def setUp(self):
self.test_sell_event = OrderEvent("CS.D.AUDUSD.TODAY.IP", "SELL", 1)
self.test_buy_event = OrderEvent("CS.D.AUDUSD.TODAY.IP", "BOT", 1)
self.events_queue = queue.Queue()
self.config = settings.from_file(settings.DEFAULT_CONFIG_FILENAME,
testing=True)
self.igclient = IGClient(self.config)
def refine_orders(self, portfolio, sized_order):
"""
Uses the Hidden Markov Model with the percentage returns
to predict the current regime, either 0 for desirable or 1
for undesirable. Long entry trades will only be carried
out in regime 0, but closing trades are allowed in regime 1.
"""
# Deterime the HMM predicted regime as an integer
# equal to 0 (desirable) or 1 (undesirable)
price_handler = portfolio.price_handler
regime_1, regime_2 = self.determine_regime(price_handler, sized_order)
action = sized_order.action
# Create the order event, irrespective of the regime.
# It will only be returned if the correct conditions
# are met below.
order_event = OrderEvent(sized_order.ticker, sized_order.action,
sized_order.quantity)
# If in the desirable regime, let buy and sell orders
# works as normal
if regime_1 == 0 and regime_2 == 0:
print('Regime 0')
if self.invested == False:
print('Open')
if action == "BOT":
self.invested == False
return [order_event]
elif action == "SLD":
self.invested == True
return [order_event]
elif self.invested == True:
print('Close')
if action == "BOT":
self.invested == True
return [order_event]
elif action == "SLD":
self.invested == False
return [order_event]
# If in the undesirable regime, do not allow any buy orders
# and only let close orders through if the strategy is
# already invested (from a previous desirable regime)
elif regime_1 == 1 or regime_2 == 1:
print('Regime 1')
if self.invested == False:
print('Bad Market Condition, do not invest')
if action == "BOT":
self.invested == False
return []
elif action == "SLD":
self.invested == False
return []
elif self.invested == True:
print('Bad Trade, get out of the trade')
if action == "BOT":
self.invested == True
return [order_event]
elif action == "SLD":
self.invested == False
return [order_event]
def refine_orders(self, portfolio, sized_order):
"""
This RiskManagerMock object simply lets the
sized order through, creates the corresponding
OrderEvent object and adds it to a list.
"""
order_event = OrderEvent(sized_order.ticker, sized_order.action,
sized_order.quantity)
return [order_event]
def test_place_orders_onto_queue_basic_check(self):
"""
Tests the "_place_orders_onto_queue" method
as a basic sanity check.
"""
order = OrderEvent("MSFT", "BOT", 100)
order_list = [order]
self.portfolio_handler._place_orders_onto_queue(order_list)
ret_order = self.portfolio_handler.events_queue.get()
self.assertEqual(ret_order.ticker, "MSFT")
self.assertEqual(ret_order.action, "BOT")
self.assertEqual(ret_order.quantity, 100)