def calculate_signals(self, event):
"""
For "Buy and Hold" we generate a single signal per symbol
and then no additional signals. This means we are
constantly long the market from the date of strategy
initialisation.
Parameters
event - A MarketEvent object.
"""
if event.type == 'MARKET':
for s in self.symbol_list:
bars = self.bars.get_latest_bars(s, N=200)
if bars is not None and bars != [] and len(bars) > 199:
hist_data = pd.DataFrame(bars).as_matrix()[:,3].tolist()
pred = self.generate_prediction(hist_data)
if self.bought[s] == False:
if pred == 1:
# (Symbol, Datetime, Type = LONG, SHORT or EXIT)
signal = SignalEvent(bars[0][0], bars[0][1], 'LONG')
self.events.put(signal)
self.bought[s] = True
# if pred == -1:
## # (Symbol, Datetime, Type = LONG, SHORT or EXIT)
signal = SignalEvent(bars[0][0], bars[0][1], 'SHORT')
# self.events.put(signal)
# self.bought[s] = True
else:
if pred == -1:
signal = SignalEvent(bars[0][0], bars[0][1], 'EXIT')
self.events.put(signal)
self.bought[s] = False
def generate_signal(self, event):
if event.type == 'MARKET':
for symbol in self.symbol_list:
bars = self.data_handler.get_latest_bars_values(symbol,
"close",
N=0)
if bars is not None:
sema = talib.EMA(bars, self.short_window)[-1]
self.sema[symbol].append(sema)
lema = talib.EMA(bars, self.long_window)[-1]
self.lema[symbol].append(lema)
dt = self.data_handler.get_latest_bar_datetime(symbol)
if len(self.sema[symbol]
) > 1 and self.sema[symbol][-2] != None:
if sema > lema and self.sema[symbol][-2] < self.lema[
symbol][-2] and self.bought[symbol] == "OUT":
signal = SignalEvent(symbol, dt, 'LONG')
self.events.put(signal)
self.bought[symbol] = 'LONG'
elif sema < lema and self.sema[symbol][-2] > self.lema[
symbol][-2] and self.bought[symbol] == "LONG":
signal = SignalEvent(symbol, dt, 'EXIT')
self.events.put(signal)
self.bought[symbol] = 'OUT'
def calculate_signals(self, event):
"""
For "Buy and Hold" we generate a single signal per symbol
and then no additional signals. This means we are
constantly long the market from the date of strategy
initialisation.
Parameters
event - A MarketEvent object.
"""
if event.type == 'MARKET':
for s in self.symbol_list:
bars = self.bars.get_latest_bars(s, N=1)
if bars is not None and bars != []:
if self.bought[s] == False:
# (Symbol, Datetime, Type = LONG, SHORT or EXIT)
signal = SignalEvent(bars[0][0], bars[0][1], 'LONG')
self.events.put(signal)
self.bought[s] = True
def _order_quantity(self,
symbol,
dt,
price,
adj_factor,
quantity,
direction_str,
signal_type=None):
"""
Parameters
----------
direction: {1: 多头；0：空头}
action：{1：开仓；0：平仓}
"""
if direction_str.lower() == 'long':
direction = 1
action = 1 if quantity > 0 else -1
elif direction_str.lower() == 'short':
direction = -1
action = -1 if quantity > 0 else 1
else:
raise ValueError('请输入正确的下单参数！')
adj_price = price * adj_factor
# 触发signal事件
signal_event = SignalEvent(dt,
symbol,
direction,
action,
abs(quantity),
price,
adj_price,
adj_factor,
signal_type,
margin_rate=1,
multiplier=1)
self.event.put(signal_event)
def calculate_signals(self, event):
"""
For "Buy and Hold" we generate a single signal per symbol
and then no additional signals. This means we are
constantly long the market from the date of strategy
initialisation.
Parameters
event - A MarketEvent object.
"""
if event.type == 'MARKET':
for s in self.symbol_list:
bars = self.bars.get_latest_bars(s, N=200)
if bars is not None and bars != [] and len(bars) > 10:
hist_data = pd.DataFrame(bars).as_matrix()[:, 3].tolist()
pred = self.generate_prediction(hist_data, 30, 1e-4)
if self.debug == 1:
print 'Predicting p=', pred
if pred == -1:
if self.short[s] == False:
signal = SignalEvent(bars[0][0], bars[0][1],
'SHORT')
self.events.put(signal)
self.short[s] = True
if self.bought[s] == True:
signal = SignalEvent(bars[0][0], bars[0][1],
'EXIT')
self.events.put(signal)
self.bought[s] = False
if pred == 1:
if self.short[s] == True:
signal = SignalEvent(bars[0][0], bars[0][1],
'EXIT')
self.events.put(signal)
self.short[s] = False
if self.bought[s] == False:
signal = SignalEvent(bars[0][0], bars[0][1],
'LONG')
self.events.put(signal)
self.bought[s] = True
#if self.bought[s] == False:
# signal = SignalEvent(bars[0][0], bars[0][1], 'SHORT')
# self.events.put(signal)
# self.bought[s] = True
#if self.debug == 1:
# print 'Going short!'
#if pred == 1:
#if self.bought == True:
# signal = SignalEvent(bars[0][0], bars[0][1], 'EXIT')
# self.events.put(signal)
# self.bought[s] = False
# if pred == 1:
# if self.bought == False:
# signal = SignalEvent(bars[0][0], bars[0][1], 'LONG')
# self.events.put(signal)
# self.bought[s] = True
# elif self.short == True:
# signal = SignalEvent(bars[0][0], bars[0][1], 'EXIT')
# self.events.put(signal)
# self.short[s] = False
# elif pred == -1:
# if self.bought == True:
# signal = SignalEvent(bars[0][0], bars[0][1], 'EXIT')
# self.events.put(signal)
# self.bought[s] = False
# elif self.short == False:
# signal = SignalEvent(bars[0][0], bars[0][1], 'SHORT')
# self.events.put(signal)
# self.short[s] = True
"""