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remove redundant code from webull_wrapper #19

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186 changes: 0 additions & 186 deletions kinetick/broker.py
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Original file line number Diff line number Diff line change
Expand Up @@ -294,139 +294,11 @@ def _callback(self, caller, msg, **kwargs):
symbol, orderId, quantity, filled=True)
self._expire_pending_order(symbol, orderId)
self._cancel_orphan_orders(orderId)
self._register_trade(order)

# filled
time.sleep(0.005)
self.on_fill(self.get_instrument(order['symbol']), order)

# ---------------------------------------
def _register_trade(self, order):
""" constructs trade info from order data """
if order['id'] in self.orders.recent:
orderId = order['id']
else:
orderId = order['parentId']
# entry / exit?
symbol = order["symbol"]
order_data = self.orders.recent[orderId]
position = self.get_positions(symbol)['position']

if position != 0:
# entry
order_data['action'] = "ENTRY"
order_data['position'] = position
order_data['entry_time'] = datetime_to_timezone(
order['time'])
order_data['exit_time'] = None
order_data['entry_order'] = order_data['order_type']
order_data['entry_price'] = order['avgFillPrice']
order_data['exit_price'] = 0
order_data['exit_reason'] = None

else:
order_data['action'] = "EXIT"
order_data['position'] = 0
order_data['exit_time'] = datetime_to_timezone(order['time'])
order_data['exit_price'] = order['avgFillPrice']

# target / stop?
if order['id'] == order_data['targetOrderId']:
order_data['exit_reason'] = "TARGET"
elif order['id'] == order_data['stopOrderId']:
order_data['exit_reason'] = "STOP"
else:
order_data['exit_reason'] = "SIGNAL"

# remove from collection
del self.orders.recent[orderId]

if order_data is None:
return None

# trade identifier
tradeId = self.strategy.upper() + '_' + symbol.upper()
tradeId = hashlib.sha1(tradeId.encode()).hexdigest()

# existing trade?
if tradeId not in self.active_trades:
self.active_trades[tradeId] = {
"strategy": self.strategy,
"action": order_data['action'],
"quantity": abs(order_data['position']),
"position": order_data['position'],
"symbol": order_data["symbol"].split('_')[0],
"direction": order_data['direction'],
"entry_time": None,
"exit_time": None,
"duration": "0s",
"exit_reason": order_data['exit_reason'],
"order_type": order_data['order_type'],
"market_price": order_data['price'],
"target": order_data['target'],
"stop": order_data['initial_stop'],
"entry_price": 0,
"exit_price": order_data['exit_price'],
"realized_pnl": 0
}
if "entry_time" in order_data:
self.active_trades[tradeId]["entry_time"] = order_data['entry_time']
if "entry_price" in order_data:
self.active_trades[tradeId]["entry_price"] = order_data['entry_price']
else:
# self.active_trades[tradeId]['direction'] = order_data['direction']
self.active_trades[tradeId]['action'] = order_data['action']
self.active_trades[tradeId]['position'] = order_data['position']
self.active_trades[tradeId]['exit_price'] = order_data['exit_price']
self.active_trades[tradeId]['exit_reason'] = order_data['exit_reason']
self.active_trades[tradeId]['exit_time'] = order_data['exit_time']

# calculate trade duration
try:
delta = int((self.active_trades[tradeId]['exit_time'] -
self.active_trades[tradeId]['entry_time']).total_seconds())
days, remainder = divmod(delta, 86400)
hours, remainder = divmod(remainder, 3600)
minutes, seconds = divmod(remainder, 60)
duration = ('%sd %sh %sm %ss' %
(days, hours, minutes, seconds))
self.active_trades[tradeId]['duration'] = duration.replace(
"0d ", "").replace("0h ", "").replace("0m ", "")
except Exception as e:
pass

trade = self.active_trades[tradeId]
if trade['entry_price'] > 0 and trade['position'] == 0:
if trade['direction'] == "SELL":
pnl = trade['entry_price'] - trade['exit_price']
else:
pnl = trade['exit_price'] - trade['entry_price']

pnl = utils.to_decimal(pnl)
# print("1)", pnl)
self.active_trades[tradeId]['realized_pnl'] = pnl

# print("\n\n-----------------")
# print(self.active_trades[tradeId])
# print("-----------------\n\n")

# get trade
trade = self.active_trades[tradeId].copy()

# rename trade direction
trade['direction'] = trade['direction'].replace(
"BUY", "LONG").replace("SELL", "SHORT")

# log
self.log_trade(trade)

# remove from active trades and add to trade
if trade['action'] == "EXIT":
del self.active_trades[tradeId]
self.trades.append(trade)

# return trade
return trade

# ---------------------------------------
def log_trade(self, trade):
Expand Down Expand Up @@ -783,64 +655,6 @@ def get_orders(self, symbol):

return {}

# ---------------------------------------
def get_positions(self, symbol):
symbol = self.get_symbol(symbol)

if self.backtest:
position = 0
avgCost = 0.0

if self.datastore.recorded is not None:
data = self.datastore.recorded
col = symbol.upper() + '_POSITION'
position = data[col].values[-1]
if position != 0:
pos = data[col].diff()
avgCost = data[data.index.isin(pos[pos != 0][-1:].index)
][symbol.upper() + '_OPEN'].values[-1]
return {
"symbol": symbol,
"position": position,
"avgCost": avgCost,
"account": "Backtest"
}

elif symbol in self.broker.positions:
return self.broker.positions[symbol]

return {
"symbol": symbol,
"position": 0,
"avgCost": 0.0,
"account": None
}

# ---------------------------------------
def get_portfolio(self, symbol=None):
raise Exception("Not supported")
# if symbol is not None:
# symbol = self.get_symbol(symbol)
#
# if symbol in self.zerodha.portfolio:
# portfolio = self.zerodha.portfolio[symbol]
# if "symbol" in portfolio:
# return portfolio
#
# return {
# "symbol": symbol,
# "position": 0.0,
# "marketPrice": 0.0,
# "marketValue": 0.0,
# "averageCost": 0.0,
# "unrealizedPNL": 0.0,
# "realizedPNL": 0.0,
# "totalPNL": 0.0,
# "account": None
# }
#
# return self.zerodha.portfolio

# ---------------------------------------
def get_pending_orders(self, symbol=None):
if symbol is not None:
Expand Down
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