def handle_data(self, data):
if self.target_shares == 0:
assert 0 not in self.portfolio.positions
self.order(self.sid(0), 10)
self.target_shares = 10
return
else:
assert self.portfolio.positions[0].amount == \
self.target_shares, "Orders not filled immediately."
assert self.portfolio.positions[0].last_sale_price == \
data.current(sid(0), "price"), \
"Orders not filled at current price."
self.order_percent(self.sid(0), .001)
if isinstance(self.sid(0), Equity):
price = data.current(sid(0), "price")
new_shares = (.001 * self.portfolio.portfolio_value) / price
elif isinstance(self.sid(0), Future):
new_shares = (.001 * self.portfolio.portfolio_value) / \
(data.current(sid(0), "price") *
self.sid(0).contract_multiplier)
new_shares = int(round_if_near_integer(new_shares))
self.target_shares += new_shares
def handle_data(self, data):
if self.target_shares == 0:
assert 0 not in self.portfolio.positions
self.order(self.sid(0), 10)
self.target_shares = 10
return
else:
assert self.portfolio.positions[0].amount == \
self.target_shares, "Orders not filled immediately."
assert self.portfolio.positions[0].last_sale_price == \
data.current(sid(0), "price"), \
"Orders not filled at current price."
self.order_percent(self.sid(0), .001)
if isinstance(self.sid(0), Equity):
price = data.current(sid(0), "price")
new_shares = (.001 * self.portfolio.portfolio_value) / price
elif isinstance(self.sid(0), Future):
new_shares = (.001 * self.portfolio.portfolio_value) / \
(data.current(sid(0), "price") *
self.sid(0).contract_multiplier)
new_shares = int(round_if_near_integer(new_shares))
self.target_shares += new_shares
def round_order(self, amount: float) -> float:
return int(round_if_near_integer(amount))
def round_order(self, amount: float) -> float:
return int(round_if_near_integer(
amount / self._precision)) * self._precision
def round_order(amount):
if pd.isna(amount):
return 0
return int(round_if_near_integer(amount))