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campaign_real_compare_report.py
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campaign_real_compare_report.py
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from collections import OrderedDict
import pandas as pd
import matplotlib.pyplot as plt
import numpy as np
import calendar
from pymongo import MongoClient
from backtester.reports.campaign_report import CampaignReport
from exobuilder.contracts.futurecontract import FutureContract
from datetime import datetime
from exobuilder.data.datasource_mongo import DataSourceMongo
from exobuilder.data.assetindex_mongo import AssetIndexMongo
from exobuilder.data.exostorage import EXOStorage
from exobuilder.exo.transaction import Transaction
from exobuilder.exo.position import Position
from scripts.settings import *
import warnings
class CampaignRealCompare:
def __init__(self):
tmp_mongo_connstr = 'mongodb://tmqr:tmqr@10.0.1.2/client-gmi?authMechanism=SCRAM-SHA-1'
tmp_mongo_db = 'client-gmi'
mongoClient = MongoClient(tmp_mongo_connstr)
db = mongoClient[tmp_mongo_db]
self.collection = db.accountsummarycollection
@staticmethod
def _calc_transactions(date, current_pos, prev_pos, idinstrument=None):
result = {}
assert current_pos is not None, 'current_pos must be initialized'
if prev_pos is None:
intersected_assets = set(current_pos)
else:
intersected_assets = set(current_pos) | set(prev_pos)
for asset in intersected_assets:
prev_values = prev_pos.get(asset, None) if prev_pos is not None else None
curr_values = current_pos.get(asset, None)
if idinstrument is not None:
if prev_values is not None and prev_values['idinstrument'] != idinstrument:
continue
if curr_values is not None and curr_values['idinstrument'] != idinstrument:
continue
if prev_values is None:
result[asset] = curr_values['qty']
elif curr_values is None:
# Skip old closed positions
if prev_values['qty'] != 0:
result[asset] = -prev_values['qty']
else:
# Calculating transactions for existing position
trans_qty = curr_values['qty'] - prev_values['qty']
result[asset] = trans_qty
return result
def get_account_positions_archive_pnl(self, account_name=None, instrument=None, costs_per_option=3.0,
costs_per_contract=3.0,
num_days_back=20, fcm_office=None, fcm_acct=None, return_transactions=False):
mongoClient = MongoClient(MONGO_CONNSTR)
db = mongoClient[MONGO_EXO_DB]
storage = EXOStorage(MONGO_CONNSTR, MONGO_EXO_DB)
assetindex = AssetIndexMongo(MONGO_CONNSTR, MONGO_EXO_DB)
datasource = DataSourceMongo(MONGO_CONNSTR, MONGO_EXO_DB, assetindex, 4, 20, storage)
position_dict = OrderedDict()
transactions_dict = {}
if account_name is None:
account = db['accounts'].find_one({'FCM_OFFICE': fcm_office, 'FCM_ACCT': fcm_acct})
if account is None:
raise KeyError("Account is not found. FCM_OFFICE:{0} FCM_ACCT:{1}".format(fcm_office, fcm_acct))
account_name = account['name']
reversedList = reversed(list(
db['accounts_positions_archive'].find({'name': account_name}).sort([('date_now', -1)]).limit(
num_days_back)))
for pos in reversedList:
# print(pos)
dt = pos['date_now']
pos_rec = position_dict.setdefault(dt, {})
for p in pos['positions']:
if '_hash' not in p['asset']:
break
# pos_rec[p['asset']['_hash']] = p['qty']
pos_rec[p['asset']['_hash']] = {'qty': p['qty'], 'idinstrument': p['asset']['idinstrument']}
prev_position = None
account_pnl = []
costs = []
account_pnl_index = []
p_dict = Position().as_dict()
for d, pos_rec in position_dict.items():
costs_sum = 0.0
pnl = 0.0
asset_info = assetindex.get_instrument_info(instrument)
daily_transactions_list = transactions_dict.setdefault(d, [])
if prev_position is not None:
position = Position.from_dict(p_dict, datasource, decision_time_end)
new_exec_time_end, new_decision_time_end = AssetIndexMongo.get_exec_time(d, asset_info)
try:
tmp_prev_pnl = position.pnl_settlement
position.set_date(datasource, new_decision_time_end)
pnl = position.pnl_settlement - tmp_prev_pnl
except Exception as exc:
pnl = float('nan')
warnings.warn("Error getting settlements: {0}".format(exc))
exec_time_end, decision_time_end = AssetIndexMongo.get_exec_time(d, asset_info)
position = Position.from_dict(p_dict, datasource, decision_time_end)
# print('\n\nDate: {0}'.format(d))
# print('Position previous: \n{0}'.format(prev_position))
# print('Position current: \n{0}'.format(pos_rec))
transactions = self._calc_transactions(d, pos_rec, prev_position)
# print("Transactions: \n{0}".format(transactions))
for contract_hash, qty in transactions.items():
if qty == 0:
continue
contract = datasource.get(contract_hash, decision_time_end)
trans_ = Transaction(contract, decision_time_end, qty)
daily_transactions_list.append(trans_)
position.add(trans_)
if isinstance(contract, FutureContract):
costs_sum += -abs(costs_per_contract) * abs(qty)
else:
costs_sum += -abs(costs_per_option) * abs(qty)
pnl += costs_sum
# print("Pnl: {0}".format(pnl))
prev_position = pos_rec
p_dict = position.as_dict()
account_pnl.append(pnl)
account_pnl_index.append(d)
costs.append(costs_sum)
if return_transactions:
return pd.DataFrame({
'SettleChange': pd.Series(account_pnl, index=account_pnl_index),
'Costs': pd.Series(costs, index=account_pnl_index)
}
), transactions_dict
else:
return pd.DataFrame({
'SettleChange': pd.Series(account_pnl, index=account_pnl_index),
'Costs': pd.Series(costs, index=account_pnl_index)
}
)
def get_account_positions_archive_pnl_multiproduct(self, account_name=None, instrument=None, costs_per_option=3.0,
costs_per_contract=3.0,
num_days_back=20, fcm_office=None, fcm_acct=None,
return_transactions=False):
mongoClient = MongoClient(MONGO_CONNSTR)
db = mongoClient[MONGO_EXO_DB]
storage = EXOStorage(MONGO_CONNSTR, MONGO_EXO_DB)
assetindex = AssetIndexMongo(MONGO_CONNSTR, MONGO_EXO_DB)
datasource = DataSourceMongo(MONGO_CONNSTR, MONGO_EXO_DB, assetindex, 4, 20, storage)
position_dict = OrderedDict()
if account_name is None:
account = db['accounts'].find_one({'FCM_OFFICE': fcm_office, 'FCM_ACCT': fcm_acct})
if account is None:
raise KeyError("Account is not found. FCM_OFFICE:{0} FCM_ACCT:{1}".format(fcm_office, fcm_acct))
account_name = account['name']
reversedList = reversed(list(
db['accounts_positions_archive'].find({'name': account_name}).sort([('date_now', -1)]).limit(
num_days_back)))
instrument_id_set = set()
instrument_info_dict = {}
for pos in reversedList:
# print(pos)
dt = pos['date_now']
pos_rec = position_dict.setdefault(dt, {})
for p in pos['positions']:
if '_hash' not in p['asset']:
break
instrument_id_set.add(p['asset']['idinstrument'])
pos_rec[p['asset']['_hash']] = {'qty': p['qty'], 'idinstrument': p['asset']['idinstrument']}
# Setting up instruments
for _ins_id in instrument_id_set:
instrument_info_dict[_ins_id] = {
'instrument_info': assetindex.get_instrument_info(idinstrument=_ins_id),
'prev_position': None,
'account_pnl': [],
'costs': [],
'account_pnl_index': [],
'p_dict': Position().as_dict(),
'decision_time_end': None,
'exec_time_end': None,
'transactions_dict': OrderedDict(),
}
for d, pos_rec in position_dict.items():
for instr, instr_values in instrument_info_dict.items():
costs_sum = 0.0
pnl = 0.0
asset_info = instr_values['instrument_info']
daily_transactions_list = instr_values['transactions_dict'].setdefault(d, [])
if instr_values['prev_position'] is not None:
position = Position.from_dict(instr_values['p_dict'], datasource, instr_values['decision_time_end'])
new_exec_time_end, new_decision_time_end = AssetIndexMongo.get_exec_time(d, asset_info)
try:
tmp_prev_pnl = position.pnl_settlement
position.set_date(datasource, new_decision_time_end)
pnl = position.pnl_settlement - tmp_prev_pnl
except Exception as exc:
pnl = float('nan')
warnings.warn("Error getting settlements: {0}".format(exc))
instr_values['exec_time_end'], instr_values['decision_time_end'] = AssetIndexMongo.get_exec_time(d,
asset_info)
position = Position.from_dict(instr_values['p_dict'], datasource, instr_values['decision_time_end'])
transactions = self._calc_transactions(d, pos_rec, instr_values['prev_position'], idinstrument=instr)
for contract_hash, qty in transactions.items():
if qty == 0:
continue
contract = datasource.get(contract_hash, instr_values['decision_time_end'])
assert contract.instrument.dbid == instr
trans_ = Transaction(contract, instr_values['decision_time_end'], qty)
daily_transactions_list.append(trans_)
position.add(trans_)
if isinstance(contract, FutureContract):
costs_sum += -abs(costs_per_contract) * abs(qty)
else:
costs_sum += -abs(costs_per_option) * abs(qty)
pnl += costs_sum
# print("Pnl: {0}".format(pnl))
instr_values['prev_position'] = pos_rec
instr_values['p_dict'] = position.as_dict()
instr_values['account_pnl'].append(pnl)
instr_values['account_pnl_index'].append(d)
instr_values['costs'].append(costs_sum)
pass
result = {}
for instr, instr_values in instrument_info_dict.items():
result[instr_values['instrument_info']['exchangesymbol']] = {
'pnls': pd.DataFrame({
'SettleChange': pd.Series(instr_values['account_pnl'], index=instr_values['account_pnl_index']),
'Costs': pd.Series(instr_values['costs'], index=instr_values['account_pnl_index'])
}),
'transactions': instr_values['transactions_dict']
}
return result
def run_compare_report(self, campaign_stats, num_days_back, office, account):
model_tail = pd.DataFrame(campaign_stats['SettleChange'].tail(num_days_back))
model_tail['Model_Equity'] = pd.DataFrame(
campaign_stats['SettleChange'].tail(num_days_back)).ffill().cumsum(axis=0)
model_tail['Model_Costs'] = pd.DataFrame(campaign_stats['Costs'].tail(num_days_back))
start_date = model_tail.index[0].strftime('%Y-%m-%d')
col_s = self.collection.find(
{'Batchid': {'$gte': start_date},
'Office': office, 'Account': account, 'SummaryDetailFlag': 'S', 'AccountType': '9Z'})
col_d = self.collection.find(
{'Batchid': {'$gte': start_date},
'Office': office, 'Account': account, 'SummaryDetailFlag': 'D'})
# 'TransactionsCommissionsFees':{'$lt': 0}})
prev_date = datetime.now()
table_series_cost = []
table_series_cost_temp = {}
# print(table_series_cost_temp)
for post_d in col_d:
# pprint.pprint(post)
date = datetime.strptime(post_d['Batchid'], '%Y-%m-%d')
if date in table_series_cost_temp:
# table_series_cost_temp[date] += {'TransactionsCommissionsFees':post_d['TransactionsCommissionsFees']}
table_series_cost_temp[date]['TransactionsCommissionsFees'] += post_d['TransactionsCommissionsFees']
table_series_cost_temp[date]['TradedQuantityBuy'] += post_d['TradedQuantityBuy']
table_series_cost_temp[date]['TradedQuantitySell'] += post_d['TradedQuantitySell']
# table_series_cost_temp[date][0] += {'TransactionsCommissionsFees':post_d['TransactionsCommissionsFees']}
else:
table_series_cost_temp[date] = \
{'TransactionsCommissionsFees': post_d['TransactionsCommissionsFees'], \
'TradedQuantityBuy': post_d['TradedQuantityBuy'], \
'TradedQuantitySell': post_d['TradedQuantitySell']}
# print(table_series_cost_temp)
for key, value in table_series_cost_temp.items():
# print(value)
table_series_cost_point = {
'date': key,
'Real_Costs': value['TransactionsCommissionsFees'],
'TradedQuantityBuy': value['TradedQuantityBuy'],
'TradedQuantitySell': value['TradedQuantitySell']
}
table_series_cost.append(table_series_cost_point)
tail_table_cost_real = pd.DataFrame(table_series_cost)
if not tail_table_cost_real.empty:
tail_table_cost_real.index = tail_table_cost_real['date']
del tail_table_cost_real['date']
series = []
table_series = []
cumValue = 0
for post_s in col_s:
# pprint.pprint(post)
date = datetime.strptime(post_s['Batchid'], '%Y-%m-%d')
change = post_s['ConvertedChangeInAccountValueAtMarket']
cumValue += change
series_point = {
'date': date,
'Real_Equity': cumValue
}
series.append(series_point)
table_series_point = {
'date': date,
# 'Costs':post_s['TransactionsCommissionsFees'],
'Real_Equity_Chg': change,
'Real_Equity': cumValue
}
table_series.append(table_series_point)
tail_plot_real = pd.DataFrame(series)
if not tail_plot_real.empty:
tail_plot_real.index = tail_plot_real['date']
del tail_plot_real['date']
tail_plot_real['Model_Equity'] = model_tail['Model_Equity'] + tail_plot_real['Real_Equity'][0]
else:
tail_plot_real['Model_Equity'] = model_tail['Model_Equity']
tail_table_real = pd.DataFrame(table_series)
if not tail_table_real.empty:
tail_table_real.index = tail_table_real['date']
del tail_table_real['date']
tail_table_real['Model_Equity'] = model_tail['Model_Equity']
tail_table_real['Model_Change'] = model_tail['SettleChange']
if not tail_table_cost_real.empty:
tail_table_real['Real_Buys'] = tail_table_cost_real['TradedQuantityBuy']
tail_table_real['Real_Sells'] = tail_table_cost_real['TradedQuantitySell']
tail_table_real['Real_Costs'] = tail_table_cost_real['Real_Costs']
else:
tail_table_real['Real_Buys'] = 0
tail_table_real['Real_Sells'] = 0
tail_table_real['Real_Costs'] = 0
tail_table_real['Model_Costs'] = model_tail['Model_Costs']
sum_row = tail_table_real.sum(axis=0)
print(sum_row)
# print( tail_table_real)
# tail_table_real=tail_table_real.append(sum_row)
print(tail_table_real)
print('Total_Real_Buys', sum_row['Real_Buys'])
print('Total_Real_Sells', sum_row['Real_Sells'])
print('Total_Real_Costs', sum_row['Real_Costs'])
print('Total_Model_Costs', sum_row['Model_Costs'])
tail_plot_real.plot() # ax=ax1,label='At expiration', lw=2, c='blue');
# model_tail.plot()
plt.show()
def run_return_report(self, office, account, initial_acct_value=50000):
col_s = self.collection.find(
{'Office': office, 'Account': account, 'SummaryDetailFlag': 'S', 'AccountType': '9Z'})
series = []
table_series = []
cumValue = 0
for post_s in col_s:
date = datetime.strptime(post_s['Batchid'], '%Y-%m-%d')
change = post_s['ConvertedChangeInAccountValueAtMarket']
cumValue += change
series_point = {
'date': date,
'Real_Equity': cumValue
}
series.append(series_point)
table_series_point = {
'date': date,
# 'Costs':post_s['TransactionsCommissionsFees'],
'Real_Equity_Chg': change,
'Real_Equity': cumValue
}
table_series.append(table_series_point)
tail_plot_real = pd.DataFrame(series)
returns = pd.DataFrame()
if not tail_plot_real.empty:
tail_plot_real.index = tail_plot_real['date']
del tail_plot_real['date']
tail_plot_real.plot() # ax=ax1,label='At expiration', lw=2, c='blue');
plt.show()
x = tail_plot_real['Real_Equity']
calc_daily_dollar_change = np.subtract(x[1:], x[0:-1])
tail_plot_real['Daily_Dollar_Change'] = calc_daily_dollar_change
sample = pd.DataFrame()
sample['Real_Equity'] = tail_plot_real.Real_Equity.resample('M').last() + initial_acct_value
sample['Dollar_Change'] = tail_plot_real.Daily_Dollar_Change.resample('M').sum()
sample['Real_Equity_Percent_Change'] = (sample['Real_Equity'].pct_change() * 100).apply('{:,.2f}%'.format)
print(sample)
minyear = min(sample.index.year)
maxyear = max(sample.index.year)
row_headers = list(range(minyear, maxyear + 1))
# returns = pd.DataFrame()
returns['year'] = row_headers
for i in range(1, 13):
returns[calendar.month_name[i]] = ''
returns = returns.set_index('year')
for years in row_headers:
for months in range(1, 13):
if len(sample['Real_Equity_Percent_Change'][
(sample.index.month == months) & (sample.index.year == years)].index) != 0:
returns.ix[years][calendar.month_name[months]] = sample['Real_Equity_Percent_Change'][
(sample.index.month == months) & (sample.index.year == years)].item()
return returns
if __name__ == '__main__':
assetindex = AssetIndexMongo(MONGO_CONNSTR, MONGO_EXO_DB)
storage = EXOStorage(MONGO_CONNSTR, MONGO_EXO_DB)
futures_limit = 3
options_limit = 10
num_of_days_back_master = 10
# datasource = DataSourceSQL(SQL_HOST, SQL_USER, SQL_PASS, assetindex, futures_limit, options_limit, storage)
datasource = DataSourceMongo(MONGO_CONNSTR, MONGO_EXO_DB, assetindex, futures_limit, options_limit, storage)
#rpt = CampaignReport('ES_Bidirectional V3', datasource, pnl_settlement_ndays=num_of_days_back_master + 1)
crc = CampaignRealCompare()
archive_based_pnl = crc.get_account_positions_archive_pnl_multiproduct(#account_name="CLX60125",
instrument="CL",
# costs_per_contract=3.0 # Default
# costs_per_option=3.0 # Default
num_days_back=num_of_days_back_master + 1,
fcm_office="369", fcm_acct="10161"
)
print(archive_based_pnl)
pass