from collections import deque
import random
'''
Example below replicates
+75 MSFT 25.10
+50 MSFT 25.12
-100 MSFT 25.22
Realized P&L = 75 * (25.22 - 25.10) + 25 * (25.22 - 25.12) = $ 11.50
A Trade is split into a set of unit positions that are then dequeued on FIFO basis as part of Sell.
'''
number_of_sell_trades = 100
max_sell_quentity = 5
min_sell_price = 23.00
max_sell_price = 25.00
class TradeManager():
def __init__(self):
self.fifo = deque()
self.profit = []
def __repr__(self):
return 'position size: %d'%(len(self.fifo))
def execute_with_total_pnl(self, direction, quantity, price):
print direction, quantity, price, 'position size', len(self.fifo)
if len(self.fifo) == 0:
return 0
if 'Sell' in (direction):
if len(self.fifo) >= quantity:
return sum([(fill.price - price) for fill in tm.execute(direction, quantity, price)])
else:
return 0
#raise MyShortSellException('No short selling allowed')
else:
return [tm.execute(direction, quantity, price)]
#def execute_with_pnl(self, direction, quantity, price):
# if 'Sell' in (direction):
# for fill in tm.execute(direction, quantity, price):
# self.profit.append(fill.price - price)
# yield (fill.price - price)
# else:
# yield tm.execute(direction, quantity, price)
def execute(self, direction, quantity, price, verbose=False):
if verbose:
print 'before', (self.fifo)
if direction in ('Buy'):
#print 'Buy'
for i, fill in Trade(direction, quantity, price):
self.fifo.appendleft(fill)
yield fill
elif direction in ('Sell'):
for i, fill in Trade(direction, quantity, price):
yield self.fifo.pop()
if verbose:
print 'after', len(self.fifo)
class Fill():
def __init__(self, price):
self.price = price
self.quantity = 1
class Trade():
def __init__(self, direction, quantity, price):
self.direction = direction
self.quantity = quantity
self.price = price
self.i = 0
def __iter__(self):
return self
def next(self):
if self.i < self.quantity:
i = self.i
self.i += 1
return i, Fill(self.price)
else:
raise StopIteration()
# create a TradeManager
tm = TradeManager()
# generate some buys
a = [i for i in tm.execute('Buy', 75, 25.12)]
a = [i for i in tm.execute('Buy', 50, 25.22)]
# generate some sells
pnl = np.cumsum([tm.execute_with_total_pnl('Sell', quantity, random.uniform(min_sell_price, max_sell_price)) \
for quantity in [random.randint(0,max_sell_quentity) \
for i in range(0,number_of_sell_trades,1)]])
plot(pnl)
print 'total pnl', pnl[-1:]
# try something more involved.
tm = TradeManager()
a = [i for i in tm.execute('Buy', 75, 25.10)]
pnl = np.cumsum([tm.execute_with_total_pnl('Sell', quantity, random.uniform(min_sell_price, max_sell_price)) \
for quantity in [random.randint(0,max_sell_quentity) \
for i in range(0,number_of_sell_trades,1)]])
plot(pnl)
print 'total pnl', pnl[-1:]
