def __new__(self, identity, modules, strategy_conf):
if 'algorithm' not in modules:
raise InvalidEngine(id=identity,
reason='no algorithm module provided')
algo_obj = utils.intuition_module(modules['algorithm'])
algo_obj.identity = identity
trading_algo = algo_obj(properties=strategy_conf.get('algorithm', {}))
trading_algo.set_logger(dna.logging.logger('algo.' + identity))
# Use a portfolio manager
if modules.get('manager'):
log.info('initializing manager {}'.format(modules['manager']))
# Linking to the algorithm the configured portfolio manager
trading_algo.manager = utils.intuition_module(modules['manager'])(
strategy_conf.get('manager', {}))
else:
trading_algo.manager = None
log.info('no portfolio manager used')
return trading_algo
def __new__(self, identity, modules, strategy_conf):
if 'algorithm' not in modules:
raise InvalidEngine(
id=identity, reason='no algorithm module provided')
algo_obj = utils.intuition_module(modules['algorithm'])
algo_obj.identity = identity
trading_algo = algo_obj(properties=strategy_conf.get('algorithm', {}))
trading_algo.set_logger(dna.logging.logger('algo.' + identity))
# Use a portfolio manager
if modules.get('manager'):
log.info('initializing manager {}'.format(modules['manager']))
# Linking to the algorithm the configured portfolio manager
trading_algo.manager = utils.intuition_module(modules['manager'])(
strategy_conf.get('manager', {}))
else:
trading_algo.manager = None
log.info('no portfolio manager used')
return trading_algo
def __enter__(self):
# Use the given context module to grab configuration
Loader = utils.intuition_module(self._ctx_module)
log.info('building context',
driver=self._ctx_module, data=self._ctx_infos)
config, strategy = Loader(self._ctx_infos).build()
# TODO Validate strategy as well
self._validate(config)
# From a human input (forex,4), setup a complete market structure
market = universe.Market()
market.parse_universe_description(config.pop('universe'))
# Remove holidays and other market closed periods
config['index'] = market.filter_open_days(config['index'])
return {'config': config, 'strategy': strategy, 'market': market}
