-

strategy/buy_and_hold.py

@@ -0,0 +1,58 @@
+import math
+from enum import Enum, auto
+from typing import override
+
+from internal_types.types import OHLC, BidAsk, Instrument, Position
+from strategy.strategy import Strategy
+from utils.utils import Portfolio
+
+
+class State(Enum):
+  POS_0 = auto()
+  POS_1 = auto()
+
+
+class BuyAndHold(Strategy):
+
+  def __init__(self, init_balance, instr: Instrument):
+    self.state = State.POS_0
+    self.balance = init_balance
+    self.instr = instr
+    self.portfolio = Portfolio()
+    self.desired_portfolio = Portfolio()
+
+  def __process(self, at_price: float):
+    match self.state:
+      case State.POS_0:
+        quantity = math.floor(self.balance / at_price / self.instr.multiplier)
+        self.desired_portfolio.add_position(Position(self.instr, quantity, at_price))
+        self.state = State.POS_1
+      case State.POS_1:
+        pass
+      case _:
+        raise RuntimeError('invalid state')
+
+  @override
+  def unfilled_positions(self, instr: Instrument) -> Position:
+    x = self.desired_portfolio.outstanding_shares(instr) - self.portfolio.outstanding_shares(instr)
+    return self.desired_portfolio.consolidate_last_x_shares(instr, x)
+
+  @override
+  def order_filled(self, new_pos: Position):
+    self.portfolio.add_position(new_pos)
+
+  @override
+  def process_bid_ask(self, bid_ask: BidAsk):
+    if bid_ask.instr != self.instr:
+      return
+    self.__process(bid_ask.ask)
+
+  @override
+  def process_ohlc(self, ohlc: OHLC):
+    if ohlc.instr != self.instr:
+      return
+    self.__process(ohlc.close)
+
+  @override
+  def net_liquid_value(self, at_price: float) -> float:
+    return self.balance + self.portfolio.total_gains(self.instr, at_price)