def TrendFollowerEx(average = None, #mathutils.ewma(alpha = 0.15),
threshold = 0.,
orderFactory = order.MarketFactory,
creationIntervalDistr = mathutils.rnd.expovariate(1.),
volumeDistr = mathutils.rnd.expovariate(1.)):
if average is None:
average = mathutils.ewma(alpha = 0.15)
orderBook = orderbook.OfTrader()
trend = observable.Fold(observable.Price(orderBook),
observable.derivative(average))
r = Generic(orderFactory= orderFactory,
volumeFunc = volumeDistr,
eventGen = scheduler.Timer(creationIntervalDistr),
sideFunc = SignalSide(trend, threshold))
return r
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)