def __init__(self): _Holder_Impl.__init__(self) # event to be fired when an order has been sent self.on_order_sent = event.Event() # event to be fired when an order issued by the trader has been matched self.on_order_matched = event.Event() # event to be fired when an order issued by the trader has been cancelled self.on_order_disposed = event.Event() # event to be fired when a trader's is traded; to be removed self.on_traded = event.Event() self.reset()
def __init__(self): event.subscribe(self.inner.on_order_created, _(self).onOrderCreated, self) event.subscribe(OnOrderMatched(), _(self)._onOrderMatched, self) self.on_traded = event.Event() self.orderBook = OfTrader() self._balance = 0 self._position = 0
def __init__(self): # orders created by trader from marketsim.gen._out.trader._singleproxy import SingleProxy from marketsim.gen._out.orderbook._oftrader import OfTrader self._elements = [] self._eventGen = event.Every(self.cancellationIntervalDistr) self._myTrader = SingleProxy() self._book = OfTrader(self._myTrader) self.on_order_created = event.Event()
def __init__(self, delta=None, volume=None): from marketsim import rtti from marketsim import event from marketsim import _ self.delta = delta if delta is not None else 1.0 self.volume = volume if volume is not None else 20.0 rtti.check_fields(self) self.impl = self.getImpl() self.on_order_created = event.Event() event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self, orderFactory = None, alpha = None, k = None): from marketsim.gen._out.order._curried._signedvolume_marketsigned import signedVolume_MarketSigned_ as _order__curried_signedVolume_MarketSigned_ from marketsim import _ from marketsim import rtti from marketsim.gen._out._const import const_Float as _const_Float from marketsim import event self.orderFactory = orderFactory if orderFactory is not None else _order__curried_signedVolume_MarketSigned_() self.alpha = alpha if alpha is not None else 0.15 self.k = k if k is not None else _const_Float(0.5) rtti.check_fields(self) self.impl = self.getImpl() self.on_order_created = event.Event() event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self, eventGen = None, orderFactory = None, ewma_alpha = None): from marketsim import _ from marketsim import rtti from marketsim.gen._out.order._curried._side_market import side_Market_Float as _order__curried_side_Market_Float from marketsim.gen._out.event._every import Every_Float as _event_Every_Float from marketsim.gen._out.math.random._expovariate import expovariate_Float as _math_random_expovariate_Float from marketsim import event self.eventGen = eventGen if eventGen is not None else _event_Every_Float(_math_random_expovariate_Float(1.0)) self.orderFactory = orderFactory if orderFactory is not None else _order__curried_side_Market_Float() self.ewma_alpha = ewma_alpha if ewma_alpha is not None else 0.15 rtti.check_fields(self) self.impl = self.getImpl() self.on_order_created = event.Event() event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self, eventGen = None, orderFactory = None, bookToDependOn = None, factor = None): from marketsim import _ from marketsim import rtti from marketsim.gen._out.order._curried._side_market import side_Market_Float as _order__curried_side_Market_Float from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount from marketsim.gen._out.event._every import Every_Float as _event_Every_Float from marketsim.gen._out.math.random._expovariate import expovariate_Float as _math_random_expovariate_Float from marketsim import event self.eventGen = eventGen if eventGen is not None else _event_Every_Float(_math_random_expovariate_Float(1.0)) self.orderFactory = orderFactory if orderFactory is not None else _order__curried_side_Market_Float() self.bookToDependOn = bookToDependOn if bookToDependOn is not None else _orderbook_OfTrader_IAccount() self.factor = factor if factor is not None else 1.0 rtti.check_fields(self) self.impl = self.getImpl() self.on_order_created = event.Event() event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self, inner=None, account=None, performance=None): from marketsim import _ from marketsim import rtti from marketsim.gen._out.strategy.weight.trader._trader_traderefficiencytrend import trader_TraderEfficiencyTrend_Float as _strategy_weight_trader_trader_TraderEfficiencyTrend_Float from marketsim.gen._out.strategy._noise import Noise_IEventSideIObservableIOrder as _strategy_Noise_IEventSideIObservableIOrder from marketsim.gen._out.strategy.account.inner._inner_virtualmarket import inner_VirtualMarket_ as _strategy_account_inner_inner_VirtualMarket_ from marketsim import event self.inner = inner if inner is not None else _strategy_Noise_IEventSideIObservableIOrder( ) self.account = account if account is not None else _strategy_account_inner_inner_VirtualMarket_( ) self.performance = performance if performance is not None else _strategy_weight_trader_trader_TraderEfficiencyTrend_Float( ) rtti.check_fields(self) self.impl = self.getImpl() self.on_order_created = event.Event() event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self, initialValue = None, priceDistr = None, eventGen = None, orderFactory = None, side = None): from marketsim import _ from marketsim import rtti from marketsim.gen._out.math.random._lognormvariate import lognormvariate_FloatFloat as _math_random_lognormvariate_FloatFloat from marketsim.gen._out.side._sell import Sell_ as _side_Sell_ from marketsim.gen._out.event._every import Every_Float as _event_Every_Float from marketsim.gen._out.math.random._expovariate import expovariate_Float as _math_random_expovariate_Float from marketsim.gen._out.order._curried._sideprice_limit import sideprice_Limit_Float as _order__curried_sideprice_Limit_Float from marketsim import event self.initialValue = initialValue if initialValue is not None else 100.0 self.priceDistr = priceDistr if priceDistr is not None else _math_random_lognormvariate_FloatFloat(0.0,0.1) self.eventGen = eventGen if eventGen is not None else _event_Every_Float(_math_random_expovariate_Float(1.0)) self.orderFactory = orderFactory if orderFactory is not None else _order__curried_sideprice_Limit_Float() self.side = side if side is not None else _side_Sell_() rtti.check_fields(self) self.impl = self.getImpl() self.on_order_created = event.Event() event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self, ticker=None, start=None, end=None, delta=None, volume=None): from marketsim import rtti from marketsim import event from marketsim import _ self.ticker = ticker if ticker is not None else "^GSPC" self.start = start if start is not None else "2001-1-1" self.end = end if end is not None else "2010-1-1" self.delta = delta if delta is not None else 1.0 self.volume = volume if volume is not None else 1000.0 rtti.check_fields(self) self.impl = self.getImpl() self.on_order_created = event.Event() event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self, eventGen=None, orderFactory=None, signal=None, threshold=None): from marketsim import _ from marketsim import rtti from marketsim.gen._out.order._curried._side_market import side_Market_Float as _order__curried_side_Market_Float from marketsim.gen._out.event._every import Every_Float as _event_Every_Float from marketsim.gen._out._constant import constant_Float as _constant_Float from marketsim.gen._out.math.random._expovariate import expovariate_Float as _math_random_expovariate_Float from marketsim import event self.eventGen = eventGen if eventGen is not None else _event_Every_Float( _math_random_expovariate_Float(1.0)) self.orderFactory = orderFactory if orderFactory is not None else _order__curried_side_Market_Float( ) self.signal = signal if signal is not None else _constant_Float(0.0) self.threshold = threshold if threshold is not None else 0.7 rtti.check_fields(self) self.impl = self.getImpl() self.on_order_created = event.Event() event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self, eventGen=None, orderFactory=None, alpha=None, timeframe=None, threshold=None): from marketsim import _ from marketsim import rtti from marketsim.gen._out.order._curried._side_market import side_Market_Float as _order__curried_side_Market_Float from marketsim.gen._out.event._every import Every_Float as _event_Every_Float from marketsim.gen._out.math.random._expovariate import expovariate_Float as _math_random_expovariate_Float from marketsim import event self.eventGen = eventGen if eventGen is not None else _event_Every_Float( _math_random_expovariate_Float(1.0)) self.orderFactory = orderFactory if orderFactory is not None else _order__curried_side_Market_Float( ) self.alpha = alpha if alpha is not None else (1.0 / 14) self.timeframe = timeframe if timeframe is not None else 1.0 self.threshold = threshold if threshold is not None else 30.0 rtti.check_fields(self) self.impl = self.getImpl() self.on_order_created = event.Event() event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self): Base.__init__(self) self.on_order_created = event.Event()