Sha256: 35f02e7cb977aee2a0785bd4dd2577a2276acf3779e90646e51b1611a65763e4
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Size: 1.72 KB
Versions: 13
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Stored size: 1.72 KB
Contents
require 'distribution'
N = Distribution::Normal
class Iro::Purse
include Mongoid::Document
include Mongoid::Timestamps
include Mongoid::Paranoia
store_in collection: 'iro_purses'
field :slug
validates :slug, presence: true, uniqueness: true
index({ slug: -1 }, { unique: true })
has_many :positions, class_name: 'Iro::Position', inverse_of: :purse
# has_and_belongs_to_many :strategies, class_name: 'Iro::Strategy', inverse_of: :purses
# belongs_to :stock, class_name: 'Iro::Stock', inverse_of: :strategies
field :unit, type: :integer, default: 10
## with unit 10, .001
## with unit 100, .0001
field :summary_unit, type: :float, default: 0.001
## for rolling only:
field :height, type: :integer, default: 100
field :mark_every_n_usd, type: :float, default: 1
field :n_next_positions, type: :integer, default: 5
field :available_amount, type: :float
def available
available_amount
end
def balance
0.01
end
def delta_wt_avg( begin_end, long_short, inner_outer )
max_loss_total = 0
out = positions.send( long_short ).map do |pos|
max_loss_total += pos.max_loss * pos.q
pos.max_loss * pos.q * pos.send( inner_outer ).send( "#{begin_end}_delta" )
end
# puts! out, 'delta_wt_avg 1'
out = out.reduce( &:+ ) / max_loss_total rescue 0
# puts! out, 'delta_wt_avg 2'
return out
end
## delta to plot percentage
## convert to normal between 0 and 3 std
def delta_to_plot_p( *args )
x = delta_wt_avg( *args ).abs
if x < 0.5
y = 1
else
y = 2 - 1/( 1.5 - x )
end
y_ = "#{ (y*100) .to_i}%"
return y_
end
def to_s
slug
end
def self.list
[[nil,nil]] + all.map { |p| [p, p.id] }
end
end
Version data entries
13 entries across 13 versions & 1 rubygems