def __init__(self, symbol, strategy, buyingRatio):
''' constructor '''
self.__symbol = symbol
self.__strategy = strategy
self.__startDate = strategy.startDate
self.__buyingRatio = buyingRatio
self.__buyThreshold = -2
self.__sellThreshold = 0.5
self.__priceZscore = ZScore(120)
self.__volumeZscore = ZScore(120)
self.__toSell = False
self.__toBuy = False
# order id
self.__position = 0
def __init__(self, symbol, strategy, buyingRatio):
''' constructor '''
self.__symbol = symbol
self.__strategy = strategy
self.__startDate = strategy.startDate
self.__buyingRatio = buyingRatio
self.__buyThreshold = 1.5
self.__sellThreshold = 0.5
self.__preZscore = None
self.__priceZscore = ZScore(150)
self.__volumeZscore = ZScore(150)
self.__dayCounter = 0
self.__dayCounterThreshold = 5
# order id
self.__position = 0
self.__buyPrice = 0
class OneTraker(object):
''' tracker for one stock '''
def __init__(self, symbol, strategy, buyingRatio):
''' constructor '''
self.__symbol = symbol
self.__strategy = strategy
self.__startDate = strategy.startDate
self.__buyingRatio = buyingRatio
self.__buyThreshold = -2
self.__sellThreshold = 0.5
self.__priceZscore = ZScore(120)
self.__volumeZscore = ZScore(120)
self.__toSell = False
self.__toBuy = False
# order id
self.__position = 0
def __getCashToBuyStock(self):
''' calculate the amount of money to buy stock '''
account = self.__strategy.getAccountCopy()
if (account.buyingPower >=
account.getTotalValue() / self.__buyingRatio):
return account.getTotalValue() / self.__buyingRatio
else:
return 0
def __placeBuyOrder(self, tick):
''' place buy order'''
cash = self.__getCashToBuyStock()
if cash == 0 or self.__position > 0:
return
share = math.floor(cash / float(tick.close)) - self.__position
order = Order(accountId=self.__strategy.accountId,
action=Action.BUY,
type=Type.MARKET,
symbol=self.__symbol,
share=share)
if self.__strategy.placeOrder(order):
self.__position = math.floor(cash / float(tick.close))
def __placeSellOrder(self, tick):
''' place sell order '''
if self.__position < 0:
return
share = self.__position
order = Order(accountId=self.__strategy.accountId,
action=Action.SELL,
type=Type.MARKET,
symbol=self.__symbol,
share=-share)
if self.__strategy.placeOrder(order):
self.__position = 0
def orderExecuted(self, orderId):
''' call back for executed order '''
return
def tickUpdate(self, tick):
''' consume ticks '''
LOG.debug("tickUpdate %s with tick %s, price %s" %
(self.__symbol, tick.time, tick.close))
self.__priceZscore(tick.close)
self.__volumeZscore(tick.volume)
#if haven't started, don't do any trading
if tick.time <= self.__startDate:
return
# if not enough data, skip to reduce risk
if not self.__priceZscore.getLastValue(
) or not self.__volumeZscore.getLastValue():
return
# get zscore
priceZscore = self.__priceZscore.getLastValue()
volumeZscore = self.__volumeZscore.getLastValue()
if priceZscore is None or volumeZscore is None:
return
if priceZscore < self.__buyThreshold and self.__position <= 0 and abs(
volumeZscore) > 1:
self.__placeBuyOrder(tick)
elif priceZscore > self.__sellThreshold and self.__position > 0 and abs(
volumeZscore) > 1:
self.__placeSellOrder(tick)
"""
class OneTraker(object):
''' tracker for one stock '''
def __init__(self, symbol, strategy, buyingRatio):
''' constructor '''
self.__symbol = symbol
self.__strategy = strategy
self.__startDate = strategy.startDate
self.__buyingRatio = buyingRatio
self.__buyThreshold = 1.5
self.__sellThreshold = 0.5
self.__preZscore = None
self.__priceZscore = ZScore(150)
self.__volumeZscore = ZScore(150)
self.__dayCounter = 0
self.__dayCounterThreshold = 5
# order id
self.__position = 0
self.__buyPrice = 0
def __getCashToBuyStock(self):
''' calculate the amount of money to buy stock '''
account = self.__strategy.getAccountCopy()
if (account.buyingPower >= account.getTotalValue() / self.__buyingRatio):
return account.getTotalValue() / self.__buyingRatio
else:
return 0
def __placeBuyOrder(self, tick):
''' place buy order'''
cash = self.__getCashToBuyStock()
if cash == 0:
return
share = math.floor(cash / float(tick.close))
order = Order(accountId = self.__strategy.accountId,
action = Action.BUY,
type = Type.MARKET,
symbol = self.__symbol,
share = share)
if self.__strategy.placeOrder(order):
self.__position = share
self.__buyPrice = tick.close
def __placeSellOrder(self, tick):
''' place sell order '''
if self.__position < 0:
return
share = self.__position
order = Order(accountId = self.__strategy.accountId,
action = Action.SELL,
type = Type.MARKET,
symbol = self.__symbol,
share = -share)
if self.__strategy.placeOrder(order):
self.__position = 0
self.__buyPrice = 0
def orderExecuted(self, orderId):
''' call back for executed order '''
return
def tickUpdate(self, tick):
''' consume ticks '''
LOG.debug("tickUpdate %s with tick %s, price %s" % (self.__symbol, tick.time, tick.close))
self.__priceZscore(tick.close)
self.__volumeZscore(tick.volume)
# get zscore
priceZscore = self.__priceZscore.getLastValue()
volumeZscore = self.__volumeZscore.getLastValue()
#if haven't started, don't do any trading
if tick.time <= self.__startDate:
return
# if not enough data, skip to reduce risk
if priceZscore is None or volumeZscore is None:
return
if self.__position > 0:
self.__dayCounter += 1
if priceZscore > self.__buyThreshold and self.__preZscore and self.__preZscore < self.__buyThreshold and self.__position <= 0 and abs(volumeZscore) > 1:
self.__placeBuyOrder(tick)
elif self.__position > 0:
if (self.__dayCounter > self.__dayCounterThreshold and priceZscore < self.__sellThreshold)\
or priceZscore < 0 or self.__buyPrice * 0.9 > tick.close:
self.__placeSellOrder(tick)
self.__dayCounter = 0
self.__preZscore = priceZscore
