def run(self):
logger.info("starting ATS")
self.app_context.start()
self.strategy.start(self.app_context)
logger.info("ATS started, presss Ctrl-C to stop")
def on_bar(self, bar):
if self.buy_order is None and self.sma_fast.now('value') > self.sma_slow.now('value'):
self.buy_order = self.market_order(inst_id=bar.inst_id, action=Buy, qty=self.qty)
logger.info("%s,B,%s,%s,%.2f,%.2f,%.2f" % (
bar.timestamp, self.buy_order.cl_id, self.buy_order.cl_ord_id, bar.close, self.sma_fast.now('value'),
self.sma_slow.now('value')))
elif self.buy_order is not None and self.sma_fast.now('value') < self.sma_slow.now('value'):
sell_order = self.market_order(inst_id=bar.inst_id, action=Sell, qty=self.qty)
logger.info("%s,S,%s,%s,%.2f,%.2f,%.2f" % (
bar.timestamp, sell_order.cl_id, sell_order.cl_ord_id, bar.close, self.sma_fast.now('value'),
self.sma_slow.now('value')))
self.buy_order = None
def import_inst_from_ib(broker,
symbol,
sec_type='STK',
exchange=None,
currency=None):
try:
result = AsyncResult()
logger.info("importing symbol %s" % symbol)
broker.reqContractDetails(symbol=symbol,
sec_type=sec_type,
exchange=exchange,
currency=currency,
callback=result)
# broker.reqScannerSubscription(inst_type='STK', location_code='STK.US', scan_code='TOP_PERC_GAIN', above_vol=1000000, callback=callback)
logger.info("done %s %s" % (symbol, result.get(timeout=3)))
except Exception as e:
logger.error("faile to import %s", symbol, e)
def on_bar(self, bar):
ratio = self.vix_close.now('value') / self.vxv_close.now('close')
# what is order is not filled and there is signal again?
if self.order is None:
# long XIV at the close when VIX index closed below the VXV index
# long XIV when ratio < 0.92
if ratio < self.threshold[0]:
logger.info("%s,B,%.2f" % (bar.timestamp, bar.close))
if bar.inst_id == self.xiv.id():
self.order = self.market_order(inst_id=bar.inst_id,
action=Buy,
qty=self.qty)
# long VXX when ratio > 1.08
elif ratio > self.threshold[1]:
logger.info("%s,B,%.2f" % (bar.timestamp, bar.close))
if bar.inst_id == self.vxx.id():
self.order = self.market_order(inst_id=bar.inst_id,
action=Buy,
qty=self.qty)
def run(self):
logger.info("starting BackTest")
self.app_context.start()
self.portfolio = self.app_context.portf_mgr.get_or_new_portfolio(
self.config.get_app_config("portfolioId"),
self.config.get_app_config("portfolioInitialcash"))
self.strategy = self.app_context.stg_mgr.get_or_new_stg(
self.config.get_app_config("stgId"),
self.config.get_app_config("stgCls"))
self.initial_result = self.portfolio.get_result()
self.app_context.add_startable(self.portfolio)
self.portfolio.start(self.app_context)
self.strategy.start(self.app_context)
result = self.portfolio.get_result()
print("Initial:", self.initial_result)
print("Final:", result)
if self.is_plot:
self.plot()
def run(self):
logger.info("importing data")
self.app_context.start()
config = self.app_context.config
feed = self.app_context.provider_mgr.get(
config.get_app_config("feedId"))
feed.start(self.app_context)
instruments = self.app_context.ref_data_mgr.get_insts_by_ids(
config.get_app_config("instrumentIds"))
for sub_req in build_subscription_requests(
feed.id(), instruments,
config.get_app_config("subscriptionTypes"),
config.get_app_config("fromDate"),
config.get_app_config("toDate")):
feed.subscribe_mktdata(sub_req)
logger.info("ATS started, presss Ctrl-C to stop")
for i in range(1, 1000):
time.sleep(1)
logger.info(".")
def save(self, obj):
logger.info("[%s] saving %s" % (self.__class__.__name__, obj))
id = get_model_id(obj)
packed_data = protobuf_to_dict(obj)
t = type(obj)
self.db_map[t].update({'_id': id}, packed_data, upsert=True)
def log(self, item) -> None:
logger.info(model_to_str(item))
self.count[type(item)] += 1
self.last_item[type(item)] = item
def on_new_ord_req(self, order):
logger.info("[%s] %s" % (self.__class__.__name__, order))
return order
def _start(self, app_context: Context) -> None:
self.__server = zerorpc.Server(self)
self.__server.bind(self.__address)
logger.info("starting OMS")
self.__server.run()