TrackProfitLossInformation()
(class) Overview:TrackProfitLossInformation() makes it easy to track PnL information during a trade.
Interfaces:TrackProfitLossInformation()
Creates the instance.
TrackProfitLossInformation( md, entryPrice, entryShares )
Parameters:
| Name | Type | Default | Information |
|---|---|---|---|
| md | object | required | ktg market data object |
| entryPrice | float | required | should be the entry price |
| entryShares | float | required | should be the entry shares |
Attributes:
| Name | Type | Default | Information |
|---|---|---|---|
| HighInTrade | float | parameter entryPrice | Highest price printed during the trade. |
| HighInTradeTime | MUTS | service.system_time | Market time at which the highest price printed. |
| LowInTrade | float | parameter entryPrice | Lowest price printed during the trade. |
| LowInTradeTime | MUTS | md.system_time | Market time at which the lowest price printed. |
| EntryPrice | float | parameter entryPrice | should be the entry price |
| Shares | integer | parameter entryShares | should be the entry shares |
| MarketPrice | float | 0.0 | Best bid (for long positions) or best ask (for short positions). |
| ProfitLoss | float | 0.0 | Difference between the corresponding market price (explained above) and the entry price of the trade, multiplied by the number of shares. |
| Range | float | 0.0 | Difference between the high and low of the range. |
| LossFromBest | float | 0.0 | Amount trade has pulled back from the best price. |
| GainFromWorst | float | 0.0 | Amount trade has moved in your favor from the worst price. |
Track()
Call to update the instance variables. Call method for checking instance variables.
Track( md )
Parameters:
| Name | Type | Default | Information |
|---|---|---|---|
| md | object | required | ktg market data object |
from cloudquant.interfaces import Strategy
import ktgfunc
class TrackProfitability(Strategy):
@classmethod
def is_symbol_qualified(cls, symbol, md, service, account):
return symbol == 'GE'
def on_start(self, md, order, service, account):
print 'Start', service.time_to_string(service.system_time), self.symbol, '\n\n'
# Sell Limit CHX at Script Price abcae79b-ec08-4a81-a736-af5a4868b44e
order.algo_sell(self.symbol,
algorithm='abcae79b-ec08-4a81-a736-af5a4868b44e',
intent='init',
order_quantity=100,
price = md.L1.ask - .1)
self.minute_count = 0
def on_minute_bar(self, event, md, order, service, account, bar):
# increment on every minute
self.minute_count += 1
# Initialize a TrackProfitLossInformation object passing the entry_price and shares
# check self.minute_count to ensure that a position has been entered
if self.minute_count == 2:
entry_price = account[self.symbol].position.entry_price
shares = account[self.symbol].position.shares
self.tpl = ktgfunc.TrackProfitLossInformation(md, entry_price, abs(shares))
if self.minute_count > 1:
# update the TrackProfitLossInformation object
self.tpl.Track(md)
print service.time_to_string(service.system_time), self.symbol
print 'EntryPrice - %s' % self.tpl.EntryPrice
print 'Shares - %s' % self.tpl.Shares
print 'MarketPrice - %s\n' % self.tpl.MarketPrice
print 'HighInTrade - %s' % self.tpl.HighInTrade
print 'HighInTradeTime - %s\n' % service.time_to_string(self.tpl.HighInTradeTime)
print 'LowInTrade - %s' % self.tpl.LowInTrade
print 'LowInTradeTime - %s\n' % service.time_to_string(self.tpl.LowInTradeTime)
print 'ProfitLoss - %s' % self.tpl.ProfitLoss
print 'Range - %s' % self.tpl.Range
print 'LossFromBest - %s' % self.tpl.LossFromBest
print 'GainFromWorst - %s\n\n\n' % self.tpl.GainFromWorst
# terminate on the 6th minute
if self.minute_count == 6:
service.terminate()
Console
Start 2016-03-01 09:30:00.000000 GE 2016-03-01 09:31:00.675000 GE EntryPrice - 29.2899993896 Shares - 100 MarketPrice - 29.4300003052 HighInTrade - 29.4300003052 HighInTradeTime - 2016-03-01 09:30:59.447000 LowInTrade - 29.2899993896 LowInTradeTime - 2016-03-01 09:30:59.447000 ProfitLoss - 14.0000915527 Range - 0.140000915527 LossFromBest - 0.0 GainFromWorst - 14.0000915527 2016-03-01 09:32:00.516000 GE EntryPrice - 29.2899993896 Shares - 100 MarketPrice - 29.4300003052 HighInTrade - 29.4300003052 HighInTradeTime - 2016-03-01 09:30:59.447000 LowInTrade - 29.2899993896 LowInTradeTime - 2016-03-01 09:30:59.447000 ProfitLoss - 14.0000915527 Range - 0.140000915527 LossFromBest - 0.0 GainFromWorst - 14.0000915527 2016-03-01 09:33:03.183000 GE EntryPrice - 29.2899993896 Shares - 100 MarketPrice - 29.4689006805 HighInTrade - 29.4689006805 HighInTradeTime - 2016-03-01 09:32:59.916000 LowInTrade - 29.2899993896 LowInTradeTime - 2016-03-01 09:30:59.447000 ProfitLoss - 17.8901290894 Range - 0.178901290894 LossFromBest - 0.0 GainFromWorst - 17.8901290894 2016-03-01 09:34:00.027000 GE EntryPrice - 29.2899993896 Shares - 100 MarketPrice - 29.4274997711 HighInTrade - 29.4689006805 HighInTradeTime - 2016-03-01 09:32:59.916000 LowInTrade - 29.2899993896 LowInTradeTime - 2016-03-01 09:30:59.447000 ProfitLoss - 13.750038147 Range - 0.178901290894 LossFromBest - -4.14009094238 GainFromWorst - 13.750038147 2016-03-01 09:35:00.749000 GE EntryPrice - 29.2899993896 Shares - 100 MarketPrice - 29.4279003143 HighInTrade - 29.4689006805 HighInTradeTime - 2016-03-01 09:32:59.916000 LowInTrade - 29.2899993896 LowInTradeTime - 2016-03-01 09:30:59.447000 ProfitLoss - 13.7900924683 Range - 0.178901290894 LossFromBest - -4.10003662109 GainFromWorst - 13.7900924683