def __init__(self):
self._eventGen = event.Every(self.creationIntervalDistr) # TODO: dependency tracking
self._signalFunc_ = ops.Derivative(
observable.EWMA(
observable.MidPrice(orderbook.OfTrader()),
self.ewma_alpha))
SignalBase.__init__(self)
def __init__(self):
self._eventGen = event.Every(self.creationIntervalDistr)
price = observable.MidPrice(orderbook.OfTrader())
self._average1 = observable.EWMA(price, self.ewma_alpha1)
self._average2 = observable.EWMA(price, self.ewma_alpha2)
SignalBase.__init__(self)
def __init__(self):
self._eventGen = scheduler.Timer(self.creationIntervalDistr) # TODO: dependency tracking
self._signalFunc_ = observable.Fold(observable.Price(orderbook.OfTrader()),
observable.derivative(self.average))
SignalBase.__init__(self)
def __init__(self):
self._eventGen = scheduler.Timer(self.creationIntervalDistr)
price = observable.Price(orderbook.OfTrader())
self._average1 = observable.Fold(price, self.average1)
self._average2 = observable.Fold(price, self.average2)
SignalBase.__init__(self)
