def recalc_rng(self, idx, df):
split_arr = dh.array_split_by_bar(df, split_list = self.open_period, field = 'min_id')
win = int(self.lookbacks[idx])
ddf = split_arr.data
if win > 0:
self.cur_rng[idx] = max(max(ddf['high'][-win:])- min(ddf['close'][-win:]), \
max(ddf['close'][-win:]) - min(ddf['low'][-win:]))
elif win == 0:
self.cur_rng[idx] = max(max(ddf['high'][-2:])- min(ddf['close'][-2:]), \
max(ddf['close'][-2:]) - min(ddf['low'][-2:]))
self.cur_rng[idx] = max(self.cur_rng[idx] * 0.5, ddf['high'][-1]-ddf['close'][-1], \
ddf['close'][-1]-ddf['low'][-1])
else:
self.cur_rng[idx] = max(ddf['high'][-1] - ddf['low'][-1], abs(ddf['close'][-1] - ddf['close'][-2]))
def recalc_rng(self, idx, df):
split_arr = dh.array_split_by_bar(df, split_list = self.open_period, field = 'min_id')
win = int(self.lookbacks[idx])
ddf = split_arr.data
if win > 0:
self.cur_rng[idx] = max(max(ddf['high'][-win:])- min(ddf['close'][-win:]), \
max(ddf['close'][-win:]) - min(ddf['low'][-win:]))
elif win == 0:
self.cur_rng[idx] = max(max(ddf['high'][-2:])- min(ddf['close'][-2:]), \
max(ddf['close'][-2:]) - min(ddf['low'][-2:]))
self.cur_rng[idx] = max(self.cur_rng[idx] * 0.5, ddf['high'][-1]-ddf['close'][-1], \
ddf['close'][-1]-ddf['low'][-1])
else:
self.cur_rng[idx] = max(ddf['high'][-1] - ddf['low'][-1], abs(ddf['close'][-1] - ddf['close'][-2]))
def initialize(self):
self.load_state()
for idx, underlier in enumerate(self.underliers):
inst = underlier[0]
self.max_pos[idx] = sum(v > 0.0 for v in self.vol_ratio[idx])
self.tick_base[idx] = self.agent.instruments[inst].tick_base
min_id = self.agent.instruments[inst].last_tick_id/1000
min_id = int(min_id/100)*60 + min_id % 100 - self.daily_close_buffer
self.last_min_id[idx] = int(min_id/60)*100 + min_id % 60
ddf = self.agent.day_data[inst].data
mdf = self.agent.min_data[inst][1].data
min_date = mdf['date'][-1]
last_date = ddf['date'][-1]
if last_date < min_date:
last_min = mdf['min_id'][-1]
pid = 0
for i in range(1, len(self.open_period)):
if self.open_period[i] > last_min:
pid = i - 1
break
self.open_idx[idx] = pid
midx = len(mdf)-1
for i in range(len(mdf)-2, -1, -1):
if (mdf['date'][i] < min_date) or (mdf['min_id'][i] < self.open_period[pid]):
midx = i + 1
break
self.tday_open[idx] = mdf['open'][midx]
df = mdf[:midx]
else:
self.tday_open[idx] = mdf['close'][-1]
self.open_idx[idx] = 0
df = mdf
self.split_data[idx] = dh.array_split_by_bar(df, split_list = self.open_period, field = 'min_id')
self.recalc_rng(idx)
self.update_trade_unit()
self.save_state()