Build Trade History

Helper for building an algorithm trading and performance history as a dictionary that can be reviewed during or after an algorithm finishes running

analysis_engine.build_trade_history_entry.build_trade_history_entry(ticker, num_owned, close, balance, commission, date, trade_type, algo_start_price, original_balance, minute=None, high=None, low=None, open_val=None, volume=None, ask=None, bid=None, today_high=None, today_low=None, today_open_val=None, today_close=None, today_volume=None, stop_loss=None, trailing_stop_loss=None, buy_hold_units=None, sell_hold_units=None, spread_exp_date=None, spread_id=None, low_strike=None, low_bid=None, low_ask=None, low_volume=None, low_open_int=None, low_delta=None, low_gamma=None, low_theta=None, low_vega=None, low_rho=None, low_impl_vol=None, low_intrinsic=None, low_extrinsic=None, low_theo_price=None, low_theo_volatility=None, low_max_covered=None, low_exp_date=None, high_strike=None, high_bid=None, high_ask=None, high_volume=None, high_open_int=None, high_delta=None, high_gamma=None, high_theta=None, high_vega=None, high_rho=None, high_impl_vol=None, high_intrinsic=None, high_extrinsic=None, high_theo_price=None, high_theo_volatility=None, high_max_covered=None, high_exp_date=None, prev_balance=None, prev_num_owned=None, total_buys=None, total_sells=None, buy_triggered=None, buy_strength=None, buy_risk=None, sell_triggered=None, sell_strength=None, sell_risk=None, num_indicators_buy=None, num_indicators_sell=None, min_buy_indicators=None, min_sell_indicators=None, net_gain=None, net_value=None, ds_id=None, note=None, err=None, entry_spread_dict=None, version=1, verbose=False)

Build a dictionary for tracking an algorithm profitability per ticker and for TRADE_SHARES, TRADE_VERTICAL_BULL_SPREAD, or TRADE_VERTICAL_BEAR_SPREAD trading types.

Note

setting the minute is required to build a minute-by-minute Trading History

Parameters:

• ticker – string ticker or symbol
• num_owned – integer current owned number of shares for this asset or number of currently owned contracts for an options spread.
• close – float close price of the underlying asset
• balance – float amount of available capital
• commission – float for commission costs
• date – string trade date for that row usually COMMON_DATE_FORMAT (YYYY-MM-DD)
• minute – optional - string for recording the minute the trade was place, and the format is COMMON_TICK_DATE_FORMAT (YYYY-MM-DD HH:MM:SS) this is optional if the algorithm is set up to trade using a day value for timeseries.
• trade_type – type of the trade - supported values: TRADE_SHARES, TRADE_VERTICAL_BULL_SPREAD, TRADE_VERTICAL_BEAR_SPREAD
• algo_start_price – float starting close/contract price for this algo
• original_balance – float starting original account balance for this algo
• high – optional - float underlying stock asset high price
• low – optional - float underlying stock asset low price
• open_val – optional - float underlying stock asset open price
• volume – optional - integer underlying stock asset volume
• ask – optional - float ask price of the stock (for buying shares)
• bid – optional - float bid price of the stock (for selling shares)
• today_high – optional - float high from the daily dataset (if available)
• today_low – optional - float low from the daily dataset (if available)
• today_open_val – optional - float open from the daily dataset (if available)
• today_close – optional - float close from the daily dataset (if available)
• today_volume – optional - float volume from the daily dataset (if available)
• stop_loss – optional - float stop_loss price of the stock/spread (for selling shares vs contracts)
• trailing_stop_loss – optional - float trailing_stop_loss price of the stock/spread (for selling shares vs contracts)
• buy_hold_units – optional - number of units to hold buys - helps with algorithm tuning
• sell_hold_units – optional - number of units to hold sells - helps with algorithm tuning
• spread_exp_date – optional - string spread contract expiration date (COMMON_DATE_FORMAT (YYYY-MM-DD)
• spread_id – optional - spread identifier for reviewing spread performances
• low_strike – optional - only for vertical bull/bear trade types low leg strike price of the spread
• low_bid – optional - only for vertical bull/bear trade types low leg bid of the spread
• low_ask – optional - only for vertical bull/bear trade types low leg ask of the spread
• low_volume – optional - only for vertical bull/bear trade types low leg volume of the spread
• low_open_int – optional - only for vertical bull/bear trade types low leg open interest of the spread
• low_delta – optional - only for vertical bull/bear trade types low leg delta of the spread
• low_gamma – optional - only for vertical bull/bear trade types low leg gamma of the spread
• low_theta – optional - only for vertical bull/bear trade types low leg theta of the spread
• low_vega – optional - only for vertical bull/bear trade types low leg vega of the spread
• low_rho – optional - only for vertical bull/bear trade types low leg rho of the spread
• low_impl_vol – optional - only for vertical bull/bear trade types low leg implied volatility of the spread
• low_intrinsic – optional - only for vertical bull/bear trade types low leg intrinsic of the spread
• low_extrinsic – optional - only for vertical bull/bear trade types low leg extrinsic of the spread
• low_theo_price – optional - only for vertical bull/bear trade types low leg theoretical price of the spread
• low_theo_volatility – optional - only for vertical bull/bear trade types low leg theoretical volatility of the spread
• low_max_covered – optional - only for vertical bull/bear trade types low leg max covered returns of the spread
• low_exp_date – optional - only for vertical bull/bear trade types low leg expiration date of the spread
• high_strike – optional - only for vertical bull/bear trade types high leg strike price of the spread
• high_bid – optional - only for vertical bull/bear trade types high leg bid of the spread
• high_ask – optional - only for vertical bull/bear trade types high leg ask of the spread
• high_volume – optional - only for vertical bull/bear trade types high leg volume of the spread
• high_open_int – optional - only for vertical bull/bear trade types high leg open interest of the spread
• high_delta – optional - only for vertical bull/bear trade types high leg delta of the spread
• high_gamma – optional - only for vertical bull/bear trade types high leg gamma of the spread
• high_theta – optional - only for vertical bull/bear trade types high leg theta of the spread
• high_vega – optional - only for vertical bull/bear trade types high leg vega of the spread
• high_rho – optional - only for vertical bull/bear trade types high leg rho of the spread
• high_impl_vol – optional - only for vertical bull/bear trade types high leg implied volatility of the spread
• high_intrinsic – optional - only for vertical bull/bear trade types high leg intrinsic of the spread
• high_extrinsic – optional - only for vertical bull/bear trade types high leg extrinsic of the spread
• high_theo_price – optional - only for vertical bull/bear trade types high leg theoretical price of the spread
• high_theo_volatility – optional - only for vertical bull/bear trade types high leg theoretical volatility of the spread
• high_max_covered – optional - only for vertical bull/bear trade types high leg max covered returns of the spread
• high_exp_date – optional - only for vertical bull/bear trade types high leg expiration date of the spread
• prev_balance – optional - previous balance for this algo
• prev_num_owned – optional - previous num of shares or contracts
• total_buys – optional - total buy orders for this algo
• total_sells – optional - total sell orders for this algo
• buy_triggered – optional - bool buy conditions in the algorithm triggered
• buy_strength – optional - float custom strength/confidence rating for tuning algorithm performance for desirable sensitivity and specificity
• buy_risk – optional - float custom risk rating for tuning algorithm peformance for avoiding custom risk for buy conditions
• sell_triggered – optional - bool sell conditions in the algorithm triggered
• sell_strength – optional - float custom strength/confidence rating for tuning algorithm performance for desirable sensitivity and specificity
• sell_risk – optional - float custom risk rating for tuning algorithm peformance for avoiding custom risk for buy conditions
• num_indicators_buy – optional - integer number of indicators the IndicatorProcessor processed and said to buy an asset
• num_indicators_sell – optional - integer number of indicators the IndicatorProcessor processed and said to sell an asset
• min_buy_indicators – optional - integer minimum number of indicators required to trigger a buy order
• min_sell_indicators – optional - integer minimum number of indicators required to trigger a sell order net_gain=None, net_value=None,
• net_value – optional - float total value the algorithm has left remaining since starting trading. this includes the number of self.num_owned shares with the self.latest_close price included
• net_gain – optional - float amount the algorithm has made since starting including owned shares with the self.latest_close price included
• ds_id – optional - datset id for debugging
• note – optional - string for tracking high level testing notes on algorithm indicator ratings and internal message passing during an algorithms’s self.process method
• err – optional - string for tracking errors
• entry_spread_dict – optional - on exit spreads the calculation of net gain can use the entry spread to determine specific performance metrics (work in progress)
• version – optional - version tracking order history
• verbose – optional - bool log each history node (default is False)