class Strategy(object):
def __init__(self, balance, log=False, commission=.0002, flat_rate=8):
self.portfolio = Portfolio(balance, commission, flat_rate)
self._log = log
self._today_data = None
self.day = 0
def run(self, data_stream):
for i in range(data_stream.shape[1]):
self._today_data = data_stream.iloc[:, i, :]
self.observe_datum(data_stream.iloc[:, i, :])
self.act()
self.day += 1
def observe_datum(self, datum):
raise NotImplementedError
def log(self, string):
if self._log:
print(string)
def liquidate(self):
for ticker in self.portfolio.tickers():
self.sell_max(ticker)
def act(self):
raise NotImplementedError
def price(self, tickers):
return self._today_data['Adj Close'][tickers]
def value(self, correct=True):
datum = self._today_data
return self.portfolio.value(datum, correct)
def sell(self, ticker, shares=1):
self.portfolio.sell(ticker, self.price(ticker), shares)
def sell_max(self, ticker):
self.portfolio.sell_max(ticker, self.price(ticker))
def buy(self, ticker, shares=1):
self.portfolio.buy(ticker, self.price(ticker), shares)
def buy_max(self, ticker, weight=1.):
self.portfolio.buy_max(ticker, self.price(ticker), weight)
def batch_buy(self, tickers, weights):
if type(weights) is dict:
weights = [weights[ticker] for ticker in tickers]
if sum(weights) > 1:
weights = [w / sum(weights) for w in weights]
self.portfolio.batch_buy(tickers, self.price(tickers), weights)
class Strategy(object):
def __init__(self, balance, log=False, commission=.0002, flat_rate=8):
self.portfolio = Portfolio(balance, commission, flat_rate)
self._log = log
self._today_data = None
self.day = 0
def run(self, data_stream):
for i in range(data_stream.shape[1]):
self._today_data = data_stream.iloc[:, i, :]
self.observe_datum(data_stream.iloc[:, i, :])
self.act()
self.day += 1
def observe_datum(self, datum):
raise NotImplementedError
def log(self, string):
if self._log:
print(string)
def liquidate(self):
for ticker in self.portfolio.tickers():
self.sell_max(ticker)
def act(self):
raise NotImplementedError
def price(self, tickers):
return self._today_data['Adj Close'][tickers]
def value(self, correct=True):
datum = self._today_data
return self.portfolio.value(datum, correct)
def sell(self, ticker, shares=1):
self.portfolio.sell(ticker, self.price(ticker), shares)
def sell_max(self, ticker):
self.portfolio.sell_max(ticker, self.price(ticker))
def buy(self, ticker, shares=1):
self.portfolio.buy(ticker, self.price(ticker), shares)
def buy_max(self, ticker, weight=1.):
self.portfolio.buy_max(ticker, self.price(ticker), weight)
def batch_buy(self, tickers, weights):
if type(weights) is dict:
weights = [weights[ticker] for ticker in tickers]
if sum(weights) > 1:
weights = [w / sum(weights) for w in weights]
self.portfolio.batch_buy(tickers, self.price(tickers), weights)
