R/Orders.R
In QuantumFuse/robinhoodQF: Quantitative Financial Analytics and Visualization Framework
Defines functions
rh_getOptionsOrders
### Add an options P/L function
#' Orders R6 Class
#'
#' Create an instance of the R6 Orders Class. Retrieve all transation history and profit/loss summary.
#' @param account Initialzied instance of Account class (robinhoodUser$account)
Orders <- R6::R6Class(
classname = "Orders",
inherit = Account,
portable = TRUE,
public = list(
account = NULL,
orders=NULL,
options_orders=NULL,
initialize = function(account){
stopifnot(inherits(account,"Account"))
self$account <- account
private$get_order_history()
private$get_options_history()
},
get_trade_timeline = function(ticker,orders){
grouped_tx<-orders[[4]]
DF<-as.data.frame(grouped_tx)
tickers<-DF$Ticker
tickers<-as.character(tickers)
return_idx<-which(tickers==ticker)
DF<-DF[return_idx,]
dates<-as.character.Date(DF$Date)
ticker<-as.character(ticker)
buy_style<-c("color:green;")
sell_style<-c("color: red;")
price<-NULL
order_type<-NULL
group_style<-NULL
for (i in 1:length(dates)){
if(DF$Shares[i]<0){
order_type[i]<-"BUY"
price[i]<-round((DF$values[i]/DF$Shares[i]),digits=2)
group_style[i]<-buy_style
}
else{
order_type[i]<-"SELL"
price[i]<-round((DF$values[i]/DF$Shares[i]),digits=2)
group_style[i]<-sell_style
}
}
shares<-DF$Shares
shares<-abs(shares)
proceeds<-DF$values
content<-paste(order_type,": ",shares, "shares, at",paste("$",as.character(price),sep=""),"Proceeds:",paste("$",proceeds,sep=""),sep=" ")
dataWeeklyT <- data.frame(
id = 1:length(dates),
start = c(dates),
content = c(content),
style=group_style,
className="QFTClass"
)
return(dataWeeklyT)
}
),
private=list(
get_order_history = function(){
header<-self$account$user$authHeader
Price<-NULL
State<-NULL
Shares<-NULL
Ticker<-NULL
Type<-NULL
cumulative_quantity<-NULL
Trigger<-NULL
last_transacted<-NULL
updated<-NULL
created<-NULL
avg_price<-NULL
stop_price<-NULL
response_category<-NULL
NEXTURL<-"https://api.robinhood.com/orders/"
while(is.null(NEXTURL)!=T){
res <- httr::GET(NEXTURL, httr::add_headers(.headers=header))
NEXTURL<-httr::content(res)$`next`
for (result in httr::content(res)$results) {
instrumentResponse <- httr::GET(result$url, httr::add_headers(.headers=header))
instrumentInfoResponse <- httr::GET(httr::content(instrumentResponse)$instrument, httr::add_headers(.headers=header))
State<-c(State,result$state)
if(result$state=="filled"){
if(result$response_category=="success"||result$response_category=="unknown"){
Ticker<-c(Ticker,httr::content(instrumentInfoResponse)$symbol)
Price<-c(Price,result$price)
Shares<-c(Shares,result$quantity)
Type<-c(Type,result$side)
last_transacted<-c(last_transacted,result$last_transaction_at)
updated<-c(updated,result$updated_at)
created<-c(created,result$created_at)
avg_price<-c(avg_price,result$average_price)
stop_price<-c(stop_price,result$stop_price)
response_category<-c(response_category,result$response_category)
cumulative_quantity<-c(cumulative_quantity,result$cumulative_quantity)
Trigger<-c(Trigger,result$trigger)
}
}
}
}
Price<-avg_price
Date<-last_transacted
orders<-data.frame(Type=Type,Ticker=Ticker,Price=Price,Shares=Shares,Date=Date)
tx_DF<-orders
tx_DF$Type<-as.character(tx_DF$Type)
tx_DF$Date<-as.Date(as.character(tx_DF$Date))
values<-NULL
grouped_tx_DF<-ddply(tx_DF,"Ticker",rbind)
grouped_tx_DF$Type<-as.character(grouped_tx_DF$Type)
grouped_tx_DF$Ticker<-as.character(grouped_tx_DF$Ticker)
grouped_tx_DF$Price<-as.numeric(as.character(grouped_tx_DF$Price))
grouped_tx_DF$Shares<-as.numeric(as.character(grouped_tx_DF$Shares))
for (i in 1:length(grouped_tx_DF$Type)){
if (grouped_tx_DF$Type[i]=="buy"){
order_type=-1
}
else {
order_type=1
}
grouped_tx_DF$Shares[i]<-grouped_tx_DF$Shares[i]*order_type
values[i]<-grouped_tx_DF$Price[i]*grouped_tx_DF$Shares[i]
}
grouped_tx_DF<-cbind(grouped_tx_DF,values)
grouped_tx<-grouped_tx_DF
grouped_tx_DF<-ddply(grouped_tx_DF,"Ticker",numcolwise(sum))
tickers_owned<-grouped_tx_DF$Ticker[which(grouped_tx_DF$Shares!=0)]
shares_owned<-abs(grouped_tx_DF$Shares[which(grouped_tx_DF$Shares!=0)])
current_value<-NULL
last_price<-NULL
for (i in 1:length(tickers_owned)){
data<-rh_quote(tickers_owned[i],header)
last_price[i]<-data
current_value[i]<-last_price[i]*shares_owned[i]
}
current_positions<-data.frame(Ticker=tickers_owned,Shares=shares_owned,"Last Price"=last_price,"Market Value"=current_value)
individual_pl<-grouped_tx_DF
individual_pl$values[which(individual_pl$Shares!=0)]<-individual_pl$values[which(individual_pl$Shares!=0)]+current_positions$Market.Value
individual_pl$Shares<-abs(individual_pl$Shares)
colnames(individual_pl)[4]<-"Profit/Loss"
day_stats<-self$account$day_stats
total_equity<-as.numeric(day_stats$Equity)
equities<-sum(current_positions$Market.Value)
cash<-total_equity-equities
tickers<-c("CASH",tickers_owned)
market_values<-c(cash,current_positions$Market.Value)
allocation <- data.frame(value = market_values,
Group = tickers) %>%
# factor levels need to be the opposite order of the cumulative sum of the values
mutate(Group = factor(Group, levels = rev(tickers)),
label = paste0(Group, " ", round(value / sum(value) * 100, 1), "%"))
return_list<-list(individual_pl,current_positions,allocation,grouped_tx,orders)
names(return_list)<-c("Individual_PL","Current_Positions","Allocation","Grouped_History","Transactions")
self$orders <- return_list
},
get_options_history = function(){
header <- self$account$user$authHeader
Price<-NULL
Premium<-NULL
State<-NULL
Quantity<-NULL
Ticker<-NULL
Type<-NULL
cumulative_quantity<-NULL
Trigger<-NULL
last_transacted<-NULL
updated<-NULL
created<-NULL
avg_price<-NULL
stop_price<-NULL
response_category<-NULL
Direction<-NULL
NEXTURL<-"https://api.robinhood.com/options/orders/"
while(is.null(NEXTURL)!=T){
res <- httr::GET(NEXTURL, httr::add_headers(.headers=header))
NEXTURL<-httr::content(res)$`next`
results<-httr::content(res)$results
for (i in 1:length(results)) {
result<-results[[i]]
if(result$state=="filled"){
if(result$response_category=="success"||result$response_category=="unknown"){
State<-c(State,result$state)
Ticker<-c(Ticker,result$chain_symbol)
Price<-c(Price,result$price)
Premium<-c(Premium,result$premium)
Direction<-c(Direction,result$direction)
Quantity<-c(Quantity,result$quantity)
if (is.null(result$opening_strategy)){
Type<-c(Type,result$closing_strategy)
}
else{
Type<-c(Type,result$opening_strategy)
}
updated<-c(updated,result$updated_at)
created<-c(created,result$created_at)
response_category<-c(response_category,result$response_category)
Trigger<-c(Trigger,result$trigger)
}
}
}
}
Date<-updated
ORDERS<-data.frame(Type=Type,Ticker=Ticker,Price=Price,Premium=Premium,Quantity=Quantity,Date=Date,Direction=Direction)
options_history<-ORDERS
options_history$Premium<-as.numeric(as.character(options_history$Premium))
options_history$Quantity<-as.numeric(as.character(options_history$Quantity))
for (i in 1:length(options_history$Direction)){if (options_history$Direction[i]=="debit"){options_history$Premium[i]<-options_history$Premium[i]*-1}}
Value<-options_history$Premium*options_history$Quantity
options_history<-cbind(options_history,Value)
#######################################################
values<-NULL
grouped_tx_DF<-ddply(options_history,"Ticker",rbind)
grouped_tx_DF$Shares<-grouped_tx_DF$Quantity
for (i in 1:length(grouped_tx_DF$Value)){
if (grouped_tx_DF$Value[i] < 0){
order_type=-1
}
else {
order_type=1
}
grouped_tx_DF$Quantity[i]<-grouped_tx_DF$Quantity[i]*order_type
}
grouped_tx_DF<-ddply(grouped_tx_DF,"Ticker",numcolwise(sum))
###########################################################
# * insert code to get quotes for contracts currently owned
###########################################################
idx_owned<-which(grouped_tx_DF$Ticker%in%self$account$optionsPositionsTable$ticker)
tickers_owned<-grouped_tx_DF$Ticker[idx_owned]
# * doesn't account for options that opened with multiple legs in the order but closed with each leg in a separate order
expired_idx<-which(grouped_tx_DF$Quantity!=0 & (grouped_tx_DF$Ticker%in%tickers_owned==FALSE))
current_value<-NULL
### Manual fix
#grouped_tx_DF[idx_owned,]$Value<-grouped_tx_DF[idx_owned,]$Value+*current_value_of_contracts_owned*
#grouped_tx_DF[idx_owned,]$Value<-grouped_tx_DF[idx_owned,]$Value+263
individual_options_pnl<-grouped_tx_DF[,c(1,4)]
toReturn<-list("transactions"=options_history,"pnl"=individual_options_pnl)
self$options_orders <- toReturn
}
)
)
##################
##################
# Convert to R6 ##
### Add in legs processing logic -- currently returns duplicate rows
rh_getOptionsOrders <- function(header) {
Ticker<-NULL
Direction<-NULL
Premium<-NULL
processed_quantity<-NULL
pending_quantity<-NULL
Quantity<-NULL
Price<-NULL
Trigger<-NULL
State<-NULL
Date<-NULL
opening_strategy<-NULL
closing_strategy<-NULL
leg_side<-NULL
leg_position_effect<-NULL
leg_execution_time<-NULL
leg_execution_price<-NULL
leg_execution_quantity<-NULL
NEXTURL<-"https://api.robinhood.com/options/orders/"
while(is.null(NEXTURL)!=T){
res <- GET(NEXTURL, add_headers(.headers=header))
NEXTURL<-content(res)$`next`
results<-httr::content(res)$results
for (i in 1:length(results)) {
State<-c(State,results[[i]]$state)
if(results[[i]]$state=="filled"){
if(results[[i]]$response_category=="success"||results[[i]]$response_category=="unknown"){
open_strat<-results[[i]]$opening_strategy
if(is.null(open_strat)){open_strat<-"None"}
opening_strategy<-c(opening_strategy,open_strat)
close_strat<-results[[i]]$closing_strategy
if(is.null(close_strat)){close_strat<-"None"}
closing_strategy<-c(closing_strategy,close_strat)
legs<-results[[i]]$legs
for (j in 1:length(legs)){
leg<-legs[[j]]
for (k in 1:length(leg)){
leg_side<-c(leg_side,leg$side)
leg_position_effect<-c(leg_position_effect,leg$position_effect)
leg_execution_price<-c(leg_execution_price,leg$executions[[1]]$price)
leg_execution_time<-c(leg_execution_time,leg$executions[[1]]$timestamp)
leg_execution_quantity<-c(leg_execution_quantity,leg$executions[[1]]$quantity)
}
}
Ticker<-c(Ticker,results[[i]]$chain_symbol)
Direction<-c(Direction,results[[i]]$direction)
Premium<-c(Premium,results[[i]]$premium)
processed_quantity<-c(processed_quantity,results[[i]]$processed_quantity)
pending_quantity<-c(pending_quantity,results[[i]]$pending_quantity)
Quantity<-c(Quantity,results[[i]]$quantity)
Date<-c(Date,results[[i]]$updated_at)
Price<-c(Price,results[[i]]$price)
Trigger<-c(Trigger,results[[i]]$trigger)
}
}
}
}
options_df<-data.frame(Date=Date,Ticker=Ticker,Direction=Direction,Premium=Premium,Price=Price,Quantity=Quantity,Open=opening_strategy,Close=closing_strategy)
options_df<-options_df%>%mutate_at(vars(Premium,Price,Quantity),funs(as.numeric(.)))
Value<-NULL
for (i in 1:length(options_df$Ticker)){
if(options_df$Direction[i]=="debit"){
Value[i]<-options_df$Quantity[i]*options_df$Premium[i]*(-1)
}
else{Value[i]<-options_df$Quantity[i]*options_df$Premium[i]}
}
options_df<-cbind(options_df,Value)
values<-NULL
grouped_tx_DF<-ddply(options_df,"Ticker",rbind)
grouped_tx_DF$Shares<-as.numeric(as.character(grouped_tx_DF$Quantity))
for (i in 1:length(grouped_tx_DF$Value)){
if (grouped_tx_DF$Value[i] < 0){
order_type=-1
}
else {
order_type=1
}
grouped_tx_DF$Quantity[i]<-grouped_tx_DF$Quantity[i]*order_type
}
grouped_tx_DF<-ddply(grouped_tx_DF,"Ticker",numcolwise(sum))
###########################################################
# * insert code to get quotes for contracts currently owned
###########################################################
idx_owned<-which(grouped_tx_DF$Ticker%in%robinhoodUser$account$optionsPositionsTable$ticker)
tickers_owned<-grouped_tx_DF$Ticker[idx_owned]
expired_idx<-which(grouped_tx_DF$Quantity!=0 & (grouped_tx_DF$Ticker%in%tickers_owned==FALSE))
current_value<-NULL
### Manual fix
#grouped_tx_DF[idx_owned,]$Value<-grouped_tx_DF[idx_owned,]$Value+*current_value_of_contracts_owned*
grouped_tx_DF[idx_owned,]$Value<-grouped_tx_DF[idx_owned,]$Value+263
individual_pnl<-grouped_tx_DF[,c(1,5)]
# Effect<-NULL
# for(i in 1:length(ORDERS$Ticker)){
# if(ORDERS$Open[i]=="None"){
# Effect[i]<-"close"
# }
# else if (ORDERS$Close[i]=="None"){
# Effect[i]<-"open"
# }
# }
# ORDERS<-cbind(ORDERS,Effect)
return(list(orders=options_df,individual_pnl=individual_pnl))
}
get_robinhood_options_trades<-function(options_history){
option_trade_groups<-NULL
credit_trades<-NULL
debit_trades<-NULL
ticker_trades<-NULL
tickers<-as.character(options_history$Ticker)
for (i in 1:length(options_history)){
row_idx<-which(options_history$Ticker==tickers[i])
option_trade_groups[[i]]<-options_history[row_idx,]
credit_trades_idx<-which((option_trade_groups[[i]]$position_effect=="open"&option_trade_groups[[i]]$direction=="credit")|(option_trade_groups[[i]]$position_effect=="close"&option_trade_groups[[i]]$direction=="credit"))
debit_trades_idx<-which((option_trade_groups[[i]]$position_effect=="close"&option_trade_groups[[i]]$direction=="debit")|(option_trade_groups[[i]]$position_effect=="open"&option_trade_groups[[i]]$direction=="debit"))
credit_trades[[i]]<-option_trade_groups[[i]][credit_trades_idx,]
credit_trades[[i]]<-credit_trades[[i]][credit_trades[[i]]$side=="sell",]
debit_trades[[i]]<-option_trade_groups[[i]][debit_trades_idx,]
debit_trades[[i]]<-debit_trades[[i]][debit_trades[[i]]$side=="buy",]
ticker_trades[[i]]<-rbind(debit_trades[[i]],credit_trades[[i]])
}
names(ticker_trades)<-options_history
return(ticker_trades)
}
#' Place immediate buy order.
#'
#' Place an immediate trigger market/limit buy order.
#' @param account Initialized instance of the R6 Account class. Generated by Account$new(login).
#' @param ticker Equity ticker symbol. All caps string.
#' @param orderType "market" or "limit"
#' @param orderPrice numeric limit price (needed for market order because collared on price)
#' @param numShares number of shares. Numeric class integer only.
rh_placeImmediateBuyOrder <- function(account, ticker, orderType, orderPrice, numShares) {
header <- account$user$authHeader
creds = list(
account = paste("https://api.robinhood.com/accounts/", account$user$accountNumber, "/", sep=""),
instrument = rh_getInstrumentURL(ticker),
symbol = ticker,
type = orderType,
time_in_force = "gtc",
trigger = "immediate",
price = orderPrice,
quantity = numShares,
side = "buy"
)
res <- httr::POST("https://api.robinhood.com/orders/", encode = "json", body=creds, httr::add_headers(.headers=header))
print(httr::content(res)$state)
orderStatus <- list()
orderStatus$order_id <- httr::content(res)$id
orderStatus$order_state <- httr::content(res)$state
return(orderStatus)
}
#' Place stop buy order.
#'
#' Place a stop trigger market/limit buy order.
#' @param account Initialized instance of the R6 Account class. Generated by Account$new(login).
#' @param ticker Equity ticker symbol. All caps string.
#' @param orderType "market" or "limit"
#' @param orderPrice numeric limit price (needed for market order because collared on price)
#' @param numShares number of shares. Numeric class integer only.
#' @param stopPrice numeric stop price
rh_placeStopBuyOrder <- function(account, ticker, orderType, orderPrice, numShares, stopPrice) {
header <- account$user$authHeader
creds = list(
account = paste("https://api.robinhood.com/accounts/", account$user$accountNumber, "/", sep=""),
instrument = rh_getInstrumentURL(ticker),
symbol = ticker,
type = orderType,
time_in_force = "gtc",
trigger = "stop",
price = orderPrice,
stop_price = stopPrice,
quantity = numShares,
side = "buy"
)
res <- httr::POST("https://api.robinhood.com/orders/", encode = "json", body=creds, httr::add_headers(.headers=header))
orderStatus <- list()
orderStatus$order_id <- httr::content(res)$id
orderStatus$order_state <- httr::content(res)$state
return(orderStatus)
}
#' Place stop sell order.
#'
#' Place a stop trigger market/limit sell order.
#' @param account Initialized instance of the R6 Account class. Generated by Account$new(login).
#' @param ticker Equity ticker symbol. All caps string.
#' @param orderType "market" or "limit"
#' @param orderPrice numeric limit price (needed for market order because collared on price)
#' @param numShares number of shares. Numeric class integer only.
#' @param stopPrice numeric stop price
rh_placeStopSellOrder <- function(account, ticker, orderType, orderPrice, numShares, stopPrice) {
header <- account$user$authHeader
creds = list(
account = paste("https://api.robinhood.com/accounts/", account$user$accountNumber, "/", sep=""),
instrument = rh_getInstrumentURL(ticker),
symbol = ticker,
type = orderType,
time_in_force = "gtc",
trigger = "stop",
price = orderPrice,
stop_price = stopPrice,
quantity = numShares,
side = "sell"
)
res <- httr::POST("https://api.robinhood.com/orders/", encode = "json", body=creds, httr::add_headers(.headers=header))
orderStatus <- list()
orderStatus$order_id <- httr::content(res)$id
orderStatus$order_state <- httr::content(res)$state
return(orderStatus)
}
#' Place immediate sell order.
#'
#' Place an immediate trigger market/limit sell order.
#' @param userAuthToken oauth2 token generated by rh_getAuthToken.
#' @param accountNumber 8-digit account number generated by rh_getAccountNumber.
#' @param ticker Equity ticker symbol. All caps string.
#' @param orderType "market" or "limit"
#' @param orderPrice numeric limit price (needed for market order because collared on price)
#' @param numShares number of shares. Numeric class integer only.
rh_placeImmediateSellOrder <- function(account, ticker, orderType, orderPrice, numShares) {
header <- account$user$authHeader
creds = list(
account = paste("https://api.robinhood.com/accounts/", account$user$accountNumber, "/", sep=""),
instrument = rh_getInstrumentURL(ticker),
symbol = ticker,
type = orderType,
time_in_force = "gtc",
trigger = "immediate",
price = orderPrice,
quantity = numShares,
side = "sell"
)
res <- httr::POST("https://api.robinhood.com/orders/", encode = "json", body=creds, httr::add_headers(.headers=header))
orderStatus <- list()
orderStatus$order_id <- httr::content(res)$id
orderStatus$order_state <- httr::content(res)$state
return(orderStatus)
}
QuantumFuse/robinhoodQF documentation built on Sept. 27, 2019, 1:57 p.m.
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Defines functions rh_getOptionsOrders
### Add an options P/L function
#' Orders R6 Class
#'
#' Create an instance of the R6 Orders Class. Retrieve all transation history and profit/loss summary.
#' @param account Initialzied instance of Account class (robinhoodUser$account)
Orders <- R6::R6Class(
classname = "Orders",
inherit = Account,
portable = TRUE,
public = list(
account = NULL,
orders=NULL,
options_orders=NULL,
initialize = function(account){
stopifnot(inherits(account,"Account"))
self$account <- account
private$get_order_history()
private$get_options_history()
},
get_trade_timeline = function(ticker,orders){
grouped_tx<-orders[[4]]
DF<-as.data.frame(grouped_tx)
tickers<-DF$Ticker
tickers<-as.character(tickers)
return_idx<-which(tickers==ticker)
DF<-DF[return_idx,]
dates<-as.character.Date(DF$Date)
ticker<-as.character(ticker)
buy_style<-c("color:green;")
sell_style<-c("color: red;")
price<-NULL
order_type<-NULL
group_style<-NULL
for (i in 1:length(dates)){
if(DF$Shares[i]<0){
order_type[i]<-"BUY"
price[i]<-round((DF$values[i]/DF$Shares[i]),digits=2)
group_style[i]<-buy_style
}
else{
order_type[i]<-"SELL"
price[i]<-round((DF$values[i]/DF$Shares[i]),digits=2)
group_style[i]<-sell_style
}
}
shares<-DF$Shares
shares<-abs(shares)
proceeds<-DF$values
content<-paste(order_type,": ",shares, "shares, at",paste("$",as.character(price),sep=""),"Proceeds:",paste("$",proceeds,sep=""),sep=" ")
dataWeeklyT <- data.frame(
id = 1:length(dates),
start = c(dates),
content = c(content),
style=group_style,
className="QFTClass"
)
return(dataWeeklyT)
}
),
private=list(
get_order_history = function(){
header<-self$account$user$authHeader
Price<-NULL
State<-NULL
Shares<-NULL
Ticker<-NULL
Type<-NULL
cumulative_quantity<-NULL
Trigger<-NULL
last_transacted<-NULL
updated<-NULL
created<-NULL
avg_price<-NULL
stop_price<-NULL
response_category<-NULL
NEXTURL<-"https://api.robinhood.com/orders/"
while(is.null(NEXTURL)!=T){
res <- httr::GET(NEXTURL, httr::add_headers(.headers=header))
NEXTURL<-httr::content(res)$`next`
for (result in httr::content(res)$results) {
instrumentResponse <- httr::GET(result$url, httr::add_headers(.headers=header))
instrumentInfoResponse <- httr::GET(httr::content(instrumentResponse)$instrument, httr::add_headers(.headers=header))
State<-c(State,result$state)
if(result$state=="filled"){
if(result$response_category=="success"||result$response_category=="unknown"){
Ticker<-c(Ticker,httr::content(instrumentInfoResponse)$symbol)
Price<-c(Price,result$price)
Shares<-c(Shares,result$quantity)
Type<-c(Type,result$side)
last_transacted<-c(last_transacted,result$last_transaction_at)
updated<-c(updated,result$updated_at)
created<-c(created,result$created_at)
avg_price<-c(avg_price,result$average_price)
stop_price<-c(stop_price,result$stop_price)
response_category<-c(response_category,result$response_category)
cumulative_quantity<-c(cumulative_quantity,result$cumulative_quantity)
Trigger<-c(Trigger,result$trigger)
}
}
}
}
Price<-avg_price
Date<-last_transacted
orders<-data.frame(Type=Type,Ticker=Ticker,Price=Price,Shares=Shares,Date=Date)
tx_DF<-orders
tx_DF$Type<-as.character(tx_DF$Type)
tx_DF$Date<-as.Date(as.character(tx_DF$Date))
values<-NULL
grouped_tx_DF<-ddply(tx_DF,"Ticker",rbind)
grouped_tx_DF$Type<-as.character(grouped_tx_DF$Type)
grouped_tx_DF$Ticker<-as.character(grouped_tx_DF$Ticker)
grouped_tx_DF$Price<-as.numeric(as.character(grouped_tx_DF$Price))
grouped_tx_DF$Shares<-as.numeric(as.character(grouped_tx_DF$Shares))
for (i in 1:length(grouped_tx_DF$Type)){
if (grouped_tx_DF$Type[i]=="buy"){
order_type=-1
}
else {
order_type=1
}
grouped_tx_DF$Shares[i]<-grouped_tx_DF$Shares[i]*order_type
values[i]<-grouped_tx_DF$Price[i]*grouped_tx_DF$Shares[i]
}
grouped_tx_DF<-cbind(grouped_tx_DF,values)
grouped_tx<-grouped_tx_DF
grouped_tx_DF<-ddply(grouped_tx_DF,"Ticker",numcolwise(sum))
tickers_owned<-grouped_tx_DF$Ticker[which(grouped_tx_DF$Shares!=0)]
shares_owned<-abs(grouped_tx_DF$Shares[which(grouped_tx_DF$Shares!=0)])
current_value<-NULL
last_price<-NULL
for (i in 1:length(tickers_owned)){
data<-rh_quote(tickers_owned[i],header)
last_price[i]<-data
current_value[i]<-last_price[i]*shares_owned[i]
}
current_positions<-data.frame(Ticker=tickers_owned,Shares=shares_owned,"Last Price"=last_price,"Market Value"=current_value)
individual_pl<-grouped_tx_DF
individual_pl$values[which(individual_pl$Shares!=0)]<-individual_pl$values[which(individual_pl$Shares!=0)]+current_positions$Market.Value
individual_pl$Shares<-abs(individual_pl$Shares)
colnames(individual_pl)[4]<-"Profit/Loss"
day_stats<-self$account$day_stats
total_equity<-as.numeric(day_stats$Equity)
equities<-sum(current_positions$Market.Value)
cash<-total_equity-equities
tickers<-c("CASH",tickers_owned)
market_values<-c(cash,current_positions$Market.Value)
allocation <- data.frame(value = market_values,
Group = tickers) %>%
# factor levels need to be the opposite order of the cumulative sum of the values
mutate(Group = factor(Group, levels = rev(tickers)),
label = paste0(Group, " ", round(value / sum(value) * 100, 1), "%"))
return_list<-list(individual_pl,current_positions,allocation,grouped_tx,orders)
names(return_list)<-c("Individual_PL","Current_Positions","Allocation","Grouped_History","Transactions")
self$orders <- return_list
},
get_options_history = function(){
header <- self$account$user$authHeader
Price<-NULL
Premium<-NULL
State<-NULL
Quantity<-NULL
Ticker<-NULL
Type<-NULL
cumulative_quantity<-NULL
Trigger<-NULL
last_transacted<-NULL
updated<-NULL
created<-NULL
avg_price<-NULL
stop_price<-NULL
response_category<-NULL
Direction<-NULL
NEXTURL<-"https://api.robinhood.com/options/orders/"
while(is.null(NEXTURL)!=T){
res <- httr::GET(NEXTURL, httr::add_headers(.headers=header))
NEXTURL<-httr::content(res)$`next`
results<-httr::content(res)$results
for (i in 1:length(results)) {
result<-results[[i]]
if(result$state=="filled"){
if(result$response_category=="success"||result$response_category=="unknown"){
State<-c(State,result$state)
Ticker<-c(Ticker,result$chain_symbol)
Price<-c(Price,result$price)
Premium<-c(Premium,result$premium)
Direction<-c(Direction,result$direction)
Quantity<-c(Quantity,result$quantity)
if (is.null(result$opening_strategy)){
Type<-c(Type,result$closing_strategy)
}
else{
Type<-c(Type,result$opening_strategy)
}
updated<-c(updated,result$updated_at)
created<-c(created,result$created_at)
response_category<-c(response_category,result$response_category)
Trigger<-c(Trigger,result$trigger)
}
}
}
}
Date<-updated
ORDERS<-data.frame(Type=Type,Ticker=Ticker,Price=Price,Premium=Premium,Quantity=Quantity,Date=Date,Direction=Direction)
options_history<-ORDERS
options_history$Premium<-as.numeric(as.character(options_history$Premium))
options_history$Quantity<-as.numeric(as.character(options_history$Quantity))
for (i in 1:length(options_history$Direction)){if (options_history$Direction[i]=="debit"){options_history$Premium[i]<-options_history$Premium[i]*-1}}
Value<-options_history$Premium*options_history$Quantity
options_history<-cbind(options_history,Value)
#######################################################
values<-NULL
grouped_tx_DF<-ddply(options_history,"Ticker",rbind)
grouped_tx_DF$Shares<-grouped_tx_DF$Quantity
for (i in 1:length(grouped_tx_DF$Value)){
if (grouped_tx_DF$Value[i] < 0){
order_type=-1
}
else {
order_type=1
}
grouped_tx_DF$Quantity[i]<-grouped_tx_DF$Quantity[i]*order_type
}
grouped_tx_DF<-ddply(grouped_tx_DF,"Ticker",numcolwise(sum))
###########################################################
# * insert code to get quotes for contracts currently owned
###########################################################
idx_owned<-which(grouped_tx_DF$Ticker%in%self$account$optionsPositionsTable$ticker)
tickers_owned<-grouped_tx_DF$Ticker[idx_owned]
# * doesn't account for options that opened with multiple legs in the order but closed with each leg in a separate order
expired_idx<-which(grouped_tx_DF$Quantity!=0 & (grouped_tx_DF$Ticker%in%tickers_owned==FALSE))
current_value<-NULL
### Manual fix
#grouped_tx_DF[idx_owned,]$Value<-grouped_tx_DF[idx_owned,]$Value+*current_value_of_contracts_owned*
#grouped_tx_DF[idx_owned,]$Value<-grouped_tx_DF[idx_owned,]$Value+263
individual_options_pnl<-grouped_tx_DF[,c(1,4)]
toReturn<-list("transactions"=options_history,"pnl"=individual_options_pnl)
self$options_orders <- toReturn
}
)
)
##################
##################
# Convert to R6 ##
### Add in legs processing logic -- currently returns duplicate rows
rh_getOptionsOrders <- function(header) {
Ticker<-NULL
Direction<-NULL
Premium<-NULL
processed_quantity<-NULL
pending_quantity<-NULL
Quantity<-NULL
Price<-NULL
Trigger<-NULL
State<-NULL
Date<-NULL
opening_strategy<-NULL
closing_strategy<-NULL
leg_side<-NULL
leg_position_effect<-NULL
leg_execution_time<-NULL
leg_execution_price<-NULL
leg_execution_quantity<-NULL
NEXTURL<-"https://api.robinhood.com/options/orders/"
while(is.null(NEXTURL)!=T){
res <- GET(NEXTURL, add_headers(.headers=header))
NEXTURL<-content(res)$`next`
results<-httr::content(res)$results
for (i in 1:length(results)) {
State<-c(State,results[[i]]$state)
if(results[[i]]$state=="filled"){
if(results[[i]]$response_category=="success"||results[[i]]$response_category=="unknown"){
open_strat<-results[[i]]$opening_strategy
if(is.null(open_strat)){open_strat<-"None"}
opening_strategy<-c(opening_strategy,open_strat)
close_strat<-results[[i]]$closing_strategy
if(is.null(close_strat)){close_strat<-"None"}
closing_strategy<-c(closing_strategy,close_strat)
legs<-results[[i]]$legs
for (j in 1:length(legs)){
leg<-legs[[j]]
for (k in 1:length(leg)){
leg_side<-c(leg_side,leg$side)
leg_position_effect<-c(leg_position_effect,leg$position_effect)
leg_execution_price<-c(leg_execution_price,leg$executions[[1]]$price)
leg_execution_time<-c(leg_execution_time,leg$executions[[1]]$timestamp)
leg_execution_quantity<-c(leg_execution_quantity,leg$executions[[1]]$quantity)
}
}
Ticker<-c(Ticker,results[[i]]$chain_symbol)
Direction<-c(Direction,results[[i]]$direction)
Premium<-c(Premium,results[[i]]$premium)
processed_quantity<-c(processed_quantity,results[[i]]$processed_quantity)
pending_quantity<-c(pending_quantity,results[[i]]$pending_quantity)
Quantity<-c(Quantity,results[[i]]$quantity)
Date<-c(Date,results[[i]]$updated_at)
Price<-c(Price,results[[i]]$price)
Trigger<-c(Trigger,results[[i]]$trigger)
}
}
}
}
options_df<-data.frame(Date=Date,Ticker=Ticker,Direction=Direction,Premium=Premium,Price=Price,Quantity=Quantity,Open=opening_strategy,Close=closing_strategy)
options_df<-options_df%>%mutate_at(vars(Premium,Price,Quantity),funs(as.numeric(.)))
Value<-NULL
for (i in 1:length(options_df$Ticker)){
if(options_df$Direction[i]=="debit"){
Value[i]<-options_df$Quantity[i]*options_df$Premium[i]*(-1)
}
else{Value[i]<-options_df$Quantity[i]*options_df$Premium[i]}
}
options_df<-cbind(options_df,Value)
values<-NULL
grouped_tx_DF<-ddply(options_df,"Ticker",rbind)
grouped_tx_DF$Shares<-as.numeric(as.character(grouped_tx_DF$Quantity))
for (i in 1:length(grouped_tx_DF$Value)){
if (grouped_tx_DF$Value[i] < 0){
order_type=-1
}
else {
order_type=1
}
grouped_tx_DF$Quantity[i]<-grouped_tx_DF$Quantity[i]*order_type
}
grouped_tx_DF<-ddply(grouped_tx_DF,"Ticker",numcolwise(sum))
###########################################################
# * insert code to get quotes for contracts currently owned
###########################################################
idx_owned<-which(grouped_tx_DF$Ticker%in%robinhoodUser$account$optionsPositionsTable$ticker)
tickers_owned<-grouped_tx_DF$Ticker[idx_owned]
expired_idx<-which(grouped_tx_DF$Quantity!=0 & (grouped_tx_DF$Ticker%in%tickers_owned==FALSE))
current_value<-NULL
### Manual fix
#grouped_tx_DF[idx_owned,]$Value<-grouped_tx_DF[idx_owned,]$Value+*current_value_of_contracts_owned*
grouped_tx_DF[idx_owned,]$Value<-grouped_tx_DF[idx_owned,]$Value+263
individual_pnl<-grouped_tx_DF[,c(1,5)]
# Effect<-NULL
# for(i in 1:length(ORDERS$Ticker)){
# if(ORDERS$Open[i]=="None"){
# Effect[i]<-"close"
# }
# else if (ORDERS$Close[i]=="None"){
# Effect[i]<-"open"
# }
# }
# ORDERS<-cbind(ORDERS,Effect)
return(list(orders=options_df,individual_pnl=individual_pnl))
}
get_robinhood_options_trades<-function(options_history){
option_trade_groups<-NULL
credit_trades<-NULL
debit_trades<-NULL
ticker_trades<-NULL
tickers<-as.character(options_history$Ticker)
for (i in 1:length(options_history)){
row_idx<-which(options_history$Ticker==tickers[i])
option_trade_groups[[i]]<-options_history[row_idx,]
credit_trades_idx<-which((option_trade_groups[[i]]$position_effect=="open"&option_trade_groups[[i]]$direction=="credit")|(option_trade_groups[[i]]$position_effect=="close"&option_trade_groups[[i]]$direction=="credit"))
debit_trades_idx<-which((option_trade_groups[[i]]$position_effect=="close"&option_trade_groups[[i]]$direction=="debit")|(option_trade_groups[[i]]$position_effect=="open"&option_trade_groups[[i]]$direction=="debit"))
credit_trades[[i]]<-option_trade_groups[[i]][credit_trades_idx,]
credit_trades[[i]]<-credit_trades[[i]][credit_trades[[i]]$side=="sell",]
debit_trades[[i]]<-option_trade_groups[[i]][debit_trades_idx,]
debit_trades[[i]]<-debit_trades[[i]][debit_trades[[i]]$side=="buy",]
ticker_trades[[i]]<-rbind(debit_trades[[i]],credit_trades[[i]])
}
names(ticker_trades)<-options_history
return(ticker_trades)
}
#' Place immediate buy order.
#'
#' Place an immediate trigger market/limit buy order.
#' @param account Initialized instance of the R6 Account class. Generated by Account$new(login).
#' @param ticker Equity ticker symbol. All caps string.
#' @param orderType "market" or "limit"
#' @param orderPrice numeric limit price (needed for market order because collared on price)
#' @param numShares number of shares. Numeric class integer only.
rh_placeImmediateBuyOrder <- function(account, ticker, orderType, orderPrice, numShares) {
header <- account$user$authHeader
creds = list(
account = paste("https://api.robinhood.com/accounts/", account$user$accountNumber, "/", sep=""),
instrument = rh_getInstrumentURL(ticker),
symbol = ticker,
type = orderType,
time_in_force = "gtc",
trigger = "immediate",
price = orderPrice,
quantity = numShares,
side = "buy"
)
res <- httr::POST("https://api.robinhood.com/orders/", encode = "json", body=creds, httr::add_headers(.headers=header))
print(httr::content(res)$state)
orderStatus <- list()
orderStatus$order_id <- httr::content(res)$id
orderStatus$order_state <- httr::content(res)$state
return(orderStatus)
}
#' Place stop buy order.
#'
#' Place a stop trigger market/limit buy order.
#' @param account Initialized instance of the R6 Account class. Generated by Account$new(login).
#' @param ticker Equity ticker symbol. All caps string.
#' @param orderType "market" or "limit"
#' @param orderPrice numeric limit price (needed for market order because collared on price)
#' @param numShares number of shares. Numeric class integer only.
#' @param stopPrice numeric stop price
rh_placeStopBuyOrder <- function(account, ticker, orderType, orderPrice, numShares, stopPrice) {
header <- account$user$authHeader
creds = list(
account = paste("https://api.robinhood.com/accounts/", account$user$accountNumber, "/", sep=""),
instrument = rh_getInstrumentURL(ticker),
symbol = ticker,
type = orderType,
time_in_force = "gtc",
trigger = "stop",
price = orderPrice,
stop_price = stopPrice,
quantity = numShares,
side = "buy"
)
res <- httr::POST("https://api.robinhood.com/orders/", encode = "json", body=creds, httr::add_headers(.headers=header))
orderStatus <- list()
orderStatus$order_id <- httr::content(res)$id
orderStatus$order_state <- httr::content(res)$state
return(orderStatus)
}
#' Place stop sell order.
#'
#' Place a stop trigger market/limit sell order.
#' @param account Initialized instance of the R6 Account class. Generated by Account$new(login).
#' @param ticker Equity ticker symbol. All caps string.
#' @param orderType "market" or "limit"
#' @param orderPrice numeric limit price (needed for market order because collared on price)
#' @param numShares number of shares. Numeric class integer only.
#' @param stopPrice numeric stop price
rh_placeStopSellOrder <- function(account, ticker, orderType, orderPrice, numShares, stopPrice) {
header <- account$user$authHeader
creds = list(
account = paste("https://api.robinhood.com/accounts/", account$user$accountNumber, "/", sep=""),
instrument = rh_getInstrumentURL(ticker),
symbol = ticker,
type = orderType,
time_in_force = "gtc",
trigger = "stop",
price = orderPrice,
stop_price = stopPrice,
quantity = numShares,
side = "sell"
)
res <- httr::POST("https://api.robinhood.com/orders/", encode = "json", body=creds, httr::add_headers(.headers=header))
orderStatus <- list()
orderStatus$order_id <- httr::content(res)$id
orderStatus$order_state <- httr::content(res)$state
return(orderStatus)
}
#' Place immediate sell order.
#'
#' Place an immediate trigger market/limit sell order.
#' @param userAuthToken oauth2 token generated by rh_getAuthToken.
#' @param accountNumber 8-digit account number generated by rh_getAccountNumber.
#' @param ticker Equity ticker symbol. All caps string.
#' @param orderType "market" or "limit"
#' @param orderPrice numeric limit price (needed for market order because collared on price)
#' @param numShares number of shares. Numeric class integer only.
rh_placeImmediateSellOrder <- function(account, ticker, orderType, orderPrice, numShares) {
header <- account$user$authHeader
creds = list(
account = paste("https://api.robinhood.com/accounts/", account$user$accountNumber, "/", sep=""),
instrument = rh_getInstrumentURL(ticker),
symbol = ticker,
type = orderType,
time_in_force = "gtc",
trigger = "immediate",
price = orderPrice,
quantity = numShares,
side = "sell"
)
res <- httr::POST("https://api.robinhood.com/orders/", encode = "json", body=creds, httr::add_headers(.headers=header))
orderStatus <- list()
orderStatus$order_id <- httr::content(res)$id
orderStatus$order_state <- httr::content(res)$state
return(orderStatus)
}
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