def RSI(ctx):
const = ops.constant
linear_signal = signal.RandomWalk(initialValue=20,
deltaDistr=const(-.1),
label="20-0.1t")
one = const(1)
rsi = observable.OnEveryDt(one.value,
observable.Fold(
observable.MidPrice(
orderbook.OfTrader()),
mathutils.rsi()))
threshold = 30
demo = ctx.addGraph('demo')
myVolume = lambda: [(observable.VolumeTraded(), demo)]
myRsi = lambda: [(rsi, demo)]
alpha = 1./14
myRsiBis = lambda: [(observable.OnEveryDt(1,
observable.RSI(orderbook.OfTrader(),
1,
alpha)),
demo)]
return [
ctx.makeTrader_A(
strategy.LiquidityProvider(
event.Every(ops.constant(1.)),
order.factory.sideprice.Limit(volume=const(4))),
"liquidity"),
ctx.makeTrader_A(strategy.Signal(event.Every(ops.constant(1.)),
order.factory.side.Market(),
linear_signal),
"signal",
[(linear_signal, ctx.amount_graph)]),
ctx.makeTrader_A(strategy.RSIbis(event.Every(ops.constant(1.)),
order.factory.side.Market(one),
alpha = alpha,
timeframe = 1,
threshold=threshold),
"rsi_bis",
myVolume() + myRsiBis()),
ctx.makeTrader_A(strategy.v0.RSIEx(alpha = alpha,
threshold=threshold,
volumeDistr=one,
creationIntervalDistr=one),
"rsi_ex", (myVolume() + myRsi() +
Constant(threshold, demo) +
Constant(100-threshold, demo)))
]
def RSIEx ( alpha = 1./14,
threshold = 30,
orderFactory = order.MarketFactory,
volumeDistr = mathutils.rnd.expovariate(1.),
creationIntervalDistr = mathutils.rnd.expovariate(1.)):
orderBook = orderbook.OfTrader()
rsi = observable.Fold(observable.Price(orderBook), mathutils.rsi(alpha))
r = Generic(orderFactory= orderFactory,
volumeFunc = volumeDistr,
eventGen = scheduler.Timer(creationIntervalDistr),
sideFunc = RelativeStrengthIndexSide(orderBook, rsi, threshold))
return r
def __init__(self, orderBook=None, rsi=None, threshold=30):
self.orderBook = orderBook if orderBook is not None else orderbook.OfTrader()
self.rsi = rsi if rsi is not None else observable.Fold(observable.Price(self.orderBook),
mathutils.rsi(1./14))
self.threshold = threshold
def getDefinitions(self):
return { 'rsi' : observable.Fold(observable.MidPrice(orderbook.OfTrader()),
mathutils.rsi(self.alpha)) }
