def __init__(self, *args, **kwargs):
self.exchanges = kwargs.pop('exchanges', None)
self.simulate_orders = kwargs.pop('simulate_orders', None)
super(ExchangeTradingAlgorithmBase, self).__init__(*args, **kwargs)
self.current_day = None
if self.simulate_orders is None and \
self.sim_params.arena == 'backtest':
self.simulate_orders = True
# Operations with retry features
self.attempts = dict(
get_transactions_attempts=5,
order_attempts=5,
synchronize_portfolio_attempts=5,
get_order_attempts=5,
get_open_orders_attempts=5,
cancel_order_attempts=5,
get_spot_value_attempts=5,
get_history_window_attempts=5,
retry_sleeptime=5,
)
self.blotter = ExchangeBlotter(
data_frequency=self.data_frequency,
# Default to NeverCancel in catalyst
cancel_policy=self.cancel_policy,
simulate_orders=self.simulate_orders,
exchanges=self.exchanges,
attempts=self.attempts,
)
self._marketplace = None
def __init__(self, *args, **kwargs):
super(ExchangeTradingAlgorithmBacktest, self).__init__(*args, **kwargs)
self.blotter = ExchangeBlotter(
data_frequency=self.data_frequency,
# Default to NeverCancel in catalyst
cancel_policy=self.cancel_policy,
)
log.info('initialized trading algorithm in backtest mode')
def __init__(self, *args, **kwargs):
self.exchanges = kwargs.pop('exchanges', None)
self.simulate_orders = kwargs.pop('simulate_orders', None)
super(ExchangeTradingAlgorithmBase, self).__init__(*args, **kwargs)
self.current_day = None
if self.simulate_orders is None \
and self.sim_params.arena == 'backtest':
self.simulate_orders = True
self.blotter = ExchangeBlotter(
data_frequency=self.data_frequency,
# Default to NeverCancel in catalyst
cancel_policy=self.cancel_policy,
simulate_orders=self.simulate_orders,
exchanges=self.exchanges
)