def __init__(self, symbol, strategy, buyingRatio):
""" constructor """
self.__symbol = symbol
self.__strategy = strategy
self.__buyingRatio = buyingRatio
self.__threshold = 2.5
self.__holdDays = 15
self.__dateCounter = 0
self.__dollarVolume = ZScoreForDollarVolume(15)
# order id
self.__buyOrder = None
class OneTraker(object):
""" tracker for one stock """
def __init__(self, symbol, strategy, buyingRatio):
""" constructor """
self.__symbol = symbol
self.__strategy = strategy
self.__buyingRatio = buyingRatio
self.__threshold = 2.5
self.__holdDays = 15
self.__dateCounter = 0
self.__dollarVolume = ZScoreForDollarVolume(15)
# order id
self.__buyOrder = None
def __getCashToBuyStock(self):
""" calculate the amount of money to buy stock """
account = self.__strategy.getAccountCopy()
if account.getCash() >= 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))
buyOrder = Order(
accountId=self.__strategy.accountId, action=Action.BUY, type=Type.MARKET, symbol=self.__symbol, share=share
)
if self.__strategy.placeOrder(buyOrder):
self.__buyOrder = buyOrder
def __placeSellOrder(self, tick):
""" place sell order """
if self.__buyOrder:
sellOrder = Order(
accountId=self.__strategy.accountId,
action=Action.SELL,
type=Type.MARKET,
symbol=self.__symbol,
share=self.__buyOrder.share,
)
if self.__strategy.placeOrder(sellOrder):
self.__buyOrder = None
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.__dollarVolume(tick.close, tick.volume)
# if not enough data, skip to reduce risk
if not self.__dollarVolume.getLastValue():
return
# get dollar volumes
delta_z = self.__dollarVolume.getLastValue()
if delta_z is None:
return
if delta_z < (-self.__threshold) and not self.__buyOrder:
self.__dateCounter = 0
self.__placeBuyOrder(tick)
elif self.__buyOrder and (self.__dateCounter > self.__holdDays or tick.close < self.__buyOrder.price * 0.90):
self.__placeSellOrder(tick)
if self.__buyOrder:
print self.__dateCounter
self.__dateCounter += 1
