def convert_shares_to_capital(self, ticker, num_shares):
stock_snapshot = self._find_stock_snapshot_by_ticker(ticker)
stock_snapshot_helper = StockSnapshotHelper(stock_snapshot)
mid_price = stock_snapshot_helper.get_mid_price()
amount = mid_price * num_shares
return amount
def notify(self, market_snapshot: MarketSnapshot):
decisions = []
for i, stock_snapshot in enumerate(market_snapshot.stock_snapshots):
stock_snapshot_helper = StockSnapshotHelper(stock_snapshot)
mid_price = stock_snapshot_helper.get_mid_price()
curr_mcad = self.mcads[i].evaluate(mid_price)
self.visualization_data.add_price(stock_snapshot.ticker, mid_price)
if curr_mcad == CalculationStatus.Invalid:
self.visualization_data.add_mcad(stock_snapshot.ticker, 0)
continue
else:
self.visualization_data.add_mcad(stock_snapshot.ticker,
curr_mcad)
if self.old_mcads[i] == CalculationStatus.Invalid:
self.old_mcads[i] = curr_mcad
continue
del_mcad = SignFunction.evaluate(
curr_mcad) - SignFunction.evaluate(self.old_mcads[i])
self.old_mcads[i] = curr_mcad
if del_mcad > 0:
decisions.append(
(stock_snapshot.ticker, -self.transaction_amount))
elif del_mcad < 0:
decisions.append(
(stock_snapshot.ticker, self.transaction_amount))
return decisions
def convert_capital_to_shares(self, ticker, amount):
assert amount > 0
stock_snapshot = self._find_stock_snapshot_by_ticker(ticker)
stock_snapshot_helper = StockSnapshotHelper(stock_snapshot)
mid_price = stock_snapshot_helper.get_mid_price()
num_shares = floor(amount / mid_price)
extra_capital = amount - num_shares * mid_price
return num_shares, extra_capital
def notify(self, market_snapshot: MarketSnapshot):
decisions = []
for i, stock_snapshot in enumerate(market_snapshot.stock_snapshots):
stock_snapshot_helper = StockSnapshotHelper(stock_snapshot)
mid_price = stock_snapshot_helper.get_mid_price()
curr_mcad = self.mcads[i].evaluate(mid_price)
self.visualization_data.add_price(stock_snapshot.ticker, mid_price)
if curr_mcad == CalculationStatus.Invalid:
self.visualization_data.add_mcad(stock_snapshot.ticker, 0)
self.visualization_data.add_signal_line(
stock_snapshot.ticker, 0)
continue
else:
self.visualization_data.add_mcad(stock_snapshot.ticker,
curr_mcad)
signal_line_value = self.signal_lines[i].evaluate(curr_mcad)
if signal_line_value == CalculationStatus.Invalid:
self.visualization_data.add_signal_line(
stock_snapshot.ticker, 0)
continue
else:
self.visualization_data.add_signal_line(
stock_snapshot.ticker, signal_line_value)
curr_del = SignFunction.evaluate(curr_mcad - signal_line_value)
if self.old_dels[i] == CalculationStatus.Invalid:
self.old_dels[i] = curr_del
continue
should_buy = SignFunction.evaluate(
curr_del) - SignFunction.evaluate(self.old_dels[i])
if should_buy > 0:
decisions.append(
(stock_snapshot.ticker, -self.transaction_amount))
elif should_buy < 0:
decisions.append(
(stock_snapshot.ticker, self.transaction_amount))
self.old_dels[i] = curr_del
return decisions
def get_date(self):
first_stock_snapshot = self.market_snapshot.stock_snapshots[0]
stock_snapshot_helper = StockSnapshotHelper(first_stock_snapshot)
return stock_snapshot_helper.get_date()
def is_end_of_trading_hours(self):
first_stock_snapshot = self.market_snapshot.stock_snapshots[0]
stock_snapshot_helper = StockSnapshotHelper(first_stock_snapshot)
return stock_snapshot_helper.is_end_of_trading_hours()
def notify(self, market_snapshot: MarketSnapshot):
decisions = []
u_reset = []
l_reset = []
for i, stock_snapshot in enumerate(market_snapshot.stock_snapshots):
u_reset.append(0)
l_reset.append(0)
upper = 0
lower = 0
stock_snapshot_helper = StockSnapshotHelper(stock_snapshot)
close_price = stock_snapshot_helper.get_mid_price()
high = stock_snapshot_helper.get_high()
low = stock_snapshot_helper.get_low()
self.high_total_data[i].push(high)
self.low_total_data[i].push(low)
highesthigh = self.high_total_data[i].get_max()
lowestlow = self.low_total_data[i].get_min()
if self.high_total_data[i].isFull():
current_fast_k = StochasticOscillator.evaluate(close_price,highesthigh,lowestlow)
current_k_percent = self.k_percent[i].evaluate(current_fast_k)
if current_k_percent == CalculationStatus.Invalid:
self.old_k_percent[i] = current_k_percent
continue
else:
self.old_k_percent[i] = current_k_percent
current_d_percent = self.d_percent[i].evaluate(current_k_percent)
if current_d_percent == CalculationStatus.Invalid:
self.old_d_percent[i] = current_d_percent
continue
upper = SignFunction.evaluate(current_d_percent - self.upper_bound)
lower = SignFunction.evaluate(self.lower_bound - current_d_percent)
self.old_d_percent[i] = current_d_percent
if (upper == 1) and (u_reset[i] == 0):
dec_value = 1
u_reset[i] = 1
l_reset[i] = 0
elif (lower == 1) and (l_reset[i] == 0):
dec_value = -1
u_reset[i] = 0
l_reset[i] = 1
else:
dec_value = 0
if dec_value > 0:
decisions.append((stock_snapshot.ticker, -self.transaction_amount))
elif dec_value < 0:
decisions.append((stock_snapshot.ticker, +self.transaction_amount))
else:
decisions = []
return decisions