quantplay 2.0.22__tar.gz → 2.0.24__tar.gz

{quantplay-2.0.22 → quantplay-2.0.24}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: quantplay
-Version: 2.0.22
+Version: 2.0.24
 Summary: This python package will be stored in AWS CodeArtifact
 Home-page: 
 Author: 

{quantplay-2.0.22 → quantplay-2.0.24}/quantplay/broker/aliceblue.py

@@ -3,7 +3,7 @@ import copy
 import pickle
 from queue import Queue
 import traceback
-from typing import Any, Callable, Dict, Literal
+from typing import Any, Callable, Literal
 
 import polars as pl
 from pya3 import Aliceblue as Alice

{quantplay-2.0.22 → quantplay-2.0.24}/quantplay/broker/noren.py

@@ -505,12 +505,9 @@ class Noren(Broker):
                 "norenordno": "order_id",
                 "uid": "user_id",
                 "exch": "exchange",
-                "remarks": "tag",
-                "avgprc": "average_price",
                 "prd": "product",
                 "trantype": "transaction_type",
                 "qty": "quantity",
-                "trgprc": "trigger_price",
                 "prc": "price",
                 "prctyp": "order_type",
                 "fillshares": "filled_quantity",
@@ -538,6 +535,24 @@ class Noren(Broker):
             orders_df = orders_df.with_columns(
                 pl.col("rorgqty").cast(pl.Int32).alias("pending_quantity")
             )
+        if "trgprc" not in orders_df.columns:
+            orders_df = orders_df.with_columns(pl.lit(None).alias("trigger_price"))
+        else:
+            orders_df = orders_df.with_columns(
+                pl.col("trgprc").cast(pl.Float64).alias("trigger_price")
+            )
+        if "avgprc" not in orders_df.columns:
+            orders_df = orders_df.with_columns(pl.lit(None).alias("average_price"))
+        else:
+            orders_df = orders_df.with_columns(
+                pl.col("avgprc").cast(pl.Float64).alias("average_price")
+            )
+        if "remarks" not in orders_df.columns:
+            orders_df = orders_df.with_columns(pl.lit(None).alias("tag"))
+        else:
+            orders_df = orders_df.with_columns(
+                pl.col("remarks").cast(pl.String).alias("tag")
+            )
         if "trigger_price" not in orders_df.columns:
             orders_df = orders_df.with_columns(pl.lit(None).alias("trigger_price"))
         if "average_price" not in orders_df.columns:

{quantplay-2.0.22 → quantplay-2.0.24}/quantplay/broker/upstox.py

@@ -354,7 +354,8 @@ class Upstox(Broker):
             # Get Positions
             api_response = api_instance.get_positions(self.api_version)
             positions = [
-                position.to_dict() for position in api_response.data  # type:ignore
+                position.to_dict()
+                for position in api_response.data  # type:ignore
             ]
             positions_df = pl.DataFrame(positions)
         except ApiException as e:
@@ -484,13 +485,6 @@ class Upstox(Broker):
         if tag:
             orders_df = orders_df.filter(pl.col("tag") == tag)
 
-        orders_df = orders_df.with_columns(
-            pl.col("instrument_token")
-            .str.split_exact("|", 1)
-            .struct.rename_fields(["upstox_exchange", "token"])
-            .alias("fields")
-        ).unnest("fields")
-
         orders_df = orders_df.with_columns(
             pl.when(pl.col("exchange") == "NSE")
             .then(pl.col("tradingsymbol").str.replace("-EQ", ""))
@@ -498,6 +492,17 @@ class Upstox(Broker):
             .alias("tradingsymbol")
         )
 
+        orders_df = orders_df.with_columns(
+            pl.struct(["exchange", "tradingsymbol"])
+            .map_elements(
+                lambda x: int(
+                    self.symbol_attribute(x["exchange"], x["tradingsymbol"], "token")
+                ),
+                return_dtype=pl.Int64,
+            )
+            .alias("token")
+        )
+
         orders_df = orders_df.with_columns(
             pl.col("order_timestamp")
             .str.strptime(pl.Datetime, "%Y-%m-%d %H:%M:%S")

quantplay-2.0.24/quantplay/strategies/options/intraday/ladder.py

@@ -0,0 +1,65 @@
+from quantplay.service import market
+import pandas as pd
+import time
+from quantplay.broker.client import broker_client
+
+backtest_date = "2022-01-20"
+
+def load_data(data_date):
+    # Load data
+    data = market.data(interval="minute", symbols_by_security_type={"EQ": ["NIFTY BANK"]})
+    data = data[data.date > "{} 08:15:00".format(data_date)]
+    data = data[data.date < "{} 15:15:00".format(data_date)]
+    data.loc[:, "day_of_week"] = data.date.dt.day_name()
+    data = data[data.date.dt.hour < 17]
+
+    # Add additional attributes
+    data = market.add_expiry(data, security_type="OPT", days_offset=0)
+
+    return data
+
+data = load_data(backtest_date)
+
+data_seq = data.to_dict('records')
+
+for d in data_seq:
+    timestamp = d['date']
+    broker_client.ping(timestamp)
+    ltp = d['open']
+    strike_gap = d['strike_gap']
+    expiry = d['expiry_date']
+    if timestamp.hour == 9 and timestamp.minute < 30:
+        print("waiting for market to cool down")
+        continue
+
+    if timestamp.hour > 13:
+        print("market is about to close, let's not place any orders")
+        continue
+
+    orders = broker_client.orders(tag="ladder")
+
+    if len(orders) == 0:
+        atm = int(round(ltp / strike_gap) * strike_gap)
+        pe_symbol = broker_client.option_symbol("NIFTY BANK", expiry, atm, "PE")
+        ce_symbol = broker_client.option_symbol("NIFTY BANK", expiry, atm, "CE")
+
+        broker_client.execute_order(
+            tradingsymbol=pe_symbol,
+            exchange="NSE",
+            quantity=100,
+            order_type='MARKET',
+            transaction_type='SELL',
+            stoploss=0.8,
+            tag="ladder",
+            product="NRML"
+        )
+        broker_client.execute_order(
+            tradingsymbol=ce_symbol,
+            exchange="NSE",
+            quantity=100,
+            order_type='MARKET',
+            transaction_type='SELL',
+            stoploss=0.8,
+            tag="ladder",
+            product="NRML"
+        )

quantplay-2.0.24/quantplay/strategies/options/intraday/musk.py

@@ -0,0 +1,72 @@
+from quantplay.strategy.base import QuantplayAlgorithm
+from quantplay.utils.constant import TickInterval
+from quantplay.service import market
+from quantplay.order_execution.mean_price import MeanPriceExecutionAlgo
+import numpy as np
+import pandas as pd
+
+
+class Musk(QuantplayAlgorithm):
+    def __init__(self):
+
+        # Mandatory Attributes
+        self.interval = TickInterval.minute
+        self.entry_time = "09:29"
+        self.exit_time = "15:15"
+        self.strategy_trigger_times = [self.entry_time]
+        self.exchange_to_trade_on = "NFO"
+        self.option_nearest_expiry_offset = 0
+        self.option_chain_depth = 0
+        self.backtest_after_date = "2021-01-01"
+        self.backtest_before_date = "2022-02-25"
+        self.stream_symbols_by_security_type = {"EQ": ["NIFTY BANK"]}
+        self.columns_for_uuid = ["date", "symbol"]
+        self.exact_number_of_orders_per_uuid = 2
+        self.strategy_type = "intraday"
+        self.strategy_tag = "musk"
+        self.execution_algo = MeanPriceExecutionAlgo(7)
+
+        self.data_required_for_days = 20
+
+        super(Musk, self).__init__()
+
+    def get_trades(self, market_data):
+        equity_data = market_data[(market_data.security_type == "EQ") & (market_data.symbol != "SBIN")]
+
+        unique_equity_symbols = list(equity_data.symbol.unique())
+        assert len(unique_equity_symbols) == 2
+        assert set(unique_equity_symbols) == {"NIFTY 50", "NIFTY BANK"}
+
+        trades = market.get_trades(equity_data, self.entry_time)
+
+        trades = self.add_expiry(trades, security_type="OPT")
+        trades.to_csv("/tmp/{}.csv".format(self.strategy_tag))
+        trades = trades[trades.date.dt.year >= 2019]
+
+        trades = trades[trades.strike_gap > 0]
+        trades.loc[:, "atm_price"] = (
+            round(trades.close / trades.strike_gap) * trades.strike_gap
+        )
+        trades.loc[:, "atm_price"] = trades.atm_price.astype(int)
+
+        pe_trades = market.option_symbol(
+            trades, price_column="atm_price", option_type="PE"
+        )
+        ce_trades = market.option_symbol(
+            trades, price_column="atm_price", option_type="CE"
+        )
+
+        trades = pd.concat([pe_trades, ce_trades])
+
+        trades.loc[:, "day_of_week"] = trades.date.dt.day_name()
+        trades = trades[trades.day_of_week.isin(["Monday", "Tuesday", "Wednesday", "Thursday"])]
+
+        trades.loc[:, "transaction_type"] = "SELL"
+        trades.loc[:, "stoploss"] = np.where(trades.symbol == "NIFTY 50", 0.5, 0.8)
+        trades.loc[:, "quantity"] = np.where(trades.symbol == "NIFTY 50", 100, 50)
+
+        trades = self.filter_uuids_not_matching_count(trades)
+
+        return trades
+
+

quantplay-2.0.24/quantplay/strategies/options/intraday/short_straddle.py

@@ -0,0 +1,10 @@
+from quantplay.service import market
+
+market.broker.execute_order(tradingsymbol="SBIN",
+                            exchange="NSE",
+                            quantity=1,
+                            order_type="MARKET",
+                            transaction_type="BUY",
+                            stoploss=0.03,
+                            tag='straddle',
+                            product="MIS")

{quantplay-2.0.22 → quantplay-2.0.24}/quantplay.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: quantplay
-Version: 2.0.22
+Version: 2.0.24
 Summary: This python package will be stored in AWS CodeArtifact
 Home-page: 
 Author: 

{quantplay-2.0.22 → quantplay-2.0.24}/quantplay.egg-info/SOURCES.txt

@@ -42,6 +42,17 @@ quantplay/model/__init__.py
 quantplay/model/broker.py
 quantplay/model/generics.py
 quantplay/model/order_event.py
+quantplay/strategies/__init__.py
+quantplay/strategies/equities/__init__.py
+quantplay/strategies/equities/intraday/__init__.py
+quantplay/strategies/equities/overnight/__init__.py
+quantplay/strategies/futures/__init__.py
+quantplay/strategies/futures/overnight/__init__.py
+quantplay/strategies/options/__init__.py
+quantplay/strategies/options/intraday/__init__.py
+quantplay/strategies/options/intraday/ladder.py
+quantplay/strategies/options/intraday/musk.py
+quantplay/strategies/options/intraday/short_straddle.py
 quantplay/utils/__init__.py
 quantplay/utils/constant.py
 quantplay/utils/exchange.py

{quantplay-2.0.22 → quantplay-2.0.24}/setup.py

@@ -21,7 +21,7 @@ requirements = [
 setup(
     name="quantplay",
     long_description=Path("README.md").read_text(),
-    version="2.0.22",
+    version="2.0.24",
     setup_requires=["pytest-runner"],
     install_requires=requirements,
     tests_require=[],