From 31e74ed92b4e8101d9e1868d34ae44aac0b8ffb3 Mon Sep 17 00:00:00 2001
From: Peter Dekkers <peter@neurallayer.com>
Date: Sat, 15 Jun 2024 20:47:32 +0200
Subject: [PATCH] improved random walk

---
 roboquant/feeds/randomwalk.py      | 28 ++++++++++++++++++++--------
 roboquant/strategies/ordersizer.py | 29 -----------------------------
 2 files changed, 20 insertions(+), 37 deletions(-)
 delete mode 100644 roboquant/strategies/ordersizer.py

diff --git a/roboquant/feeds/randomwalk.py b/roboquant/feeds/randomwalk.py
index 986246a..bf1ad1e 100644
--- a/roboquant/feeds/randomwalk.py
+++ b/roboquant/feeds/randomwalk.py
@@ -6,7 +6,7 @@
 
 import numpy as np
 
-from roboquant.event import Bar, Trade
+from roboquant.event import Bar, Trade, Quote
 from .historic import HistoricFeed
 
 
@@ -18,7 +18,7 @@ def __init__(
         self,
         n_symbols: int = 10,
         n_prices: int = 1_000,
-        item_type: Literal["bar", "trade"] = "bar",
+        item_type: Literal["bar", "trade", "quote"] = "bar",
         start_date: str | datetime = "2020-01-01T00:00:00+00:00",
         frequency=timedelta(days=1),
         start_price_min: float = 50.0,
@@ -36,26 +36,38 @@ def __init__(
         start_date = start_date if isinstance(start_date, datetime) else datetime.fromisoformat(start_date)
         start_date = start_date.astimezone(timezone.utc)
         timeline = [start_date + frequency * i for i in range(n_prices)]
+        self.stdev = stdev
 
-        item_gen = self.__get_bar if item_type == "bar" else self.__get_trade
+        match item_type:
+            case "bar": item_gen = self.__get_bar
+            case "trade": item_gen = self.__get_trade
+            case "quote": item_gen = self.__get_quote
+            case _: raise ValueError("unsupported item_type", item_type)
 
         for symbol in symbols:
             prices = self.__price_path(rnd, n_prices, stdev, start_price_min, start_price_max)
             for i in range(n_prices):
-                item = item_gen(symbol, prices[i], volume)
+                item = item_gen(symbol, prices[i], volume, stdev/2.0)
                 self._add_item(timeline[i], item)
 
     @staticmethod
-    def __get_trade(symbol, price, volume):
+    def __get_trade(symbol, price, volume, _):
         return Trade(symbol, price, volume)
 
     @staticmethod
-    def __get_bar(symbol, price, volume):
-        high = price * (1.0 + abs(random.gauss(mu=0.0, sigma=1.0)))
-        low = price * (1.0 - abs(random.gauss(mu=0.0, sigma=1.0)))
+    def __get_bar(symbol, price, volume, spread):
+        high = price * (1.0 + abs(random.gauss(mu=0.0, sigma=spread)))
+        low = price * (1.0 - abs(random.gauss(mu=0.0, sigma=spread)))
         close = random.uniform(low, high)
         return Bar(symbol, array("f", [price, high, low, close, volume]))
 
+    @staticmethod
+    def __get_quote(symbol, price, volume, spread):
+        spread = abs(random.gauss(mu=0.0, sigma=spread)) * price / 2.0
+        ask = price + spread
+        bid = price - spread
+        return Quote(symbol, array("f", [price, ask, volume, bid, volume]))
+
     @staticmethod
     def __get_symbols(
         rnd,
diff --git a/roboquant/strategies/ordersizer.py b/roboquant/strategies/ordersizer.py
deleted file mode 100644
index 3c4c12b..0000000
--- a/roboquant/strategies/ordersizer.py
+++ /dev/null
@@ -1,29 +0,0 @@
-from decimal import Decimal
-from roboquant.account import Account
-
-
-class OrderSizer:
-
-    def __init__(self, account: Account):
-        self.account = account
-        self.buying_power = account.buying_power
-        self.equity = account.equity()
-        self.max_order_size = self.equity * 0.2
-        self.size_digits = 0
-
-    def is_reduction(self, symbol: str, size: Decimal) -> bool:
-        """Determine the kind of change a certain action would have on the position"""
-        pos_size = self.account.get_position_size(symbol)
-        return abs(size + pos_size) < abs(pos_size)
-
-    def size(self, symbol: str, price: float, percentage: float) -> Decimal:
-        contract_price = self.account.contract_value(symbol, price)
-        size = Decimal(percentage * self.equity * 0.2 / contract_price)
-        size = round(size, self.size_digits)
-        if not self.is_reduction(symbol, size):
-            contract_value = contract_price * float(size)
-            if self.buying_power > contract_value:
-                self.buying_power -= contract_value
-                return size
-            return Decimal()
-        return size