30 KiB
30 KiB
import pandas as pd
import redis
import pickle
r=redis.Redis(port=6666)
#r=redis.Redis()
i=0
f={}
for st in r.lrange("strat_list",0,100):
try:
#if st != 'MACROSS_2_20':
s=pd.DataFrame([pickle.loads(i)
for i in r.lrange('%s:positions'%st,0,100000)])
s.reset_index()
s.index=s.date
s=s.sort_index()
s=s[s.status=="filled"]#.fillna(0)
s.pnl.fillna(0,inplace=True)
s.side.fillna(method='ffill',inplace=True)
f[st]=(s.pnl).cumsum()
print
print "profit/loss", st,((s[s.status=="filled"].pnl)).sum()#.abs()
except Exception, e :
print st, e
pass#print e# '%s : P/L:%f PnL:%f %d transactions'%(st,0,0,0)
profit/loss CCI 0.364493427108
profit/loss Volume_inbal 0.0311087466221
profit/loss VHMM_21_205 0.0892311999016
profit/loss VHMM_21_124 0.0269838540813
profit/loss VHMM_50_208 0.0777806134005
profit/loss MACROSS_2_20 0.247519265629
profit/loss MACROSS_21_15 0.0230190248993
for k in f.keys():
#if k != 'MACROSS_2_20':
f[k].plot(figsize=(15,8))
legend( f.keys(), "best")
<matplotlib.legend.Legend at 0x118459210>
st="Volume_inbal"
s=pd.DataFrame([pickle.loads(i)
for i in r.lrange('%s:positions'%st,0,100000)])
s.reset_index()
s.index=s.date
s=s.sort_index()
%qtconsole
s[(s.status=='filled') & (s.index.duplicated() == True)]
| date | exit | fill_time | order_type | pnl | price | side | status | |
|---|---|---|---|---|---|---|---|---|
| date | ||||||||
| 2015-01-20 19:11:00 | 2015-01-20 19:11:00 | 0 | 2015-01-20 19:26:00 | limit | -0.000970 | 1298.50 | 1 | filled |
| 2015-01-20 19:48:00 | 2015-01-20 19:48:00 | 0 | 2015-01-21 02:06:00 | limit | 0.000000 | 1301.82 | 0 | filled |
| 2015-01-20 21:31:00 | 2015-01-20 21:31:00 | 0 | 2015-01-20 21:32:00 | limit | 0.000000 | 1298.63 | 1 | filled |
| 2015-01-20 21:39:00 | 2015-01-20 21:39:00 | 0 | 2015-01-20 21:40:00 | limit | 0.002974 | 1291.10 | 1 | filled |
| 2015-01-20 22:13:00 | 2015-01-20 22:13:00 | 0 | 2015-01-20 22:15:00 | limit | -0.000000 | 1286.29 | 0 | filled |
| 2015-01-20 22:19:00 | 2015-01-20 22:19:00 | 0 | 2015-01-20 22:22:00 | limit | 0.000000 | 1289.50 | 0 | filled |
| 2015-01-20 22:29:00 | 2015-01-20 22:29:00 | 0 | 2015-01-20 22:30:00 | limit | 0.000000 | 1289.60 | 1 | filled |
| 2015-01-20 22:31:00 | 2015-01-20 22:31:00 | 0 | 2015-01-20 22:34:00 | limit | 0.000000 | 1289.29 | 0 | filled |
| 2015-01-20 22:41:00 | 2015-01-20 22:41:00 | 0 | 2015-01-20 22:43:00 | limit | 0.000016 | 1288.32 | 1 | filled |
| 2015-01-20 22:49:00 | 2015-01-20 22:49:00 | 0 | 2015-01-20 22:50:00 | limit | 0.000536 | 1286.90 | 1 | filled |
| 2015-01-20 23:03:00 | 2015-01-20 23:03:00 | 0 | 2015-01-20 23:04:00 | limit | 0.000000 | 1292.69 | 0 | filled |
| 2015-01-20 23:08:00 | 2015-01-20 23:08:00 | 0 | 2015-01-20 23:09:00 | limit | 0.000000 | 1294.60 | 0 | filled |
| 2015-01-20 23:09:00 | 2015-01-20 23:09:00 | 0 | 2015-01-20 23:11:00 | limit | 0.000000 | 1295.14 | 0 | filled |
| 2015-01-20 23:24:00 | 2015-01-20 23:24:00 | 0 | 2015-01-20 23:30:00 | limit | 0.000000 | 1292.00 | 0 | filled |
| 2015-01-20 23:33:00 | 2015-01-20 23:33:00 | 0 | 2015-01-20 23:34:00 | limit | -0.000000 | 1292.98 | 0 | filled |
| 2015-01-20 23:33:00 | 2015-01-20 23:33:00 | 0 | 2015-01-20 23:35:00 | limit | -0.000008 | 1292.01 | 1 | filled |
| 2015-01-20 23:37:00 | 2015-01-20 23:37:00 | 0 | 2015-01-20 23:39:00 | limit | 0.000000 | 1292.14 | 0 | filled |
| 2015-01-20 23:39:00 | 2015-01-20 23:39:00 | 0 | 2015-01-20 23:40:00 | limit | 0.000000 | 1292.31 | 0 | filled |
| 2015-01-20 23:57:00 | 2015-01-20 23:57:00 | 0 | 2015-01-20 23:58:00 | limit | 0.000000 | 1292.36 | 0 | filled |
| 2015-01-20 23:57:00 | 2015-01-20 23:57:00 | 0 | 2015-01-21 00:39:00 | limit | 0.000333 | 1292.02 | 1 | filled |
| 2015-01-21 00:00:00 | 2015-01-21 00:00:00 | 0 | 2015-01-21 00:01:00 | limit | -0.000193 | 1293.91 | 1 | filled |
| 2015-01-21 00:01:00 | 2015-01-21 00:01:00 | 0 | 2015-01-21 00:02:00 | limit | -0.000000 | 1294.76 | 0 | filled |
| 2015-01-21 00:12:00 | 2015-01-21 00:12:00 | 0 | 2015-01-21 00:13:00 | limit | 0.000000 | 1294.85 | 1 | filled |
| 2015-01-21 00:26:00 | 2015-01-21 00:26:00 | 0 | 2015-01-21 00:28:00 | limit | -0.000000 | 1294.99 | 0 | filled |
| 2015-01-21 00:29:00 | 2015-01-21 00:29:00 | 0 | 2015-01-21 00:30:00 | limit | 0.000000 | 1295.00 | 0 | filled |
| 2015-01-21 00:30:00 | 2015-01-21 00:30:00 | 0 | 2015-01-21 00:31:00 | limit | 0.000000 | 1295.00 | 0 | filled |
| 2015-01-21 00:40:00 | 2015-01-21 00:40:00 | 0 | 2015-01-21 00:41:00 | limit | 0.000000 | 1292.80 | 0 | filled |
| 2015-01-21 00:41:00 | 2015-01-21 00:41:00 | 0 | 2015-01-21 00:43:00 | limit | 0.000000 | 1293.14 | 0 | filled |
| 2015-01-21 00:45:00 | 2015-01-21 00:45:00 | 0 | 2015-01-21 00:46:00 | limit | 0.000000 | 1293.91 | 0 | filled |
| 2015-01-21 00:50:00 | 2015-01-21 00:50:00 | 0 | 2015-01-21 01:01:00 | limit | -0.003326 | 1293.00 | 1 | filled |
| 2015-01-21 00:53:00 | 2015-01-21 00:53:00 | 0 | 2015-01-21 00:54:00 | limit | 0.000000 | 1293.48 | 1 | filled |
| 2015-01-21 00:56:00 | 2015-01-21 00:56:00 | 0 | 2015-01-21 00:58:00 | limit | 0.000054 | 1293.27 | 1 | filled |
| 2015-01-21 01:08:00 | 2015-01-21 01:08:00 | 0 | 2015-01-21 01:09:00 | limit | 0.000000 | 1290.00 | 0 | filled |
| 2015-01-21 01:10:00 | 2015-01-21 01:10:00 | 0 | 2015-01-21 01:32:00 | limit | 0.000000 | 1290.00 | 1 | filled |
| 2015-01-21 01:13:00 | 2015-01-21 01:13:00 | 0 | 2015-01-21 01:14:00 | limit | 0.000000 | 1291.92 | 0 | filled |
| 2015-01-21 01:30:00 | 2015-01-21 01:30:00 | 0 | 2015-01-21 01:33:00 | limit | -0.000000 | 1293.24 | 0 | filled |
| 2015-01-21 01:35:00 | 2015-01-21 01:35:00 | 0 | 2015-01-21 01:37:00 | limit | 0.000874 | 1292.25 | 1 | filled |
| 2015-01-21 02:05:00 | 2015-01-21 02:05:00 | 0 | 2015-01-21 02:08:00 | limit | 0.003692 | 1300.20 | 1 | filled |
| 2015-01-21 02:13:00 | 2015-01-21 02:13:00 | 0 | 2015-01-21 02:23:00 | limit | 0.000000 | 1309.90 | 1 | filled |
| 2015-01-21 02:30:00 | 2015-01-21 02:30:00 | 0 | 2015-01-21 02:31:00 | limit | -0.000000 | 1304.00 | 0 | filled |
| 2015-01-21 02:31:00 | 2015-01-21 02:31:00 | 0 | 2015-01-21 02:33:00 | limit | 0.000000 | 1303.78 | 0 | filled |
| 2015-01-21 02:35:00 | 2015-01-21 02:35:00 | 0 | 2015-01-21 02:37:00 | limit | 0.000038 | 1300.63 | 1 | filled |
| 2015-01-21 02:48:00 | 2015-01-21 02:48:00 | 0 | 2015-01-21 02:58:00 | limit | 0.000000 | 1301.00 | 1 | filled |
| 2015-01-21 03:02:00 | 2015-01-21 03:02:00 | 0 | 2015-01-21 03:10:00 | limit | 0.000000 | 1298.68 | 0 | filled |
| 2015-01-21 03:06:00 | 2015-01-21 03:06:00 | 0 | 2015-01-21 03:07:00 | limit | -0.000363 | 1295.59 | 1 | filled |
| 2015-01-21 03:18:00 | 2015-01-21 03:18:00 | 0 | 2015-01-21 03:19:00 | limit | 0.000000 | 1300.00 | 0 | filled |
name='VHMM_50_208'
zz=pickle.loads(r.get('strategy:%s'%name))
zz[zz.signal.diff()!=0]
| signal | price | returns | |
|---|---|---|---|
| 2015-01-21 19:21:00 | 0 | 1324.20 | NaN |
| 2015-01-21 23:25:00 | 1 | 1396.86 | -0.000136 |
| 2015-01-22 00:14:00 | 0 | 1403.35 | -0.000783 |
ww.pnl.fillna(0,inplace=True)
ww.pnl.cumsum().plot()
<matplotlib.axes.AxesSubplot at 0x109de1c50>
s[s.index.duplicated()==True]
| date | exit | fill_time | order_type | pnl | price | side | status | |
|---|---|---|---|---|---|---|---|---|
| date | ||||||||
| 2015-01-20 19:11:00 | 2015-01-20 19:11:00 | 0 | 2015-01-20 19:26:00 | limit | -0.000970 | 1298.50 | 1 | filled |
| 2015-01-20 19:48:00 | 2015-01-20 19:48:00 | 0 | 2015-01-21 02:06:00 | limit | 0.000000 | 1301.82 | 0 | filled |
| 2015-01-20 21:29:00 | 2015-01-20 21:29:00 | 0 | NaT | limit | 0.000000 | 1298.88 | 1 | open |
| 2015-01-20 21:31:00 | 2015-01-20 21:31:00 | 0 | 2015-01-20 21:32:00 | limit | 0.000000 | 1298.63 | 1 | filled |
| 2015-01-20 21:31:00 | 2015-01-20 21:31:00 | 0 | NaT | limit | 0.000000 | 1298.87 | 0 | open |
| 2015-01-20 21:39:00 | 2015-01-20 21:39:00 | 0 | 2015-01-20 21:40:00 | limit | 0.002974 | 1291.10 | 1 | filled |
| 2015-01-20 21:49:00 | 2015-01-20 21:49:00 | 0 | NaT | limit | 0.000000 | 1294.56 | 1 | open |
| 2015-01-20 22:13:00 | 2015-01-20 22:13:00 | 0 | NaT | limit | 0.000000 | 1286.10 | 0 | open |
| 2015-01-20 22:13:00 | 2015-01-20 22:13:00 | 0 | 2015-01-20 22:15:00 | limit | -0.000000 | 1286.29 | 0 | filled |
| 2015-01-20 22:19:00 | 2015-01-20 22:19:00 | 0 | NaT | limit | 0.000000 | 1288.92 | 0 | open |
| 2015-01-20 22:19:00 | 2015-01-20 22:19:00 | 0 | 2015-01-20 22:22:00 | limit | 0.000000 | 1289.50 | 0 | filled |
| 2015-01-20 22:29:00 | 2015-01-20 22:29:00 | 0 | 2015-01-20 22:30:00 | limit | 0.000000 | 1289.60 | 1 | filled |
| 2015-01-20 22:31:00 | 2015-01-20 22:31:00 | 0 | 2015-01-20 22:34:00 | limit | 0.000000 | 1289.29 | 0 | filled |
| 2015-01-20 22:41:00 | 2015-01-20 22:41:00 | 0 | 2015-01-20 22:43:00 | limit | 0.000016 | 1288.32 | 1 | filled |
| 2015-01-20 22:49:00 | 2015-01-20 22:49:00 | 0 | 2015-01-20 22:50:00 | limit | 0.000536 | 1286.90 | 1 | filled |
| 2015-01-20 23:03:00 | 2015-01-20 23:03:00 | 0 | 2015-01-20 23:04:00 | limit | 0.000000 | 1292.69 | 0 | filled |
| 2015-01-20 23:08:00 | 2015-01-20 23:08:00 | 0 | 2015-01-20 23:09:00 | limit | 0.000000 | 1294.60 | 0 | filled |
| 2015-01-20 23:09:00 | 2015-01-20 23:09:00 | 0 | 2015-01-20 23:11:00 | limit | 0.000000 | 1295.14 | 0 | filled |
| 2015-01-20 23:24:00 | 2015-01-20 23:24:00 | 0 | 2015-01-20 23:30:00 | limit | 0.000000 | 1292.00 | 0 | filled |
| 2015-01-20 23:33:00 | 2015-01-20 23:33:00 | 0 | 2015-01-20 23:34:00 | limit | -0.000000 | 1292.98 | 0 | filled |
| 2015-01-20 23:33:00 | 2015-01-20 23:33:00 | 0 | 2015-01-20 23:35:00 | limit | -0.000008 | 1292.01 | 1 | filled |
| 2015-01-20 23:37:00 | 2015-01-20 23:37:00 | 0 | 2015-01-20 23:39:00 | limit | 0.000000 | 1292.14 | 0 | filled |
| 2015-01-20 23:39:00 | 2015-01-20 23:39:00 | 0 | 2015-01-20 23:40:00 | limit | 0.000000 | 1292.31 | 0 | filled |
| 2015-01-20 23:57:00 | 2015-01-20 23:57:00 | 0 | 2015-01-20 23:58:00 | limit | 0.000000 | 1292.36 | 0 | filled |
| 2015-01-20 23:57:00 | 2015-01-20 23:57:00 | 0 | 2015-01-21 00:39:00 | limit | 0.000333 | 1292.02 | 1 | filled |
| 2015-01-21 00:00:00 | 2015-01-21 00:00:00 | 0 | 2015-01-21 00:01:00 | limit | -0.000193 | 1293.91 | 1 | filled |
| 2015-01-21 00:01:00 | 2015-01-21 00:01:00 | 0 | 2015-01-21 00:02:00 | limit | -0.000000 | 1294.76 | 0 | filled |
| 2015-01-21 00:01:00 | 2015-01-21 00:01:00 | 0 | NaT | limit | 0.000000 | 1293.59 | 1 | open |
| 2015-01-21 00:12:00 | 2015-01-21 00:12:00 | 0 | 2015-01-21 00:13:00 | limit | 0.000000 | 1294.85 | 1 | filled |
| 2015-01-21 00:26:00 | 2015-01-21 00:26:00 | 0 | 2015-01-21 00:28:00 | limit | -0.000000 | 1294.99 | 0 | filled |
| ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 2015-01-21 00:30:00 | 2015-01-21 00:30:00 | 0 | 2015-01-21 00:31:00 | limit | 0.000000 | 1295.00 | 0 | filled |
| 2015-01-21 00:40:00 | 2015-01-21 00:40:00 | 0 | 2015-01-21 00:41:00 | limit | 0.000000 | 1292.80 | 0 | filled |
| 2015-01-21 00:41:00 | 2015-01-21 00:41:00 | 0 | 2015-01-21 00:43:00 | limit | 0.000000 | 1293.14 | 0 | filled |
| 2015-01-21 00:45:00 | 2015-01-21 00:45:00 | 0 | 2015-01-21 00:46:00 | limit | 0.000000 | 1293.91 | 0 | filled |
| 2015-01-21 00:50:00 | 2015-01-21 00:50:00 | 0 | 2015-01-21 01:01:00 | limit | -0.003326 | 1293.00 | 1 | filled |
| 2015-01-21 00:53:00 | 2015-01-21 00:53:00 | 0 | 2015-01-21 00:54:00 | limit | 0.000000 | 1293.48 | 1 | filled |
| 2015-01-21 00:56:00 | 2015-01-21 00:56:00 | 0 | 2015-01-21 00:58:00 | limit | 0.000054 | 1293.27 | 1 | filled |
| 2015-01-21 01:08:00 | 2015-01-21 01:08:00 | 0 | 2015-01-21 01:09:00 | limit | 0.000000 | 1290.00 | 0 | filled |
| 2015-01-21 01:10:00 | 2015-01-21 01:10:00 | 0 | NaT | limit | 0.000000 | 1290.00 | 1 | open |
| 2015-01-21 01:10:00 | 2015-01-21 01:10:00 | 0 | 2015-01-21 01:32:00 | limit | 0.000000 | 1290.00 | 1 | filled |
| 2015-01-21 01:13:00 | 2015-01-21 01:13:00 | 0 | 2015-01-21 01:14:00 | limit | 0.000000 | 1291.92 | 0 | filled |
| 2015-01-21 01:22:00 | 2015-01-21 01:22:00 | 0 | NaT | limit | 0.000000 | 1292.98 | 1 | open |
| 2015-01-21 01:30:00 | 2015-01-21 01:30:00 | 0 | 2015-01-21 01:33:00 | limit | -0.000000 | 1293.24 | 0 | filled |
| 2015-01-21 01:35:00 | 2015-01-21 01:35:00 | 0 | 2015-01-21 01:37:00 | limit | 0.000874 | 1292.25 | 1 | filled |
| 2015-01-21 01:57:00 | 2015-01-21 01:57:00 | 0 | NaT | limit | 0.000000 | 1296.15 | 0 | open |
| 2015-01-21 02:03:00 | 2015-01-21 02:03:00 | 0 | NaT | limit | 0.000000 | 1295.64 | 1 | open |
| 2015-01-21 02:05:00 | 2015-01-21 02:05:00 | 0 | 2015-01-21 02:08:00 | limit | 0.003692 | 1300.20 | 1 | filled |
| 2015-01-21 02:13:00 | 2015-01-21 02:13:00 | 0 | 2015-01-21 02:23:00 | limit | 0.000000 | 1309.90 | 1 | filled |
| 2015-01-21 02:14:00 | 2015-01-21 02:14:00 | 0 | NaT | limit | 0.000000 | 1311.10 | 1 | open |
| 2015-01-21 02:30:00 | 2015-01-21 02:30:00 | 0 | 2015-01-21 02:31:00 | limit | -0.000000 | 1304.00 | 0 | filled |
| 2015-01-21 02:31:00 | 2015-01-21 02:31:00 | 0 | NaT | limit | 0.000000 | 1303.51 | 0 | open |
| 2015-01-21 02:31:00 | 2015-01-21 02:31:00 | 0 | 2015-01-21 02:33:00 | limit | 0.000000 | 1303.78 | 0 | filled |
| 2015-01-21 02:35:00 | 2015-01-21 02:35:00 | 0 | 2015-01-21 02:37:00 | limit | 0.000038 | 1300.63 | 1 | filled |
| 2015-01-21 02:39:00 | 2015-01-21 02:39:00 | 0 | NaT | limit | 0.000000 | 1299.96 | 1 | open |
| 2015-01-21 02:48:00 | 2015-01-21 02:48:00 | 0 | 2015-01-21 02:58:00 | limit | 0.000000 | 1301.00 | 1 | filled |
| 2015-01-21 02:52:00 | 2015-01-21 02:52:00 | 0 | NaT | limit | 0.000000 | 1304.57 | 0 | open |
| 2015-01-21 03:02:00 | 2015-01-21 03:02:00 | 0 | 2015-01-21 03:10:00 | limit | 0.000000 | 1298.68 | 0 | filled |
| 2015-01-21 03:06:00 | 2015-01-21 03:06:00 | 0 | 2015-01-21 03:07:00 | limit | -0.000363 | 1295.59 | 1 | filled |
| 2015-01-21 03:09:00 | 2015-01-21 03:09:00 | 0 | NaT | limit | 0.000000 | 1297.88 | 1 | open |
| 2015-01-21 03:18:00 | 2015-01-21 03:18:00 | 0 | 2015-01-21 03:19:00 | limit | 0.000000 | 1300.00 | 0 | filled |
61 rows × 8 columns