def on_daystart(self, date, info_x, info_y):
# recreate rolling at each day start
self.long_autoreg = AutoregOU(size=self.param['rolling'])
self.short_autoreg = AutoregOU(size=self.param['rolling'])
self.spreadx_roll = SimpleMoving(size=self.param['rolling'])
self.spready_roll = SimpleMoving(size=self.param['rolling'])
def param_updated(self):
# make sure parent updates its param
super(StopWinSpreadGuardAlgo, self).param_updated()
# algo settings
self.min_ticksize = self.pair.x.symbol.min_ticksize
# create rolling
self.long_roll = SimpleMoving(size=self.param['rolling'])
self.short_roll = SimpleMoving(size=self.param['rolling'])
self.spreadx_roll = SimpleMoving(size = self.param['rolling'])
self.spready_roll = SimpleMoving(size = self.param['rolling'])
self.bollinger = self.param['bollinger']
self.block = self.param['block']
self.stop_win = self.param['stop_win']
#other params
self.last_long_res = -999
self.last_short_res = -999
#records
self.records = {'timestamp': [], 'longs': [], 'shorts': [],
'long_mean': [], 'short_mean': [],
'long_sd': [], 'short_sd':[]}
#tracker
self.tracker = self.param['tracker']
def param_updated(self):
# make sure parent updates its param
super(OUAlgo, self).param_updated()
# create autoregressive
self.long_autoreg = AutoregOU(size=self.param['rolling'])
self.short_autoreg = AutoregOU(size=self.param['rolling'])
# create rolling
self.spreadx_roll = SimpleMoving(size=self.param['rolling'])
self.spready_roll = SimpleMoving(size=self.param['rolling'])
#params
self.bollinger = self.param['bollinger']
self.block = self.param['block']
#other params
self.last_long_res = -999
self.last_short_res = -999
#records
self.records = {
'timestamp': [],
'longs': [],
'shorts': [],
'long_mean': [],
'short_mean': [],
'long_sd': [],
'short_sd': []
}
#tracker
self.tracker = self.param['tracker']
def param_updated(self):
# make sure parent updates its param
super(StopWinAlgo, self).param_updated()
# algo settings
self.if_ema = self.param['if_ema'] # if false, use sma
self.if_stop_win = self.param['if_stop_win'] #if false, don't stop win
self.if_consider_spread = self.param['if_consider_spread'] #if false, don't consider spread and fee
# create rolling
self.long_roll = SimpleMoving(size=self.param['rolling'])
self.short_roll = SimpleMoving(size=self.param['rolling'])
self.long_autoreg = Autoregressive(alpha = self.param['alpha'])
self.short_autoreg = Autoregressive(alpha = self.param['alpha'])
self.spreadx_roll = SimpleMoving(size = self.param['rolling'])
self.spready_roll = SimpleMoving(size = self.param['rolling'])
self.bollinger = self.param['bollinger']
self.block = self.param['block']
self.stop_win = self.param['stop_win']
#other params
self.last_long_res = -999
self.last_short_res = -999
#records
self.records = {'timestamp': [], 'longs': [], 'shorts': [],
'long_mean': [], 'short_mean': [],
'long_sd': [], 'short_sd':[]}
#tracker
self.tracker = TradeAnalysis(self.pair.x)
def param_updated(self):
# make sure parent updates its param
super(SMAAlgo, self).param_updated()
# create rolling
self.long_roll = SimpleMoving(size=self.param['rolling'])
self.short_roll = SimpleMoving(size=self.param['rolling'])
self.spreadx_roll = SimpleMoving(size = self.param['rolling'])
self.spready_roll = SimpleMoving(size = self.param['rolling'])
#params
self.bollinger = self.param['bollinger']
self.block = self.param['block']
self.stop_win = self.param['stop_win']
#other params
self.last_long_res = -999
self.last_short_res = -999
#records
self.records = {'timestamp': [], 'longs': [], 'shorts': [],
'long_mean': [], 'short_mean': [],
'long_sd': [], 'short_sd':[]}
self.max_profit = 0
#tracker
self.tracker = TradeAnalysis(self.pair.x)
def param_updated(self):
# make sure parent updates its param
super(SMAAlgo, self).param_updated()
# create rolling
self.long_roll = SimpleMoving(size=self.param['rolling'])
self.short_roll = SimpleMoving(size=self.param['rolling'])
self.bollinger = self.param['bollinger']
self.block = self.param['block']
self.stop_win = self.param['stop_win']
#other params
self.last_long_res = -999
self.last_short_res = -999
def on_daystart(self, date, info_x, info_y):
# recreate rolling at each day start
self.long_roll = SimpleMoving(size=self.param['rolling'])
self.short_roll = SimpleMoving(size=self.param['rolling'])
def on_daystart(self, date, info_x, info_y):
#create new stuff on day start
self.long_autoreg = Autoregressive(alpha = self.param['alpha'])
self.short_autoreg = Autoregressive(alpha = self.param['alpha'])
self.long_roll = SimpleMoving(size = self.param['rolling'])
self.short_roll = SimpleMoving(size = self.param['rolling'])
