def TradeIfProfitable(ctx):
ctx.volumeStep = 30
slow_alpha = 0.015
fast_alpha = 0.15
linear_signal = math.RandomWalk(initialValue=200,
deltaDistr=constant(-1),
name="200-t")
demo = ctx.addGraph('demo')
myVolume = lambda: [(trader.Position(), demo)]
myAverage = lambda alpha: [(orderbook.OfTrader().MidPrice.EW_Avg(alpha).
OnEveryDt(1), demo)]
def cross(alpha1, alpha2):
return strategy.CrossingAverages(
event.Every(constant(1.)), order.side.Market(volume=constant(1.)),
alpha1, alpha2)
avg_plus_virt = strategy.TradeIfProfitable(
cross(slow_alpha, fast_alpha), strategy.account.virtualMarket())
avg_minus_virt = strategy.TradeIfProfitable(
cross(fast_alpha, slow_alpha), strategy.account.virtualMarket())
avg_plus_real = strategy.TradeIfProfitable(cross(slow_alpha, fast_alpha),
strategy.account.real())
avg_minus_real = strategy.TradeIfProfitable(cross(fast_alpha, slow_alpha),
strategy.account.real())
return [
ctx.makeTrader_A(
strategy.LiquidityProvider(orderFactory=order.side_price.Limit(
volume=constant(45))), "liquidity"),
ctx.makeTrader_A(
strategy.Signal(event.Every(constant(1.)),
order.side.Market(volume=constant(20)),
linear_signal), "signal",
[(linear_signal, ctx.amount_graph)]),
ctx.makeTrader_A(
cross(slow_alpha, fast_alpha), 'avg+',
myAverage(slow_alpha) + myAverage(fast_alpha) + myVolume()),
ctx.makeTrader_A(cross(fast_alpha, slow_alpha), 'avg-', myVolume()),
ctx.makeTrader_A(avg_plus_virt, 'avg+ virt', myVolume()),
ctx.makeTrader_A(avg_minus_virt, 'avg- virt', myVolume()),
ctx.makeTrader_A(avg_plus_real, 'avg+ real', myVolume()),
ctx.makeTrader_A(avg_minus_real, 'avg- real', myVolume()),
]
def s_fv(fv):
return strategy.TradeIfProfitable(
strategy.side.FundamentalValue(const(fv)).Strategy(orderFactory=order.side.Market(volume=const(1))))
def Complete(ctx):
ctx.volumeStep = 100
c_200 = const(200.)
fv_200_12 = strategy.side.FundamentalValue(c_200).Strategy(orderFactory=order.side.Market(volume=const(12)))
fv_200 = strategy.side.FundamentalValue(c_200).Strategy(orderFactory=order.side.Market(volume=const(1)))
def s_fv(fv):
return strategy.TradeIfProfitable(
strategy.side.FundamentalValue(const(fv)).Strategy(orderFactory=order.side.Market(volume=const(1))))
def fv_virtual(fv):
return ctx.makeTrader_A(s_fv(fv), "v" + str(fv))
return [
ctx.makeTrader_A(
strategy.price.LiquidityProvider()
.Strategy(orderFactory =
order.side_price.Limit(volume=constant(170))
.sideprice_WithExpiry(constant(10))),
"liquidity"),
ctx.makeTrader_A(fv_200_12, "t200"),
ctx.makeTrader_A(fv_200, "t200_1"),
ctx.makeTrader_A(strategy.side.FundamentalValue(const(150.))
.Strategy(event.Every(constant(1.)),
order.side.Market(const(1.))),
"t150"),
ctx.makeTrader_A(strategy.side.MeanReversion().Strategy(event.Every(constant(1.)),
order.side.Market(const(1.))),
"mr_0_15"),
ctx.makeTrader_A(strategy.side.CrossingAverages(alpha_1=0.15,
alpha_2=0.015)
.Strategy(event.Every(constant(1.)),
order.side.Market(const(1.))),
label="avg+"),
ctx.makeTrader_A(strategy.side.CrossingAverages(alpha_1=0.015,
alpha_2=0.15)
.Strategy(event.Every(constant(1.)),
order.side.Market(const(1.))),
label="avg-"),
ctx.makeTrader_A(strategy.TradeIfProfitable(fv_200),
"v_fv200"),
fv_virtual(160.),
fv_virtual(170.),
fv_virtual(180.),
fv_virtual(190.),
ctx.makeTrader_A(strategy.ChooseTheBest([
s_fv(160.),
s_fv(170.),
s_fv(180.),
s_fv(190.),
]),
"best")
]