Variable position sizing

.gitignore

@@ -2,3 +2,5 @@
 build/*
 dist/*
 src/naiback.egg-info/*
+.*
+__pycache__

src/naiback/analyzers/tradeslistanalyzer.py

@@ -17,4 +17,5 @@ class TradesListAnalyzer(Analyzer):
                  'exit_time' : pos.exit_time(),
                  'pnl' : pos.pnl(),
                  'is_long' : pos.is_long(),
-                 'security' : pos.ticker }
+                 'security' : pos.ticker,
+                 'size' : pos.original_size() }

src/naiback/broker/position.py

@@ -21,7 +21,7 @@ class Position:
         return self.size_
 
     def original_size(self):
-        return self.orignal_size_
+        return self.original_size_
 
     def is_long(self):
         return self.original_size_ > 0

src/naiback/strategy/strategy.py

@@ -6,6 +6,8 @@ from naiback.analyzers.statsanalyzer import StatsAnalyzer
 from naiback.analyzers.tradeslistanalyzer import TradesListAnalyzer
 from naiback.exceptions import NaibackException
 
+import math
+
 class Strategy:
     """
     """
@@ -15,6 +17,7 @@ class Strategy:
         self.all_bars = []
         self.broker = Broker()
         self.bars = None
+        self.trade_size = 1
         self.analyzers = { 'stats' : StatsAnalyzer(self),
                 'tradeslist' : TradesListAnalyzer(self) }
 
@@ -27,6 +30,9 @@ class Strategy:
         """
         self.feeds.append(feed)
 
+    def set_trade_size(self, size):
+        self.trade_size = math.floor(size)
+
     @abstractmethod
     def execute(self):
         """
@@ -102,7 +108,7 @@ class Strategy:
             ticker = self.all_bars[ticker].ticker
         bars = self._get_bars(ticker)
         self.broker.set_timestamp(bars.timestamp[bar])
-        return self.broker.add_position(ticker, bars.open[bar], 1, bar)
+        return self.broker.add_position(ticker, bars.open[bar], self.trade_size, bar)
 
     def buy_at_limit(self, bar, price, ticker):
         if isinstance(ticker, int):
@@ -111,9 +117,9 @@ class Strategy:
         self.broker.set_timestamp(bars.timestamp[bar])
         if bars.low[bar] <= price:
             if bars.open[bar] > price:
-                return self.broker.add_position(ticker, price, 1, bar)
+                return self.broker.add_position(ticker, price, self.trade_size, bar)
             else:
-                return self.broker.add_position(ticker, bars.open[bar], 1, bar)
+                return self.broker.add_position(ticker, bars.open[bar], self.trade_size, bar)
         else:
             return None
 
@@ -124,9 +130,9 @@ class Strategy:
         self.broker.set_timestamp(bars.timestamp[bar])
         if bars.high[bar] >= price:
             if bars.open[bar] < price:
-                return self.broker.add_position(ticker, price, 1, bar)
+                return self.broker.add_position(ticker, price, self.trade_size, bar)
             else:
-                return self.broker.add_position(ticker, bars.open[bar], 1, bar)
+                return self.broker.add_position(ticker, bars.open[bar], self.trade_size, bar)
         else:
             return None
 
@@ -135,14 +141,14 @@ class Strategy:
             ticker = self.all_bars[ticker].ticker
         bars = self._get_bars(ticker)
         self.broker.set_timestamp(bars.timestamp[bar])
-        return self.broker.add_position(ticker, bars.close[bar], 1, bar)
+        return self.broker.add_position(ticker, bars.close[bar], self.trade_size, bar)
 
     def short_at_open(self, bar, ticker):
         if isinstance(ticker, int):
             ticker = self.all_bars[ticker].ticker
         bars = self._get_bars(ticker)
         self.broker.set_timestamp(bars.timestamp[bar])
-        return self.broker.add_position(ticker, bars.open[bar], -1, bar)
+        return self.broker.add_position(ticker, bars.open[bar], -self.trade_size, bar)
 
     def short_at_limit(self, bar, price, ticker):
         if isinstance(ticker, int):
@@ -151,9 +157,9 @@ class Strategy:
         self.broker.set_timestamp(bars.timestamp[bar])
         if bars.high[bar] >= price:
             if bars.open[bar] < price:
-                return self.broker.add_position(ticker, price, -1, bar)
+                return self.broker.add_position(ticker, price, -self.trade_size, bar)
             else:
-                return self.broker.add_position(ticker, bars.open[bar], -1, bar)
+                return self.broker.add_position(ticker, bars.open[bar], -self.trade_size, bar)
         else:
             return None
 
@@ -164,9 +170,9 @@ class Strategy:
         self.broker.set_timestamp(bars.timestamp[bar])
         if bars.low[bar] <= price:
             if bars.open[bar] > price:
-                return self.broker.add_position(ticker, price, -1, bar)
+                return self.broker.add_position(ticker, price, -self.trade_size, bar)
             else:
-                return self.broker.add_position(ticker, bars.open[bar], -1, bar)
+                return self.broker.add_position(ticker, bars.open[bar], -self.trade_size, bar)
         else:
             return None
 
@@ -175,7 +181,7 @@ class Strategy:
             ticker = self.all_bars[ticker].ticker
         bars = self._get_bars(ticker)
         self.broker.set_timestamp(bars.timestamp[bar])
-        return self.broker.add_position(ticker, bars.close[bar], -1, bar)
+        return self.broker.add_position(ticker, bars.close[bar], -self.trade_size, bar)
 
     def exit_at_open(self, bar, pos):
         bars = self._get_bars(pos.ticker)