fix unexpected side effect #931

sysexecution/stack_handler/roll_orders.py

@@ -233,6 +233,7 @@ def create_force_roll_orders(
     roll_spread_info = get_roll_spread_information(data, instrument_code)
     type_of_roll = flat_roll_or_close_near_contract(data, instrument_code)
     instrument_order = create_instrument_roll_order(
+        data=data,
         roll_spread_info=roll_spread_info,
         instrument_code=instrument_code,
         type_of_roll=type_of_roll,
@@ -316,6 +317,7 @@ def get_roll_spread_information(
 
 
 def create_instrument_roll_order(
+    data: dataBlob,
     roll_spread_info: rollSpreadInformation,
     instrument_code: str,
     type_of_roll: named_object,
@@ -326,7 +328,9 @@ def create_instrument_roll_order(
         )
     else:
         instrument_order = create_instrument_roll_order_closing_priced_contract(
-            roll_spread_info=roll_spread_info, instrument_code=instrument_code
+            data=data,
+            roll_spread_info=roll_spread_info,
+            instrument_code=instrument_code,
         )
 
     return instrument_order
@@ -353,10 +357,13 @@ def create_instrument_roll_order_for_flat_roll(
 
 
 def create_instrument_roll_order_closing_priced_contract(
+    data: dataBlob,
     roll_spread_info: rollSpreadInformation,
     instrument_code: str,
 ) -> instrumentOrder:
-    strategy = ROLL_PSEUDO_STRATEGY
+    strategy = get_strategy_name_with_largest_position_for_instrument(
+        data=data, instrument_code=instrument_code
+    )
     position_priced = roll_spread_info.position_in_priced
     trade = -position_priced
     instrument_order = instrumentOrder(
@@ -373,6 +380,21 @@ def create_instrument_roll_order_closing_priced_contract(
     return instrument_order
 
 
+def get_strategy_name_with_largest_position_for_instrument(
+    data: dataBlob, instrument_code: str
+) -> str:
+    diag_positions = diagPositions(data)
+    all_instrument_positions = (
+        diag_positions.get_all_current_strategy_instrument_positions()
+    )
+
+    return (
+        all_instrument_positions.strategy_name_with_largest_abs_position_for_instrument(
+            instrument_code
+        )
+    )
+
+
 def create_contract_roll_orders(
     data: dataBlob,
     roll_spread_info: rollSpreadInformation,
@@ -386,7 +408,9 @@ def create_contract_roll_orders(
         return missing_order
 
     if type_of_roll is roll_state_is_close_near_contract:
-        contract_orders = create_contract_orders_close_first_contract(roll_spread_info)
+        contract_orders = create_contract_orders_close_first_contract(
+            roll_spread_info=roll_spread_info, instrument_order=instrument_order
+        )
 
     elif diag_positions.is_roll_state_force(instrument_code):
         contract_orders = create_contract_orders_spread(roll_spread_info)
@@ -408,13 +432,13 @@ def create_contract_roll_orders(
 
 
 def create_contract_orders_close_first_contract(
-    roll_spread_info: rollSpreadInformation,
+    roll_spread_info: rollSpreadInformation, instrument_order: instrumentOrder
 ) -> listOfOrders:
-    strategy = ROLL_PSEUDO_STRATEGY
+    strategy = instrument_order.strategy_name
 
     first_order = contractOrder(
         strategy,
-        roll_spread_info.instrument_code,
+        instrument_order.instrument_code,
         roll_spread_info.priced_contract_id,
         -roll_spread_info.position_in_priced,
         reference_price=roll_spread_info.reference_price_priced_contract,

sysobjects/production/positions.py

@@ -186,17 +186,38 @@ def as_pd_df(self) -> pd.DataFrame:
     def _as_set_of_dicts(self) -> dict:
         # start with
         output_dict = self._id_column_dict()
-        positions_column = [position.position for position in self]
-
-        output_dict[KEY_POSITION] = positions_column
+        output_dict[KEY_POSITION] = self._list_of_positions()
 
         return output_dict
 
     def _id_column_dict(self) -> dict:
-        id_column_list = [str(position.tradeable_object) for position in self]
+        id_column_list = self._list_of_ids()
         id_column_dict = {KEY_TRADEABLE_OBJECT: id_column_list}
         return id_column_dict
 
+    def tradeable_object_with_largest_abs_position(self):
+        idx_of_largest_position = self._idx_of_largest_position()
+        list_of_tradeable_objects = self._list_of_tradeable_objects()
+        return list_of_tradeable_objects[idx_of_largest_position]
+
+    def _idx_of_largest_position(self) -> int:
+        list_of_positions = self._list_of_positions()
+        abs_list_of_positions = [abs(position) for position in list_of_positions]
+        return abs_list_of_positions.index(max(abs_list_of_positions))
+
+    def _list_of_positions(self) -> list:
+        return [position.position for position in self]
+
+    def _list_of_ids(self) -> list:
+        list_of_tradeable_objects = self._list_of_tradeable_objects()
+        id_column_list = [
+            str(tradeable_object) for tradeable_object in list_of_tradeable_objects
+        ]
+        return id_column_list
+
+    def _list_of_tradeable_objects(self) -> list:
+        return [position.tradeable_object for position in self]
+
 
 KEY_INSTRUMENT_CODE = "instrument_code"
 
@@ -258,6 +279,25 @@ def _element_object_from_row(dfrow):
 
         return list_of_positions
 
+    def strategy_name_with_largest_abs_position_for_instrument(
+        self, instrument_code: str
+    ) -> str:
+        positions_for_instrument = self.subset_for_instrument(instrument_code)
+        tradeable_object = (
+            positions_for_instrument.tradeable_object_with_largest_abs_position()
+        )
+
+        return tradeable_object.strategy_name
+
+    def subset_for_instrument(
+        self, instrument_code: str
+    ) -> "listOfInstrumentStrategyPositions":
+        subset_list = [
+            position for position in self if position.instrument_code == instrument_code
+        ]
+
+        return listOfInstrumentStrategyPositions(subset_list)
+
     def _id_column_dict(self) -> dict:
         instrument_code_list = [str(position.instrument_code) for position in self]
         strategy_name_list = [str(position.strategy_name) for position in self]