def config(self, account, orders, prices):
self.account = account
self.orders = orders
self.prices = prices
self.trades = TradePanel(prices.getWindow())
return self
class Simulator:
def __init__(self):
self.orders = None
self.prices = None
self.trades = None
self.account = None
self.bidBarPrice = CLOSE
def config(self, account, orders, prices):
self.account = account
self.orders = orders
self.prices = prices
self.trades = TradePanel(prices.getWindow())
return self
def setBidBarPrice(self, barPrice):
self.bidBarPrice = barPrice
return self
def run(self):
self.simulateHistory()
return self
def getOrders(self):
return self.orders
def getPrices(self):
return self.prices
def getTrades(self):
return self.trades
def getAccount(self):
return self.account
# Move to market class0
def processOrdersAtTimestamp(self, timestamp):
orders = None
try: orders = self.orders.getRowForTimestamp(timestamp)
except: orders = False
if orders is not False:
class_type = orders.__class__.__name__
if class_type is pd.Series.__name__:
self.processOrder(orders)
elif class_type is pd.DataFrame.__name__:
for order in orders.iterrows():
self.processOrder(order[1])
def simulateHistory(self):
timestamps = self.prices.getTimestamps()
for i in range(0, len(timestamps)):
self.account.rollOverBalanceAt(i)
for symbol in self.prices.getSymbols():
bid = self.prices.getRowForSymbolAtIndex(symbol, i)[self.bidBarPrice]
self.trades.updatePositionForSymbolAt(symbol, i, bid)
self.processOrdersAtTimestamp(timestamps[i])
marketValue = self.trades.getMarketValueAt(i)
shares = self.trades.getSharesAt(i)
self.account.updateAccountAt(i, marketValue, shares)
# Move to market class
def processOrder(self, order):
timestamp = order.name
orderType = order[ORDER_TYPE]
symbol = order[SYMBOL]
shares = order[SHARES]
bar = self.prices.getRowForSymbolAndTimestamp(symbol, timestamp)
price = bar[self.bidBarPrice]
value = shares * price
trade = self.trades.getRowForSymbolAndTimestamp(symbol, timestamp)
account = self.account.getRowForTimestamp(timestamp)
f = 1 if orderType is BUY else -1
trade[SHARES] = trade[SHARES] + f * shares
trade[CAPITAL] = trade[CAPITAL] + f * value
if orderType is BUY:
account[BALANCE] = account[BALANCE] - value
account[SHARES] = account[SHARES] + shares
if orderType is SELL:
account[BALANCE] = account[BALANCE] + value
account[SHARES] = account[SHARES] - shares