def run(strategy_name):
""" Run transformation and model seletion for each strategy.
Args:
strategy_name: string. Name of the strategy. e.g. 'Euler'.
Returns:
void.
"""
# Find the transformer and the strategy module.
module_name = strategy_name.lower()
# The transformer.
malt = __import__('malt.strategies.' + module_name + '.transformer')
strategies = getattr(malt, 'strategies')
transformer = getattr(getattr(strategies, module_name), 'transformer')
# The strategy module.
strategy_module = common.get_strategy_module(strategy_name)
# Run their respective main functions.
transformer.main()
strategy_module.main()
return
def run_at_day_open(executor, instrument):
""" Run the operations at day's open. Gather yesterday's prices, predict
today's price changes and take appropriate actions.
Args:
executor: exec.Executor. The object for executing trades.
instrument: string. The currency pair. e.g. 'EUR_USD'.
Returns:
void.
"""
# Log.
logger.info("Daily run: On %s.", instrument)
# Get yesterday's candle first.
yesterdays_candle = get_yesterdays_candle(instrument)
# Load the model strategy parameters.
model_loc, param_loc = common.get_strategy_loc(instrument)
model = joblib.load(model_loc)
strategy_params = json.load(open(param_loc, 'r'))
logger.info("Strategy: %s.", str(strategy_params))
# Instantiate the right strategy object from name.
name = strategy_params['name']
module = common.get_strategy_module(name)
strategy = getattr(module, name)(instrument)
# Set the parameters.
strategy.set_params(**strategy_params)
strategy.model = model
logger.info("Model: %s.", str(model))
# Execute.
strategy.execute(executor, yesterdays_candle)
return
