How to use the qstrader.algo.order.Order function in qstrader
To help you get started, we’ve selected a few qstrader examples, based on popular ways it is used in public projects.
Secure your code as it's written. Use Snyk Code to scan source code in minutes - no build needed - and fix issues immediately.
mhallsmoore / qstrader / tests / algo / test_equal_weight_pcm.py View on Github 
broker_commission=tdcm
)
bpid = "5678"
broker.create_portfolio(portfolio_id="5678")
broker.subscribe_funds_to_portfolio("5678", cash)
# Create portfolio construction model
ewpcm = EqualWeightPCM(
start_dt, broker, bpid,
transaction_cost_model=tdcm
)
# Calculate order equivalence
order_list = ewpcm.generate_orders(forecasts)
test_order_list = [
Order(start_dt, assets[i], val)
for i, val in enumerate(
[1007, 473, 389, 193]
)
]
check_equal_order_properties(self, order_list, test_order_list)
# def test_check_maintenance_of_equal_weights_over_time(self):
"""
Checks that after an initial portfolio construction that thebroker_commission=zcm
)
bpid = "2222"
broker.create_portfolio(bpid)
broker.subscribe_funds_to_portfolio(bpid, cash)
# Create portfolio construction model
ewpcm = EqualWeightPCM(
start_dt, broker, bpid,
transaction_cost_model=zcm
)
# Calculate order equivalence
order_list = ewpcm.generate_orders(forecasts)
test_order_list = [
Order(start_dt, assets[i], val)
for i, val in enumerate(
[
1225, 2090, 889, 630, 4314,
536, 242, 85, 55
]
)
]
check_equal_order_properties(self, order_list, test_order_list)broker.portfolios[bpid].transact_asset(tn1)
broker.portfolios[bpid].transact_asset(tn2)
broker.portfolios[bpid].transact_asset(tn3)
# Create portfolio construction model
ewpcm = EqualWeightPCM(
start_dt, broker, bpid,
transaction_cost_model=zcm
)
# Calculate order equivalence
order_list = ewpcm.generate_orders(forecasts)
test_order_list = [
Order(start_dt, assets[0], -100),
Order(start_dt, assets[1], -200),
Order(start_dt, assets[2], 100),
]
check_equal_order_properties(self, order_list, test_order_list)bp5 = {
self.assets["III"]: {"quantity": 103},
self.assets["JJJ"]: {"quantity": 38},
self.assets["KKK"]: {"quantity": 221},
self.assets["LLL"]: {"quantity": 59},
self.assets["MMM"]: {"quantity": 76},
}
diff_orders5 = self.pcm._diff_desired_broker_portfolios(dp, bp5)
test_orders5 = [
Order(self.start_dt, self.assets["AAA"], 101),
Order(self.start_dt, self.assets["BBB"], 50),
Order(self.start_dt, self.assets["CCC"], 25),
Order(self.start_dt, self.assets["DDD"], 34),
Order(self.start_dt, self.assets["EEE"], 47),
Order(self.start_dt, self.assets["FFF"], 99),
Order(self.start_dt, self.assets["GGG"], 145),
Order(self.start_dt, self.assets["HHH"], 55),
Order(self.start_dt, self.assets["III"], -103),
Order(self.start_dt, self.assets["JJJ"], -38),
Order(self.start_dt, self.assets["KKK"], -221),
Order(self.start_dt, self.assets["LLL"], -59),
Order(self.start_dt, self.assets["MMM"], -76),
]
check_equal_order_properties(self, diff_orders5, test_orders5)
# Test #6 - Long only desired, strict superset at broker
bp6 = {
self.assets["AAA"]: {"quantity": 23},
self.assets["BBB"]: {"quantity": 75},
self.assets["CCC"]: {"quantity": 34},
self.assets["DDD"]: {"quantity": 29},
self.assets["EEE"]: {"quantity": 48},test_orders3 = []
check_equal_order_properties(self, diff_orders3, test_orders3)
# Test #4 - Long only desired, partial intersection at broker
bp4 = {
self.assets["EEE"]: {"quantity": 32},
self.assets["FFF"]: {"quantity": 88},
self.assets["GGG"]: {"quantity": 109},
self.assets["HHH"]: {"quantity": 55},
self.assets["III"]: {"quantity": 234},
self.assets["JJJ"]: {"quantity": 8},
}
diff_orders4 = self.pcm._diff_desired_broker_portfolios(dp, bp4)
test_orders4 = [
Order(self.start_dt, self.assets["AAA"], 101),
Order(self.start_dt, self.assets["BBB"], 50),
Order(self.start_dt, self.assets["CCC"], 25),
Order(self.start_dt, self.assets["DDD"], 34),
Order(self.start_dt, self.assets["EEE"], 15),
Order(self.start_dt, self.assets["FFF"], 11),
Order(self.start_dt, self.assets["GGG"], 36),
Order(self.start_dt, self.assets["III"], -234),
Order(self.start_dt, self.assets["JJJ"], -8),
]
check_equal_order_properties(self, diff_orders4, test_orders4)
# Test #5 - Long only desired, zero intersection at broker
bp5 = {
self.assets["III"]: {"quantity": 103},
self.assets["JJJ"]: {"quantity": 38},
self.assets["KKK"]: {"quantity": 221},
self.assets["LLL"]: {"quantity": 59},check_equal_order_properties(self, diff_orders4, test_orders4)
# Test #5 - Long only desired, zero intersection at broker
bp5 = {
self.assets["III"]: {"quantity": 103},
self.assets["JJJ"]: {"quantity": 38},
self.assets["KKK"]: {"quantity": 221},
self.assets["LLL"]: {"quantity": 59},
self.assets["MMM"]: {"quantity": 76},
}
diff_orders5 = self.pcm._diff_desired_broker_portfolios(dp, bp5)
test_orders5 = [
Order(self.start_dt, self.assets["AAA"], 101),
Order(self.start_dt, self.assets["BBB"], 50),
Order(self.start_dt, self.assets["CCC"], 25),
Order(self.start_dt, self.assets["DDD"], 34),
Order(self.start_dt, self.assets["EEE"], 47),
Order(self.start_dt, self.assets["FFF"], 99),
Order(self.start_dt, self.assets["GGG"], 145),
Order(self.start_dt, self.assets["HHH"], 55),
Order(self.start_dt, self.assets["III"], -103),
Order(self.start_dt, self.assets["JJJ"], -38),
Order(self.start_dt, self.assets["KKK"], -221),
Order(self.start_dt, self.assets["LLL"], -59),
Order(self.start_dt, self.assets["MMM"], -76),
]
check_equal_order_properties(self, diff_orders5, test_orders5)
# Test #6 - Long only desired, strict superset at broker
bp6 = {
self.assets["AAA"]: {"quantity": 23},
self.assets["BBB"]: {"quantity": 75},check_equal_order_properties(self, diff_orders3, test_orders3)
# Test #4 - Long only desired, partial intersection at broker
bp4 = {
self.assets["EEE"]: {"quantity": 32},
self.assets["FFF"]: {"quantity": 88},
self.assets["GGG"]: {"quantity": 109},
self.assets["HHH"]: {"quantity": 55},
self.assets["III"]: {"quantity": 234},
self.assets["JJJ"]: {"quantity": 8},
}
diff_orders4 = self.pcm._diff_desired_broker_portfolios(dp, bp4)
test_orders4 = [
Order(self.start_dt, self.assets["AAA"], 101),
Order(self.start_dt, self.assets["BBB"], 50),
Order(self.start_dt, self.assets["CCC"], 25),
Order(self.start_dt, self.assets["DDD"], 34),
Order(self.start_dt, self.assets["EEE"], 15),
Order(self.start_dt, self.assets["FFF"], 11),
Order(self.start_dt, self.assets["GGG"], 36),
Order(self.start_dt, self.assets["III"], -234),
Order(self.start_dt, self.assets["JJJ"], -8),
]
check_equal_order_properties(self, diff_orders4, test_orders4)
# Test #5 - Long only desired, zero intersection at broker
bp5 = {
self.assets["III"]: {"quantity": 103},
self.assets["JJJ"]: {"quantity": 38},
self.assets["KKK"]: {"quantity": 221},
self.assets["LLL"]: {"quantity": 59},
self.assets["MMM"]: {"quantity": 76},diff_orders3 = self.pcm._diff_desired_broker_portfolios(dp, bp3)
test_orders3 = []
check_equal_order_properties(self, diff_orders3, test_orders3)
# Test #4 - Long only desired, partial intersection at broker
bp4 = {
self.assets["EEE"]: {"quantity": 32},
self.assets["FFF"]: {"quantity": 88},
self.assets["GGG"]: {"quantity": 109},
self.assets["HHH"]: {"quantity": 55},
self.assets["III"]: {"quantity": 234},
self.assets["JJJ"]: {"quantity": 8},
}
diff_orders4 = self.pcm._diff_desired_broker_portfolios(dp, bp4)
test_orders4 = [
Order(self.start_dt, self.assets["AAA"], 101),
Order(self.start_dt, self.assets["BBB"], 50),
Order(self.start_dt, self.assets["CCC"], 25),
Order(self.start_dt, self.assets["DDD"], 34),
Order(self.start_dt, self.assets["EEE"], 15),
Order(self.start_dt, self.assets["FFF"], 11),
Order(self.start_dt, self.assets["GGG"], 36),
Order(self.start_dt, self.assets["III"], -234),
Order(self.start_dt, self.assets["JJJ"], -8),
]
check_equal_order_properties(self, diff_orders4, test_orders4)
# Test #5 - Long only desired, zero intersection at broker
bp5 = {
self.assets["III"]: {"quantity": 103},
self.assets["JJJ"]: {"quantity": 38},
self.assets["KKK"]: {"quantity": 221},bp4 = {
self.assets["EEE"]: {"quantity": 32},
self.assets["FFF"]: {"quantity": 88},
self.assets["GGG"]: {"quantity": 109},
self.assets["HHH"]: {"quantity": 55},
self.assets["III"]: {"quantity": 234},
self.assets["JJJ"]: {"quantity": 8},
}
diff_orders4 = self.pcm._diff_desired_broker_portfolios(dp, bp4)
test_orders4 = [
Order(self.start_dt, self.assets["AAA"], 101),
Order(self.start_dt, self.assets["BBB"], 50),
Order(self.start_dt, self.assets["CCC"], 25),
Order(self.start_dt, self.assets["DDD"], 34),
Order(self.start_dt, self.assets["EEE"], 15),
Order(self.start_dt, self.assets["FFF"], 11),
Order(self.start_dt, self.assets["GGG"], 36),
Order(self.start_dt, self.assets["III"], -234),
Order(self.start_dt, self.assets["JJJ"], -8),
]
check_equal_order_properties(self, diff_orders4, test_orders4)
# Test #5 - Long only desired, zero intersection at broker
bp5 = {
self.assets["III"]: {"quantity": 103},
self.assets["JJJ"]: {"quantity": 38},
self.assets["KKK"]: {"quantity": 221},
self.assets["LLL"]: {"quantity": 59},
self.assets["MMM"]: {"quantity": 76},
}
diff_orders5 = self.pcm._diff_desired_broker_portfolios(dp, bp5)
test_orders5 = [self.assets["BBB"]: {"quantity": 4632},
self.assets["CCC"]: {"quantity": 567},
self.assets["DDD"]: {"quantity": -123},
}
bp = {
"total_cash": 5000.0,
"total_securities_value": 5832.0,
"total_equity": 10832.0,
self.assets["AAA"]: {"quantity": -24},
self.assets["BBB"]: {"quantity": 3726},
}
diff_orders = self.pcm._diff_desired_broker_portfolios(dp, bp)
test_orders = [
Order(self.start_dt, self.assets["AAA"], -12),
Order(self.start_dt, self.assets["BBB"], 906),
Order(self.start_dt, self.assets["CCC"], 567),
Order(self.start_dt, self.assets["DDD"], -123),
]
check_equal_order_properties(self, diff_orders, test_orders)
Popular qstrader functions
- qstrader.algo.order.Order
- qstrader.asset.equity.Equity
- qstrader.broker.broker.BrokerException
- qstrader.broker.portfolio.Portfolio
- qstrader.broker.portfolio.portfolio.Portfolio
- qstrader.broker.portfolio.portfolio_event.PortfolioEvent
- qstrader.broker.portfolio.position.Position
- qstrader.broker.position.Position
- qstrader.broker.simulated_broker.SimulatedBroker
- qstrader.broker.transaction.Transaction
- qstrader.broker.transaction.transaction.Transaction
- qstrader.broker.zero_broker_commission.ZeroBrokerCommission
- qstrader.compat.queue.Queue
- qstrader.execution.order.Order
- qstrader.price_parser.PriceParser
- qstrader.price_parser.PriceParser.display
- qstrader.price_parser.PriceParser.parse
- qstrader.settings
- qstrader.statistics.performance.create_drawdowns
- qstrader.statistics.performance.create_sharpe_ratio