def update_ts(self, ts, context):
self.catalyst_exchanges = [
context.exchanges[self.global_exchanges[i]]
for i in range(self.global_leg_num)
]
self.catalyst_assets = [
symbol(self.global_symbols[i], self.global_exchanges[i])
for i in range(self.global_leg_num)
]
if not ts:
return False
if not self.ts or self.ts.date() != ts.date():
self.ts = ts
eod = self.ts.date()
file_prefix = self._generate_file_prefix(eod)
self.storage_log_file = '{}.comics.log'.format(file_prefix)
self.storage_trade_file = '{}.trade.csv'.format(file_prefix)
self.storage_snapshot_file = '{}.snapshot.csv'.format(file_prefix)
self.storage_plot_file = '{}.png'.format(file_prefix)
logging.basicConfig(
filename = os.path.join(self.storage_log_folder, self.storage_log_file),\
format = '%(asctime)s - %(levelname)s - %(message)s',
level = self._get_log_level(self.storage_log_level)
)
logging.info('[multileg_config] updated eod to {}'.format(eod))
if self.global_mode != 'live':
set_commission(maker=self.sim_maker_fee_pct,
taker=self.sim_taker_fee_pct)
set_slippage(slippage=self.sim_slippage_pct)
return True
return False
def initialize(context):
context.i = 0
context.asset = symbol('btc_usdt')
context.base_price = None
context.trade_price = None
context.adx_prev = 0
context.adx_sell = True
context.last_price = 0
context.counter = 0
context.timer = 0
context.trade_timer = 100
set_commission(maker=0, taker=0)
def initialize(context):
context.mailema = 0
context.univers = [
'btc_usd', 'eos_usd', 'eth_usd', 'etc_usd', 'ltc_usd', 'zec_usd',
'omg_usd', 'rrt_usd'
]
context.objects = []
context.basePrice = {}
context.day = 0
for obj in context.univers:
context.objects.append(objectT(obj, 0))
context.basePrice[obj] = None
context.objects = dict(zip(context.univers, context.objects))
set_slippage(0.020)
set_commission(0.002, 0.002)
def initialize(context):
context.mailema = 0
context.univers = ['btc_usd',
'eos_usd',
'eth_usd',
'etc_usd',
'ltc_usd',
'zec_usd',
'omg_usd',
'rrt_usd'
]
context.objects = []
context.basePrice = {}
context.day =0
context.dayday = 0
context.Vreturn = []
context.base = []
for obj in context.univers:
context.objects.append(objectT(obj,0))
context.basePrice[obj] = None
context.objects = dict(zip(context.univers,context.objects))
schedule_function(everyDay,half_days=False)
set_slippage(0.015)
set_commission(0.002,0.002)
def load_outright_config(context, comics_config):
context.global_namespace = comics_config['global_namespace']
context.global_instance = str(comics_config['global_instance'])
context.global_mode = comics_config['global_mode']
context.global_bootstrap = comics_config['global_bootstrap']
if context.global_mode != 'live':
set_commission(maker = comics_config['sim_maker_fee_pct'], \
taker = comics_config['sim_taker_fee_pct'])
set_slippage(slippage=comics_config['sim_slippage_pct'])
context.exchange_str = comics_config['exchange']
context.symbol_str = comics_config['symbol']
context.asset = symbol(comics_config['symbol'])
context.exchange = context.exchanges[comics_config['exchange']]
context.base_currency = comics_config['symbol'].split('_')[0]
context.quote_currency = comics_config['symbol'].split('_')[1]
context.risk_max_notional = comics_config['risk_max_notional']
context.risk_max_position = comics_config['risk_max_pos']
context.risk_max_long_pos = comics_config['risk_max_long_pos']
context.risk_max_short_pos = comics_config['risk_max_short_pos']
context.risk_quote_currency = comics_config['risk_quote_currency']
context.risk_init_position = comics_config.get('risk_init_position')
context.risk_init_cost_basis = comics_config.get('risk_init_cost_basis')
context.signal_window = comics_config['signal_window']
context.signal_update_rate = comics_config['signal_update_rate']
context.signal_minsd = comics_config['signal_minsd']
context.signal_ref_price = comics_config['signal_ref_price']
context.signal_candle_size = comics_config['signal_candle_size']
context.signal_hist_rate_limit = comics_config['signal_hist_rate_limit']
context.signal_wait_for_full_hist = comics_config[
'signal_wait_for_full_hist']
context.invent_pm = comics_config['invent_pm'] # profit margin
context.invent_e0 = comics_config['invent_e0']
context.invent_en = comics_config['invent_en']
context.invent_spn = comics_config['invent_spn']
context.invent_min_share = comics_config['invent_min_share']
context.invent_ticksize = comics_config['invent_ticksize']
# rounded risk positions by invent_spn, otherwise algo will continuously see working positions:
context.risk_max_position = _round_position(context.risk_max_position,
context.invent_spn)
context.risk_max_long_pos = _round_position(context.risk_max_long_pos,
context.invent_spn)
context.risk_max_short_pos = _round_position(context.risk_max_short_pos,
context.invent_spn)
context.risk_init_position = context.risk_init_position
context.invent_n = int(
(context.risk_max_long_pos - context.risk_max_short_pos) /
context.invent_spn / 2)
context.invent_ignore_partial_fill_value = comics_config[
'invent_ignore_partial_fill_value']
assert context.invent_spn >= context.invent_min_share, 'invent_spn < invent_min_share!'
context.exit_nonew_dt = comics_config.get('exit_nonew_dt')
context.exit_passive_dt = comics_config.get('exit_passive_dt')
context.exit_active_dt = comics_config.get('exit_active_dt')
# context.exit_signal_shift = comics_config.get('exit_signal_shift')
# context.exit_shift_interval = comics_config.get('exit_shift_interval')
context.file_prefix = _get_file_prefix(comics_config)
context.record_path = comics_config['record_path']
context.record_pickle = '{}.pickle'.format(context.file_prefix)
context.record_pickle = _join_path(context.record_path,
context.record_pickle)
context.record_rate = comics_config['record_rate']
context.trade_path = comics_config.get('trade_path')
context.snapshot_path = comics_config.get('snapshot_path')
context.perf_stat_path = comics_config.get('perf_stat_path')
context.catalyst_logger = catalyst_logger(context.global_namespace)
context.log_file = '{}.comics.log'.format(context.file_prefix)
context.log_file = _join_path(comics_config['log_path'], context.log_file)
context.display_refresh_rate = comics_config['display_refresh_rate']
context.display_plot = comics_config['display_plot']
context.display_sim = comics_config['display_sim']
context.plot_fig = comics_config['plot_fig']
context.plot_path = comics_config['plot_path']
context.plot_file = '{}.png'.format(context.file_prefix)
context.plot_file = _join_path(comics_config['plot_path'],
context.plot_file)
context.pnl_stat_file = _join_path(
context.perf_stat_path,
'pnl.stat.csv') if context.global_mode != 'backtest' else None
logging.basicConfig(
filename = context.log_file,\
format = '%(asctime)s - %(levelname)s - %(message)s',
level = _get_log_level(comics_config['log_level'])
)
logging.info('#######################################################')
logging.info('initializing outrigt_trader & loading configurations...')
for k, v in comics_config.items():
logging.info('{}: {}'.format(k, v))
logging.info('initialization finished')
logging.info('#######################################################')