def on_start(self):
"""
This method is called when self.start() is called, and after internal start logic.
"""
# Put custom code to be run on strategy start here (or pass)
instrument = self.get_instrument(self.symbol)
self.precision = instrument.price_precision
self.entry_buffer = instrument.tick_size.as_double() * 3.0
self.SL_buffer = instrument.tick_size * 10.0
self.position_sizer = FixedRiskSizer(instrument)
self.quote_currency = instrument.quote_currency
# Register the indicators for updating
self.register_indicator(data_source=self.bar_type,
indicator=self.fast_ema,
update_method=self.fast_ema.update)
self.register_indicator(data_source=self.bar_type,
indicator=self.slow_ema,
update_method=self.slow_ema.update)
self.register_indicator(data_source=self.bar_type,
indicator=self.atr,
update_method=self.atr.update)
# Get historical data
self.get_ticks(self.symbol)
self.get_bars(self.bar_type)
# Subscribe to live data
self.subscribe_instrument(self.symbol)
self.subscribe_bars(self.bar_type)
self.subscribe_ticks(self.symbol)
def test_can_calculate_for_usdjpy(self):
# Arrange
sizer = FixedRiskSizer(TestStubs.instrument_usdjpy())
equity = Money(1000000, Currency.USD)
# Act
result = sizer.calculate(
equity,
10, # 0.1%
Price(107.703, 3),
Price(107.403, 3),
exchange_rate=0.0093,
units=1,
unit_batch_size=1000)
# Assert
self.assertEqual(Quantity(358000), result)
def test_calculate_for_usdjpy(self):
# Arrange
sizer = FixedRiskSizer(
InstrumentLoader.default_fx_ccy(TestStubs.symbol_usdjpy_fxcm()))
equity = Money(1000000, USD)
# Act
result = sizer.calculate(
equity,
10, # 0.1%
Price("107.703"),
Price("107.403"),
exchange_rate=0.0093,
units=1,
unit_batch_size=1000,
)
# Assert
self.assertEqual(Quantity(358000), result)
def test_calculate_for_usdjpy_with_commission(self):
# Arrange
sizer = FixedRiskSizer(
TestInstrumentProvider.default_fx_ccy(TestStubs.symbol_usdjpy()))
equity = Money(1_000_000, USD)
# Act
result = sizer.calculate(
entry=Price("107.703"),
stop_loss=Price("107.403"),
equity=equity,
risk=Decimal("0.01"), # 1%
commission_rate=Decimal("0.0002"),
exchange_rate=Decimal(str(1 / 107.403)),
unit_batch_size=Decimal(1000),
units=1,
)
# Assert
self.assertEqual(Quantity(3578000), result)
def setUp(self):
# Fixture Setup
self.sizer = FixedRiskSizer(USDJPY)
def setUp(self):
# Fixture Setup
self.sizer = FixedRiskSizer(TestStubs.instrument_gbpusd())