def getImpl(self):
from marketsim.gen._out._const import const
from marketsim.gen._out._const import const
from marketsim.gen._out._const import const
from marketsim.gen._out.observable.rsi._Raw import Raw
from marketsim.gen._out.observable.orderbook._MidPrice import MidPrice
return const(100.0)-const(100.0)/(const(1.0)+Raw(MidPrice(self.book),self.timeframe,self.alpha))
def getImpl(self):
from marketsim.gen._out.side._Buy import Buy
from marketsim.gen._out.side._Sell import Sell
from marketsim.gen._out.side._Nothing import Nothing
from marketsim.gen._out._const import const
from marketsim.gen._out._const import const
return (self.signal>const(self.threshold))[Buy(), (self.signal<const(0.0-self.threshold))[Sell(), Nothing()]]
def constant(x = 1.):
from marketsim.gen._out._const import const
return const(x) if type(x) is float\
else Constant[float](x) if type(x) is int\
else Constant[Side](x) if x in [Side.Sell, Side.Buy]\
else Constant[bool](x) if type(x) is bool\
else None
def getImpl(self):
from marketsim.gen._out.observable.volumefunc._DesiredPosition import DesiredPosition
from marketsim.gen._out.observable._OnEveryDt import OnEveryDt
from marketsim.gen._out._const import const
from marketsim.gen._out.observable._RSI import RSI
from marketsim.gen._out.observable.orderbook._OfTrader import OfTrader
return DesiredPosition(OnEveryDt(1.0,const(50.0)-RSI(OfTrader(self.trader),self.timeframe,self.alpha))*self.k,self.trader)
def __init__(self, desiredPosition = None, trader = None):
from marketsim import float
from marketsim.ops._all import Observable
from marketsim.gen._out._const import const
from marketsim.gen._out.observable.trader._SingleProxy import SingleProxy
from marketsim import _
from marketsim import event
Observable[float].__init__(self)
self.desiredPosition = desiredPosition if desiredPosition is not None else const()
self.trader = trader if trader is not None else SingleProxy()
self.impl = self.getImpl()
event.subscribe(self.impl, _(self).fire, self)
def __init__(self, alpha = None, k = None, trader = None):
from marketsim import float
from marketsim.ops._all import Observable
from marketsim.gen._out._const import const
from marketsim.gen._out.observable.trader._SingleProxy import SingleProxy
from marketsim import _
from marketsim import event
Observable[float].__init__(self)
self.alpha = alpha if alpha is not None else 0.15
self.k = k if k is not None else const(0.5)
self.trader = trader if trader is not None else SingleProxy()
self.impl = self.getImpl()
event.subscribe(self.impl, _(self).fire, self)
def __init__(self, source = None, timeframe = None):
from marketsim.gen._out._const import const
from marketsim import event
from marketsim import types
from marketsim import event
from marketsim import types
self.source = source if source is not None else const()
self.timeframe = timeframe if timeframe is not None else 10.0
Lagged_Impl.__init__(self)
if isinstance(source, types.IEvent):
event.subscribe(self.source, self.fire, self)
if isinstance(timeframe, types.IEvent):
event.subscribe(self.timeframe, self.fire, self)
def convert(other):
from marketsim.gen._out._const import const
if type(other) in [int, float]:
other = const(other)
return other
def const(self):
from marketsim.gen._out._const import const
return const(self)
def const(self):
from marketsim.gen._out._const import const
return const(self)
def __init__(self, source = None, timeframe = None):
from marketsim.gen._out._const import const
self.source = source if source is not None else const()
self.timeframe = timeframe if timeframe is not None else 100.0
self.impl = self.getImpl()
def __init__(self, source = None, alpha = None):
from marketsim.gen._out._const import const
self.source = source if source is not None else const()
self.alpha = alpha if alpha is not None else 0.015
self.impl = self.getImpl()
def getImpl(self):
from marketsim.gen._out.side._Sell import Sell
from marketsim.gen._out.side._Buy import Buy
from marketsim.gen._out._const import const
return (self.side_distribution>const(0.5))[Sell(), Buy()]
def getImpl(self):
return const(self.x)
def getImpl(self):
from marketsim.gen._out.observable._Max import Max
from marketsim.gen._out._const import const
from marketsim.gen._out.observable._Lagged import Lagged
return Max(const(0.0),Lagged(self.source,self.timeframe)-self.source)
def __init__(self, source = None):
from marketsim.gen._out._const import const
self.source = source if source is not None else const()
CMA_Impl.__init__(self)
def getImpl(self):
from marketsim.gen._out.observable.orderbook._AskPrice import AskPrice
from marketsim.gen._out.observable.orderbook._BidPrice import BidPrice
from marketsim.gen._out._const import const
return (AskPrice(self.book)+BidPrice(self.book))/const(2.0)
