def initialize(self, parameters): # R stuff: R functions file and rpy interface self.r = robjects.r portfolio_opt_file = '/'.join( [os.path.expanduser('~/.intuition'), 'R', 'opt_utils.R']) assert os.path.exists(portfolio_opt_file) self.r('source("{}")'.format(portfolio_opt_file)) self.price_transform = transforms.get_past_returns( refresh_period=parameters.get('refresh', 1), window_length=parameters.get('window', 50), compute_only_full=parameters.get('only_full', True))
def initialize(self, properties): for middleware in common_middlewares(properties, self.identity): self.use(middleware) # Set Max and Min positions in security self.max_notional = 1000000.1 self.min_notional = -1000000.0 # This is the lookback window that the entire algorithm depends on self.refresh_period = properties.get('rate', 10) self.returns_transform = transforms.get_past_returns( refresh_period=self.refresh_period, window_length=properties.get('window', 40), compute_only_full=True)