Limit max amount (#75)

* Implement max amount

* Update version

* Add max_amount in init

src/backlight/__init__.py

@@ -1,4 +1,4 @@
 __author__ = "AlpacaJapan Co., Ltd."
-__version__ = "0.2.0"
-__release__ = "0.2.0"
+__version__ = "0.2.1"
+__release__ = "0.2.1"
 __license__ = "MIT"

src/backlight/strategies/__init__.py

@@ -9,3 +9,4 @@
     entry_and_exit_at_other_signals,
     entry_and_exit_by_expectation,
 )
+from backlight.strategies.filter import limit_max_amount  # noqa

src/backlight/strategies/filter.py

@@ -0,0 +1,32 @@
+import pandas as pd
+from typing import List
+
+from backlight.trades.trades import Trades
+
+
+def limit_max_amount(trades: Trades, max_amount: int) -> Trades:
+    """Limit trade by max amount.
+
+    Args:
+        trades: Trades
+        max_amount: Max amount in absolute value 
+    Result:
+        Trades
+    """
+    assert max_amount > 0.0
+
+    current_amount = 0.0
+    deleted_ids = []  # type: List[int]
+    for index, row in trades.iterrows():
+
+        if row["_id"] in deleted_ids:
+            continue
+
+        next_amount = current_amount + row["amount"]
+        if abs(next_amount) > max_amount:
+            deleted_ids.append(row["_id"])
+            continue
+
+        current_amount = next_amount
+
+    return trades[~trades["_id"].isin(deleted_ids)]

tests/strategies/test_filter.py

@@ -0,0 +1,127 @@
+from backlight.strategies import filter as module
+import pytest
+import pandas as pd
+import numpy as np
+
+import backlight
+from backlight.strategies.amount_based import simple_entry_and_exit
+
+
+@pytest.fixture
+def signal():
+    symbol = "usdjpy"
+    periods = 22
+    df = pd.DataFrame(
+        index=pd.date_range(start="2018-06-06", freq="1min", periods=periods),
+        data=[
+            [1, 0, 0],
+            [0, 0, 1],
+            [0, 0, 0],
+            [1, 0, 0],
+            [1, 0, 0],
+            [0, 0, 1],
+            [0, 0, 1],
+            [0, 0, 0],
+            [0, 0, 0],
+            [1, 0, 0],
+            [1, 0, 0],
+            [1, 0, 0],
+            [0, 0, 1],
+            [0, 0, 1],
+            [0, 0, 1],
+            [0, 0, 0],
+            [0, 0, 0],
+            [0, 0, 0],
+            [1, 0, 0],
+            [1, 0, 0],
+            [1, 0, 0],
+            [1, 0, 0],
+        ],
+        columns=["up", "neutral", "down"],
+    )
+    signal = backlight.signal.from_dataframe(df, symbol)
+    return signal
+
+
+@pytest.fixture
+def market():
+    symbol = "usdjpy"
+    periods = 22
+    df = pd.DataFrame(
+        index=pd.date_range(start="2018-06-06", freq="1min", periods=periods),
+        data=np.arange(periods)[:, None],
+        columns=["mid"],
+    )
+    market = backlight.datasource.from_dataframe(df, symbol)
+    return market
+
+
+@pytest.fixture
+def trades(market, signal):
+    max_holding_time = pd.Timedelta("3min")
+    trades = simple_entry_and_exit(market, signal, max_holding_time)
+    """
+    expected = pd.DataFrame(
+        index=market.index,
+        data=[
+            [True, 1.0],  # 1.0
+            [True, -1.0],  # 0.0
+            [False, 0.0],  # 0.0
+            [True, 0.0],  # 0.0
+            [True, 2.0],  # 2.0
+            [True, -1.0],  # 1.0
+            [True, -2.0],  # -1.0
+            [True, -1.0],  # -2.0
+            [True, 1.0],  # -1.0
+            [True, 2.0],  # 1.0
+            [True, 1.0],  # 2.0
+            [True, 1.0],  # 3.0
+            [True, -2.0],  # 1.0
+            [True, -2.0],  # -1.0
+            [True, -2.0],  # -3.0
+            [True, 1.0],  # -2.0
+            [True, 1.0],  # -1.0
+            [True, 1.0],  # 0.0
+            [True, 1.0],  # 1.0
+            [True, 1.0],  # 2.0
+            [True, 1.0],  # 3.0
+            [True, -3.0],  # 0.0
+        ],
+        columns=["exist", "amount"],
+    )
+    """
+    return trades
+
+
+def test_limit_max_amount(market, trades):
+    max_amount = 2.0
+    limited = module.limit_max_amount(trades, max_amount)
+    expected = pd.DataFrame(
+        index=market.index,
+        data=[
+            [True, 1.0],  # 1.0
+            [True, -1.0],  # 0.0
+            [False, 0.0],  # 0.0
+            [True, 0.0],  # 0.0
+            [True, 2.0],  # 2.0
+            [True, -1.0],  # 1.0
+            [True, -2.0],  # -1.0
+            [True, -1.0],  # -2.0
+            [True, 1.0],  # -1.0
+            [True, 2.0],  # 1.0
+            [True, 1.0],  # 2.0
+            [False, 0.0],  # 2.0
+            [True, -2.0],  # 0.0
+            [True, -2.0],  # -2.0
+            [False, 0.0],  # -2.0
+            [True, 1.0],  # -1.0
+            [True, 1.0],  # 0.0
+            [False, 0.0],  # 0.0
+            [True, 1.0],  # 1.0
+            [True, 1.0],  # 2.0
+            [False, 0.0],  # 2.0
+            [True, -2.0],  # 0.0
+        ],
+        columns=["exist", "amount"],
+    )
+    assert (limited.amount == expected.amount[expected.exist]).all()