def __init__(self):
self.attributes = {"smooth":True}
self._timer = event.Every(self.intervalDistr)
event.subscribe(self._timer, _(self)._wakeUp, self)
self.reset()
def __init__(self):
self._event = event.subscribe(self.source, _(self)._update, self)
event.subscribe(event.Every(constant(self.timeframe)),
_(self)._flush, self)
self.reset()
self._mean = CMA(self.source)
self._stddev = StdDev(self.source)
def __init__(self):
self._event = event.subscribe(self.source, _(self)._update, self)
event.subscribe(event.Every(constant(self.timeframe)),
_(self)._flush, self)
self.reset()
self._mean = self.source.Cumulative.Avg
self._stddev = self.source.Cumulative.StdDev
def createSimulation(name='All'):
with createScheduler() as world:
myRegistry = registry.create()
ctx = Context(world, Graph)
dependency_ex = strategy.side.PairTrading(ctx.book_B)\
.Strategy(event.Every(math.random.expovariate(1.)),
order.side.Market())
def register(annotated_objects):
for obj, alias in annotated_objects:
if alias is not None:
obj._alias = alias
myRegistry.insert(obj)
register([
(dependency_ex, None),
])
myRegistry.pushAllReferences()
def process(name):
constructor = predefined[name]
traders = constructor(ctx)
books = orderBooksToRender(ctx, traders)
for t in traders + list(ctx.books.itervalues()) + ctx.graphs:
myRegistry.insert(t)
if name != 'All':
process(name)
else:
for n in predefined.iterkeys():
process(n)
myRegistry.insert(world)
root = myRegistry.insert(registry.createSimulation(myRegistry))
from marketsim.context import BindingContextEx
myRegistry.get(root).bind_ex(BindingContextEx({"world": world}))
myRegistry.get(root).registerIn(myRegistry)
if name != 'All':
current_dir = current_user_dir()
ensure_dir_ex(current_dir)
if os.path.exists(os.path.join(current_dir, name)):
i = 0
while os.path.exists(
os.path.join(current_dir, name + "." + str(i))):
i += 1
name += '.' + str(i)
return name, root, myRegistry, world
def __init__(self):
Strategy.__init__(self)
self._current = None
self._estimators = []
for s in self.strategies:
event.subscribe(s.on_order_created, _(self).send, self)
e = self.performance(self.account(s))
e._origin = s
self._estimators.append(e)
event.subscribe(event.Every(constant(1.)), _(self)._wakeUp, self)
def __init__(self):
# orders created by trader
from marketsim.gen._out.trader._singleproxy import SingleProxy
from marketsim.gen._out.orderbook._oftrader import OfTrader
self._elements = []
self._eventGen = event.Every(self.cancellationIntervalDistr)
self._myTrader = SingleProxy()
self._book = OfTrader(self._myTrader)
self.on_order_created = event.Event()
def __init__(self):
self._quotes = None
self._current = None
event.subscribe(event.Every(constant(1)), _(self)._wakeUp, self)
def __init__(self):
self.attributes = {'smooth': True}
self._dataSource = self.x
IndicatorBase.__init__(self)
self._subscription = event.subscribe(event.Every(constant(self.dt)),
self.fire, self)
def __init__(self):
event.subscribe(event.Every(constant(1)), self.fire, self)
