def execute(self, epoch_s: float, register: SymbolDayRegister) -> None:
for _ in range(self.N_ACTIONS):
action = random.randint(0, 1)
# buy
if action == 0:
symbols = list(register.keys())
symbol = random.choice(symbols)
price_per_share = register.get_close(symbol, epoch_s)
if price_per_share is None:
continue
if self.cash >= self.TRADE_SIZE:
shares = self.TRADE_SIZE / price_per_share
self.buy(symbol, price_per_share, shares)
# sell
if action == 1:
symbols = list(self.holdings.keys())
if len(symbols) == 0:
continue
symbol = random.choice(symbols)
price_per_share = register.get_close(symbol, epoch_s)
if price_per_share is None:
continue
shares = self.holdings[symbol]
self.sell(symbol, price_per_share, shares)
def determine_buys(self, epoch_s: float,
register: SymbolDayRegister) -> List[str]:
"""
Apply rules that trigger buy order
"""
stocks = list(register.keys())
random.shuffle(stocks)
to_buy = list()
for stock in stocks:
buy_flag = True
prices = [None] * (self.n_crash + 1)
for i in range(self.n_crash):
close_today = register.get_close(stock, epoch_s, -i)
if close_today is None:
buy_flag = False
break
close_yesterday = register.get_close(stock, epoch_s, -i - 1)
if close_yesterday is None:
buy_flag = False
break
gain = 100 * (close_today / close_yesterday - 1)
if gain > self.gain_crash:
buy_flag = False
break
prices[i] = close_today
prices[i + 1] = close_yesterday
if buy_flag:
to_buy.append(stock)
date = IntuitiveDateConverter.to_day_str(epoch_s)
print(
f'Identified BUY flag: {date} : {stock.to_str()} : {prices}'
)
if self.logger is not None:
message = f'Identified BUY flag: {date} : {stock.to_str()} : {prices}'
self.logger.log_message(message)
if len(to_buy) >= self.n_buy_per_day:
break
return to_buy
def execute(self, epoch_s: float, register: SymbolDayRegister) -> None:
to_sell = self.determine_sells(epoch_s, register)
for stock in to_sell:
price_per_share = register.get_close(stock, epoch_s)
shares = self.holdings[stock]
self.sell(stock, price_per_share, shares)
to_buy = self.determine_buys(epoch_s, register)
for stock in to_buy:
if stock in self.holdings:
continue
price_per_share = register.get_close(stock, epoch_s)
if self.cash >= self.trade_size:
shares = self.trade_size / price_per_share
shares = shares // 0.01 / 100
self.buy(stock, price_per_share, shares)
def determine_sells(self, epoch_s: float,
register: SymbolDayRegister) -> List[str]:
"""
Apply rules that trigger sell order
"""
stocks = self.holdings.keys()
to_sell = list()
for stock in stocks:
sell_flag = True
prices = [None] * (self.n_down + 1)
for i in range(self.n_down):
close_today = register.get_close(stock, epoch_s, -i)
if close_today is None:
sell_flag = False
break
close_yesterday = register.get_close(stock, epoch_s, -i - 1)
if close_yesterday is None:
sell_flag = False
break
gain = 100 * (close_today / close_yesterday - 1)
if gain > self.gain_down:
sell_flag = False
break
prices[i] = close_today
prices[i + 1] = close_yesterday
if sell_flag:
to_sell.append(stock)
date = IntuitiveDateConverter.to_day_str(epoch_s)
if self.logger is not None:
message = f'Identified SELL flag: {date} : {stock.to_str()} : {prices}'
self.logger.log_message(message)
return to_sell
def execute(self, epoch_s: float, register: SymbolDayRegister) -> None:
if self.cash <= 10:
return
available_symbols = register.symbols_available(epoch_s)
allocated_per_trade = self.cash / len(available_symbols)
for symbol in available_symbols:
price_per_share = register.get_close(symbol, epoch_s)
shares = allocated_per_trade / price_per_share
shares = shares // 0.01 / 100
self.buy(symbol, price_per_share, shares)