def create_single_order(self, q_event):
"""
Get a SignalEvent and enter accordingly, but also get rid of the
other holdings.
"""
self.updated_list[q_event.get_ticker()] = {
'ticker': q_event.get_ticker(),
'direction': q_event.get_direction(),
'candle': q_event.get_candle()
}
# if we're at the last signal event, process it and update the update_list
if isinstance(self.events[0], event.SignalEvent) and len(
self.events) == 1:
# for each pair in the updated list, check if it's already in holdings
# if the pair is in holidngs, do nothing.
# if the pair is not in holdings,
with open("holdings.csv", 'r', newline='') as file:
reader = csv.reader(file)
for row in reader:
#print(type(ast.literal_eval(row[2])))
self.holdings[row[0]] = {
"ticker": row[0],
"direction": int(row[1]),
"candle": ast.literal_eval(
row[2]), # convert row[2] string to dict
"quantity": int(row[3]),
"price": float(row[4]),
"pip_value": float(row[5]),
"margin": float(row[6]),
"stop_loss": float(row[7]),
"take_profit": float(row[8])
}
for pair in self.updated_list:
if self.updated_list[pair]['ticker'] not in self.holdings:
# enter pairs not currently holding:
self.events.append(
event.OrderEvent(
direction=self.updated_list[pair]['direction'],
datetime=self.updated_list[pair]['candle'],
ticker=self.updated_list[pair]['ticker'],
quantity=1000))
for h in self.holdings:
if h not in self.updated_list:
# leave pairs that aren't in updated list
self.events.append(
event.OrderEvent(
direction=1
if self.holdings[h]['direction'] == -1 else -1,
datetime=self.holdings[h]
['candle'], # BIG ISSUE: this needs to be the current price, not the price entered at.
ticker=self.holdings[h]['ticker'],
quantity=self.holdings[h]['quantity']))
self.updated_list = {}
def create_order(self, q_event):
"""
Append an OrderEvent to the queue (typically after receiving a SignalEvent
from a strategy object, or after a MarketEvent hits a stoploss or takeprofit).
"""
self.events.append(
event.OrderEvent(direction=q_event.get_direction(),
datetime=q_event.get_candle(),
ticker=q_event.get_ticker(),
quantity=1000))
def create_single_order(self, q_event):
"""
Get a SignalEvent and enter accordingly, but also get rid of the
other holdings.
"""
# if we're at the last signal event, process it and update the update_list
if isinstance(self.events[0], event.SignalEvent) and len(
self.events) == 1:
self.updated_list[q_event.get_ticker()] = {
'ticker': q_event.get_ticker(),
'direction': q_event.get_direction(),
'candle': q_event.get_candle()
}
# for each pair in the updated list, check if it's already in holdings
# if the pair is in holidngs, do nothing.
# if the pair is not in holdings,
for pair in self.updated_list:
if self.updated_list[pair]['ticker'] not in self.holdings:
# enter pairs not currently holding:
self.events.append(
event.OrderEvent(
direction=self.updated_list[pair]['direction'],
datetime=self.updated_list[pair]['candle'],
ticker=self.updated_list[pair]['ticker'],
quantity=1000))
for h in self.holdings:
if self.holdings[h]['ticker'] not in self.updated_list:
# leave pairs that aren't in updated list
self.events.append(
event.OrderEvent(
direction=1
if self.holdings[h]['direction'] == -1 else -1,
datetime=self.holdings[h]['candle'],
ticker=self.holdings[h]['ticker'],
quantity=self.holdings[h]['quantity']))
self.updated_list = {}
else:
self.updated_list[q_event.get_ticker()] = {
'ticker': q_event.get_ticker(),
'direction': q_event.get_direction(),
'candle': q_event.get_candle()
}
def create_close_order(self,
ticker,
direction,
datetime,
price,
quantity=1000):
"""For takeprofit / stoploss caused OrderEvents. """
print(ticker, 'closed')
self.events.append(
event.OrderEvent(direction=direction * -1,
datetime=datetime,
ticker=ticker,
price=price,
quantity=quantity))
def create_order(self, q_event):
"""
Get a SignalEvent and enter accordingly, but also get rid of the
other holdigns.
"""
if q_event.get_ticker() not in self.holdings:
#create order to get rid of old holdings
if self.holdings:
for h in self.holdings:
print('holding', h)
self.events.append(event.OrderEvent(
direction=1 if self.holdings[h]['direction']<0 else -1,
datetime=self.holdings[h]['candle'],
ticker=self.holdings[h]['ticker'],
quantity=self.holdings[h]['quantity']
))
# create order for new holding
self.events.append(event.OrderEvent(
direction=q_event.get_direction(),
datetime= q_event.get_candle(),
ticker=q_event.get_ticker(),
quantity=40000
))
def create_order(self, q_event):
"""
Append an OrderEvent to the queue (typically after receiving a SignalEvent
from a strategy object, or after a MarketEvent hits a stoploss or takeprofit).
"""
with open("example.csv", 'w', newline='') as file:
writer = csv.writer(file)
writer.writerow([
q_event.get_direction(),
q_event.get_candle(),
q_event.get_ticker()
])
self.events.append(
event.OrderEvent(direction=q_event.get_direction(),
datetime=q_event.get_candle(),
ticker=q_event.get_ticker(),
quantity=1000))
def create_order(self, q_event):
self.events.append(
event.OrderEvent(direction=q_event.get_direction(),
datetime=q_event.get_datetime(),
ticker=q_event.get_ticker(),
quantity=1000))