quantplay 2.0.29__tar.gz → 2.0.30__tar.gz

{quantplay-2.0.29 → quantplay-2.0.30}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: quantplay
-Version: 2.0.29
+Version: 2.0.30
 Summary: This python package will be stored in AWS CodeArtifact
 Home-page: 
 Author: 

{quantplay-2.0.29 → quantplay-2.0.30}/quantplay/broker/aliceblue.py

@@ -9,7 +9,7 @@ import polars as pl
 from pya3 import Aliceblue as Alice
 from pya3 import OrderType as AliceOrderType
 from pya3 import ProductType, TransactionType
-from retrying import retry  # type: ignore
+from retrying import retry
 
 from quantplay.broker.generics.broker import Broker
 from quantplay.exception.exceptions import (
@@ -19,8 +19,8 @@ from quantplay.exception.exceptions import (
     TokenException,
     retry_exception,
 )
-from quantplay.exception.exceptions import TokenException as QuantplayTokenException
 from quantplay.model.broker import ModifyOrderRequest, UserBrokerProfileResponse
+from quantplay.model.generics import ExchangeType
 from quantplay.model.order_event import OrderUpdateEvent
 from quantplay.utils.constant import Constants, OrderType
 from quantplay.utils.pickle_utils import InstrumentData
@@ -94,8 +94,10 @@ class Aliceblue(Broker):
         if exchange == "NSE":
             if "-EQ" not in symbol:
                 return f"{symbol}-EQ"
+
         elif symbol not in self.quantplay_symbol_map:
             return symbol
+
         return self.quantplay_symbol_map[symbol]
 
     def load_instrument(self, file_name: str | None = None):
@@ -213,11 +215,20 @@ class Aliceblue(Broker):
             exception_message = f"Order placement failed [{str(e)}]"
             raise QuantplayOrderPlacementException(exception_message)
 
-    def ltp(self, exchange, tradingsymbol: str):
+    def ltp(self, exchange: ExchangeType, tradingsymbol: str) -> float:
         tradingsymbol = self.get_symbol(tradingsymbol, exchange=exchange)
-        inst = self.invoke_aliceblue_api(
-            self.alice.get_instrument_by_symbol, exchange=exchange, symbol=tradingsymbol
-        )
+        try:
+            inst = self.invoke_aliceblue_api(
+                self.alice.get_instrument_by_symbol,
+                exchange=exchange,
+                symbol=tradingsymbol,
+            )
+        except Exception:
+            inst = self.invoke_aliceblue_api(
+                self.alice.get_instrument_by_symbol,
+                exchange=exchange,
+                symbol=tradingsymbol.replace("-EQ", ""),
+            )
         info = self.invoke_aliceblue_api(self.alice.get_scrip_info, instrument=inst)
 
         return float(info["LTP"])
@@ -308,7 +319,8 @@ class Aliceblue(Broker):
         holdings_response = self.invoke_aliceblue_api(self.alice.get_holding_positions)
 
         if (
-            "HoldingVal" not in holdings_response
+            holdings_response is None
+            or "HoldingVal" not in holdings_response
             or len(holdings_response["HoldingVal"]) == 0
         ):
             return pl.DataFrame(schema=self.holidings_schema)
@@ -325,7 +337,9 @@ class Aliceblue(Broker):
                 "HUqty": "quantity",
             },
         )
-
+        holdings_df = holdings_df.with_columns(
+            pl.col("tradingsymbol").str.replace("-EQ", "").alias("tradingsymbol")
+        )
         holdings_df = holdings_df.with_columns(pl.lit("NSE").alias("exchange"))
         holdings_df = holdings_df.with_columns(
             pl.struct(["exchange", "tradingsymbol"])
@@ -335,7 +349,6 @@ class Aliceblue(Broker):
             )
             .alias("price")
         )
-
         holdings_df = holdings_df.with_columns(
             pl.col("quantity").cast(pl.Int64).alias("quantity"),
             pl.col("average_price").cast(pl.Float64).alias("average_price"),
@@ -565,6 +578,11 @@ class Aliceblue(Broker):
         try:
             response = fn(*args, **kwargs)
 
+            if response is None:
+                raise InvalidArgumentException(
+                    "Invalid data response. Aliceblue sent incorrect data, Please check."
+                )
+
             if "emsg" in response and "expired" in response["emsg"].lower():
                 raise TokenException("Session expired")
             elif (
@@ -577,12 +595,9 @@ class Aliceblue(Broker):
                 )
             ):
                 return None
+
             elif "stat" in response and response["stat"].lower() == "not_ok":
                 raise InvalidArgumentException(response["emsg"])
-            if response is None:
-                raise InvalidArgumentException(
-                    "Invalid data response. Aliceblue sent incorrect data, Please check."
-                )
 
             return response
 

{quantplay-2.0.29 → quantplay-2.0.30}/quantplay/broker/motilal.py

@@ -273,10 +273,10 @@ class Motilal(Broker):
             "scripcode": token,
         }
 
-        Constants.logger.info("[GET_LTP_REQUEST] response {}".format(data))
-        response = self.__post_request(self.ltp_url, json.dumps(data))
-        Constants.logger.info("[GET_LTP_RESPONSE] response {}".format(response.json()))
-        return response.json()["data"]["ltp"] / 100.0
+        Constants.logger.info(f"[GET_LTP_REQUEST] response {data}")
+        response = self.__post_request(self.ltp_url, data)
+        Constants.logger.info(f"[GET_LTP_RESPONSE] response {response}")
+        return response["data"]["ltp"] / 100.0
 
     def modify_price(
         self,
@@ -533,10 +533,13 @@ class Motilal(Broker):
         retry_on_exception=retry_exception,
     )
     def __post_request(self, url, data):
+        if not data:
+            data = {"Clientcode": self.headers["vendorinfo"]}
+        data = json.dumps(data)
         api_response = requests.post(
             url,
             headers=self.headers,
-            data=json.dumps({"Clientcode": self.headers["vendorinfo"]}),
+            data=data,
         ).json()
 
         if api_response["status"] == "ERROR" and api_response["errorcode"] in [

{quantplay-2.0.29 → quantplay-2.0.30}/quantplay/broker/noren.py

@@ -251,7 +251,13 @@ class Noren(Broker):
     def ltp(self, exchange, tradingsymbol):
         tradingsymbol = self.get_symbol(tradingsymbol, exchange)
 
-        token = self.symbol_data["{}:{}".format(exchange, tradingsymbol)]["token"]
+        try:
+            token = self.symbol_data["{}:{}".format(exchange, tradingsymbol)]["token"]
+        except KeyError:
+            token = self.symbol_data["{}:{}".format(exchange, tradingsymbol[:-3])][
+                "token"
+            ]
+
         quote = self.api.get_quotes(exchange, str(token))
 
         if quote is None:
@@ -300,7 +306,6 @@ class Noren(Broker):
         order_id = order_to_modify["order_id"]
         existing_details = self.order_history(order_id)
 
-        # TODO
         order_to_modify["order_type"] = self.get_order_type(order_to_modify["order_type"])  # type: ignore
 
         if "trigger_price" not in order_to_modify:
@@ -663,7 +668,6 @@ class Noren(Broker):
             response = fn(*args, **kwargs)
             if response is None:
                 return response
-            # TODO: Verify
             if "stat" in response and "not_ok" == response["stat"].lower():
                 raise TokenException(response["emsg"] if response is not None else "")
 

quantplay-2.0.30/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-2.0.30/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-2.0.30/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-2.0.29 → quantplay-2.0.30}/quantplay.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: quantplay
-Version: 2.0.29
+Version: 2.0.30
 Summary: This python package will be stored in AWS CodeArtifact
 Home-page: 
 Author: 

{quantplay-2.0.29 → quantplay-2.0.30}/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-2.0.29 → quantplay-2.0.30}/setup.py

@@ -21,7 +21,7 @@ requirements = [
 setup(
     name="quantplay",
     long_description=Path("README.md").read_text(),
-    version="2.0.29",
+    version="2.0.30",
     setup_requires=["pytest-runner"],
     install_requires=requirements,
     tests_require=[],