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order.py
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order.py
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#!/usr/bin/python
import datetime
DEBUG = False
SPREAD = 1.8
class Order:
def __init__(self, BUY_OR_SELL, amount, price, stop_loss_pips, take_profit_pips):
if BUY_OR_SELL not in ("BUY", "SELL"):
raise AttributeError
if not amount > 0:
raise AttributeError
if not price > 0:
raise AttributeError
sl_tp_modifier = 1 if BUY_OR_SELL == "BUY" else -1
self.buy_or_sell = BUY_OR_SELL
self.amount = amount
self.price = price
self.stop_loss = price - (stop_loss_pips / 10000.0) * sl_tp_modifier
self.take_profit = price + (take_profit_pips / 10000.0) * sl_tp_modifier
self.status = None # None, "opened", "closed"
self.pips = 0.0
self.timestamp_open = None
self.timestamp_close = None
def __str__(self):
s = "<Order> [%s - %s] (%s) %s %s %s (SL:%s TP:%s)" % (self.timestamp_open, self.timestamp_close, self.status, self.buy_or_sell, self.amount, self.price, self.stop_loss, self.take_profit)
if self.status == "closed":
s += "\t %s" % self.pnl()
return s
def open(self, timestamp):
self.status = "opened"
self.pips = SPREAD * -1
self.timestamp_open = timestamp + datetime.timedelta(microseconds=1)
if DEBUG:
print "\t\t\t OPEN", self
def close(self, timestamp, close_price_value):
self.status = "closed"
self.timestamp_close = timestamp # in fact it will be shorter be we miss st / tp prices
if self.buy_or_sell == "BUY":
if close_price_value >= self.take_profit:
self.pips += (self.take_profit - self.price) * 10000
elif close_price_value <= self.stop_loss:
self.pips -= (self.price - self.stop_loss) * 10000
else:
raise Exception
elif self.buy_or_sell == "SELL":
if close_price_value <= self.take_profit:
self.pips += (self.price - self.take_profit) * 10000
elif close_price_value >= self.stop_loss:
self.pips -= (self.stop_loss - self.price) * 10000
else:
raise Exception
else:
raise Exception
if DEBUG:
print "\t\t\t CLOSE", self
def pnl(self):
return self.pips * (self.amount / 10000)