oandabroker.py

#!/usr/bin/env python
# -*- coding: utf-8; py-indent-offset:4 -*-
###############################################################################
#
# Copyright (C) 2015-2023 Daniel Rodriguez
#
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program.  If not, see <http://www.gnu.org/licenses/>.
#
###############################################################################
from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import collections
from copy import copy
from datetime import date, datetime, timedelta
import threading

from backtrader.feed import DataBase
from backtrader import (TimeFrame, num2date, date2num, BrokerBase,
                        Order, BuyOrder, SellOrder, OrderBase, OrderData)
from backtrader.utils.py3 import bytes, with_metaclass, MAXFLOAT
from backtrader.metabase import MetaParams
from backtrader.comminfo import CommInfoBase
from backtrader.position import Position
from backtrader.stores import oandastore
from backtrader.utils import AutoDict, AutoOrderedDict
from backtrader.comminfo import CommInfoBase


class OandaCommInfo(CommInfoBase):
    def getvaluesize(self, size, price):
        # In real life the margin approaches the price
        return abs(size) * price

    def getoperationcost(self, size, price):
        '''Returns the needed amount of cash an operation would cost'''
        # Same reasoning as above
        return abs(size) * price


class MetaOandaBroker(BrokerBase.__class__):
    def __init__(cls, name, bases, dct):
        '''Class has already been created ... register'''
        # Initialize the class
        super(MetaOandaBroker, cls).__init__(name, bases, dct)
        oandastore.OandaStore.BrokerCls = cls


class OandaBroker(with_metaclass(MetaOandaBroker, BrokerBase)):
    '''Broker implementation for Oanda.

    This class maps the orders/positions from Oanda to the
    internal API of ``backtrader``.

    Params:

      - ``use_positions`` (default:``True``): When connecting to the broker
        provider use the existing positions to kickstart the broker.

        Set to ``False`` during instantiation to disregard any existing
        position
    '''
    params = (
        ('use_positions', True),
        ('commission', OandaCommInfo(mult=1.0, stocklike=False)),
    )

    def __init__(self, **kwargs):
        super(OandaBroker, self).__init__()

        self.o = oandastore.OandaStore(**kwargs)

        self.orders = collections.OrderedDict()  # orders by order id
        self.notifs = collections.deque()  # holds orders which are notified

        self.opending = collections.defaultdict(list)  # pending transmission
        self.brackets = dict()  # confirmed brackets

        self.startingcash = self.cash = 0.0
        self.startingvalue = self.value = 0.0
        self.positions = collections.defaultdict(Position)

    def start(self):
        super(OandaBroker, self).start()
        self.o.start(broker=self)
        self.startingcash = self.cash = cash = self.o.get_cash()
        self.startingvalue = self.value = self.o.get_value()

        if self.p.use_positions:
            for p in self.o.get_positions():
                print('position for instrument:', p['instrument'])
                is_sell = p['side'] == 'sell'
                size = p['units']
                if is_sell:
                    size = -size
                price = p['avgPrice']
                self.positions[p['instrument']] = Position(size, price)

    def data_started(self, data):
        pos = self.getposition(data)

        if pos.size < 0:
            order = SellOrder(data=data,
                              size=pos.size, price=pos.price,
                              exectype=Order.Market,
                              simulated=True)

            order.addcomminfo(self.getcommissioninfo(data))
            order.execute(0, pos.size, pos.price,
                          0, 0.0, 0.0,
                          pos.size, 0.0, 0.0,
                          0.0, 0.0,
                          pos.size, pos.price)

            order.completed()
            self.notify(order)

        elif pos.size > 0:
            order = BuyOrder(data=data,
                             size=pos.size, price=pos.price,
                             exectype=Order.Market,
                             simulated=True)

            order.addcomminfo(self.getcommissioninfo(data))
            order.execute(0, pos.size, pos.price,
                          0, 0.0, 0.0,
                          pos.size, 0.0, 0.0,
                          0.0, 0.0,
                          pos.size, pos.price)

            order.completed()
            self.notify(order)

    def stop(self):
        super(OandaBroker, self).stop()
        self.o.stop()

    def getcash(self):
        # This call cannot block if no answer is available from oanda
        self.cash = cash = self.o.get_cash()
        return cash

    def getvalue(self, datas=None):
        self.value = self.o.get_value()
        return self.value

    def getposition(self, data, clone=True):
        # return self.o.getposition(data._dataname, clone=clone)
        pos = self.positions[data._dataname]
        if clone:
            pos = pos.clone()

        return pos

    def orderstatus(self, order):
        o = self.orders[order.ref]
        return o.status

    def _submit(self, oref):
        order = self.orders[oref]
        order.submit(self)
        self.notify(order)
        for o in self._bracketnotif(order):
            o.submit(self)
            self.notify(o)

    def _reject(self, oref):
        order = self.orders[oref]
        order.reject(self)
        self.notify(order)
        self._bracketize(order, cancel=True)

    def _accept(self, oref):
        order = self.orders[oref]
        order.accept()
        self.notify(order)
        for o in self._bracketnotif(order):
            o.accept(self)
            self.notify(o)

    def _cancel(self, oref):
        order = self.orders[oref]
        order.cancel()
        self.notify(order)
        self._bracketize(order, cancel=True)

    def _expire(self, oref):
        order = self.orders[oref]
        order.expire()
        self.notify(order)
        self._bracketize(order, cancel=True)

    def _bracketnotif(self, order):
        pref = getattr(order.parent, 'ref', order.ref)  # parent ref or self
        br = self.brackets.get(pref, None)  # to avoid recursion
        return br[-2:] if br is not None else []

    def _bracketize(self, order, cancel=False):
        pref = getattr(order.parent, 'ref', order.ref)  # parent ref or self
        br = self.brackets.pop(pref, None)  # to avoid recursion
        if br is None:
            return

        if not cancel:
            if len(br) == 3:  # all 3 orders in place, parent was filled
                br = br[1:]  # discard index 0, parent
                for o in br:
                    o.activate()  # simulate activate for children
                self.brackets[pref] = br  # not done - reinsert children

            elif len(br) == 2:  # filling a children
                oidx = br.index(order)  # find index to filled (0 or 1)
                self._cancel(br[1 - oidx].ref)  # cancel remaining (1 - 0 -> 1)
        else:
            # Any cancellation cancel the others
            for o in br:
                if o.alive():
                    self._cancel(o.ref)

    def _fill(self, oref, size, price, ttype, **kwargs):
        order = self.orders[oref]

        if not order.alive():  # can be a bracket
            pref = getattr(order.parent, 'ref', order.ref)
            if pref not in self.brackets:
                msg = ('Order fill received for {}, with price {} and size {} '
                       'but order is no longer alive and is not a bracket. '
                       'Unknown situation')
                msg.format(order.ref, price, size)
                self.put_notification(msg, order, price, size)
                return

            # [main, stopside, takeside], neg idx to array are -3, -2, -1
            if ttype == 'STOP_LOSS_FILLED':
                order = self.brackets[pref][-2]
            elif ttype == 'TAKE_PROFIT_FILLED':
                order = self.brackets[pref][-1]
            else:
                msg = ('Order fill received for {}, with price {} and size {} '
                       'but order is no longer alive and is a bracket. '
                       'Unknown situation')
                msg.format(order.ref, price, size)
                self.put_notification(msg, order, price, size)
                return

        data = order.data
        pos = self.getposition(data, clone=False)
        psize, pprice, opened, closed = pos.update(size, price)

        comminfo = self.getcommissioninfo(data)

        closedvalue = closedcomm = 0.0
        openedvalue = openedcomm = 0.0
        margin = pnl = 0.0

        order.execute(data.datetime[0], size, price,
                      closed, closedvalue, closedcomm,
                      opened, openedvalue, openedcomm,
                      margin, pnl,
                      psize, pprice)

        if order.executed.remsize:
            order.partial()
            self.notify(order)
        else:
            order.completed()
            self.notify(order)
            self._bracketize(order)

    def _transmit(self, order):
        oref = order.ref
        pref = getattr(order.parent, 'ref', oref)  # parent ref or self

        if order.transmit:
            if oref != pref:  # children order
                # Put parent in orders dict, but add stopside and takeside
                # to order creation. Return the takeside order, to have 3s
                takeside = order  # alias for clarity
                parent, stopside = self.opending.pop(pref)
                for o in parent, stopside, takeside:
                    self.orders[o.ref] = o  # write them down

                self.brackets[pref] = [parent, stopside, takeside]
                self.o.order_create(parent, stopside, takeside)
                return takeside  # parent was already returned

            else:  # Parent order, which is not being transmitted
                self.orders[order.ref] = order
                return self.o.order_create(order)

        # Not transmitting
        self.opending[pref].append(order)
        return order

    def buy(self, owner, data,
            size, price=None, plimit=None,
            exectype=None, valid=None, tradeid=0, oco=None,
            trailamount=None, trailpercent=None,
            parent=None, transmit=True,
            **kwargs):

        order = BuyOrder(owner=owner, data=data,
                         size=size, price=price, pricelimit=plimit,
                         exectype=exectype, valid=valid, tradeid=tradeid,
                         trailamount=trailamount, trailpercent=trailpercent,
                         parent=parent, transmit=transmit)

        order.addinfo(**kwargs)
        order.addcomminfo(self.getcommissioninfo(data))
        return self._transmit(order)

    def sell(self, owner, data,
             size, price=None, plimit=None,
             exectype=None, valid=None, tradeid=0, oco=None,
             trailamount=None, trailpercent=None,
             parent=None, transmit=True,
             **kwargs):

        order = SellOrder(owner=owner, data=data,
                          size=size, price=price, pricelimit=plimit,
                          exectype=exectype, valid=valid, tradeid=tradeid,
                          trailamount=trailamount, trailpercent=trailpercent,
                          parent=parent, transmit=transmit)

        order.addinfo(**kwargs)
        order.addcomminfo(self.getcommissioninfo(data))
        return self._transmit(order)

    def cancel(self, order):
        o = self.orders[order.ref]
        if order.status == Order.Cancelled:  # already cancelled
            return

        return self.o.order_cancel(order)

    def notify(self, order):
        self.notifs.append(order.clone())

    def get_notification(self):
        if not self.notifs:
            return None

        return self.notifs.popleft()

    def next(self):
        self.notifs.append(None)  # mark notification boundary