update commission stuff

sysbrokers/IB/ib_broker_commissions.py

@@ -8,6 +8,8 @@
 
 from syslogging.logger import *
 from syscore.genutils import quickTimer
+from sysobjects.spot_fx_prices import currencyValue
+
 
 class ibFuturesContractCommissionData(brokerFuturesContractCommissionData):
     """
@@ -38,29 +40,27 @@ def ibconnection(self) -> connectionIB:
     def execution_stack(self) -> ibExecutionStackData:
         return self.data.broker_execution_stack
 
-    def get_commission_for_contract(self, futures_contract: futuresContract) -> float:
-        ## FOR NOW DO NOT RUN IF ANYTHING ELSE IS RUNNING
-        ## NEEDS CODE TO TAKE THE TEST STRATEGY OFF THE STACK WHEN RETURNING ORDERS
-        size_of_test_trade = 10
+    def get_commission_for_contract(self, futures_contract: futuresContract) -> currencyValue:
         instrument_code = futures_contract.instrument_code
         contract_date = futures_contract.contract_date.list_of_date_str[0]
 
         broker_order =brokerOrder(test_commission_strategy, instrument_code, contract_date,
                     size_of_test_trade)
 
-        order = self.execution_stack.put_what_if_order_on_stack(broker_order)
+        order = self.execution_stack.what_if_order(broker_order)
 
         timer = quickTimer(5)
+        comm_currency_value = currencyValue(currency='', value=0)
         while timer.unfinished:
-            ## could last forever!
             try:
-                commission, commission_ccy = get_commission_and_currency_from_ib_order(order)
+                comm_currency_value = get_commission_and_currency_from_ib_order(order)
             except:
                 continue
 
-        return commission_ccy, commission / 10.0
+        return comm_currency_value
 
-def get_commission_and_currency_from_ib_order(ib_order: tradeWithContract):
-    return (ib_order.trade.commission, ib_order.trade.commissionCurrency)
+def get_commission_and_currency_from_ib_order(ib_order: tradeWithContract) -> currencyValue:
+    return currencyValue(value=ib_order.trade.commission / size_of_test_trade, currency=ib_order.trade.commissionCurrency)
 
-test_commission_strategy = "testCommmission"
+test_commission_strategy = "testCommmission" ## whatever not put on stack
+size_of_test_trade = 10  ## arbitrary

sysbrokers/IB/ib_orders.py

@@ -273,7 +273,7 @@ def put_order_on_stack(self, broker_order: brokerOrder) -> ibOrderWithControls:
 
         return placed_broker_order_with_controls
 
-    def put_what_if_order_on_stack(self, broker_order: brokerOrder) -> tradeWithContract:
+    def what_if_order(self, broker_order: brokerOrder) -> tradeWithContract:
         """
 
         :param broker_order: key properties are instrument_code, contract_id, quantity

sysbrokers/broker_contract_commission_data.py

@@ -5,14 +5,15 @@
 from sysobjects.contracts import futuresContract
 
 from syslogging.logger import *
+from sysobjects.spot_fx_prices import currencyValue
 
 
 class brokerFuturesContractCommissionData(futuresContractData):
     def __init__(self, data: dataBlob, log=get_logger("brokerFuturesContractCommissionData")):
         super().__init__(log=log)
         self._data = data
 
-    def get_commission_for_contract(self, contract: futuresContract) -> float:
+    def get_commission_for_contract(self, contract: futuresContract) -> currencyValue:
         raise NotImplementedError
 
     @property

sysdata/csv/csv_spread_costs.py

@@ -64,6 +64,23 @@ def get_spread_costs_as_series(self) -> pd.Series:
 
         return spread_cost_series
 
+    def get_commissions_as_series(self) -> pd.Series:
+        try:
+            spread_cost_data = pd.read_csv(self.config_file)
+        except BaseException:
+            raise Exception("Can't read file %s" % self.config_file)
+
+        try:
+            spread_cost_data.index = spread_cost_data[INSTRUMENT_COLUMN_NAME]
+            spread_cost_series = spread_cost_data[]
+
+        except BaseException:
+            raise Exception("Badly configured file %s" % (self._config_file))
+
+        return spread_cost_series
+
+
+
     def write_all_instrument_spreads(self, spread_cost_as_series: pd.Series):
         spread_cost_as_df = pd.DataFrame(spread_cost_as_series)
         spread_cost_as_df.columns = [SPREAD_COST_COLUMN_NAME]

sysdata/futures/spread_costs.py

@@ -24,6 +24,7 @@ def get_spread_cost(self, instrument_code: str) -> float:
     def get_spread_costs_as_series(self) -> pd.Series:
         raise NotImplementedError
 
+
     def _get_spread_cost_if_series_provided(self, instrument_code: str) -> float:
         all_data = self.get_spread_costs_as_series()
         return all_data[instrument_code]

sysproduction/data/broker.py

@@ -37,7 +37,7 @@
 from sysobjects.contracts import futuresContract
 from sysobjects.instruments import futuresInstrumentWithMetaData
 from sysobjects.production.positions import contractPosition, listOfContractPositions
-from sysobjects.spot_fx_prices import fxPrices
+from sysobjects.spot_fx_prices import fxPrices, currencyValue
 from sysobjects.futures_per_contract_prices import futuresContractPrices
 from sysproduction.data.positions import diagPositions
 from sysproduction.data.currency_data import dataCurrency
@@ -102,8 +102,16 @@ def broker_futures_contract_commission(self) -> brokerFuturesContractCommissionD
     def diag_controls(self) -> diagControlProcess:
         return self._diag_controls
 
+    def get_commission_for_contract_in_base(self, contract: futuresContract) -> float:
+        currency_data = dataCurrency(self.data)
+        ccy_value =  self.broker_futures_contract_commission.get_commission_for_contract(contract)
+        base_value = currency_data.currency_value_in_base(ccy_value)
+
+        return base_value
+
     ## Methods
-    def get_commission_for_contract(self, contract: futuresContract) -> float:
+    def get_commission_for_contract(self, contract: futuresContract) -> currencyValue:
+
         return self.broker_futures_contract_commission.get_commission_for_contract(contract)
 
     def get_list_of_contract_dates_for_instrument_code(

sysproduction/data/instruments.py

@@ -1,3 +1,5 @@
+import pandas as pd
+
 from sysdata.data_blob import dataBlob
 from sysdata.futures.instruments import futuresInstrumentData
 from sysdata.futures.spread_costs import spreadCostData
@@ -49,6 +51,26 @@ def _add_required_classes_to_data(self, data: dataBlob) -> dataBlob:
     def get_spread_costs_as_series(self):
         return self.db_spread_cost_data.get_spread_costs_as_series()
 
+    def get_block_commissions_as_series(self) -> pd.Series:
+        all_instruments = self.db_futures_instrument_data.get_list_of_instruments()
+        all_instruments_excluding_percentage_commission = [instrument_code
+                                                           for instrument_code in all_instruments
+                                                           if not self.has_percentage_commission(instrument_code)]
+        all_block_commissions = pd.Series([
+            self.get_block_commission_for_instrument(instrument_code)
+            for instrument_code in all_instruments_excluding_percentage_commission
+        ], index=all_instruments_excluding_percentage_commission)
+
+        return all_block_commissions
+
+    def get_block_commission_for_instrument(self, instrument_code: str) -> float:
+        costs = self.get_cost_object(instrument_code)
+        return costs.value_of_block_commission
+
+    def has_percentage_commission(self, instrument_code: str) -> float:
+        costs = self.get_cost_object(instrument_code)
+        return costs.percentage_cost>0
+
     def get_cost_object(self, instrument_code: str) -> instrumentCosts:
         meta_data = self.get_meta_data(instrument_code)
         spread_cost = self.get_spread_cost(instrument_code)

sysproduction/reporting/data/commissions.py

@@ -0,0 +1,31 @@
+from typing import List
+
+import pandas as pd
+from sysproduction.data.instruments import diagInstruments
+from sysproduction.data.broker import dataBroker
+from sysproduction.data.contracts import dataContracts
+from sysobjects.contracts import futuresContract
+
+def df_of_configure_and_broker_block_cost(data) -> pd.DataFrame:
+    configured = get_current_configured_block_costs(data)
+    list_of_instruments = configured.index
+
+    list_of_broker = get_broker_block_costs(list_of_instruments)
+
+    return pd.concat([configured, list_of_broker], axis=1)
+
+def get_current_configured_block_costs(data) -> pd.Series:
+    diag_instruments = diagInstruments(data)
+
+    return diag_instruments.get_block_commissions_as_series()
+
+def get_broker_block_costs(list_of_instruments_codes: List[str]) ->pd.Series:
+    db = dataBroker()
+    dc = dataContracts()
+
+    list_of_priced_contracts = [futuresContract(instrument_code, dc.get_priced_contract_id(instrument_code)) for instrument_code in list_of_instruments_codes]
+
+    return pd.Series(
+        [db.get_commission_for_contract(contract) for contract in list_of_priced_contracts],
+        index = list_of_instruments_codes
+    )