def simulate(self, data, asset, orders_for_asset):
self._volume_for_bar = 0
price = data.current(asset, 'close')
dt = data.current_dt
for order in orders_for_asset:
if order.open_amount == 0:
continue
order.check_triggers(price, dt)
if not order.triggered:
log.info(
'order has not reached the trigger at current '
'price {}'.format(price)
)
continue
execution_price, execution_volume = self.process_order(data, order)
if execution_price is not None:
transaction = create_transaction(
order, dt, execution_price, execution_volume
)
self._volume_for_bar += abs(transaction.amount)
yield order, transaction
def simulate(self, data, asset, orders_for_asset):
self._volume_for_bar = 0
price = data.current(asset, 'close')
dt = data.current_dt
for order in orders_for_asset:
if order.open_amount == 0:
continue
order.check_triggers(price, dt)
if not order.triggered:
log.info(
'order has not reached the trigger at current '
'price {}'.format(price)
)
continue
execution_price, execution_volume = self.process_order(data, order)
if execution_price is not None:
transaction = create_transaction(
order, dt, execution_price, execution_volume
)
self._volume_for_bar += abs(transaction.amount)
yield order, transaction
def simulate(self, data, asset, orders_for_asset):
self._volume_for_bar = 0
volume = data.current(asset, "volume")
if volume == 0:
return
# can use the close price, since we verified there's volume in this
# bar.
price = data.current(asset, "close")
# BEGIN
#
# Remove this block after fixing data to ensure volume always has
# corresponding price.
if isnull(price):
return
# END
dt = data.current_dt
for order in orders_for_asset:
if order.open_amount == 0:
continue
order.check_triggers(price, dt)
if not order.triggered:
continue
txn = None
try:
execution_price, execution_volume = \
self.process_order(data, order)
if execution_price is not None:
txn = create_transaction(
order,
data.current_dt,
execution_price,
execution_volume
)
except LiquidityExceeded:
break
if txn:
self._volume_for_bar += abs(txn.amount)
yield order, txn