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Remove DriftRebalancer.get_last_price and just use Strategy.get_last_price #690

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merged 2 commits into from
Jan 25, 2025
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Remove DriftRebalancer.get_last_price and just use Strategy.get_last_price #690

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f2f3cbf
The crypto 50/50 should actully allocate 50/50
brettelliot Jan 25, 2025
6781d65
use exisiting Strategy.get_last_price and cast result to decimal
brettelliot Jan 25, 2025
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10 changes: 5 additions & 5 deletions lumibot/components/drift_rebalancer_logic.py
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Original file line number Diff line number Diff line change
Expand Up @@ -206,7 +206,7 @@ def _add_positions(self) -> None:
current_value = Decimal(position.quantity)
else:
is_quote_asset = False
last_price = self.strategy.get_last_price(position.asset)
last_price = Decimal(self.strategy.get_last_price(position.asset))
current_value = current_quantity * last_price
self._add_position(
symbol=symbol,
Expand Down Expand Up @@ -359,7 +359,7 @@ def _rebalance(self, df: pd.DataFrame = None) -> None:
# Sell everything (or create 100% short position)
base_asset = row["base_asset"]
quantity = row["current_quantity"]
last_price = self.strategy.get_last_price(base_asset)
last_price = Decimal(self.strategy.get_last_price(base_asset))
limit_price = self.calculate_limit_price(last_price=last_price, side="sell")
if quantity == 0 and self.shorting:
# Create a 100% short position.
Expand All @@ -380,7 +380,7 @@ def _rebalance(self, df: pd.DataFrame = None) -> None:

elif row["drift"] < 0:
base_asset = row["base_asset"]
last_price = self.strategy.get_last_price(base_asset)
last_price = Decimal(self.strategy.get_last_price(base_asset))
limit_price = self.calculate_limit_price(last_price=last_price, side="sell")
quantity = (row["current_value"] - row["target_value"]) / limit_price
if self.fractional_shares:
Expand Down Expand Up @@ -414,7 +414,7 @@ def _rebalance(self, df: pd.DataFrame = None) -> None:
# Cover our short position
base_asset = row["base_asset"]
quantity = abs(row["current_quantity"])
last_price = self.strategy.get_last_price(base_asset)
last_price = Decimal(self.strategy.get_last_price(base_asset))
limit_price = self.calculate_limit_price(last_price=last_price, side="buy")
order = self.place_order(
base_asset=base_asset,
Expand All @@ -427,7 +427,7 @@ def _rebalance(self, df: pd.DataFrame = None) -> None:

elif row["drift"] > 0:
base_asset = row["base_asset"]
last_price = self.strategy.get_last_price(base_asset)
last_price = Decimal(self.strategy.get_last_price(base_asset))
limit_price = self.calculate_limit_price(last_price=last_price, side="buy")
order_value = row["target_value"] - row["current_value"]
quantity = min(order_value, cash_position) / limit_price
Expand Down
8 changes: 4 additions & 4 deletions lumibot/example_strategies/crypto_50_50.py
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Original file line number Diff line number Diff line change
Expand Up @@ -35,11 +35,11 @@
parameters["portfolio_weights"] = [
{
"base_asset": Asset(symbol='BTC-USD', asset_type='stock'),
"weight": Decimal("0.6")
"weight": Decimal("0.5")
},
{
"base_asset": Asset(symbol='ETH-USD', asset_type='stock'),
"weight": Decimal("0.4")
"weight": Decimal("0.5")
}
]
results = DriftRebalancer.backtest(
Expand All @@ -64,11 +64,11 @@
parameters["portfolio_weights"] = [
{
"base_asset": Asset(symbol='BTC', asset_type='crypto'),
"weight": Decimal("0.6")
"weight": Decimal("0.5")
},
{
"base_asset": Asset(symbol='ETH', asset_type='crypto'),
"weight": Decimal("0.4")
"weight": Decimal("0.5")
}
]
strategy = DriftRebalancer(broker, parameters=parameters)
Expand Down
8 changes: 1 addition & 7 deletions lumibot/example_strategies/drift_rebalancer.py
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Original file line number Diff line number Diff line change
Expand Up @@ -119,10 +119,4 @@ def on_trading_iteration(self) -> None:
)

self.drift_df = self.drift_rebalancer_logic.calculate(portfolio_weights=self.portfolio_weights)
self.drift_rebalancer_logic.rebalance(drift_df=self.drift_df)

def get_last_price(self, asset: Union[Asset, str], quote=None, exchange=None):
"""Override get_last_price to use the strategy's quote asset and return a decimal."""
quote_asset = self.quote_asset or Asset(symbol="USD", asset_type="forex")
return Decimal(super().get_last_price(asset=asset, quote=quote_asset))

self.drift_rebalancer_logic.rebalance(drift_df=self.drift_df)
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