def calculate_signals(self, event):
#print("Event sent to MA strategy: %s" % event)
if event.type == 'TICK':
pair = event.instrument
price = event.bid
pd = self.pairs_dict[pair]
#print("Pair: %s; Price: %s; Pd: %s" %(pair, price, pd))
if pd['ticks'] == 0:
pd["short_sma"] = price
pd["long_sma"] = price
else:
pd["short_sma"] = self.calc_rolling_sma(
pd["short_sma"], self.short_window, price)
pd["long_sma"] = self.calc_rolling_sma(pd["long_sma"],
self.long_window, price)
# Only start the strategy when we have crated and accurate short window
if pd["ticks"] > self.short_window:
#print("Ticks > %s" % self.short_window)
#print("Short_MA: %s; Long_MA: %s; Invesed: %s" % (
# pd["short_sma"], pd["long_sma"], pd["invested"]))
if pd["short_sma"] > pd["long_sma"] and not pd["invested"]:
print("Signal: buy")
signal = SignalEvent(pair, "market", "buy", event.time)
self.events.put(signal)
pd["invested"] = True
if pd["short_sma"] < pd["long_sma"] and pd["invested"]:
print("Signal: sell")
signal = SignalEvent(pair, "market", "sell", event.time)
self.events.put(signal)
pd["invested"] = False
pd["ticks"] += 1
def open(self, symbol, ema_short, ema_long, adx, rsi):
if adx[-1] <= 25:
return
side = check_cross(ema_short, ema_long, shift=0)
logger.info('%s@%s param=%s, %0.5f, %0.5f, %0.2f, %0.2f' % (
self.name, symbol, side, ema_short[-1], ema_long[-1], adx[-1], rsi[-1]))
event = None
if side == OrderSide.BUY and 70 > rsi[-1] > 50:
event = SignalEvent(SignalAction.OPEN, self.name, self.version, self.magic_number,
symbol, side, trailing_stop=self.trailing_stop,
take_profit=self.take_profit, stop_loss=self.stop_loss)
self.send_event(event)
elif side == OrderSide.SELL and 50 > rsi[-1] > 30:
event = SignalEvent(SignalAction.OPEN, self.name, self.version, self.magic_number,
symbol, side, trailing_stop=self.trailing_stop,
take_profit=self.take_profit, stop_loss=self.stop_loss)
self.send_event(event)
if event:
logger.info('[ORDER_%s] %s@%s %s, param=%0.5f, %0.5f, %0.2f, %0.2f' % (
event.action, event.strategy, event.instrument, event.to_dict(), ema_short[-1],
ema_long[-1], adx[-1], rsi[-1]))
return side
def calculate_signals(self, tick_event):
currency_pair = tick_event.instrument
time = tick_event.time
if self.ticks % 5 == 0:
if self.invested == False:
signal = SignalEvent(currency_pair, "market", "buy", time)
self.events_queue.put(signal)
self.invested = True
elif self.invested == True:
signal = SignalEvent(currency_pair, "market", "sell", time)
self.events_queue.put(signal)
self.invested = False
self.ticks += 1
def calculate_signals(self, event):
if event.type == 'TICK' and event.instrument == self.pairs[0]:
if self.ticks % 5 == 0:
if self.invested == False:
signal = SignalEvent(self.pairs[0], "market", "buy",
event.time)
self.events.put(signal)
self.invested = True
else:
signal = SignalEvent(self.pairs[0], "market", "sell",
event.time)
self.events.put(signal)
self.invested = False
self.ticks += 1
def calculate_signals(self, event):
#print("Event pased to strategy: %s" % event)
if event.type == 'TICK' and event.instrument == self.pairs[0]:
#print("Tick No: %s" % self.ticks)
if self.ticks % 5 == 0:
#print("Tick No: %s" % self.ticks)
if self.invested == False:
signal = SignalEvent(self.pairs[0], "market", "buy",
event.time)
#print("Invested: False; Signal: %s" % signal)
self.events.put(signal)
#print("Invested: False; self.events: %s" % self.events)
self.invested = True
else:
signal = SignalEvent(self.pairs[0], "market", "sell",
event.time)
#print("Invested: True; Signal: %s" % signal)
self.events.put(signal)
#print("Invested: True; self.events: %s" % self.events)
self.invested = False
self.ticks += 1
def test_event(self):
open = SignalEvent(SignalAction.OPEN,
HLHBTrendStrategy.name,
HLHBTrendStrategy.version,
HLHBTrendStrategy.magic_number,
instrument='EURUSD',
side=OrderSide.BUY,
order_type=OrderType.MARKET,
stop_loss=30,
take_profit=50,
trailing_stop=None,
percent=None)
close = SignalEvent(SignalAction.CLOSE,
HLHBTrendStrategy.name,
HLHBTrendStrategy.version,
HLHBTrendStrategy.magic_number,
instrument='EURUSD',
side=OrderSide.BUY,
percent=0.5)
data = json.dumps(open.to_dict())
data2 = json.loads(data)
open2 = Event.from_dict(data2)
self.assertEqual(open.type, open2.type)
for k in open.__dict__.keys():
self.assertEqual(open.__dict__[k], open2.__dict__[k])
data = json.dumps(close.to_dict())
data2 = json.loads(data)
close2 = Event.from_dict(data2)
self.assertEqual(close.type, close2.type)
for k in close.__dict__.keys():
self.assertEqual(close.__dict__[k], close2.__dict__[k])
def calculate_signals(self, event):
if event.type == 'TICK':
pair = event.instrument
price = event.bid
pd = self.pairs_dict[pair]
if pd["ticks"] == 0:
pd["short_sma"] = price
pd["long_sma"] = price
else:
pd["short_sma"] = self.calc_rolling_sma(
pd["short_sma"], self.short_window, price)
pd["long_sma"] = self.calc_rolling_sma(pd["long_sma"],
self.long_window, price)
# Only start the strategy when we have created an accurate short window
if pd["ticks"] > self.short_window:
if pd["short_sma"] > pd["long_sma"] and not pd["invested"]:
signal = SignalEvent(pair, "market", "buy", event.time)
self.events.put(signal)
pd["invested"] = True
if pd["short_sma"] < pd["long_sma"] and pd["invested"]:
signal = SignalEvent(pair, "market", "sell", event.time)
self.events.put(signal)
pd["invested"] = False
pd["ticks"] += 1
def calculate_signals(self, event):
"""
For "Buy and Hold" generiamo un singolo segnale per simbolo
e quindi nessun segnale aggiuntivo. Ciò significa che siamo
costantemente LONG sul mercato a partire dalla data di
inizializzazione della strategia.
Parametri
event - Un oggetto MarketEvent.
"""
if event.type == 'MARKET':
for s in self.symbol_list:
bars = self.bars.get_latest_bars(s, N=1)
if bars is not None and bars != []:
if self.bought[s] == False:
# (Symbol, Datetime, Type = LONG, SHORT or EXIT)
signal = SignalEvent(bars[0][0], bars[0][1], 'LONG')
self.events.put(signal)
self.bought[s] = True