def __init__(self):
_Holder_Impl.__init__(self)
# event to be fired when an order has been sent
self.on_order_sent = event.Event()
# event to be fired when an order issued by the trader has been matched
self.on_order_matched = event.Event()
# event to be fired when an order issued by the trader has been cancelled
self.on_order_disposed = event.Event()
# event to be fired when a trader's is traded; to be removed
self.on_traded = event.Event()
self.reset()
def __init__(self):
event.subscribe(self.inner.on_order_created, _(self).onOrderCreated, self)
event.subscribe(OnOrderMatched(), _(self)._onOrderMatched, self)
self.on_traded = event.Event()
self.orderBook = OfTrader()
self._balance = 0
self._position = 0
def __init__(self):
# orders created by trader
from marketsim.gen._out.trader._singleproxy import SingleProxy
from marketsim.gen._out.orderbook._oftrader import OfTrader
self._elements = []
self._eventGen = event.Every(self.cancellationIntervalDistr)
self._myTrader = SingleProxy()
self._book = OfTrader(self._myTrader)
self.on_order_created = event.Event()
def __init__(self, delta=None, volume=None):
from marketsim import rtti
from marketsim import event
from marketsim import _
self.delta = delta if delta is not None else 1.0
self.volume = volume if volume is not None else 20.0
rtti.check_fields(self)
self.impl = self.getImpl()
self.on_order_created = event.Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self, orderFactory = None, alpha = None, k = None):
from marketsim.gen._out.order._curried._signedvolume_marketsigned import signedVolume_MarketSigned_ as _order__curried_signedVolume_MarketSigned_
from marketsim import _
from marketsim import rtti
from marketsim.gen._out._const import const_Float as _const_Float
from marketsim import event
self.orderFactory = orderFactory if orderFactory is not None else _order__curried_signedVolume_MarketSigned_()
self.alpha = alpha if alpha is not None else 0.15
self.k = k if k is not None else _const_Float(0.5)
rtti.check_fields(self)
self.impl = self.getImpl()
self.on_order_created = event.Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self, eventGen = None, orderFactory = None, ewma_alpha = None):
from marketsim import _
from marketsim import rtti
from marketsim.gen._out.order._curried._side_market import side_Market_Float as _order__curried_side_Market_Float
from marketsim.gen._out.event._every import Every_Float as _event_Every_Float
from marketsim.gen._out.math.random._expovariate import expovariate_Float as _math_random_expovariate_Float
from marketsim import event
self.eventGen = eventGen if eventGen is not None else _event_Every_Float(_math_random_expovariate_Float(1.0))
self.orderFactory = orderFactory if orderFactory is not None else _order__curried_side_Market_Float()
self.ewma_alpha = ewma_alpha if ewma_alpha is not None else 0.15
rtti.check_fields(self)
self.impl = self.getImpl()
self.on_order_created = event.Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self, eventGen = None, orderFactory = None, bookToDependOn = None, factor = None):
from marketsim import _
from marketsim import rtti
from marketsim.gen._out.order._curried._side_market import side_Market_Float as _order__curried_side_Market_Float
from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
from marketsim.gen._out.event._every import Every_Float as _event_Every_Float
from marketsim.gen._out.math.random._expovariate import expovariate_Float as _math_random_expovariate_Float
from marketsim import event
self.eventGen = eventGen if eventGen is not None else _event_Every_Float(_math_random_expovariate_Float(1.0))
self.orderFactory = orderFactory if orderFactory is not None else _order__curried_side_Market_Float()
self.bookToDependOn = bookToDependOn if bookToDependOn is not None else _orderbook_OfTrader_IAccount()
self.factor = factor if factor is not None else 1.0
rtti.check_fields(self)
self.impl = self.getImpl()
self.on_order_created = event.Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self, inner=None, account=None, performance=None):
from marketsim import _
from marketsim import rtti
from marketsim.gen._out.strategy.weight.trader._trader_traderefficiencytrend import trader_TraderEfficiencyTrend_Float as _strategy_weight_trader_trader_TraderEfficiencyTrend_Float
from marketsim.gen._out.strategy._noise import Noise_IEventSideIObservableIOrder as _strategy_Noise_IEventSideIObservableIOrder
from marketsim.gen._out.strategy.account.inner._inner_virtualmarket import inner_VirtualMarket_ as _strategy_account_inner_inner_VirtualMarket_
from marketsim import event
self.inner = inner if inner is not None else _strategy_Noise_IEventSideIObservableIOrder(
)
self.account = account if account is not None else _strategy_account_inner_inner_VirtualMarket_(
)
self.performance = performance if performance is not None else _strategy_weight_trader_trader_TraderEfficiencyTrend_Float(
)
rtti.check_fields(self)
self.impl = self.getImpl()
self.on_order_created = event.Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self, initialValue = None, priceDistr = None, eventGen = None, orderFactory = None, side = None):
from marketsim import _
from marketsim import rtti
from marketsim.gen._out.math.random._lognormvariate import lognormvariate_FloatFloat as _math_random_lognormvariate_FloatFloat
from marketsim.gen._out.side._sell import Sell_ as _side_Sell_
from marketsim.gen._out.event._every import Every_Float as _event_Every_Float
from marketsim.gen._out.math.random._expovariate import expovariate_Float as _math_random_expovariate_Float
from marketsim.gen._out.order._curried._sideprice_limit import sideprice_Limit_Float as _order__curried_sideprice_Limit_Float
from marketsim import event
self.initialValue = initialValue if initialValue is not None else 100.0
self.priceDistr = priceDistr if priceDistr is not None else _math_random_lognormvariate_FloatFloat(0.0,0.1)
self.eventGen = eventGen if eventGen is not None else _event_Every_Float(_math_random_expovariate_Float(1.0))
self.orderFactory = orderFactory if orderFactory is not None else _order__curried_sideprice_Limit_Float()
self.side = side if side is not None else _side_Sell_()
rtti.check_fields(self)
self.impl = self.getImpl()
self.on_order_created = event.Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self,
ticker=None,
start=None,
end=None,
delta=None,
volume=None):
from marketsim import rtti
from marketsim import event
from marketsim import _
self.ticker = ticker if ticker is not None else "^GSPC"
self.start = start if start is not None else "2001-1-1"
self.end = end if end is not None else "2010-1-1"
self.delta = delta if delta is not None else 1.0
self.volume = volume if volume is not None else 1000.0
rtti.check_fields(self)
self.impl = self.getImpl()
self.on_order_created = event.Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self,
eventGen=None,
orderFactory=None,
signal=None,
threshold=None):
from marketsim import _
from marketsim import rtti
from marketsim.gen._out.order._curried._side_market import side_Market_Float as _order__curried_side_Market_Float
from marketsim.gen._out.event._every import Every_Float as _event_Every_Float
from marketsim.gen._out._constant import constant_Float as _constant_Float
from marketsim.gen._out.math.random._expovariate import expovariate_Float as _math_random_expovariate_Float
from marketsim import event
self.eventGen = eventGen if eventGen is not None else _event_Every_Float(
_math_random_expovariate_Float(1.0))
self.orderFactory = orderFactory if orderFactory is not None else _order__curried_side_Market_Float(
)
self.signal = signal if signal is not None else _constant_Float(0.0)
self.threshold = threshold if threshold is not None else 0.7
rtti.check_fields(self)
self.impl = self.getImpl()
self.on_order_created = event.Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self,
eventGen=None,
orderFactory=None,
alpha=None,
timeframe=None,
threshold=None):
from marketsim import _
from marketsim import rtti
from marketsim.gen._out.order._curried._side_market import side_Market_Float as _order__curried_side_Market_Float
from marketsim.gen._out.event._every import Every_Float as _event_Every_Float
from marketsim.gen._out.math.random._expovariate import expovariate_Float as _math_random_expovariate_Float
from marketsim import event
self.eventGen = eventGen if eventGen is not None else _event_Every_Float(
_math_random_expovariate_Float(1.0))
self.orderFactory = orderFactory if orderFactory is not None else _order__curried_side_Market_Float(
)
self.alpha = alpha if alpha is not None else (1.0 / 14)
self.timeframe = timeframe if timeframe is not None else 1.0
self.threshold = threshold if threshold is not None else 30.0
rtti.check_fields(self)
self.impl = self.getImpl()
self.on_order_created = event.Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self):
Base.__init__(self)
self.on_order_created = event.Event()