Exemplo n.º 1
0
 def __init__(self, bookToDependOn = None, factor = None, book = None):
     from marketsim import _
     from marketsim import rtti
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim.gen._out._side import Side
     from marketsim import event
     from marketsim.gen._out._observable import ObservableSide
     ObservableSide.__init__(self)
     self.bookToDependOn = bookToDependOn if bookToDependOn is not None else _orderbook_OfTrader_IAccount()
     self.factor = factor if factor is not None else 1.0
     self.book = book if book is not None else _orderbook_OfTrader_IAccount()
     rtti.check_fields(self)
     self.impl = self.getImpl()
     event.subscribe(self.impl, _(self).fire, self)
 def __init__(self, initialValue = None, priceDistr = None, book = None):
     from marketsim.gen._out.math.random._lognormvariate import lognormvariate_FloatFloat as _math_random_lognormvariate_FloatFloat
     from marketsim import deref_opt
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     self.initialValue = initialValue if initialValue is not None else 100.0
     self.priceDistr = priceDistr if priceDistr is not None else deref_opt(_math_random_lognormvariate_FloatFloat(0.0,0.1))
     self.book = book if book is not None else deref_opt(_orderbook_OfTrader_IAccount())
Exemplo n.º 3
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 def __init__(self, book = None, side = None):
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim import deref_opt
     from marketsim.gen._out.side._sell import Sell_ as _side_Sell_
     self.book = book if book is not None else deref_opt(_orderbook_OfTrader_IAccount())
     self.side = side if side is not None else deref_opt(_side_Sell_())
     Queue_Impl.__init__(self)
Exemplo n.º 4
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 def __init__(self, bookToDependOn=None, factor=None, book=None):
     from marketsim import _
     from marketsim import rtti
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim.gen._out._side import Side
     from marketsim import event
     from marketsim.gen._out._observable import ObservableSide
     ObservableSide.__init__(self)
     self.bookToDependOn = bookToDependOn if bookToDependOn is not None else _orderbook_OfTrader_IAccount(
     )
     self.factor = factor if factor is not None else 1.0
     self.book = book if book is not None else _orderbook_OfTrader_IAccount(
     )
     rtti.check_fields(self)
     self.impl = self.getImpl()
     event.subscribe(self.impl, _(self).fire, self)
Exemplo n.º 5
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 def __init__(self, book = None, alpha = None):
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim import rtti
     self.book = book if book is not None else _orderbook_OfTrader_IAccount()
     self.alpha = alpha if alpha is not None else 0.15
     rtti.check_fields(self)
     self.impl = self.getImpl()
Exemplo n.º 6
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 def __init__(self, alpha_1 = None, alpha_2 = None, threshold = None, book = None):
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim import deref_opt
     self.alpha_1 = alpha_1 if alpha_1 is not None else 0.15
     self.alpha_2 = alpha_2 if alpha_2 is not None else 0.015
     self.threshold = threshold if threshold is not None else 0.0
     self.book = book if book is not None else deref_opt(_orderbook_OfTrader_IAccount())
Exemplo n.º 7
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 def getImpl(self):
     from marketsim.gen._out.ops._mul import Mul_IObservableFloatIObservableFloat as _ops_Mul_IObservableFloatIObservableFloat
     from marketsim.gen._out.strategy.position._alpha import Alpha_strategypositionBollinger_linear as _strategy_position_Alpha_strategypositionBollinger_linear
     from marketsim.gen._out.observable._oneverydt import OnEveryDt_FloatFloat as _observable_OnEveryDt_FloatFloat
     from marketsim.gen._out.orderbook._midprice import MidPrice_IOrderBook as _orderbook_MidPrice_IOrderBook
     from marketsim.gen._out.strategy.position._k import K_strategypositionBollinger_linear as _strategy_position_K_strategypositionBollinger_linear
     from marketsim.gen._out.strategy.position._trader import Trader_strategypositionBollinger_linear as _strategy_position_Trader_strategypositionBollinger_linear
     from marketsim.gen._out.math._relstddev import RelStdDev_mathEW as _math_RelStdDev_mathEW
     from marketsim.gen._out.math._ew import EW_IObservableFloatFloat as _math_EW_IObservableFloatFloat
     from marketsim import deref_opt
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     return deref_opt(
         _ops_Mul_IObservableFloatIObservableFloat(
             deref_opt(
                 _observable_OnEveryDt_FloatFloat(
                     deref_opt(
                         _math_RelStdDev_mathEW(
                             deref_opt(
                                 _math_EW_IObservableFloatFloat(
                                     deref_opt(
                                         _orderbook_MidPrice_IOrderBook(
                                             deref_opt(
                                                 _orderbook_OfTrader_IAccount(
                                                     deref_opt(
                                                         _strategy_position_Trader_strategypositionBollinger_linear(
                                                             self.x)))))),
                                     deref_opt(
                                         _strategy_position_Alpha_strategypositionBollinger_linear(
                                             self.x)))))), 1.0)),
             deref_opt(
                 _strategy_position_K_strategypositionBollinger_linear(
                     self.x))))
Exemplo n.º 8
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 def __init__(self, book=None):
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim import rtti
     self.book = book if book is not None else _orderbook_OfTrader_IAccount(
     )
     rtti.check_fields(self)
     _Bids_Impl.__init__(self)
Exemplo n.º 9
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 def __init__(self, book=None, alpha=None):
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim import rtti
     self.book = book if book is not None else _orderbook_OfTrader_IAccount(
     )
     self.alpha = alpha if alpha is not None else 0.15
     rtti.check_fields(self)
     self.impl = self.getImpl()
Exemplo n.º 10
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 def __init__(self, book=None, side=None):
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim import deref_opt
     from marketsim.gen._out.side._sell import Sell_ as _side_Sell_
     self.book = book if book is not None else deref_opt(
         _orderbook_OfTrader_IAccount())
     self.side = side if side is not None else deref_opt(_side_Sell_())
     Queue_Impl.__init__(self)
Exemplo n.º 11
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 def __init__(self, alpha_1 = None, alpha_2 = None, threshold = None, book = None):
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim import rtti
     self.alpha_1 = alpha_1 if alpha_1 is not None else 0.15
     self.alpha_2 = alpha_2 if alpha_2 is not None else 0.015
     self.threshold = threshold if threshold is not None else 0.0
     self.book = book if book is not None else _orderbook_OfTrader_IAccount()
     rtti.check_fields(self)
     self.impl = self.getImpl()
Exemplo n.º 12
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 def __init__(self, initialValue=None, priceDistr=None, book=None):
     from marketsim.gen._out.math.random._lognormvariate import lognormvariate_FloatFloat as _math_random_lognormvariate_FloatFloat
     from marketsim import deref_opt
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     self.initialValue = initialValue if initialValue is not None else 100.0
     self.priceDistr = priceDistr if priceDistr is not None else deref_opt(
         _math_random_lognormvariate_FloatFloat(0.0, 0.1))
     self.book = book if book is not None else deref_opt(
         _orderbook_OfTrader_IAccount())
 def __init__(self, book = None, depth = None):
     from marketsim.gen._out._observable._observablefloat import Observablefloat
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim import deref_opt
     from marketsim.gen._out._constant import constant_Float as _constant_Float
     Observablefloat.__init__(self)
     self.book = book if book is not None else deref_opt(_orderbook_OfTrader_IAccount())
     self.depth = depth if depth is not None else deref_opt(_constant_Float(1.0))
     CumulativePrice_Impl.__init__(self)
Exemplo n.º 14
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 def __init__(self, alpha_1=None, alpha_2=None, threshold=None, book=None):
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim import rtti
     self.alpha_1 = alpha_1 if alpha_1 is not None else 0.15
     self.alpha_2 = alpha_2 if alpha_2 is not None else 0.015
     self.threshold = threshold if threshold is not None else 0.0
     self.book = book if book is not None else _orderbook_OfTrader_IAccount(
     )
     rtti.check_fields(self)
     self.impl = self.getImpl()
Exemplo n.º 15
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 def __init__(self, book = None):
     from marketsim import _
     from marketsim import event
     from marketsim.gen._out._observable._observablefloat import Observablefloat
     from marketsim import deref_opt
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     Observablefloat.__init__(self)
     self.book = book if book is not None else deref_opt(_orderbook_OfTrader_IAccount())
     self.impl = self.getImpl()
     event.subscribe(self.impl, _(self).fire, self)
Exemplo n.º 16
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 def getImpl(self):
     from marketsim.gen._out.ops._add import Add_IObservableFloatIObservableFloat as _ops_Add_IObservableFloatIObservableFloat
     from marketsim.gen._out.orderbook._naivecumulativeprice import NaiveCumulativePrice_IOrderBookIObservableFloat as _orderbook_NaiveCumulativePrice_IOrderBookIObservableFloat
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim.gen._out.trader._balance import Balance_IAccount as _trader_Balance_IAccount
     from marketsim.gen._out.trader._position import Position_IAccount as _trader_Position_IAccount
     return _ops_Add_IObservableFloatIObservableFloat(
         _trader_Balance_IAccount(self.trader),
         _orderbook_NaiveCumulativePrice_IOrderBookIObservableFloat(
             _orderbook_OfTrader_IAccount(self.trader),
             _trader_Position_IAccount(self.trader)))
Exemplo n.º 17
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 def __init__(self, book=None, depth=None):
     from marketsim.gen._out._observable._observablefloat import Observablefloat
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim import deref_opt
     from marketsim.gen._out._constant import constant_Float as _constant_Float
     Observablefloat.__init__(self)
     self.book = book if book is not None else deref_opt(
         _orderbook_OfTrader_IAccount())
     self.depth = depth if depth is not None else deref_opt(
         _constant_Float(1.0))
     CumulativePrice_Impl.__init__(self)
Exemplo n.º 18
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 def __init__(self, book = None):
     from marketsim import _
     from marketsim import rtti
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim import event
     from marketsim.gen._out._observable import Observablefloat
     Observablefloat.__init__(self)
     self.book = book if book is not None else _orderbook_OfTrader_IAccount()
     rtti.check_fields(self)
     self.impl = self.getImpl()
     event.subscribe(self.impl, _(self).fire, self)
Exemplo n.º 19
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 def __init__(self, book=None):
     from marketsim import _
     from marketsim import event
     from marketsim.gen._out._observable._observablefloat import Observablefloat
     from marketsim import deref_opt
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     Observablefloat.__init__(self)
     self.book = book if book is not None else deref_opt(
         _orderbook_OfTrader_IAccount())
     self.impl = self.getImpl()
     event.subscribe(self.impl, _(self).fire, self)
Exemplo n.º 20
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 def __init__(self, book=None):
     from marketsim import _
     from marketsim import rtti
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim import event
     from marketsim.gen._out._observable import Observablefloat
     Observablefloat.__init__(self)
     self.book = book if book is not None else _orderbook_OfTrader_IAccount(
     )
     rtti.check_fields(self)
     self.impl = self.getImpl()
     event.subscribe(self.impl, _(self).fire, self)
Exemplo n.º 21
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 def __init__(self, book = None, depth = None):
     from marketsim.gen._out._observable import Observablefloat
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim.gen._out._constant import constant_Float as _constant_Float
     from marketsim import rtti
     Observablefloat.__init__(self)
     self.book = book if book is not None else _orderbook_OfTrader_IAccount()
     
     self.depth = depth if depth is not None else _constant_Float(1.0)
     
     rtti.check_fields(self)
     CumulativePrice_Impl.__init__(self)
Exemplo n.º 22
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    def __init__(self, book=None, depth=None):
        from marketsim.gen._out._observable import Observablefloat
        from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
        from marketsim.gen._out._constant import constant_Float as _constant_Float
        from marketsim import rtti
        Observablefloat.__init__(self)
        self.book = book if book is not None else _orderbook_OfTrader_IAccount(
        )

        self.depth = depth if depth is not None else _constant_Float(1.0)

        rtti.check_fields(self)
        CumulativePrice_Impl.__init__(self)
Exemplo n.º 23
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 def __init__(self, fv = None, book = None):
     from marketsim import _
     from marketsim import rtti
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim.gen._out._constant import constant_Float as _constant_Float
     from marketsim.gen._out._side import Side
     from marketsim import event
     from marketsim.gen._out._observable import ObservableSide
     ObservableSide.__init__(self)
     self.fv = fv if fv is not None else _constant_Float(200.0)
     self.book = book if book is not None else _orderbook_OfTrader_IAccount()
     rtti.check_fields(self)
     self.impl = self.getImpl()
     event.subscribe(self.impl, _(self).fire, self)
Exemplo n.º 24
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 def getImpl(self):
     from marketsim.gen._out.orderbook._midprice import MidPrice_IOrderBook as _orderbook_MidPrice_IOrderBook
     from marketsim.gen._out.strategy.position._desiredposition import DesiredPosition_IObservableFloatISingleAssetTrader as _strategy_position_DesiredPosition_IObservableFloatISingleAssetTrader
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim.gen._out.math.EW._relstddev import RelStdDev_IObservableFloatFloat as _math_EW_RelStdDev_IObservableFloatFloat
     from marketsim.gen._out.observable._oneverydt import OnEveryDt_FloatFloat as _observable_OnEveryDt_FloatFloat
     from marketsim.gen._out.ops._mul import Mul_IObservableFloatIObservableFloat as _ops_Mul_IObservableFloatIObservableFloat
     return _strategy_position_DesiredPosition_IObservableFloatISingleAssetTrader(
         _ops_Mul_IObservableFloatIObservableFloat(
             _observable_OnEveryDt_FloatFloat(
                 _math_EW_RelStdDev_IObservableFloatFloat(
                     _orderbook_MidPrice_IOrderBook(
                         _orderbook_OfTrader_IAccount(self.trader)),
                     self.alpha), 1.0), self.k), self.trader)
Exemplo n.º 25
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 def __init__(self, fv=None, book=None):
     from marketsim import _
     from marketsim import rtti
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim.gen._out._constant import constant_Float as _constant_Float
     from marketsim.gen._out._side import Side
     from marketsim import event
     from marketsim.gen._out._observable import ObservableSide
     ObservableSide.__init__(self)
     self.fv = fv if fv is not None else _constant_Float(200.0)
     self.book = book if book is not None else _orderbook_OfTrader_IAccount(
     )
     rtti.check_fields(self)
     self.impl = self.getImpl()
     event.subscribe(self.impl, _(self).fire, self)
Exemplo n.º 26
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 def __init__(self, side = None, initialValue = None, priceDistr = None, book = 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.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim import event
     from marketsim.gen._out._observable import Observablefloat
     Observablefloat.__init__(self)
     self.side = side if side is not None else _side_Sell_()
     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.book = book if book is not None else _orderbook_OfTrader_IAccount()
     rtti.check_fields(self)
     self.impl = self.getImpl()
     event.subscribe(self.impl, _(self).fire, self)
Exemplo n.º 27
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 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)
Exemplo n.º 28
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 def getImpl(self):
     from marketsim.gen._out.math._rsi import RSI_IOrderBookFloatFloat as _math_RSI_IOrderBookFloatFloat
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim.gen._out._constant import constant_Float as _constant_Float
     from marketsim.gen._out.strategy.side._signal import Signal_FloatFloat as _strategy_side_Signal_FloatFloat
     from marketsim.gen._out.ops._sub import Sub_FloatFloat as _ops_Sub_FloatFloat
     from marketsim.gen._out.strategy._generic import Generic_IObservableIOrderIEvent as _strategy_Generic_IObservableIOrderIEvent
     return _strategy_Generic_IObservableIOrderIEvent(
         self.orderFactory(
             _strategy_side_Signal_FloatFloat(
                 _ops_Sub_FloatFloat(
                     _constant_Float(50.0),
                     _math_RSI_IOrderBookFloatFloat(
                         _orderbook_OfTrader_IAccount(), self.timeframe,
                         self.alpha)), (50.0 - self.threshold))),
         self.eventGen)
Exemplo n.º 29
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 def getImpl(self):
     from marketsim.gen._out.math._rsi import RSI_IOrderBookFloatFloat as _math_RSI_IOrderBookFloatFloat
     from marketsim.gen._out.strategy.position._desiredposition import DesiredPosition_IObservableFloatISingleAssetTrader as _strategy_position_DesiredPosition_IObservableFloatISingleAssetTrader
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim.gen._out._constant import constant_Float as _constant_Float
     from marketsim.gen._out.observable._oneverydt import OnEveryDt_FloatFloat as _observable_OnEveryDt_FloatFloat
     from marketsim.gen._out.ops._sub import Sub_FloatFloat as _ops_Sub_FloatFloat
     from marketsim.gen._out.ops._mul import Mul_IObservableFloatIObservableFloat as _ops_Mul_IObservableFloatIObservableFloat
     return _strategy_position_DesiredPosition_IObservableFloatISingleAssetTrader(
         _ops_Mul_IObservableFloatIObservableFloat(
             _observable_OnEveryDt_FloatFloat(
                 _ops_Sub_FloatFloat(
                     _constant_Float(50.0),
                     _math_RSI_IOrderBookFloatFloat(
                         _orderbook_OfTrader_IAccount(self.trader),
                         self.timeframe, self.alpha)), 1.0), self.k),
         self.trader)
Exemplo n.º 30
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 def getImpl(self):
     from marketsim.gen._out.strategy.position._k import K_strategypositionRSI_linear as _strategy_position_K_strategypositionRSI_linear
     from marketsim.gen._out.ops._mul import Mul_IObservableFloatIObservableFloat as _ops_Mul_IObservableFloatIObservableFloat
     from marketsim.gen._out.strategy.position._trader import Trader_strategypositionRSI_linear as _strategy_position_Trader_strategypositionRSI_linear
     from marketsim.gen._out.math._rsi import RSI_IObservableFloatFloatFloat as _math_RSI_IObservableFloatFloatFloat
     from marketsim.gen._out.strategy.position._alpha import Alpha_strategypositionRSI_linear as _strategy_position_Alpha_strategypositionRSI_linear
     from marketsim.gen._out.observable._oneverydt import OnEveryDt_FloatFloat as _observable_OnEveryDt_FloatFloat
     from marketsim.gen._out.strategy.position._timeframe import Timeframe_strategypositionRSI_linear as _strategy_position_Timeframe_strategypositionRSI_linear
     from marketsim.gen._out.orderbook._midprice import MidPrice_IOrderBook as _orderbook_MidPrice_IOrderBook
     from marketsim.gen._out._constant import constant_Float as _constant_Float
     from marketsim.gen._out.math._value import Value_mathRSI as _math_Value_mathRSI
     from marketsim.gen._out.ops._sub import Sub_FloatIObservableFloat as _ops_Sub_FloatIObservableFloat
     from marketsim import deref_opt
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     return deref_opt(
         _ops_Mul_IObservableFloatIObservableFloat(
             deref_opt(
                 _ops_Sub_FloatIObservableFloat(
                     deref_opt(_constant_Float(50.0)),
                     deref_opt(
                         _observable_OnEveryDt_FloatFloat(
                             deref_opt(
                                 _math_Value_mathRSI(
                                     deref_opt(
                                         _math_RSI_IObservableFloatFloatFloat(
                                             deref_opt(
                                                 _orderbook_MidPrice_IOrderBook(
                                                     deref_opt(
                                                         _orderbook_OfTrader_IAccount(
                                                             deref_opt(
                                                                 _strategy_position_Trader_strategypositionRSI_linear(
                                                                     self.x)
                                                             ))))),
                                             deref_opt(
                                                 _strategy_position_Timeframe_strategypositionRSI_linear(
                                                     self.x)),
                                             deref_opt(
                                                 _strategy_position_Alpha_strategypositionRSI_linear(
                                                     self.x)))))), 1.0)))),
             deref_opt(
                 _strategy_position_K_strategypositionRSI_linear(self.x))))
Exemplo n.º 31
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 def __init__(self,
              side=None,
              initialValue=None,
              priceDistr=None,
              book=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.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim import event
     from marketsim.gen._out._observable import Observablefloat
     Observablefloat.__init__(self)
     self.side = side if side is not None else _side_Sell_()
     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.book = book if book is not None else _orderbook_OfTrader_IAccount(
     )
     rtti.check_fields(self)
     self.impl = self.getImpl()
     event.subscribe(self.impl, _(self).fire, self)
Exemplo n.º 32
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    def getImpl(self):
        from marketsim.gen._out.trader._position import Position_IAccount as _trader_Position_IAccount
        from marketsim.gen._out.trader._balance import Balance_IAccount as _trader_Balance_IAccount
        from marketsim.gen._out.ops._add import (
            Add_IObservableFloatIObservableFloat as _ops_Add_IObservableFloatIObservableFloat,
        )
        from marketsim.gen._out.orderbook._naivecumulativeprice import (
            NaiveCumulativePrice_IOrderBookIObservableFloat as _orderbook_NaiveCumulativePrice_IOrderBookIObservableFloat,
        )
        from marketsim import deref_opt
        from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount

        return deref_opt(
            _ops_Add_IObservableFloatIObservableFloat(
                deref_opt(_trader_Balance_IAccount(self.trader)),
                deref_opt(
                    _orderbook_NaiveCumulativePrice_IOrderBookIObservableFloat(
                        deref_opt(_orderbook_OfTrader_IAccount(self.trader)),
                        deref_opt(_trader_Position_IAccount(self.trader)),
                    )
                ),
            )
        )
Exemplo n.º 33
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 def getImpl(self):
     from marketsim.gen._out.strategy.side._timeframe import Timeframe_strategysideRSIbis as _strategy_side_Timeframe_strategysideRSIbis
     from marketsim.gen._out.math._rsi import RSI_IObservableFloatFloatFloat as _math_RSI_IObservableFloatFloatFloat
     from marketsim.gen._out.orderbook._midprice import MidPrice_IOrderBook as _orderbook_MidPrice_IOrderBook
     from marketsim.gen._out._constant import constant_Float as _constant_Float
     from marketsim.gen._out.strategy.side._alpha import Alpha_strategysideRSIbis as _strategy_side_Alpha_strategysideRSIbis
     from marketsim.gen._out.math._value import Value_mathRSI as _math_Value_mathRSI
     from marketsim.gen._out.ops._sub import Sub_FloatFloat as _ops_Sub_FloatFloat
     from marketsim import deref_opt
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     return deref_opt(_ops_Sub_FloatFloat(deref_opt(_constant_Float(50.0)),deref_opt(_math_Value_mathRSI(deref_opt(_math_RSI_IObservableFloatFloatFloat(deref_opt(_orderbook_MidPrice_IOrderBook(deref_opt(_orderbook_OfTrader_IAccount()))),deref_opt(_strategy_side_Timeframe_strategysideRSIbis(self.x)),deref_opt(_strategy_side_Alpha_strategysideRSIbis(self.x))))))))
Exemplo n.º 34
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 def __init__(self, book = None):
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim import rtti
     self.book = book if book is not None else _orderbook_OfTrader_IAccount()
     rtti.check_fields(self)
     _Asks_Impl.__init__(self)
Exemplo n.º 35
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 def getImpl(self):
     from marketsim.gen._out.ops._add import Add_IObservableFloatIObservableFloat as _ops_Add_IObservableFloatIObservableFloat
     from marketsim.gen._out.orderbook._cumulativeprice import CumulativePrice_IOrderBookFloat as _orderbook_CumulativePrice_IOrderBookFloat
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim.gen._out.trader._balance import Balance_IAccount as _trader_Balance_IAccount
     from marketsim.gen._out.trader._position import Position_IAccount as _trader_Position_IAccount
     return _ops_Add_IObservableFloatIObservableFloat(_trader_Balance_IAccount(self.trader),_orderbook_CumulativePrice_IOrderBookFloat(_orderbook_OfTrader_IAccount(self.trader),_trader_Position_IAccount(self.trader)))
Exemplo n.º 36
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 def getImpl(self):
     from marketsim.gen._out.math._atan import Atan_Float as _math_Atan_Float
     from marketsim.gen._out.orderbook._queue import Queue_IOrderBookSide as _orderbook_Queue_IOrderBookSide
     from marketsim.gen._out.strategy._generic import Generic_IObservableIOrderIEvent as _strategy_Generic_IObservableIOrderIEvent
     from marketsim.gen._out.observable._breaksatchanges import BreaksAtChanges_IObservableFloat as _observable_BreaksAtChanges_IObservableFloat
     from marketsim.gen._out._constant import constant_Int as _constant_Int
     from marketsim.gen._out.trader._position import Position_IAccount as _trader_Position_IAccount
     from marketsim.gen._out.strategy.price._delta import Delta_strategypriceMarketMaker as _strategy_price_Delta_strategypriceMarketMaker
     from marketsim.gen._out.ops._div import Div_FloatFloat as _ops_Div_FloatFloat
     from marketsim.gen._out.math._exp import Exp_Float as _math_Exp_Float
     from marketsim.gen._out.strategy.price._volume import Volume_strategypriceMarketMaker as _strategy_price_Volume_strategypriceMarketMaker
     from marketsim.gen._out.orderbook._safesideprice import SafeSidePrice_IOrderQueueFloat as _orderbook_SafeSidePrice_IOrderQueueFloat
     from marketsim.gen._out.observable._oneverydt import OnEveryDt_FloatFloat as _observable_OnEveryDt_FloatFloat
     from marketsim.gen._out._constant import constant_Float as _constant_Float
     from marketsim.gen._out.order._floatingprice import FloatingPrice_FloatIObservableIOrderIObservableFloat as _order_FloatingPrice_FloatIObservableIOrderIObservableFloat
     from marketsim.gen._out.ops._div import Div_IObservableFloatFloat as _ops_Div_IObservableFloatFloat
     from marketsim.gen._out.order._curried._price_limit import price_Limit_SideFloat as _order__curried_price_Limit_SideFloat
     from marketsim.gen._out.order._iceberg import Iceberg_IObservableIOrderFloat as _order_Iceberg_IObservableIOrderFloat
     from marketsim.gen._out.event._after import After_Float as _event_After_Float
     from marketsim import deref_opt
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     return deref_opt(
         _strategy_Generic_IObservableIOrderIEvent(
             deref_opt(
                 _order_Iceberg_IObservableIOrderFloat(
                     deref_opt(
                         _order_FloatingPrice_FloatIObservableIOrderIObservableFloat(
                             deref_opt(
                                 _order__curried_price_Limit_SideFloat(
                                     self.side,
                                     deref_opt(
                                         _constant_Float((deref_opt(
                                             _strategy_price_Volume_strategypriceMarketMaker(
                                                 self.x)) * 1000))))),
                             deref_opt(
                                 _observable_BreaksAtChanges_IObservableFloat(
                                     deref_opt(
                                         _observable_OnEveryDt_FloatFloat(
                                             deref_opt(
                                                 _ops_Div_IObservableFloatFloat(
                                                     deref_opt(
                                                         _orderbook_SafeSidePrice_IOrderQueueFloat(
                                                             deref_opt(
                                                                 _orderbook_Queue_IOrderBookSide(
                                                                     deref_opt(
                                                                         _orderbook_OfTrader_IAccount(
                                                                         )),
                                                                     self.
                                                                     side)),
                                                             deref_opt(
                                                                 _constant_Float((
                                                                     100 +
                                                                     (deref_opt(
                                                                         _strategy_price_Delta_strategypriceMarketMaker(
                                                                             self
                                                                             .x
                                                                         ))
                                                                      * self
                                                                      .sign)
                                                                 ))))),
                                                     deref_opt(
                                                         _math_Exp_Float(
                                                             deref_opt(
                                                                 _ops_Div_FloatFloat(
                                                                     deref_opt(
                                                                         _math_Atan_Float(
                                                                             deref_opt(
                                                                                 _trader_Position_IAccount(
                                                                                 )
                                                                             )
                                                                         )),
                                                                     deref_opt(
                                                                         _constant_Int(
                                                                             1000
                                                                         )))
                                                             ))))),
                                             0.9)))))),
                     deref_opt(
                         _constant_Float(
                             deref_opt(
                                 _strategy_price_Volume_strategypriceMarketMaker(
                                     self.x)))))),
             deref_opt(_event_After_Float(deref_opt(
                 _constant_Float(0.0))))))
Exemplo n.º 37
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    def getImpl(self):
        from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
        from marketsim import deref_opt

        return deref_opt(_orderbook_OfTrader_IAccount())
Exemplo n.º 38
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 def getImpl(self):
     from marketsim.gen._out.math._rsi import RSI_IOrderBookFloatFloat as _math_RSI_IOrderBookFloatFloat
     from marketsim.gen._out.strategy.position._desiredposition import DesiredPosition_IObservableFloatISingleAssetTrader as _strategy_position_DesiredPosition_IObservableFloatISingleAssetTrader
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim.gen._out._constant import constant_Float as _constant_Float
     from marketsim.gen._out.observable._oneverydt import OnEveryDt_FloatFloat as _observable_OnEveryDt_FloatFloat
     from marketsim.gen._out.ops._sub import Sub_FloatFloat as _ops_Sub_FloatFloat
     from marketsim.gen._out.ops._mul import Mul_IObservableFloatIObservableFloat as _ops_Mul_IObservableFloatIObservableFloat
     return _strategy_position_DesiredPosition_IObservableFloatISingleAssetTrader(_ops_Mul_IObservableFloatIObservableFloat(_observable_OnEveryDt_FloatFloat(_ops_Sub_FloatFloat(_constant_Float(50.0),_math_RSI_IOrderBookFloatFloat(_orderbook_OfTrader_IAccount(self.trader),self.timeframe,self.alpha)),1.0),self.k),self.trader)
 def getImpl(self):
     from marketsim.gen._out.ops._mul import Mul_IObservableFloatIObservableFloat as _ops_Mul_IObservableFloatIObservableFloat
     from marketsim.gen._out.strategy.position._alpha import Alpha_strategypositionBollinger_linear as _strategy_position_Alpha_strategypositionBollinger_linear
     from marketsim.gen._out.observable._oneverydt import OnEveryDt_FloatFloat as _observable_OnEveryDt_FloatFloat
     from marketsim.gen._out.orderbook._midprice import MidPrice_IOrderBook as _orderbook_MidPrice_IOrderBook
     from marketsim.gen._out.strategy.position._k import K_strategypositionBollinger_linear as _strategy_position_K_strategypositionBollinger_linear
     from marketsim.gen._out.strategy.position._trader import Trader_strategypositionBollinger_linear as _strategy_position_Trader_strategypositionBollinger_linear
     from marketsim.gen._out.math._relstddev import RelStdDev_mathEW as _math_RelStdDev_mathEW
     from marketsim.gen._out.math._ew import EW_IObservableFloatFloat as _math_EW_IObservableFloatFloat
     from marketsim import deref_opt
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     return deref_opt(_ops_Mul_IObservableFloatIObservableFloat(deref_opt(_observable_OnEveryDt_FloatFloat(deref_opt(_math_RelStdDev_mathEW(deref_opt(_math_EW_IObservableFloatFloat(deref_opt(_orderbook_MidPrice_IOrderBook(deref_opt(_orderbook_OfTrader_IAccount(deref_opt(_strategy_position_Trader_strategypositionBollinger_linear(self.x)))))),deref_opt(_strategy_position_Alpha_strategypositionBollinger_linear(self.x)))))),1.0)),deref_opt(_strategy_position_K_strategypositionBollinger_linear(self.x))))
Exemplo n.º 40
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 def getImpl(self):
     from marketsim.gen._out.math._atan import Atan_Float as _math_Atan_Float
     from marketsim.gen._out.orderbook._queue import Queue_IOrderBookSide as _orderbook_Queue_IOrderBookSide
     from marketsim.gen._out.strategy._generic import Generic_IObservableIOrderIEvent as _strategy_Generic_IObservableIOrderIEvent
     from marketsim.gen._out.observable._breaksatchanges import BreaksAtChanges_IObservableFloat as _observable_BreaksAtChanges_IObservableFloat
     from marketsim.gen._out._constant import constant_Int as _constant_Int
     from marketsim.gen._out.trader._position import Position_IAccount as _trader_Position_IAccount
     from marketsim.gen._out.strategy.price._delta import Delta_strategypriceMarketMaker as _strategy_price_Delta_strategypriceMarketMaker
     from marketsim.gen._out.ops._div import Div_FloatFloat as _ops_Div_FloatFloat
     from marketsim.gen._out.math._exp import Exp_Float as _math_Exp_Float
     from marketsim.gen._out.strategy.price._volume import Volume_strategypriceMarketMaker as _strategy_price_Volume_strategypriceMarketMaker
     from marketsim.gen._out.orderbook._safesideprice import SafeSidePrice_IOrderQueueFloat as _orderbook_SafeSidePrice_IOrderQueueFloat
     from marketsim.gen._out.observable._oneverydt import OnEveryDt_FloatFloat as _observable_OnEveryDt_FloatFloat
     from marketsim.gen._out._constant import constant_Float as _constant_Float
     from marketsim.gen._out.order._floatingprice import FloatingPrice_FloatIObservableIOrderIObservableFloat as _order_FloatingPrice_FloatIObservableIOrderIObservableFloat
     from marketsim.gen._out.ops._div import Div_IObservableFloatFloat as _ops_Div_IObservableFloatFloat
     from marketsim.gen._out.order._curried._price_limit import price_Limit_SideFloat as _order__curried_price_Limit_SideFloat
     from marketsim.gen._out.order._iceberg import Iceberg_IObservableIOrderFloat as _order_Iceberg_IObservableIOrderFloat
     from marketsim.gen._out.event._after import After_Float as _event_After_Float
     from marketsim import deref_opt
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     return deref_opt(_strategy_Generic_IObservableIOrderIEvent(deref_opt(_order_Iceberg_IObservableIOrderFloat(deref_opt(_order_FloatingPrice_FloatIObservableIOrderIObservableFloat(deref_opt(_order__curried_price_Limit_SideFloat(self.side,deref_opt(_constant_Float((deref_opt(_strategy_price_Volume_strategypriceMarketMaker(self.x))*1000))))),deref_opt(_observable_BreaksAtChanges_IObservableFloat(deref_opt(_observable_OnEveryDt_FloatFloat(deref_opt(_ops_Div_IObservableFloatFloat(deref_opt(_orderbook_SafeSidePrice_IOrderQueueFloat(deref_opt(_orderbook_Queue_IOrderBookSide(deref_opt(_orderbook_OfTrader_IAccount()),self.side)),deref_opt(_constant_Float((100+(deref_opt(_strategy_price_Delta_strategypriceMarketMaker(self.x))*self.sign)))))),deref_opt(_math_Exp_Float(deref_opt(_ops_Div_FloatFloat(deref_opt(_math_Atan_Float(deref_opt(_trader_Position_IAccount()))),deref_opt(_constant_Int(1000)))))))),0.9)))))),deref_opt(_constant_Float(deref_opt(_strategy_price_Volume_strategypriceMarketMaker(self.x)))))),deref_opt(_event_After_Float(deref_opt(_constant_Float(0.0))))))
 def getImpl(self):
     from marketsim.gen._out.strategy.position._k import K_strategypositionRSI_linear as _strategy_position_K_strategypositionRSI_linear
     from marketsim.gen._out.ops._mul import Mul_IObservableFloatIObservableFloat as _ops_Mul_IObservableFloatIObservableFloat
     from marketsim.gen._out.strategy.position._trader import Trader_strategypositionRSI_linear as _strategy_position_Trader_strategypositionRSI_linear
     from marketsim.gen._out.math._rsi import RSI_IObservableFloatFloatFloat as _math_RSI_IObservableFloatFloatFloat
     from marketsim.gen._out.strategy.position._alpha import Alpha_strategypositionRSI_linear as _strategy_position_Alpha_strategypositionRSI_linear
     from marketsim.gen._out.observable._oneverydt import OnEveryDt_FloatFloat as _observable_OnEveryDt_FloatFloat
     from marketsim.gen._out.strategy.position._timeframe import Timeframe_strategypositionRSI_linear as _strategy_position_Timeframe_strategypositionRSI_linear
     from marketsim.gen._out.orderbook._midprice import MidPrice_IOrderBook as _orderbook_MidPrice_IOrderBook
     from marketsim.gen._out._constant import constant_Float as _constant_Float
     from marketsim.gen._out.math._value import Value_mathRSI as _math_Value_mathRSI
     from marketsim.gen._out.ops._sub import Sub_FloatIObservableFloat as _ops_Sub_FloatIObservableFloat
     from marketsim import deref_opt
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     return deref_opt(_ops_Mul_IObservableFloatIObservableFloat(deref_opt(_ops_Sub_FloatIObservableFloat(deref_opt(_constant_Float(50.0)),deref_opt(_observable_OnEveryDt_FloatFloat(deref_opt(_math_Value_mathRSI(deref_opt(_math_RSI_IObservableFloatFloatFloat(deref_opt(_orderbook_MidPrice_IOrderBook(deref_opt(_orderbook_OfTrader_IAccount(deref_opt(_strategy_position_Trader_strategypositionRSI_linear(self.x)))))),deref_opt(_strategy_position_Timeframe_strategypositionRSI_linear(self.x)),deref_opt(_strategy_position_Alpha_strategypositionRSI_linear(self.x)))))),1.0)))),deref_opt(_strategy_position_K_strategypositionRSI_linear(self.x))))
Exemplo n.º 42
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 def __init__(self, book=None):
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim import deref_opt
     self.book = book if book is not None else deref_opt(
         _orderbook_OfTrader_IAccount())
     Bids_Impl.__init__(self)
Exemplo n.º 43
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 def __init__(self, bookToDependOn = None, factor = None):
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim import deref_opt
     self.bookToDependOn = bookToDependOn if bookToDependOn is not None else deref_opt(_orderbook_OfTrader_IAccount())
     self.factor = factor if factor is not None else 1.0
Exemplo n.º 44
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 def __init__(self, book = None):
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim import deref_opt
     self.book = book if book is not None else deref_opt(_orderbook_OfTrader_IAccount())
     Bids_Impl.__init__(self)
Exemplo n.º 45
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 def getImpl(self):
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim import deref_opt
     return deref_opt(_orderbook_OfTrader_IAccount())
Exemplo n.º 46
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 def __init__(self, bookToDependOn=None, factor=None):
     from marketsim.gen._out.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount
     from marketsim import deref_opt
     self.bookToDependOn = bookToDependOn if bookToDependOn is not None else deref_opt(
         _orderbook_OfTrader_IAccount())
     self.factor = factor if factor is not None else 1.0