# Copyright 2016-present CERN – European Organization for Nuclear Research
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
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from datetime import datetime
from qf_lib.common.tickers.tickers import Ticker
from qf_lib.common.utils.dateutils.date_to_string import date_to_str
[docs]class Transaction:
"""
Encapsulates the notion of a filled Order, as returned from a Brokerage. Stores the quantity of an instrument
actually filled and at what price. In addition, stores the commission of the trade from the Brokerage.
Parameters
----------
transaction_fill_time: datetime
time when the order was filled
ticker: Ticker
ticker identifying the asset
quantity: float
filled quantity, positive for assets bought and negative for assets sold
price: float
price at which the trade was filled
commission: float
brokerage commission for carrying out the trade. It is always a positive number
"""
def __init__(self, transaction_fill_time: datetime, ticker: Ticker, quantity: float, price: float,
commission: float, trade_id=None, account=None, strategy=None, broker=None, currency=None):
assert commission >= 0.0
self.transaction_fill_time = transaction_fill_time
self.ticker = ticker
self.quantity = quantity
self.price = price
self.commission = commission
# additional fields
self.net_amount = quantity * price - commission
self.trade_id = trade_id
self.account = account
self.strategy = strategy
self.broker = broker
self.currency = currency
@staticmethod
def get_header():
return ["Transaction_fill_time", "Asset_name", "Contract_symbol", "Security_type", "Contract_size", "Quantity",
"Price", "Commission", "Net_amount", "Trade_ID", "Account", "Strategy", "Broker", "Currency"]
def get_row(self):
row = [self.transaction_fill_time,
self.ticker.name,
self.ticker.ticker,
self.ticker.security_type.value,
self.ticker.point_value,
self.quantity,
self.price,
self.commission,
self.net_amount,
self.trade_id,
self.account,
self.strategy,
self.broker,
self.currency]
return row
def __str__(self):
return f"{self.__class__.__name__} ({date_to_str(self.transaction_fill_time)}) -> " \
f"Quantity: {self.quantity:>8}, " \
f"Price: {self.price:>10.2f}, " \
f"Commission: {self.commission:>12.8f}, " \
f"Net Amount: {self.net_amount:>20.8f}, " \
f"Ticker: {self.ticker}, " \
f"Trade_id: {self.trade_id}, " \
f"Account: {self.account}, " \
f"Strategy: {self.strategy}, " \
f"Broker: {self.broker}, " \
f"Currency: {self.currency}"
def __eq__(self, other):
if self is other:
return True
if not isinstance(other, Transaction):
return False
return (self.transaction_fill_time, self.ticker, self.quantity, self.price, self.commission) == \
(other.transaction_fill_time, other.ticker, other.quantity, other.price, other.commission)