def getExecutionSystem(self):
return SimpleExecutionSystem(enter_threshold=0.7,
exit_threshold=0.55,
longLimit=10000,
shortLimit=10000,
capitalUsageLimit=0.10 * self.getStartingCapital(),
lotSize=1)
def getExecutionSystem(self):
return SimpleExecutionSystem(enter_threshold=0.7,
exit_threshold=0.55,
longLimit=1,
shortLimit=1,
capitalUsageLimit=0.10 * self.getStartingCapital(),
enterlotSize=1, exitlotSize = 1,
limitType='L', price='stockVWAP')
def getExecutionSystem(self):
return SimpleExecutionSystem(enter_threshold=0.8,
exit_threshold=0.6,
longLimit=10000,
shortLimit=10000,
capitalUsageLimit=0.05,
lotSize=500,
limitType='L',
price=self.getPriceFeatureKey())
def getExecutionSystem(self):
return SimpleExecutionSystem(enter_threshold=0.99,
exit_threshold=0.55,
longLimit=10000,
shortLimit=10000,
capitalUsageLimit=0.10 *
self.getStartingCapital(),
enterlotSize=10000,
exitlotSize=10000,
limitType='D',
price=self.getPriceFeatureKey())
def getExecutionSystem(self):
"""
Returns the type of execution system we want to use. Its an implementation of the class ExecutionSystem
It converts prediction to intended positions for different instruments.
"""
return SimpleExecutionSystem(enter_threshold=0.7,
exit_threshold=0.55,
longLimit=1,
shortLimit=1,
capitalUsageLimit=0.85,
enterlotSize=1,
exitlotSize=1,
limitType='L',
price='adjClose')
def getExecutionSystem(self):
# return PairExecutionSystem(pair=[instrumentIds[0], instrumentIds[1]],
# pairRatio=0.3,
# pairEnter_threshold=0.7,
# pairExit_threshold=0.55,
# pairLongLimit=20000,
# pairShortLimit=20000,
# pairCapitalUsageLimit = 0.10*self.getStartingCapital(),
# pairLotSize=200)
return SimpleExecutionSystem(enter_threshold=0.7,
exit_threshold=0.55,
longLimit=10000,
shortLimit=10000,
capitalUsageLimit=.85,
enterlotSize=10000,
exitlotSize=10000,
limitType='D',
price='adjClose')
def getExecutionSystem(self):
longLimit = {}
shortLimit = {}
lotSize = {}
for i in instrumentIds:
longLimit[i] = 5000000
shortLimit[i] = 5000000
lotSize[i] = 500000
return SimpleExecutionSystem(enter_threshold=0.7,
exit_threshold=0.55,
longLimit=longLimit,
shortLimit=shortLimit,
capitalUsageLimit=0.10 *
self.getStartingCapital(),
lotSize=lotSize,
limitType='D',
price=self.getPriceFeatureKey())
def getExecutionSystem(self):
return SimpleExecutionSystem(longLimit=12000, shortLimit=12000)