucket
selected_instruments_bucket.append(instrument)

Expand Down
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