OrderSize Class

These classes determine how much capital is allocated to each trade. OrderSize is an abstract base class, and its subclasses define specific order sizing strategies.

class OrderSize(ABC):

    def __init__(self, value: float):
        self.value = value

    @abstractmethod
    def get_invested_amount(self, share_price: float, current_capital: float) -> (float, float):
        pass

    def to_dict(self):
        return {'value': self.value}

Methods:

• get_invested_amount(share_price: float, current_capital: float) -> (float, float):
  Calculates the amount to invest based on the share price and current capital. Returns a tuple of the invested amount and the number of shares/contracts.
• to_dict():
  Serializes the order size object into a dictionary for testing purposes.

USD

Fixed dollar amount allocated to each trade. Partition shares will be used when dollar amount is not divisible by share price.

USD(value: float)

• value (float): Dollar amount for the trade.

Example Usage

Strategy(
    ...
    order_size = USD(1000)
)

Contracts

Fixed number of contracts/shares per trade.

Contracts(value: float)

• value (float): Number of contracts or shares.

Example Usage

Strategy(
    ...
    order_size = Contracts(1)
)

Contracts(1) is also set as a default value in the Strategy class. This means that if no order size is specified, one contract will be used by default in every trade.

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PercentOfEquity

Dynamic sizing based on the current equity price. If the equity price is $100 and the order size is 10%, then $10 will be allocated to the trade.

PercentOfEquity(value: float)

• value (float): Percentage of equity to allocate per trade.

Example Usage

Strategy(
    ...
    order_size = PercentOfEquity(50)
)

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