def __init__(self, host='localhost', port=4001,
client_id=101, is_use_gateway=False, evaluation_time_secs=20,
resample_interval_secs='30s',
moving_window_period=dt.timedelta(hours=1)):
self.moving_window_period = moving_window_period
self.chart = Chart()
self.ib_util = IBUtil()
# Store parameters for this model
self.strategy_params = StrategyParameters(evaluation_time_secs,
resample_interval_secs)
self.stocks_data = {} # Dictionary storing StockData objects.
self.symbols = None # List of current symbols
self.account_code = ""
self.prices = None # Store last prices in a DataFrame
self.trade_qty = 0
self.order_id = 0
self.lock = threading.Lock()
# Use ibConnection() for TWS, or create connection for API Gateway
self.conn = ibConnection() if is_use_gateway else \
Connection.create(host=host, port=port, clientId=client_id)
self.__register_data_handlers(self.__on_tick_event,
self.__event_handler)
def __init__(self,
host='localhost',
port=4001,
client_id=130,
is_use_gateway=False,
moving_window_period=dt.timedelta(seconds=60),
test=False):
logging.basicConfig(format='%(asctime)s %(message)s')
self.test_logger = logging.getLogger('hftModelLogger')
self.test_logger.setLevel(logging.INFO)
self.test = test
self.tz = pytz.timezone('Singapore')
self.moving_window_period = moving_window_period
self.ib_util = IBUtil()
self.symbols = None # List of current symbols
self.account_code = ""
self.prices = None # Store last prices in a DataFrame
self.ohlc = None # I need another store for minute data (I think)
self.buffer = list()
self.trade_qty = 0
self.traffic_light = Event()
self.ohlc_ok = Lock()
self.executor = concurrent.futures.ThreadPoolExecutor(max_workers=6)
self.timekeeper = None
self.parser = None
self.execution = None
self.strategy = None
self.handler = None
self.data_path = os.path.normpath(
os.path.join(os.path.curdir, "data.csv"))
self.ohlc_path = os.path.normpath(
os.path.join(os.path.curdir, "ohlc.csv"))
self.flag = None
self.event_market_on = Event()
self.ml = MLcall()
self.last_trim = None
self.last_ml_call = None
self.cur_mean = None
self.cur_sd = None
# Use ibConnection() for TWS, or create connection for API Gateway
self.conn = Connection.create(host=host, port=port, clientId=client_id)
if not self.test:
self.handler = ExecutionHandler(self.conn)
#third handler should register properly si Dieu veut
if self.test:
self.__register_data_handlers(self.null_handler,
self.__event_handler,
self.null_handler)
else:
self.__register_data_handlers(self.handler.on_tick_event,
self.__event_handler,
self.handler._reply_handler)
if self.test:
self.order_template = self.create_contract(settings.SYMBOL,
settings.SECURITY,
settings.EXCHANGE,
settings.EXPIRY,
settings.CURRENCY)
else:
self.order_template = self.handler.create_contract(
settings.SYMBOL, settings.SECURITY, settings.EXCHANGE,
settings.EXPIRY, settings.CURRENCY)
self.signal = None
self.state = None
