def evaluate_quote_update(self, context, quote):
"""
This method is called for every market data tick update on the requested symbols.
"""
symbol_contexts = context.symbol_contexts[quote.symbol]
# logging.debug("I'm evaluating the data for %s" % (quote, ))
if len(symbol_contexts.quotes) > 25: # i.e. we have enough data
quoteTimes = [
time.mktime(o.start_time.timetuple())
for o in symbol_contexts.quotes
]
closePrices = asarray(symbol_contexts.closes)
ema_10 = financial.ema(closePrices[-10:], 10)
ema_25 = financial.ema(closePrices[-15:], 15)
symbolContext.ema_10.append(ema_10)
symbolContext.ema_25.append(ema_25)
if ema_10 > ema_25:
if context.symbolContexts[quote.symbol].position is False:
# create a LONG position
logging.debug("Opening position on quote: %s" % (quote, ))
context.place_order(
Order(quote.symbol,
1,
Entry(Entry.Type.MARKET),
Direction.LONG,
stoploss=StopLoss(StopLoss.Type.FIXED, 20),
take_profit=25))
context.symbol_contexts[quote.symbol].position = True
else:
if context.symbol_contexts[quote.symbol].position is True:
context.symbol_contexts[quote.symbol].position = False
def evaluate_quote_update(self, context, quote):
"""
This method is called for every market data tick update on the requested symbols.
"""
symbol_contexts = context.symbol_contexts[quote.symbol]
# logging.debug("I'm evaluating the data for %s" % (quote, ))
if len(symbol_contexts.quotes) > 25: # i.e. we have enough data
quoteTimes = [time.mktime(o.start_time.timetuple()) for o in symbol_contexts.quotes]
closePrices = asarray(symbol_contexts.closes)
ema_10 = financial.ema(closePrices[-10:], 10)
ema_25 = financial.ema(closePrices[-15:], 15)
symbolContext.ema_10.append(ema_10)
symbolContext.ema_25.append(ema_25)
if ema_10 > ema_25:
if context.symbolContexts[quote.symbol].position is False:
# create a LONG position
logging.debug("Opening position on quote: %s" % (quote,))
context.place_order(
Order(
quote.symbol,
1,
Entry(Entry.Type.MARKET),
Direction.LONG,
stoploss=StopLoss(StopLoss.Type.FIXED, 20),
take_profit=25,
)
)
context.symbol_contexts[quote.symbol].position = True
else:
if context.symbol_contexts[quote.symbol].position is True:
context.symbol_contexts[quote.symbol].position = False
def evaluate_quote_update(self, context, quote):
"""
This method is called for every market data tick update on the requested symbols.
"""
symbolContext = context.symbol_contexts[quote.symbol]
# logging.debug("I'm evaluating the data for %s" % (quote, ))
if len(symbolContext.quotes) > self.emaPeriod: # i.e. we have enough data
space = 5
if quote.start_time.time() > datetime.time(21, 0) or quote.start_time.time() < datetime.time(7, 0):
# not normal EURUSD active period
return
if quote.start_time.weekday() >= 5:
# it's a weekend
return
if quote.start_time.weekday() == 4 and quote.start_time.time() > datetime.time(12, 0):
# no positions after 12 on Friday
return
closePrices = asarray(symbolContext.closes)
ema = financial.ema(closePrices[-self.emaPeriod:], self.emaPeriod)
bar_height = symbolContext.high - symbolContext.low
# bar_is_largest = bar_height > (symbolContext.highs[-1] - symbolContext.lows[-1])
bar_is_lowest = symbolContext.low < min(list(symbolContext.lows)[-space:-1])
bar_is_highest = symbolContext.high > max(list(symbolContext.highs)[-space:-1])
buy_signal = bar_is_lowest and ((min(symbolContext.open, symbolContext.close) - symbolContext.low) * 1.5) >= (symbolContext.high - symbolContext.low)
sell_signal = bar_is_highest and ((symbolContext.high - max(symbolContext.open, symbolContext.close)) * 1.5) >= (symbolContext.high - symbolContext.low)
open_positions = list(context.open_positions())
if quote.close > ema and sell_signal:
# if context.quote_contexts[quote.symbol].position is False:
# create a LONG position
if len(open_positions) != 0:
position = open_positions[0]
if position.order.direction is Direction.SHORT:
context.close_position(position)
else:
logging.debug("Opening position on quote: %s" % (quote,))
context.place_order(Order(quote.symbol, 50, Entry(Entry.Type.MARKET), Direction.SHORT, stoploss=self.stopLoss, take_profit=self.takeProfit))
# context.quote_contexts[quote.symbol].position = True
elif quote.close < ema and buy_signal:
if len(open_positions) != 0:
position = open_positions[0]
if position.order.direction is Direction.LONG:
context.close_position(position)
else:
logging.debug("Opening position on quote: %s" % (quote,))
context.place_order(Order(quote.symbol, 50, Entry(Entry.Type.MARKET), Direction.SHORT, stoploss=self.stopLoss, take_profit=self.takeProfit))
def evaluate_quote_update(self, context, quote):
"""
This method is called for every market data tick update on the requested symbols.
"""
symbolContext = context.symbol_contexts[quote.symbol]
# logging.debug("I'm evaluating the data for %s" % (quote, ))
if len(symbolContext.quotes
) > self.emaPeriod: # i.e. we have enough data
space = 5
if quote.start_time.time() > datetime.time(
21, 0) or quote.start_time.time() < datetime.time(7, 0):
# not normal EURUSD active period
return
if quote.start_time.weekday() >= 5:
# it's a weekend
return
if quote.start_time.weekday(
) == 4 and quote.start_time.time() > datetime.time(12, 0):
# no positions after 12 on Friday
return
closePrices = asarray(symbolContext.closes)
ema = financial.ema(closePrices[-self.emaPeriod:], self.emaPeriod)
bar_height = symbolContext.high - symbolContext.low
# bar_is_largest = bar_height > (symbolContext.highs[-1] - symbolContext.lows[-1])
bar_is_lowest = symbolContext.low < min(
list(symbolContext.lows)[-space:-1])
bar_is_highest = symbolContext.high > max(
list(symbolContext.highs)[-space:-1])
buy_signal = bar_is_lowest and (
(min(symbolContext.open, symbolContext.close) -
symbolContext.low) * 1.5) >= (symbolContext.high -
symbolContext.low)
sell_signal = bar_is_highest and (
(symbolContext.high -
max(symbolContext.open, symbolContext.close)) *
1.5) >= (symbolContext.high - symbolContext.low)
open_positions = list(context.open_positions())
if quote.close > ema and sell_signal:
# if context.quote_contexts[quote.symbol].position is False:
# create a LONG position
if len(open_positions) != 0:
position = open_positions[0]
if position.order.direction is Direction.SHORT:
context.close_position(position)
else:
logging.debug("Opening position on quote: %s" % (quote, ))
context.place_order(
Order(quote.symbol,
50,
Entry(Entry.Type.MARKET),
Direction.SHORT,
stoploss=self.stopLoss,
take_profit=self.takeProfit))
# context.quote_contexts[quote.symbol].position = True
elif quote.close < ema and buy_signal:
if len(open_positions) != 0:
position = open_positions[0]
if position.order.direction is Direction.LONG:
context.close_position(position)
else:
logging.debug("Opening position on quote: %s" % (quote, ))
context.place_order(
Order(quote.symbol,
50,
Entry(Entry.Type.MARKET),
Direction.SHORT,
stoploss=self.stopLoss,
take_profit=self.takeProfit))
