PositionManager#

tradeexecutor.strategy.pandas_trader.position_manager.PositionManager class.

class PositionManager[source]#

Bases: object

Open/closing of positions.

Abstracts the complex logic with prices and such from the strategy writer.

Takes the price feed and current execution state as an input and produces the execution instructions to change positions.

Below are some recipes how to use position manager.

Position manager is usually instiated at your decide_trades function as the following:

from typing import List, Dict

from tradeexecutor.state.visualisation import PlotKind
from tradeexecutor.state.trade import TradeExecution
from tradeexecutor.strategy.pricing_model import PricingModel
from tradeexecutor.strategy.pandas_trader.position_manager import PositionManager
from tradeexecutor.state.state import State
from tradingstrategy.universe import Universe


def decide_trades(
        timestamp: pd.Timestamp,
        universe: Universe,
        state: State,
        pricing_model: PricingModel,
        cycle_debug_data: Dict) -> List[TradeExecution]:



    # Create a position manager helper class that allows us easily to create
    # opening/closing trades for different positions
    position_manager = PositionManager(timestamp, universe, state, pricing_model)

How to check if you have an open position using is_any_open() and then open a new position:

# List of any trades we decide on this cycle.
# Because the strategy is simple, there can be
# only zero (do nothing) or 1 (open or close) trades
# decides
trades = []

if not position_manager.is_any_open():
    buy_amount = cash * position_size
    trades += position_manager.open_1x_long(pair, buy_amount)

return trades

How to check the entry price and open quantity of your latest position. See also decimal.Decimal about arbitrary precision decimal numbers in Python.

# Will throw an exception if there is no position open
current_position = position_manager.get_current_position()

# Quantity is the open amount in tokens.
# This is expressed in Python Decimal class,
# because Ethereum token balances are accurate up to 18 decimals
# and this kind of accuracy cannot be expressed in floating point numbers.
quantity = current_position.get_quantity()
assert quantity == Decimal('0.03045760003971992547285959728')

# The current price is the price of the trading pair
# that was recorded on the last price feed sync.
# This is a 64-bit floating point, as the current price
# is always approximation based on market conditions.
price = current_position.get_current_price()
assert price == 1641.6263899583264

# The opening price is the price of the first trade
# that was made for this position. This is the actual
# executed price of the trade, expressed as floating
# point for the convenience.
price = current_position.get_opening_price()
assert price == 1641.6263899583264
__init__(timestamp, universe, state, pricing_model)[source]#
Parameters

Methods

__init__(timestamp, universe, state, ...)

adjust_position(pair, dollar_amount_delta, ...)

Adjust holdings for a certain position.

close_all()

Close all open positions.

close_position(position[, trade_type, notes])

Close a single position.

get_current_position()

Get the current single position.

get_trading_pair(pair_id)

Get a trading pair identifier by its internal id.

is_any_open()

Do we have any positions open.

open_1x_long(pair, value[, take_profit_pct, ...])

Open a long.

__init__(timestamp, universe, state, pricing_model)[source]#
Parameters
is_any_open()[source]#

Do we have any positions open.

Return type

bool

get_current_position()[source]#

Get the current single position.

This is a shortcut function for trading strategies that operate only a single trading pair and a single position.

Returns

Currently open trading position

Raises

NoSingleOpenPositionError – If you do not have a position open or there are multiple positions open.

Return type

TradingPosition

open_1x_long(pair, value, take_profit_pct=None, stop_loss_pct=None, notes=None)[source]#

Open a long.

  • For simple buy and hold trades

  • Open a spot market buy.

  • Checks that there is not existing position - cannot increase position

Parameters
  • pair (Union[DEXPair, TradingPairIdentifier]) – Trading pair where we take the position

  • value (USDollarAmount) – How large position to open, in US dollar terms

  • take_profit_pct (Optional[float]) – If set, set the position take profit relative to the current market price. 1.0 is the current market price. If asset opening price is $1000, take_profit_pct=1.05 will sell the asset when price reaches $1050.

  • stop_loss_pct (Optional[float]) – If set, set the position to trigger stop loss relative to the current market price. 1.0 is the current market price. If asset opening price is $1000, stop_loss_pct=0.95 will sell the asset when price reaches 950.

  • notes (Optional[str]) – Human readable notes for this trade

Returns

A list of new trades. Opening a position may general several trades for complex DeFi positions, though usually the result contains only a single trade.

Return type

List[TradeExecution]

adjust_position(pair, dollar_amount_delta, weight)[source]#

Adjust holdings for a certain position.

Used to rebalance positions.

A new position is opened if no existing position is open. If everything is sold, the old position is closed

If the rebalance is sell (dollar_amount_delta is negative), then calculate the quantity of the asset to sell based on the latest available market price on the position.

This method is called by rebalance_portfolio().

Parameters
  • pair (TradingPairIdentifier) – Trading pair which position we adjust

  • dollar_amount_delta (USDollarAmount) – How much we want to increase/decrease the position

  • weight (float) – What is the weight of the asset in the new target portfolio 0….1. Currently only used to detect condition “sell all” instead of trying to match quantity/price conversion.

Returns

List of trades to be executed to get to the desired position level.

Return type

List[TradeExecution]

close_position(position, trade_type=TradeType.rebalance, notes=None)[source]#

Close a single position.

The position may already have piled up selling trades. In this case calling close_position() again on the same position does nothing and None is returned.

Parameters
  • position (TradingPosition) – Position to be closed

  • trade_type (TradeType) – What’s the reason to close the position

  • notes (Optional[str]) – Human readable notes for this trade

Returns

A trade that will close the position fully. If there is nothing left to close, return None.

Return type

Optional[TradeExecution]

close_all()[source]#

Close all open positions.

Returns

List of trades that will close existing positions

Return type

List[TradeExecution]

get_trading_pair(pair_id)[source]#

Get a trading pair identifier by its internal id.

Note that internal integer ids are not stable over multiple trade cycles and might be reset. Always use (chain id, smart contract) for persistent pair identifier.

Returns

Trading pair information

Parameters

pair_id (int) –

Return type

TradingPairIdentifier