def test_floor_with_ten_ones_inputs(self):
# Arrange
floor = 0.00005
floored_atr = AverageTrueRange(10, value_floor=floor)
for _i in range(20):
floored_atr.update_raw(1.00000, 1.00000, 1.00000)
# Act, Assert
assert floored_atr.value == 5e-05
def test_floor_with_ten_ones_inputs(self):
# Arrange
floor = 0.00005
floored_atr = AverageTrueRange(10, value_floor=floor)
for i in range(20):
floored_atr.update(1.00000, 1.00000, 1.00000)
# Act
# Assert
self.assertEqual(5e-05, floored_atr.value)
def __init__(
self,
symbol: Symbol,
bar_spec: BarSpecification,
trade_size: Decimal,
fast_ema_period: int,
slow_ema_period: int,
atr_period: int,
trail_atr_multiple: float,
order_id_tag: str, # Must be unique at 'trader level'
):
"""
Initialize a new instance of the `EMACrossStopEntryWithTrailingStop` class.
Parameters
----------
symbol : Symbol
The symbol for the strategy.
bar_spec : BarSpecification
The bar specification for the strategy.
trade_size : Decimal
The position size per trade.
fast_ema_period : int
The period for the fast EMA indicator.
slow_ema_period : int
The period for the slow EMA indicator.
atr_period : int
The period for the ATR indicator.
trail_atr_multiple : float
The ATR multiple for the trailing stop.
order_id_tag : str
The unique order identifier tag for the strategy. Must be unique
amongst all running strategies for a particular trader identifier.
"""
super().__init__(order_id_tag=order_id_tag)
# Custom strategy variables
self.symbol = symbol
self.bar_type = BarType(symbol, bar_spec)
self.trade_size = trade_size
self.trail_atr_multiple = trail_atr_multiple
self.instrument = None # Initialize in on_start
self.tick_size = None # Initialize in on_start
self.price_precision = None # Initialize in on_start
# Create the indicators for the strategy
self.fast_ema = ExponentialMovingAverage(fast_ema_period)
self.slow_ema = ExponentialMovingAverage(slow_ema_period)
self.atr = AverageTrueRange(atr_period)
# Users order management variables
self.entry = None
self.trailing_stop = None
def test_handle_bar_updates_indicator(self):
# Arrange
indicator = AverageTrueRange(10)
bar = TestStubs.bar_5decimal()
# Act
indicator.handle_bar(bar)
# Assert
self.assertTrue(indicator.has_inputs)
self.assertEqual(2.999999999997449e-05, indicator.value)
def test_handle_bar_updates_indicator(self):
# Arrange
indicator = AverageTrueRange(10)
bar = TestDataStubs.bar_5decimal()
# Act
indicator.handle_bar(bar)
# Assert
assert indicator.has_inputs
assert indicator.value == 2.999999999997449e-05
def __init__(
self,
symbol: Symbol,
bar_spec: BarSpecification,
trade_size: Decimal,
fast_ema_period: int=10,
slow_ema_period: int=20,
atr_period: int=20,
trail_atr_multiple: float=2.0,
):
"""
Initialize a new instance of the `EMACrossWithTrailingStop` class.
Parameters
----------
symbol : Symbol
The symbol for the strategy.
bar_spec : BarSpecification
The bar specification for the strategy.
trade_size : Decimal
The position size per trade.
fast_ema_period : int
The period for the fast EMA indicator.
slow_ema_period : int
The period for the slow EMA indicator.
atr_period : int
The period for the ATR indicator.
trail_atr_multiple : float
The ATR multiple for the trailing stop.
"""
# The order_id_tag should be unique at the 'trader level', here we are
# just using the traded instruments symbol as the strategy order id tag.
super().__init__(order_id_tag=symbol.code.replace('/', ""))
# Custom strategy variables
self.symbol = symbol
self.bar_type = BarType(symbol, bar_spec)
self.trade_size = trade_size
self.trail_atr_multiple = trail_atr_multiple
self.instrument = None # Initialize in on_start
self.tick_size = None # Initialize in on_start
# Create the indicators for the strategy
self.fast_ema = ExponentialMovingAverage(fast_ema_period)
self.slow_ema = ExponentialMovingAverage(slow_ema_period)
self.atr = AverageTrueRange(atr_period)
# Users order management variables
self.entry = None
self.trailing_stop = None
def __init__(self, config: EMACrossBracketConfig):
super().__init__(config)
# Configuration
self.instrument_id = InstrumentId.from_str(config.instrument_id)
self.bar_type = BarType.from_str(config.bar_type)
self.bracket_distance_atr = config.bracket_distance_atr
self.trade_size = Decimal(config.trade_size)
# Create the indicators for the strategy
self.atr = AverageTrueRange(config.atr_period)
self.fast_ema = ExponentialMovingAverage(config.fast_ema_period)
self.slow_ema = ExponentialMovingAverage(config.slow_ema_period)
self.instrument: Optional[Instrument] = None # Initialized in on_start
def test_floor_with_exponentially_decreasing_high_inputs(self):
# Arrange
floor = 0.00005
floored_atr = AverageTrueRange(10, value_floor=floor)
high = 1.00020
low = 1.00000
close = 1.00000
for _i in range(20):
high -= (high - low) / 2
floored_atr.update_raw(high, low, close)
# Act, Assert
assert floored_atr.value == 5e-05
def __init__(self, config: VolatilityMarketMakerConfig):
super().__init__(config)
# Configuration
self.instrument_id = InstrumentId.from_str(config.instrument_id)
self.bar_type = BarType.from_str(config.bar_type)
self.trade_size = Decimal(config.trade_size)
self.atr_multiple = config.atr_multiple
# Create the indicators for the strategy
self.atr = AverageTrueRange(config.atr_period)
self.instrument: Optional[Instrument] = None # Initialized in on_start
# Users order management variables
self.buy_order: Union[LimitOrder, None] = None
self.sell_order: Union[LimitOrder, None] = None
def __init__(
self,
instrument_id: InstrumentId,
bar_spec: BarSpecification,
trade_size: Decimal,
atr_period: int,
atr_multiple: float,
order_id_tag: str, # Must be unique at 'trader level'
):
"""
Initialize a new instance of the `VolatilityMarketMaker` class.
Parameters
----------
instrument_id : InstrumentId
The instrument identifier for the strategy.
bar_spec : BarSpecification
The bar specification for the strategy.
trade_size : Decimal
The position size per trade.
atr_period : int
The period for the ATR indicator.
atr_multiple : float
The ATR multiple for bracketing limit orders.
order_id_tag : str
The unique order identifier tag for the strategy. Must be unique
amongst all running strategies for a particular trader identifier.
"""
super().__init__(order_id_tag=order_id_tag)
# Custom strategy variables
self.instrument_id = instrument_id
self.bar_type = BarType(instrument_id, bar_spec)
self.trade_size = trade_size
self.atr_multiple = atr_multiple
self.instrument = None # Request on start instead
self.price_precision = None # Initialized on start
# Create the indicators for the strategy
self.atr = AverageTrueRange(atr_period)
# Users order management variables
self.buy_order: Union[LimitOrder, None] = None
self.sell_order: Union[LimitOrder, None] = None
def __init__(
self,
symbol: Symbol,
bar_spec: BarSpecification,
trade_size: Decimal,
atr_period: int = 20,
atr_multiple: float = 2.0,
):
"""
Initialize a new instance of the `VolatilityMarketMaker` class.
Parameters
----------
symbol : Symbol
The symbol for the strategy.
bar_spec : BarSpecification
The bar specification for the strategy.
trade_size : Decimal
The position size per trade.
atr_period : int
The period for the ATR indicator.
atr_multiple : float
The ATR multiple for bracketing limit orders.
"""
# The order_id_tag should be unique at the 'trader level', here we are
# just using the traded instruments symbol as the strategy order id tag.
super().__init__(order_id_tag=symbol.code.replace('/', ""))
# Custom strategy variables
self.symbol = symbol
self.bar_type = BarType(symbol, bar_spec)
self.trade_size = trade_size
self.atr_multiple = atr_multiple
self.instrument = None # Request on start instead
self.price_precision = None # Initialized on start
# Create the indicators for the strategy
self.atr = AverageTrueRange(atr_period)
# Users order management variables
self.buy_order: Union[LimitOrder, None] = None
self.sell_order: Union[LimitOrder, None] = None
def __init__(self, config: EMACrossWithTrailingStopConfig):
super().__init__(config)
# Configuration
self.instrument_id = InstrumentId.from_str(config.instrument_id)
self.bar_type = BarType.from_str(config.bar_type)
self.trade_size = Decimal(config.trade_size)
self.trail_atr_multiple = config.trail_atr_multiple
# Create the indicators for the strategy
self.fast_ema = ExponentialMovingAverage(config.fast_ema_period)
self.slow_ema = ExponentialMovingAverage(config.slow_ema_period)
self.atr = AverageTrueRange(config.atr_period)
self.instrument: Optional[Instrument] = None # Initialized in on_start
self.tick_size = None # Initialized in on_start
# Users order management variables
self.entry = None
self.trailing_stop = None
def __init__(self,
symbol: Symbol,
bar_spec: BarSpecification,
risk_bp: float = 10.0,
fast_ema: int = 10,
slow_ema: int = 20,
atr_period: int = 20,
sl_atr_multiple: float = 2.0,
extra_id_tag: str = ''):
"""
Initializes a new instance of the EMACrossPy class.
:param symbol: The symbol for the strategy.
:param bar_spec: The bar specification for the strategy.
:param risk_bp: The risk per trade (basis points).
:param fast_ema: The fast EMA period.
:param slow_ema: The slow EMA period.
:param atr_period: The ATR period.
:param sl_atr_multiple: The ATR multiple for stop-loss prices.
:param extra_id_tag: An optional extra tag to append to order ids.
"""
super().__init__(order_id_tag=symbol.code + extra_id_tag,
bar_capacity=40)
# Custom strategy variables
self.symbol = symbol
self.bar_type = BarType(symbol, bar_spec)
self.precision = 5 # dummy initial value for FX
self.risk_bp = risk_bp
self.entry_buffer = 0.0 # instrument.tick_size
self.SL_buffer = 0.0 # instrument.tick_size * 10
self.SL_atr_multiple = sl_atr_multiple
self.position_sizer = None # initialized in on_start()
self.quote_currency = None # initialized in on_start()
# Create the indicators for the strategy
self.fast_ema = ExponentialMovingAverage(fast_ema)
self.slow_ema = ExponentialMovingAverage(slow_ema)
self.atr = AverageTrueRange(atr_period)
def setUp(self):
# Arrange
self.atr = AverageTrueRange(10)
def setUp(self):
# Fixture Setup
self.atr = AverageTrueRange(10)