def onBars(self, bars):
bar = bars[self.__instrument]
if self.__mall[-1] is None:
return
self.testCon()
if self.__longPos is not None:
if self.exitLongSignal():
self.__longPos.exitMarket()
elif self.__shortPos is not None:
if self.exitShortSignal():
self.__shortPos.exitMarket()
elif self.__longPos is None and self.__shortPos is None:
if self.enterLongSignal():
shares = int(self.getBroker().getEquity() * 0.2 /
bar.getPrice())
self.__longPos = self.enterLong(self.__instrument, shares)
elif self.enterShortSignal():
shares = int(self.getBroker().getEquity() * 0.2 /
bar.getPrice())
self.__shortPos = self.enterShort(self.__instrument, shares)
def onBars(self, bars):
bar = bars[self.__instrument]
if self.__mall[-1] is None:
return
self.testCon()
if self.__longPos is not None:
if self.exitLongSignal():
self.__longPos.exitMarket()
elif self.__shortPos is not None:
if self.exitShortSignal():
self.__shortPos.exitMarket()
elif self.__longPos is None and self.__shortPos is None:
if self.enterLongSignal():
shares = int(self.getBroker().getEquity() * 0.2 / bar.getPrice())
self.__longPos = self.enterLong(self.__instrument, shares)
elif self.enterShortSignal():
shares = int(self.getBroker().getEquity() * 0.2 / bar.getPrice())
self.__shortPos = self.enterShort(self.__instrument, shares)
def onBars(self, bars):
if self.__sma[-1] is None:
return
bar = bars[self.__instrument]
#self.info("close:%s sma:%s rsi:%s" % (bar.getClose(), self.__sma[-1], self.__rsi[-1]))
if self.__position is None:
if bar.getPrice() > self.__sma[-1]:
# Enter a buy market order for 10 shares. The order is good till canceled.
self.__position = self.enterLong(self.__instrument, 10, True)
#print dir(self.__position)
# Check if we have to exit the position.
elif bar.getPrice() < self.__sma[-1] and not self.__position.exitActive():
self.__position.exitMarket()
def onBars(self, bars):
# Wait for enough bars to be available to calculate SMA and RSI.
if self.__macd.getHistogram()[-1] is None or self.__macd.getSignal()[-1] is None or self.__macd[-1] is None or self.__smaF[-1] is None or self.__smaS[-1] is None:
return
bar = bars[self.__instrument]
if self.__longPos is not None:
if self.exitLongSignal(bar):
self.__longPos.exitMarket()
self.__waitTime = self.__time
print "exit long:"+str(bar.getPrice())
elif self.__shortPos is not None:
if self.exitShortSignal(bar):
self.__shortPos.exitMarket()
self.__waitTime = self.__time
print "exit short:"+str(bar.getPrice())
else:
if self.__waitTime>0:
self.__waitTime-=1
elif self.enterLongSignal(bar):
shares = int(self.getBroker().getCash() * 0.9 / bars[self.__instrument].getPrice())
self.__longPos = self.enterLong(self.__instrument, shares, True)
self.__PosPrice = bar.getPrice()
print "enter long:"+str(bar.getPrice())
elif self.enterShortSignal(bar):
shares = int(self.getBroker().getCash() * 0.9 / bars[self.__instrument].getPrice())
self.__shortPos = self.enterShort(self.__instrument, shares, True)
self.__PosPrice = bar.getPrice()
print "enter short:"+str(bar.getPrice())
def resampledOnBar(self, bars):
bar = bars[self.__instrument] # pyalgotrade.bar.BasicBar object
# print("Date: {} Close: {} PriceHigh: {}" .format(bar.getDateTime(), round(bar.getClose(),2), round(bar.getHigh(),2) ))
shares = int(self.getBroker().getCash() * 0.5 / bar.getHigh()) # 80% of cash stock
# print("this is current total cash {}" .format(round(self.getBroker().getCash(),2)))
# print("shares is {}" .format(shares))
print("Date: {} Open: {} Close: {} PriceLow: {} PriceHigh: {} ".format(bar.getDateTime(), round(bar.getOpen(), 2), round(bar.getClose(), 2),round(bar.getLow()), round(bar.getHigh())))
if self.__position is None:
self.__position = self.enterLong(self.__instrument, shares, False, True) # this to enter market order # pyalgotrade.strategy.position.LongPosition object
print("enter long for {} shares at {} price".format(shares, bar.getPrice()))
print("remaining cash is " + str(self.getBroker().getCash()))
print("position is " + str(self.__position.getShares()))
elif not self.__position.exitActive(): # Returns True if the exit order is active
# if not exit orders being active
self.__position.exitMarket(True) # this just submits the market order and self.__position becomes none
print("exit for {} shares at {} price".format(self.__position.getShares(), bar.getPrice()))
print("remaining cash is " + str(self.getBroker().getCash()))
print("position is " + str(self.__position.getShares()))
def onBars(self, bars):
try:
symbol = bars.getInstruments()[0]
bar = bars[symbol]
self.__ticker.append((bar.getDateTime().strftime('%Y-%m-%d %H:%M:%S.%f'), symbol.split('coinigy-')[1], bar.getPrice(), bar.getVolume(), 1 if bar.isBuy() else 2))
#logging.info('symbol: %r, frequency: %r, volume: %r' %(symbol, bar.getFrequency(), bar.getVolume()))
except Exception as e:
logging.error('%r', e)
except:
logging.error('Exception caught!')
def exitShortSignal(self,bar):
#return cross.cross_below(self.__priceDS, self.__exitSMA) and not self.__shortPos.exitActive()
return bar.getPrice() > self.__smaS[-1] and self.__smaF[-1] > self.__smaS[-1] and self.__macd[-1]-self.getSignal()[-1] > 0 or bar.getPrice() - self.__PosPrice > self.__stopLoss or self.__PosPrice-bar.getPrice() > self.__targetProfit
def enterShortSignal(self, bar):
#return bar.getPrice() < self.__entrySMA[-1] and self.__rsi[-1] >= self.__overBoughtThreshold
return self.__smaF[-1] < self.__smaS[-1] and bar.getPrice() < self.__smaF[-1] and self.__macd[-1]-self.getSignal()[-1] < 0
def exitLongSignal(self,bar):
#return cross.cross_above(self.__priceDS, self.__exitSMA) and not self.__longPos.exitActive()
return bar.getPrice() < self.__smaS[-1] and self.__smaF[-1] < self.__smaS[-1] and self.__macd[-1]-self.getSignal()[-1] < 0 or self.__PosPrice - bar.getPrice() > self.__stopLoss or bar.getPrice() - self.__PosPrice > self.__targetProfit
def enterLongSignal(self, bar):
#return bar.getPrice() > self.__entrySMA[-1] and self.__rsi[-1] <= self.__overSoldThreshold
return self.__smaF[-1] > self.__smaS[-1] and bar.getPrice() >self.__smaF[-1] and self.__macd[-1]-self.getSignal()[-1] > 0
def enterShortSignal(self, bar):
return bar.getPrice() < self.__entrySMA[-1] and self.__rsi[
-1] >= self.__overBoughtThreshold
def enterLongSignal(self, bar):
return bar.getPrice(
) > self.__entrySMA[-1] and self.__rsi[-1] <= self.__overSoldThreshold
