def __init__(self, settings):
nbars = settings.getint("NBarEntry", "nbars")
self.high = High()
self.low = Low()
self.range = Subtract(self.high, self.low)
self.minrange = Lowest(self.range, nbars)
self.lastrange = HistoricMetric(self.range, 1)
self.lastminrange = HistoricMetric(self.minrange, 2)
self.lasthigh = HistoricMetric(self.high,1)
self.lastlow = HistoricMetric(self.low,1)
class NBarEntryManager:
def __init__(self, settings):
nbars = settings.getint("NBarEntry", "nbars")
self.high = High()
self.low = Low()
self.range = Subtract(self.high, self.low)
self.minrange = Lowest(self.range, nbars)
self.lastrange = HistoricMetric(self.range, 1)
self.lastminrange = HistoricMetric(self.minrange, 2)
self.lasthigh = HistoricMetric(self.high,1)
self.lastlow = HistoricMetric(self.low,1)
def handle(self, perioddata):
self.high.handle(perioddata)
self.low.handle(perioddata)
self.range.handle(perioddata)
self.minrange.handle(perioddata)
self.lastrange.handle(perioddata)
self.lastminrange.handle(perioddata)
self.lasthigh.handle(perioddata)
self.lastlow.handle(perioddata)
self.lastdd = perioddata
def checkTrade(self):
if self.lastrange.ready() and self.lastminrange.ready() \
and self.lastrange.value() < self.lastminrange.value():
# we have an N-bar, take a break long or short and hold to close
if self.lastdd.high > self.lasthigh.value():
entry = max(self.lastdd.open, self.lasthigh.value() + 0.01)
stop = self.lastlow.value() - 0.01
if entry < 0:
entry = 0
if stop < 0:
stop = 0
if entry > stop and entry > 0:
trade = Trade(self.lastdd.stock, self.lastdd.date, entry, stop)
trade.exit = self.lastdd.date
if self.lastdd.low <= stop:
trade.exitPrice = stop
else:
trade.exitPrice = self.lastdd.close
return trade
elif self.lastdd.low < self.lastlow.value():
entry = min(self.lastdd.open,self.lastlow.value() - 0.01)
stop = self.lasthigh.value() + 0.01
if entry < 0:
entry = 0
if stop < 0:
stop = 0
if entry < stop and entry > 0:
trade = Trade(self.lastdd.stock, self.lastdd.date, entry, stop)
trade.exit = self.lastdd.date
if self.lastdd.high >= stop:
trade.exitPrice = stop
else:
trade.exitPrice = self.lastdd.close
return trade
return None
def recommendedPreload(self):
return self.lastminrange.recommendedPreload()
