def __init__(self): self.attributes = {"smooth":True} self._timer = event.Every(self.intervalDistr) event.subscribe(self._timer, _(self)._wakeUp, self) self.reset()
def __init__(self): self._event = event.subscribe(self.source, _(self)._update, self) event.subscribe(event.Every(constant(self.timeframe)), _(self)._flush, self) self.reset() self._mean = CMA(self.source) self._stddev = StdDev(self.source)
def __init__(self): self._event = event.subscribe(self.source, _(self)._update, self) event.subscribe(event.Every(constant(self.timeframe)), _(self)._flush, self) self.reset() self._mean = self.source.Cumulative.Avg self._stddev = self.source.Cumulative.StdDev
def createSimulation(name='All'): with createScheduler() as world: myRegistry = registry.create() ctx = Context(world, Graph) dependency_ex = strategy.side.PairTrading(ctx.book_B)\ .Strategy(event.Every(math.random.expovariate(1.)), order.side.Market()) def register(annotated_objects): for obj, alias in annotated_objects: if alias is not None: obj._alias = alias myRegistry.insert(obj) register([ (dependency_ex, None), ]) myRegistry.pushAllReferences() def process(name): constructor = predefined[name] traders = constructor(ctx) books = orderBooksToRender(ctx, traders) for t in traders + list(ctx.books.itervalues()) + ctx.graphs: myRegistry.insert(t) if name != 'All': process(name) else: for n in predefined.iterkeys(): process(n) myRegistry.insert(world) root = myRegistry.insert(registry.createSimulation(myRegistry)) from marketsim.context import BindingContextEx myRegistry.get(root).bind_ex(BindingContextEx({"world": world})) myRegistry.get(root).registerIn(myRegistry) if name != 'All': current_dir = current_user_dir() ensure_dir_ex(current_dir) if os.path.exists(os.path.join(current_dir, name)): i = 0 while os.path.exists( os.path.join(current_dir, name + "." + str(i))): i += 1 name += '.' + str(i) return name, root, myRegistry, world
def __init__(self): Strategy.__init__(self) self._current = None self._estimators = [] for s in self.strategies: event.subscribe(s.on_order_created, _(self).send, self) e = self.performance(self.account(s)) e._origin = s self._estimators.append(e) event.subscribe(event.Every(constant(1.)), _(self)._wakeUp, self)
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): self._quotes = None self._current = None event.subscribe(event.Every(constant(1)), _(self)._wakeUp, self)
def __init__(self): self.attributes = {'smooth': True} self._dataSource = self.x IndicatorBase.__init__(self) self._subscription = event.subscribe(event.Every(constant(self.dt)), self.fire, self)
def __init__(self): event.subscribe(event.Every(constant(1)), self.fire, self)