class SignalLine:
ema10_constant = 10
# 10 period EMA of the MCAD
def __init__(self):
self.ema10 = ExponentialMovingAverage(SignalLine.ema10_constant)
def evaluate(self, current_mcad):
ema10_result = self.ema10.evaluate(current_mcad)
if ema10_result == CalculationStatus.Invalid:
return CalculationStatus.Invalid
return ema10_result
def reset(self):
self.ema10.reset()
def notify(self, market_snapshot: MarketSnapshot):
decisions = []
for i, stock_snapshot in enumerate(market_snapshot.stock_snapshots):
stock_snapshot_helper = StockSnapshotHelper(stock_snapshot)
mid_price = stock_snapshot_helper.get_mid_price()
curr_mcad = self.mcads[i].evaluate(mid_price)
self.visualization_data.add_price(stock_snapshot.ticker, mid_price)
del_mcad = 0
if curr_mcad == CalculationStatus.Invalid:
self.visualization_data.add_mcad(stock_snapshot.ticker, 0)
continue
else:
self.visualization_data.add_mcad(stock_snapshot.ticker,
curr_mcad)
self.mcad_EMA = ExponentialMovingAverage(9)
if self.old_mcads[i] == CalculationStatus.Invalid:
self.old_mcads[i] = curr_mcad
continue
curr_mcad_EMA = self.mcad_EMA.evaluate(curr_mcad)
if curr_mcad_EMA == CalculationStatus.Invalid:
self.old_mcad_EMA[i] = curr_mcad_EMA
continue
else:
del_mcad = SignFunction.evaluate(
curr_mcad -
curr_mcad_EMA) - SignFunction.evaluate(self.old_mcads[i] -
curr_mcad_EMA)
self.old_mcad_EMA[i] = curr_mcad_EMA
if del_mcad > 0:
decisions.append(
(stock_snapshot.ticker, -self.transaction_amount))
elif del_mcad < 0:
decisions.append(
(stock_snapshot.ticker, self.transaction_amount))
return decisions
class Mcad:
ema15_constant = 15
ema40_constant = 40
def __init__(self):
self.ema15 = ExponentialMovingAverage(Mcad.ema15_constant)
self.ema40 = ExponentialMovingAverage(Mcad.ema40_constant)
def evaluate(self, current_price):
ema15_result = self.ema15.evaluate(current_price)
ema40_result = self.ema40.evaluate(current_price)
if ema15_result == CalculationStatus.Invalid or ema40_result == CalculationStatus.Invalid:
return CalculationStatus.Invalid
return ema15_result - ema40_result
def reset(self):
self.ema15.reset()
self.ema40.reset()
def __init__(self):
self.ema15 = ExponentialMovingAverage(Mcad.ema15_constant)
self.ema40 = ExponentialMovingAverage(Mcad.ema40_constant)
def __init__(self):
self.ema10 = ExponentialMovingAverage(SignalLine.ema10_constant)
class McadSignalLine:
def __init__(self, total_capital, num_stocks):
self.transaction_amount = total_capital / num_stocks
self.mcads = []
self.old_mcads = []
self.mcad_EMA = []
self.old_mcad_EMA = []
self.visualization_data = VisualizationData()
for count in range(num_stocks):
self.mcads.append(Mcad())
for count in range(num_stocks):
self.old_mcads.append(CalculationStatus.Invalid)
for count in range(num_stocks):
self.mcad_EMA.append()
for count in range(num_stocks):
self.old_mcad_EMA.append(CalculationStatus.Invalid)
def notify(self, market_snapshot: MarketSnapshot):
decisions = []
for i, stock_snapshot in enumerate(market_snapshot.stock_snapshots):
stock_snapshot_helper = StockSnapshotHelper(stock_snapshot)
mid_price = stock_snapshot_helper.get_mid_price()
curr_mcad = self.mcads[i].evaluate(mid_price)
self.visualization_data.add_price(stock_snapshot.ticker, mid_price)
del_mcad = 0
if curr_mcad == CalculationStatus.Invalid:
self.visualization_data.add_mcad(stock_snapshot.ticker, 0)
continue
else:
self.visualization_data.add_mcad(stock_snapshot.ticker,
curr_mcad)
self.mcad_EMA = ExponentialMovingAverage(9)
if self.old_mcads[i] == CalculationStatus.Invalid:
self.old_mcads[i] = curr_mcad
continue
curr_mcad_EMA = self.mcad_EMA.evaluate(curr_mcad)
if curr_mcad_EMA == CalculationStatus.Invalid:
self.old_mcad_EMA[i] = curr_mcad_EMA
continue
else:
del_mcad = SignFunction.evaluate(
curr_mcad -
curr_mcad_EMA) - SignFunction.evaluate(self.old_mcads[i] -
curr_mcad_EMA)
self.old_mcad_EMA[i] = curr_mcad_EMA
if del_mcad > 0:
decisions.append(
(stock_snapshot.ticker, -self.transaction_amount))
elif del_mcad < 0:
decisions.append(
(stock_snapshot.ticker, self.transaction_amount))
return decisions
def reset(self):
for mcad in self.mcads:
mcad.reset()
self.old_mcads = [
CalculationStatus.Invalid for old_mcad in self.old_mcads
]
visualization_data_holder = self.visualization_data
self.visualization_data = VisualizationData()
return visualization_data_holder