def calculate_signals(self, event, agent=None):
print "Inside calculate_signals :", event.ticker, self.invested, self.ticks
if event.type in [EventType.BAR, EventType.TICK
] and event.ticker in self.tickers:
print "Calling Learning : agent.update"
actionTobePerformed = agent.getLearningHandler().update(
event, agent.indicator_dict, agent.portfolio_handler.portfolio)
signal = SignalEvent(event.ticker, actionTobePerformed)
if actionTobePerformed == "NONE":
print " No action "
elif actionTobePerformed == "BUY":
if event.ticker not in agent.portfolio_handler.portfolio.positions:
print "Buy Event recieved from learner. Ticker {} not in portfolio. Adding position".format(
event.ticker)
self.events_queue.put(signal)
elif actionTobePerformed == "SELL":
print "Exit Event received from learner. Ticker {} in portfolio. Removing position".format(
event.ticker)
if event.ticker in agent.portfolio_handler.portfolio.positions:
self.events_queue.put(signal)
self.ticks += 1
def calculate_signals(self, event, agent=None):
if event.type == EventType.BAR and event.ticker in self.tickers:
# Add latest adjusted closing price to the
# short and long window bars
if self.ticks % 5 == 0:
print "Calling Learning : agent.update"
actionTobePerformed = agent.getLearningHandler().update(
event, self.learning_indictors, self.reward_indicators,
agent.indicator_dict, agent.portfolio_handler.portfolio)
signal = SignalEvent(event.ticker, actionTobePerformed)
if actionTobePerformed == "NONE":
print " No action "
elif actionTobePerformed == "BOT":
if event.ticker not in agent.portfolio_handler.portfolio.positions:
print "Buy Event recieved from learner. Ticker {} not in portfolio. Adding position".format(
event.ticker)
self.events_queue.put(signal)
elif actionTobePerformed == "EXIT":
print "Exit Event received from learner. Ticker {} in portfolio. Removing position".format(
event.ticker)
if event.ticker in agent.portfolio_handler.portfolio.positions:
self.events_queue.put(signal)
self.ticks += 1
def calculate_signals(self, event, agent=None):
"""
For a particular received BarEvent, determine whether
it is the end of the month (for that bar) and generate
a liquidation signal, as well as a purchase signal,
for each ticker.
"""
if (event.type in [EventType.BAR, EventType.TICK]
and self._end_of_month(event.time)):
ticker = event.ticker
if self.tickers_invested[ticker]:
liquidate_signal = SignalEvent(ticker, "EXIT")
self.events_queue.put(liquidate_signal)
long_signal = SignalEvent(ticker, "BOT")
self.events_queue.put(long_signal)
self.tickers_invested[ticker] = True
def calculate_signals(self, event,agent=None):
if event.type in [EventType.BAR, EventType.TICK] and event.ticker in self.tickers:
if event.ticker not in agent.portfolio_handler.portfolio.positions:
signal = SignalEvent(event.ticker, "BOT")
self.events_queue.put(signal)
self.invested = True
self.ticks += 1
def getSignal(self, ticker):
return SignalEvent(self.tickers[0], "BOT")
def getSignal(self, ticker):
print "TIC", ticker, self.signal
return SignalEvent(ticker, self.signal[ticker])