def create_objects(self) -> None:
self.objects = [Contract.create(**s) for s in self.symbols]
self.non_futures = [
obj for obj in self.objects if not isinstance(obj, Future)]
log.debug(f'non-futures: {self.non_futures}')
self.futures = [obj for obj in self.objects if isinstance(obj, Future)]
log.debug(f'futures: {self.futures}')
# converting Futures to ContFutures
self.contFutures = []
for obj in self.futures:
params = obj.nonDefaults()
del params['secType']
self.contFutures.append(ContFuture(**params))
log.debug(f'contfutures: {self.contFutures}')
def request_future_instrument(
self,
symbol: str,
dt: datetime.datetime,
what_to_show: str,
contract_date: Optional[str] = None,
) -> pd.DataFrame:
exchange_name = self.select_exchange_by_symbol(symbol).value
if contract_date:
raise NotImplementedError
else:
contract = ContFuture(symbol, exchange_name, currency=Currency.USD.value)
duration = "1 D"
bar_size_setting = "1 min"
use_rth = False
return self._execute_req_historical(
contract, dt, duration, bar_size_setting, what_to_show, use_rth
)
trades_per_day: int = 0
alloc: float = 0 # fraction of capital to be allocated to instrument
# candle volume to be calculated as average of x periods
avg_periods: Optional[int] = None
volume: Optional[int] = None # candle volume given directly
min_atr: float = 0 # minimum atr threshold used for for calculations
lock_periods_multiple: float = 2
tp_multiple: float = 2
lock_filter: float = 0.005
def __post_init__(self) -> None:
self.lock_periods = int(self.periods / self.lock_periods_multiple)
nq = Params(
contract=ContFuture('NQ', 'GLOBEX'),
micro_contract=ContFuture('MNQ', 'GLOBEX'),
trades_per_day=3.8,
volume=13000,
min_atr=14,
lock_filter=0.004,
tp_multiple=8,
)
es = Params(
contract=ContFuture('ES', 'GLOBEX'),
micro_contract=ContFuture('MES', 'GLOBEX'),
trades_per_day=.5,
ema_fast=120,
ema_slow=320,
atr_periods=180,
trades_per_day: int = 0
alloc: float = 0 # fraction of capital to be allocated to instrument
# candle volume to be calculated as average of x periods
avg_periods: Optional[int] = None
volume: Optional[int] = None # candle volume given directly
min_atr: float = 0
lock_periods_multiple: float = 2
tp_multiple: float = 2
lock_filter: float = 0.005
def __post_init__(self) -> None:
self.lock_periods = int(self.periods / self.lock_periods_multiple)
nq = Params(
contract=ContFuture('NQ', 'GLOBEX'),
micro_contract=ContFuture('MNQ', 'GLOBEX'),
trades_per_day=3.8,
volume=13000,
min_atr=14,
lock_filter=0.004,
tp_multiple=8,
)
es = Params(contract=ContFuture('ES', 'GLOBEX'),
micro_contract=ContFuture('MES', 'GLOBEX'),
trades_per_day=.5,
atr_periods=180,
ema_fast=120,
ema_slow=320,
sl_atr=3,