class Account_Impl(Account_Base):
def __init__(self):
event.subscribe(self.inner.on_order_created,
_(self).onOrderCreated, self)
event.subscribe(OnOrderMatched(), _(self)._onOrderMatched, self)
from marketsim.gen._out.event._event import Event
self.on_traded = Event()
self.orderBook = OfTrader()
self._balance = 0
self._position = 0
_internals = ["orderBook"]
def _onOrderMatched(self, trader, order, price, volume):
if getattr(order, '_strategy', None) == self.inner:
pv = price * volume
self._balance += pv if order.side == Side.Sell else -pv
self._position += volume if order.side == Side.Buy else -volume
self.on_traded.fire(self)
@property
def amount(self):
return self._position
@property
def PnL(self):
return self._balance
def onOrderCreated(self, order, source):
order._strategy = source
class Account_Impl(Account_Base):
def __init__(self):
event.subscribe(self.inner.on_order_created, _(self).onOrderCreated, self)
event.subscribe(OnOrderMatched(), _(self)._onOrderMatched, self)
from marketsim.gen._out.event._event import Event
self.on_traded = Event()
self.orderBook = OfTrader()
self._balance = 0
self._position = 0
_internals = ["orderBook"]
def _onOrderMatched(self, trader, order, price, volume):
if getattr(order, '_strategy', None) == self.inner:
pv = price * volume
self._balance += pv if order.side == Side.Sell else -pv
self._position += volume if order.side == Side.Buy else -volume
self.on_traded.fire(self)
@property
def amount(self):
return self._position
@property
def PnL(self):
return self._balance
def onOrderCreated(self, order, source):
order._strategy = source
def __init__(self):
event.subscribe(self.inner.on_order_created,
_(self).onOrderCreated, self)
event.subscribe(OnOrderMatched(), _(self)._onOrderMatched, self)
from marketsim.gen._out.event._event import Event
self.on_traded = Event()
self.orderBook = OfTrader()
self._balance = 0
self._position = 0
def __init__(self, x=None):
from marketsim.gen._out.strategy.price._marketdata import MarketData_StringStringStringFloatFloat as _strategy_price_MarketData_StringStringStringFloatFloat
from marketsim.gen._out.event._event import Event
from marketsim import _
from marketsim import event
from marketsim import deref_opt
self.x = x if x is not None else deref_opt(
_strategy_price_MarketData_StringStringStringFloatFloat())
self.impl = self.getImpl()
self.on_order_created = Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self, inner = None, lossFactor = None):
from marketsim.gen._out._const import const_Float as _const_Float
from marketsim.gen._out.strategy.price._laddermm import LadderMM_SideFloatIObservableIOrderInt as _strategy_price_LadderMM_SideFloatIObservableIOrderInt
from marketsim.gen._out.event._event import Event
from marketsim import _
from marketsim import event
from marketsim import deref_opt
self.inner = inner if inner is not None else deref_opt(_strategy_price_LadderMM_SideFloatIObservableIOrderInt())
self.lossFactor = lossFactor if lossFactor is not None else deref_opt(_const_Float(0.2))
self.impl = self.getImpl()
self.on_order_created = Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
class Strategy(Base):
def __init__(self):
Base.__init__(self)
from marketsim.gen._out.event._event import Event
self.on_order_created = Event()
def _send(self, order, unused = None):
self.on_order_created.fire(order, self)
@property
def orderBook(self):
return self.trader.orderBook
def __init__(self, x=None, side=None, sign=None):
from marketsim.gen._out.side._sell import Sell_ as _side_Sell_
from marketsim.gen._out.event._event import Event
from marketsim import _
from marketsim import event
from marketsim.gen._out.strategy.price._marketmaker import MarketMaker_FloatFloat as _strategy_price_MarketMaker_FloatFloat
from marketsim import deref_opt
self.x = x if x is not None else deref_opt(
_strategy_price_MarketMaker_FloatFloat())
self.side = side if side is not None else deref_opt(_side_Sell_())
self.sign = sign if sign is not None else 1.0
self.impl = self.getImpl()
self.on_order_created = Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self, x=None, orderFactory=None):
from marketsim.gen._out.event._event import Event
from marketsim import _
from marketsim.gen._out.strategy.position._bollinger_linear import Bollinger_linear_FloatIObservableFloatISingleAssetTrader as _strategy_position_Bollinger_linear_FloatIObservableFloatISingleAssetTrader
from marketsim import event
from marketsim.gen._out.order._curried._signedvolume_marketsigned import signedVolume_MarketSigned_ as _order__curried_signedVolume_MarketSigned_
from marketsim import deref_opt
self.x = x if x is not None else deref_opt(
_strategy_position_Bollinger_linear_FloatIObservableFloatISingleAssetTrader(
))
self.orderFactory = orderFactory if orderFactory is not None else deref_opt(
_order__curried_signedVolume_MarketSigned_())
self.impl = self.getImpl()
self.on_order_created = Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self):
event.subscribe(self.inner.on_order_created, _(self).onOrderCreated, self)
event.subscribe(OnOrderMatched(), _(self)._onOrderMatched, self)
from marketsim.gen._out.event._event import Event
self.on_traded = Event()
self.orderBook = OfTrader()
self._balance = 0
self._position = 0
def __init__(self, inner=None, account=None, performance=None):
from marketsim.gen._out.strategy.account.inner._inner_virtualmarket import inner_VirtualMarket_ as _strategy_account_inner_inner_VirtualMarket_
from marketsim.gen._out.event._event import Event
from marketsim import _
from marketsim import event
from marketsim.gen._out.strategy._empty import Empty_ as _strategy_Empty_
from marketsim.gen._out.strategy.weight.trader._trader_traderefficiencytrend import trader_TraderEfficiencyTrend_Float as _strategy_weight_trader_trader_TraderEfficiencyTrend_Float
from marketsim import deref_opt
self.inner = inner if inner is not None else deref_opt(
_strategy_Empty_())
self.account = account if account is not None else deref_opt(
_strategy_account_inner_inner_VirtualMarket_())
self.performance = performance if performance is not None else deref_opt(
_strategy_weight_trader_trader_TraderEfficiencyTrend_Float())
self.impl = self.getImpl()
self.on_order_created = Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self):
Holder_Impl.__init__(self)
# event to be fired when an order has been sent
from marketsim.gen._out.event._event import Event
self.on_order_sent = Event()
# event to be fired when an order issued by the trader has been matched
self.on_order_matched = Event()
# event to be fired when an order issued by the trader has been cancelled
self.on_order_disposed = Event()
# event to be fired when a trader's is traded; to be removed
self.on_traded = Event()
self.reset()
def __init__(self, x=None, eventGen=None, orderFactory=None):
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.gen._out.event._event import Event
from marketsim import _
from marketsim import event
from marketsim.gen._out.strategy.price._liquidityprovider import LiquidityProvider_FloatFloatIOrderBook as _strategy_price_LiquidityProvider_FloatFloatIOrderBook
from marketsim.gen._out.order._curried._sideprice_limit import sideprice_Limit_Float as _order__curried_sideprice_Limit_Float
from marketsim import deref_opt
self.x = x if x is not None else deref_opt(
_strategy_price_LiquidityProvider_FloatFloatIOrderBook())
self.eventGen = eventGen if eventGen is not None else deref_opt(
_event_Every_Float(deref_opt(_math_random_expovariate_Float(1.0))))
self.orderFactory = orderFactory if orderFactory is not None else deref_opt(
_order__curried_sideprice_Limit_Float())
self.impl = self.getImpl()
self.on_order_created = Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self, x = None):
from marketsim.gen._out.event._event import Event
from marketsim import _
from marketsim import event
from marketsim.gen._out.strategy.price._marketmaker import MarketMaker_FloatFloat as _strategy_price_MarketMaker_FloatFloat
from marketsim import deref_opt
self.x = x if x is not None else deref_opt(_strategy_price_MarketMaker_FloatFloat())
self.impl = self.getImpl()
self.on_order_created = Event()
event.subscribe(self.impl.on_order_created, _(self)._send, 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)
from marketsim.gen._out.event._event import Event
self.on_order_created = Event()
def __init__(self, x = None, orderFactory = None):
from marketsim.gen._out.strategy.position._rsi_linear import RSI_linear_FloatIObservableFloatFloatISingleAssetTrader as _strategy_position_RSI_linear_FloatIObservableFloatFloatISingleAssetTrader
from marketsim.gen._out.event._event import Event
from marketsim import _
from marketsim import event
from marketsim.gen._out.order._curried._signedvolume_marketsigned import signedVolume_MarketSigned_ as _order__curried_signedVolume_MarketSigned_
from marketsim import deref_opt
self.x = x if x is not None else deref_opt(_strategy_position_RSI_linear_FloatIObservableFloatFloatISingleAssetTrader())
self.orderFactory = orderFactory if orderFactory is not None else deref_opt(_order__curried_signedVolume_MarketSigned_())
self.impl = self.getImpl()
self.on_order_created = Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self, x = None, side = None, sign = None):
from marketsim.gen._out.strategy.price._marketdata import MarketData_StringStringStringFloatFloat as _strategy_price_MarketData_StringStringStringFloatFloat
from marketsim.gen._out.side._sell import Sell_ as _side_Sell_
from marketsim.gen._out.event._event import Event
from marketsim import _
from marketsim import event
from marketsim import deref_opt
self.x = x if x is not None else deref_opt(_strategy_price_MarketData_StringStringStringFloatFloat())
self.side = side if side is not None else deref_opt(_side_Sell_())
self.sign = sign if sign is not None else 1.0
self.impl = self.getImpl()
self.on_order_created = Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self, inner = None, account = None, performance = None):
from marketsim.gen._out.strategy.account.inner._inner_virtualmarket import inner_VirtualMarket_ as _strategy_account_inner_inner_VirtualMarket_
from marketsim.gen._out.event._event import Event
from marketsim import _
from marketsim import event
from marketsim.gen._out.strategy._empty import Empty_ as _strategy_Empty_
from marketsim.gen._out.strategy.weight.trader._trader_traderefficiencytrend import trader_TraderEfficiencyTrend_Float as _strategy_weight_trader_trader_TraderEfficiencyTrend_Float
from marketsim import deref_opt
self.inner = inner if inner is not None else deref_opt(_strategy_Empty_())
self.account = account if account is not None else deref_opt(_strategy_account_inner_inner_VirtualMarket_())
self.performance = performance if performance is not None else deref_opt(_strategy_weight_trader_trader_TraderEfficiencyTrend_Float())
self.impl = self.getImpl()
self.on_order_created = Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
def __init__(self, x = None, eventGen = None, orderFactory = None):
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.gen._out.event._event import Event
from marketsim import _
from marketsim import event
from marketsim.gen._out.strategy.price._liquidityprovider import LiquidityProvider_FloatFloatIOrderBook as _strategy_price_LiquidityProvider_FloatFloatIOrderBook
from marketsim.gen._out.order._curried._sideprice_limit import sideprice_Limit_Float as _order__curried_sideprice_Limit_Float
from marketsim import deref_opt
self.x = x if x is not None else deref_opt(_strategy_price_LiquidityProvider_FloatFloatIOrderBook())
self.eventGen = eventGen if eventGen is not None else deref_opt(_event_Every_Float(deref_opt(_math_random_expovariate_Float(1.0))))
self.orderFactory = orderFactory if orderFactory is not None else deref_opt(_order__curried_sideprice_Limit_Float())
self.impl = self.getImpl()
self.on_order_created = Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
class StopLoss_ISuspendableStrategyIObservableFloat(ISingleAssetStrategy):
"""
"""
def __init__(self, inner = None, lossFactor = None):
from marketsim.gen._out._const import const_Float as _const_Float
from marketsim.gen._out.strategy.price._laddermm import LadderMM_SideFloatIObservableIOrderInt as _strategy_price_LadderMM_SideFloatIObservableIOrderInt
from marketsim.gen._out.event._event import Event
from marketsim import _
from marketsim import event
from marketsim import deref_opt
self.inner = inner if inner is not None else deref_opt(_strategy_price_LadderMM_SideFloatIObservableIOrderInt())
self.lossFactor = lossFactor if lossFactor is not None else deref_opt(_const_Float(0.2))
self.impl = self.getImpl()
self.on_order_created = Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
@property
def label(self):
return repr(self)
_properties = {
'inner' : ISuspendableStrategy,
'lossFactor' : IObservablefloat
}
def __repr__(self):
return "StopLoss(%(inner)s, %(lossFactor)s)" % dict([ (name, getattr(self, name)) for name in self._properties.iterkeys() ])
def bind_ex(self, ctx):
if self.__dict__.get('_bound_ex', False): return
self.__dict__['_bound_ex'] = True
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
self.__dict__['_ctx_ex'] = ctx.updatedFrom(self)
self.inner.bind_ex(self._ctx_ex)
self.lossFactor.bind_ex(self._ctx_ex)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions: s.bind_ex(self.__dict__['_ctx_ex'])
self.impl.bind_ex(self.__dict__['_ctx_ex'])
self.__dict__['_processing_ex'] = False
def reset_ex(self, generation):
if self.__dict__.get('_reset_generation_ex', -1) == generation: return
self.__dict__['_reset_generation_ex'] = generation
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
self.inner.reset_ex(generation)
self.lossFactor.reset_ex(generation)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions: s.reset_ex(generation)
self.impl.reset_ex(generation)
self.__dict__['_processing_ex'] = False
def typecheck(self):
from marketsim import rtti
from marketsim.gen._out._isuspendablestrategy import ISuspendableStrategy
from marketsim.gen._out._iobservable._iobservablefloat import IObservablefloat
rtti.typecheck(ISuspendableStrategy, self.inner)
rtti.typecheck(IObservablefloat, self.lossFactor)
def registerIn(self, registry):
if self.__dict__.get('_id', False): return
self.__dict__['_id'] = True
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
registry.insert(self)
self.inner.registerIn(registry)
self.lossFactor.registerIn(registry)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions: s.registerIn(registry)
self.impl.registerIn(registry)
self.__dict__['_processing_ex'] = False
def bind(self, ctx):
self._ctx = ctx.clone()
_internals = ['impl']
def __call__(self, *args, **kwargs):
return self.impl()
def reset(self):
from marketsim import context
self.impl = self.getImpl()
ctx_ex = getattr(self, '_ctx_ex', None)
if ctx_ex: self.impl.bind_ex(ctx_ex)
def getImpl(self):
from marketsim.gen._out.strategy.price._clearable import Clearable_ISuspendableStrategyBoolean as _strategy_price_Clearable_ISuspendableStrategyBoolean
from marketsim.gen._out.strategy.price._islosstoohigh import isLossTooHigh_IObservableFloat as _strategy_price_isLossTooHigh_IObservableFloat
from marketsim import deref_opt
return deref_opt(_strategy_price_Clearable_ISuspendableStrategyBoolean(self.inner,deref_opt(_strategy_price_isLossTooHigh_IObservableFloat(self.lossFactor))))
def __getattr__(self, name):
if name[0:2] != '__' and self.impl:
return getattr(self.impl, name)
else:
raise AttributeError
@property
def suspended(self):
return self.inner.suspended
def set_suspended(self, value):
self.inner.suspended = value
def _send(self, order, source):
self.on_order_created.fire(order, self)
class TradeIfProfitable_ISingleAssetStrategyISingleAssetStrategyIAccountIAccountFloat(ISingleAssetStrategy):
""" **Adaptive strategy that evaluates *inner* strategy efficiency**
and if it is considered as good, sends orders
Parameters are:
**inner**
wrapped strategy
**account**
defines how strategy trades are booked:
actually traded amount or virtual market orders are
used in order to estimate how the strategy would have traded
if all its orders appeared at market
**performance**
given a trading account tells
should it be considered as effective or not
"""
def __init__(self, inner = None, account = None, performance = None):
from marketsim.gen._out.strategy.account.inner._inner_virtualmarket import inner_VirtualMarket_ as _strategy_account_inner_inner_VirtualMarket_
from marketsim.gen._out.event._event import Event
from marketsim import _
from marketsim import event
from marketsim.gen._out.strategy._empty import Empty_ as _strategy_Empty_
from marketsim.gen._out.strategy.weight.trader._trader_traderefficiencytrend import trader_TraderEfficiencyTrend_Float as _strategy_weight_trader_trader_TraderEfficiencyTrend_Float
from marketsim import deref_opt
self.inner = inner if inner is not None else deref_opt(_strategy_Empty_())
self.account = account if account is not None else deref_opt(_strategy_account_inner_inner_VirtualMarket_())
self.performance = performance if performance is not None else deref_opt(_strategy_weight_trader_trader_TraderEfficiencyTrend_Float())
self.impl = self.getImpl()
self.on_order_created = Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
@property
def label(self):
return repr(self)
_properties = {
'inner' : ISingleAssetStrategy,
'account' : IFunctionIAccount_from_ISingleAssetStrategy,
'performance' : IFunctionIFunctionfloat_from_IAccount
}
def __repr__(self):
return "TradeIfProfitable(%(inner)s, %(account)s, %(performance)s)" % dict([ (name, getattr(self, name)) for name in self._properties.iterkeys() ])
def bind_ex(self, ctx):
if self.__dict__.get('_bound_ex', False): return
self.__dict__['_bound_ex'] = True
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
self.__dict__['_ctx_ex'] = ctx.updatedFrom(self)
self.inner.bind_ex(self._ctx_ex)
self.account.bind_ex(self._ctx_ex)
self.performance.bind_ex(self._ctx_ex)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions: s.bind_ex(self.__dict__['_ctx_ex'])
self.impl.bind_ex(self.__dict__['_ctx_ex'])
self.__dict__['_processing_ex'] = False
def reset_ex(self, generation):
if self.__dict__.get('_reset_generation_ex', -1) == generation: return
self.__dict__['_reset_generation_ex'] = generation
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
self.inner.reset_ex(generation)
self.account.reset_ex(generation)
self.performance.reset_ex(generation)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions: s.reset_ex(generation)
self.impl.reset_ex(generation)
self.__dict__['_processing_ex'] = False
def typecheck(self):
from marketsim import rtti
from marketsim.gen._out._isingleassetstrategy import ISingleAssetStrategy
from marketsim.gen._out._ifunction._ifunctioniaccount_from_isingleassetstrategy import IFunctionIAccount_from_ISingleAssetStrategy
from marketsim.gen._out._ifunction._ifunctionifunctionfloat_from_iaccount import IFunctionIFunctionfloat_from_IAccount
rtti.typecheck(ISingleAssetStrategy, self.inner)
rtti.typecheck(IFunctionIAccount_from_ISingleAssetStrategy, self.account)
rtti.typecheck(IFunctionIFunctionfloat_from_IAccount, self.performance)
def registerIn(self, registry):
if self.__dict__.get('_id', False): return
self.__dict__['_id'] = True
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
registry.insert(self)
self.inner.registerIn(registry)
self.account.registerIn(registry)
self.performance.registerIn(registry)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions: s.registerIn(registry)
self.impl.registerIn(registry)
self.__dict__['_processing_ex'] = False
def bind(self, ctx):
self._ctx = ctx.clone()
_internals = ['impl']
def __call__(self, *args, **kwargs):
return self.impl()
def reset(self):
from marketsim import context
self.impl = self.getImpl()
ctx_ex = getattr(self, '_ctx_ex', None)
if ctx_ex: self.impl.bind_ex(ctx_ex)
def getImpl(self):
from marketsim.gen._out.strategy._suspendable import Suspendable_ISingleAssetStrategyBoolean as _strategy_Suspendable_ISingleAssetStrategyBoolean
from marketsim.gen._out.ops._greaterequal import GreaterEqual_FloatFloat as _ops_GreaterEqual_FloatFloat
from marketsim import deref_opt
from marketsim.gen._out._constant import constant_Int as _constant_Int
return deref_opt(_strategy_Suspendable_ISingleAssetStrategyBoolean(self.inner,deref_opt(_ops_GreaterEqual_FloatFloat(deref_opt(self.performance(deref_opt(self.account(self.inner)))),deref_opt(_constant_Int(0))))))
def __getattr__(self, name):
if name[0:2] != '__' and self.impl:
return getattr(self.impl, name)
else:
raise AttributeError
@property
def suspended(self):
return self.inner.suspended
def set_suspended(self, value):
self.inner.suspended = value
def _send(self, order, source):
self.on_order_created.fire(order, self)
class Strategy_strategypositionRSI_linearFloatIObservableIOrder(
ISingleAssetStrategy):
"""
"""
def __init__(self, x=None, orderFactory=None):
from marketsim.gen._out.strategy.position._rsi_linear import RSI_linear_FloatIObservableFloatFloatISingleAssetTrader as _strategy_position_RSI_linear_FloatIObservableFloatFloatISingleAssetTrader
from marketsim.gen._out.event._event import Event
from marketsim import _
from marketsim import event
from marketsim.gen._out.order._curried._signedvolume_marketsigned import signedVolume_MarketSigned_ as _order__curried_signedVolume_MarketSigned_
from marketsim import deref_opt
self.x = x if x is not None else deref_opt(
_strategy_position_RSI_linear_FloatIObservableFloatFloatISingleAssetTrader(
))
self.orderFactory = orderFactory if orderFactory is not None else deref_opt(
_order__curried_signedVolume_MarketSigned_())
self.impl = self.getImpl()
self.on_order_created = Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
@property
def label(self):
return repr(self)
_properties = {
'x': RSI_linear,
'orderFactory': IFunctionIObservableIOrder_from_IFunctionfloat
}
def __repr__(self):
return "RSI_linear(%(x)s, %(orderFactory)s)" % dict(
[(name, getattr(self, name))
for name in self._properties.iterkeys()])
def bind_ex(self, ctx):
if self.__dict__.get('_bound_ex', False): return
self.__dict__['_bound_ex'] = True
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
self.__dict__['_ctx_ex'] = ctx.updatedFrom(self)
self.x.bind_ex(self._ctx_ex)
self.orderFactory.bind_ex(self._ctx_ex)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions:
s.bind_ex(self.__dict__['_ctx_ex'])
self.impl.bind_ex(self.__dict__['_ctx_ex'])
self.__dict__['_processing_ex'] = False
def reset_ex(self, generation):
if self.__dict__.get('_reset_generation_ex', -1) == generation: return
self.__dict__['_reset_generation_ex'] = generation
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
self.x.reset_ex(generation)
self.orderFactory.reset_ex(generation)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions:
s.reset_ex(generation)
self.impl.reset_ex(generation)
self.__dict__['_processing_ex'] = False
def typecheck(self):
from marketsim import rtti
from marketsim.gen._out.strategy.position._rsi_linear import RSI_linear
from marketsim.gen._out._ifunction._ifunctioniobservableiorder_from_ifunctionfloat import IFunctionIObservableIOrder_from_IFunctionfloat
rtti.typecheck(RSI_linear, self.x)
rtti.typecheck(IFunctionIObservableIOrder_from_IFunctionfloat,
self.orderFactory)
def registerIn(self, registry):
if self.__dict__.get('_id', False): return
self.__dict__['_id'] = True
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
registry.insert(self)
self.x.registerIn(registry)
self.orderFactory.registerIn(registry)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions:
s.registerIn(registry)
self.impl.registerIn(registry)
self.__dict__['_processing_ex'] = False
def bind(self, ctx):
self._ctx = ctx.clone()
_internals = ['impl']
def __call__(self, *args, **kwargs):
return self.impl()
def reset(self):
from marketsim import context
self.impl = self.getImpl()
ctx_ex = getattr(self, '_ctx_ex', None)
if ctx_ex: self.impl.bind_ex(ctx_ex)
def getImpl(self):
from marketsim.gen._out.strategy._generic import Generic_IObservableIOrderIEvent as _strategy_Generic_IObservableIOrderIEvent
from marketsim.gen._out.strategy.position._position import Position_strategypositionRSI_linear as _strategy_position_Position_strategypositionRSI_linear
from marketsim import deref_opt
return deref_opt(
_strategy_Generic_IObservableIOrderIEvent(
deref_opt(
self.orderFactory(
deref_opt(
_strategy_position_Position_strategypositionRSI_linear(
self.x))))))
def __getattr__(self, name):
if name[0:2] != '__' and self.impl:
return getattr(self.impl, name)
else:
raise AttributeError
@property
def suspended(self):
return self.inner.suspended
def set_suspended(self, value):
self.inner.suspended = value
def _send(self, order, source):
self.on_order_created.fire(order, self)
class TwoSides_strategypriceMarketMaker(ISingleAssetStrategy):
"""
"""
def __init__(self, x=None):
from marketsim.gen._out.event._event import Event
from marketsim import _
from marketsim import event
from marketsim.gen._out.strategy.price._marketmaker import MarketMaker_FloatFloat as _strategy_price_MarketMaker_FloatFloat
from marketsim import deref_opt
self.x = x if x is not None else deref_opt(
_strategy_price_MarketMaker_FloatFloat())
self.impl = self.getImpl()
self.on_order_created = Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
@property
def label(self):
return repr(self)
_properties = {'x': MarketMaker}
def __repr__(self):
return "MarketMaker(%(x)s)" % dict([(name, getattr(
self, name)) for name in self._properties.iterkeys()])
def bind_ex(self, ctx):
if self.__dict__.get('_bound_ex', False): return
self.__dict__['_bound_ex'] = True
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
self.__dict__['_ctx_ex'] = ctx.updatedFrom(self)
self.x.bind_ex(self._ctx_ex)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions:
s.bind_ex(self.__dict__['_ctx_ex'])
self.impl.bind_ex(self.__dict__['_ctx_ex'])
self.__dict__['_processing_ex'] = False
def reset_ex(self, generation):
if self.__dict__.get('_reset_generation_ex', -1) == generation: return
self.__dict__['_reset_generation_ex'] = generation
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
self.x.reset_ex(generation)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions:
s.reset_ex(generation)
self.impl.reset_ex(generation)
self.__dict__['_processing_ex'] = False
def typecheck(self):
from marketsim import rtti
from marketsim.gen._out.strategy.price._marketmaker import MarketMaker
rtti.typecheck(MarketMaker, self.x)
def registerIn(self, registry):
if self.__dict__.get('_id', False): return
self.__dict__['_id'] = True
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
registry.insert(self)
self.x.registerIn(registry)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions:
s.registerIn(registry)
self.impl.registerIn(registry)
self.__dict__['_processing_ex'] = False
def bind(self, ctx):
self._ctx = ctx.clone()
_internals = ['impl']
def __call__(self, *args, **kwargs):
return self.impl()
def reset(self):
from marketsim import context
self.impl = self.getImpl()
ctx_ex = getattr(self, '_ctx_ex', None)
if ctx_ex: self.impl.bind_ex(ctx_ex)
def getImpl(self):
from marketsim.gen._out.strategy.price._oneside import OneSide_strategypriceMarketMakerSideFloat as _strategy_price_OneSide_strategypriceMarketMakerSideFloat
from marketsim.gen._out.side._sell import Sell_ as _side_Sell_
from marketsim.gen._out.strategy._combine import Combine_ISingleAssetStrategyISingleAssetStrategy as _strategy_Combine_ISingleAssetStrategyISingleAssetStrategy
from marketsim.gen._out.side._buy import Buy_ as _side_Buy_
from marketsim import deref_opt
return deref_opt(
_strategy_Combine_ISingleAssetStrategyISingleAssetStrategy(
deref_opt(
_strategy_price_OneSide_strategypriceMarketMakerSideFloat(
self.x, deref_opt(_side_Sell_()), 1.0)),
deref_opt(
_strategy_price_OneSide_strategypriceMarketMakerSideFloat(
self.x, deref_opt(_side_Buy_()), -1.0))))
def __getattr__(self, name):
if name[0:2] != '__' and self.impl:
return getattr(self.impl, name)
else:
raise AttributeError
@property
def suspended(self):
return self.inner.suspended
def set_suspended(self, value):
self.inner.suspended = value
def _send(self, order, source):
self.on_order_created.fire(order, self)
class OneSide_strategypriceMarketMakerIObservableSideFloat(ISingleAssetStrategy):
"""
"""
def __init__(self, x = None, side = None, sign = None):
from marketsim.gen._out.side._observablesell import observableSell_ as _side_observableSell_
from marketsim.gen._out.event._event import Event
from marketsim import _
from marketsim import event
from marketsim.gen._out.strategy.price._marketmaker import MarketMaker_FloatFloat as _strategy_price_MarketMaker_FloatFloat
from marketsim import deref_opt
self.x = x if x is not None else deref_opt(_strategy_price_MarketMaker_FloatFloat())
self.side = side if side is not None else deref_opt(_side_observableSell_())
self.sign = sign if sign is not None else 1.0
self.impl = self.getImpl()
self.on_order_created = Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
@property
def label(self):
return repr(self)
_properties = {
'x' : MarketMaker,
'side' : IObservableSide,
'sign' : float
}
def __repr__(self):
return "MarketMakerSide(%(x)s, %(side)s, %(sign)s)" % dict([ (name, getattr(self, name)) for name in self._properties.iterkeys() ])
def bind_ex(self, ctx):
if self.__dict__.get('_bound_ex', False): return
self.__dict__['_bound_ex'] = True
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
self.__dict__['_ctx_ex'] = ctx.updatedFrom(self)
self.x.bind_ex(self._ctx_ex)
self.side.bind_ex(self._ctx_ex)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions: s.bind_ex(self.__dict__['_ctx_ex'])
self.impl.bind_ex(self.__dict__['_ctx_ex'])
self.__dict__['_processing_ex'] = False
def reset_ex(self, generation):
if self.__dict__.get('_reset_generation_ex', -1) == generation: return
self.__dict__['_reset_generation_ex'] = generation
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
self.x.reset_ex(generation)
self.side.reset_ex(generation)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions: s.reset_ex(generation)
self.impl.reset_ex(generation)
self.__dict__['_processing_ex'] = False
def typecheck(self):
from marketsim import rtti
from marketsim.gen._out.strategy.price._marketmaker import MarketMaker
from marketsim.gen._out._side import Side
from marketsim.gen._out._iobservable._iobservableside import IObservableSide
rtti.typecheck(MarketMaker, self.x)
rtti.typecheck(IObservableSide, self.side)
rtti.typecheck(float, self.sign)
def registerIn(self, registry):
if self.__dict__.get('_id', False): return
self.__dict__['_id'] = True
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
registry.insert(self)
self.x.registerIn(registry)
self.side.registerIn(registry)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions: s.registerIn(registry)
self.impl.registerIn(registry)
self.__dict__['_processing_ex'] = False
def bind(self, ctx):
self._ctx = ctx.clone()
_internals = ['impl']
def __call__(self, *args, **kwargs):
return self.impl()
def reset(self):
from marketsim import context
self.impl = self.getImpl()
ctx_ex = getattr(self, '_ctx_ex', None)
if ctx_ex: self.impl.bind_ex(ctx_ex)
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 __getattr__(self, name):
if name[0:2] != '__' and self.impl:
return getattr(self.impl, name)
else:
raise AttributeError
@property
def suspended(self):
return self.inner.suspended
def set_suspended(self, value):
self.inner.suspended = value
def _send(self, order, source):
self.on_order_created.fire(order, self)
class Scheduler_Impl(Scheduler_Base):
""" Keeps a set of events to be launched in the future
"""
def __init__(self, currentTime=0.0, startTime=None, timeScale='seconds'):
self._reset(currentTime, startTime)
self._timeScale = timeScale
from marketsim.gen._out.event._event import Event
self.on_clock = Event()
def __enter__(self):
global _instance
_lock.acquire()
assert _instance == None
_instance = self
return self
def __exit__(self, exc_type, exc_value, traceback):
global _instance
assert _instance == self
_instance = None
_lock.release()
def _reset(self, currentTime=0.0, startTime=None):
""" Resets scheduler to the initial state: empty event set and T=0
"""
self._elements = []
self.currentTime = currentTime
self._startTime = datetime.datetime.now(
) if startTime is None else startTime
self._counter = 0
self.currentId = None
self._working = False
def reset(self):
self._reset()
def __repr__(self):
return "(t=" + str(self.currentTime) + ": " + repr(
self._elements) + ")"
@property
def startTime(self):
""" DateTime object containing the time of the beginning of the simulation
"""
return self._startTime
def timeToOffset(self, abstractTime, timescale='seconds'):
""" converts an abstract simulation time to a datetime.timedelta object
"""
return datetime.timedelta(**{timescale: abstractTime})
@property
def now(self):
""" Returns a datetime object containing the "real world" time
"""
return self._startTime + self.timeToOffset(self.currentTime,
self._timeScale)
@property
def label(self):
return "scheduler"
_properties = {'currentTime': float}
def schedule(self, actionTime, handler):
""" Schedules an event given by 'handler' to be launched at 'actionTime'.
Returns a function that can be called in order to cancel the event
"""
assert actionTime >= self.currentTime
# in order to keep the right order of events having same action time
# we differentiate them by incrementing counter
event = ((actionTime, self._counter), handler)
self._counter += 1
heapq.heappush(self._elements, event)
def scheduleAfter(self, dt, handler):
""" Schedules an event given by 'handler' to be launched after 'dt' from now
"""
self.schedule(self.currentTime + dt, handler)
def async (self, handler):
self.schedule(self.currentTime, handler)
def step(self, limitTime):
if (self._elements <> [] and self._elements[0][0][0] < limitTime):
((actionTime, eid), eh) = heapq.heappop(self._elements)
self.currentId = eid
self.currentTime = actionTime
self.on_clock.fire(self)
#print 't = ', actionTime
eh()
return True
else:
return False
def workTill(self, limitTime):
""" Launches all events with action time in range [currentTime, limitTime)
in order of their action time and arrival order
Postcondition: currentTime == limitTime and not exists e: actionTime(e) < limitTime
"""
if self._working:
raise Exception("Scheduler is already working")
t0 = time.clock()
steps = 0
self._working = True
while (self.step(limitTime)):
steps += 1
self.currentTime = limitTime
self._working = False
dt = time.clock() - t0
return stat(steps, steps / dt if dt > 0 else -1, dt)
def advance(self, dt):
""" Makes the scheduler work 'dt' moments of time more
"""
self.workTill(self.currentTime + dt)
def _process_impl(self, intervalFunc, handler):
handler()
self.scheduleAfter(intervalFunc(),
_(self, intervalFunc, handler)._process_impl)
def process(self, intervalFunc, handler):
""" 'intervalFunc' returns intervals of time between consequtive calls to handler
"""
self.scheduleAfter(intervalFunc(),
_(self, intervalFunc, handler)._process_impl)
def __init__(self, currentTime=0.0, startTime=None, timeScale='seconds'):
self._reset(currentTime, startTime)
self._timeScale = timeScale
from marketsim.gen._out.event._event import Event
self.on_clock = Event()
class Strategy_strategypositionRSI_linearFloatIObservableIOrder(ISingleAssetStrategy):
"""
"""
def __init__(self, x = None, orderFactory = None):
from marketsim.gen._out.strategy.position._rsi_linear import RSI_linear_FloatIObservableFloatFloatISingleAssetTrader as _strategy_position_RSI_linear_FloatIObservableFloatFloatISingleAssetTrader
from marketsim.gen._out.event._event import Event
from marketsim import _
from marketsim import event
from marketsim.gen._out.order._curried._signedvolume_marketsigned import signedVolume_MarketSigned_ as _order__curried_signedVolume_MarketSigned_
from marketsim import deref_opt
self.x = x if x is not None else deref_opt(_strategy_position_RSI_linear_FloatIObservableFloatFloatISingleAssetTrader())
self.orderFactory = orderFactory if orderFactory is not None else deref_opt(_order__curried_signedVolume_MarketSigned_())
self.impl = self.getImpl()
self.on_order_created = Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
@property
def label(self):
return repr(self)
_properties = {
'x' : RSI_linear,
'orderFactory' : IFunctionIObservableIOrder_from_IFunctionfloat
}
def __repr__(self):
return "RSI_linear(%(x)s, %(orderFactory)s)" % dict([ (name, getattr(self, name)) for name in self._properties.iterkeys() ])
def bind_ex(self, ctx):
if self.__dict__.get('_bound_ex', False): return
self.__dict__['_bound_ex'] = True
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
self.__dict__['_ctx_ex'] = ctx.updatedFrom(self)
self.x.bind_ex(self._ctx_ex)
self.orderFactory.bind_ex(self._ctx_ex)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions: s.bind_ex(self.__dict__['_ctx_ex'])
self.impl.bind_ex(self.__dict__['_ctx_ex'])
self.__dict__['_processing_ex'] = False
def reset_ex(self, generation):
if self.__dict__.get('_reset_generation_ex', -1) == generation: return
self.__dict__['_reset_generation_ex'] = generation
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
self.x.reset_ex(generation)
self.orderFactory.reset_ex(generation)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions: s.reset_ex(generation)
self.impl.reset_ex(generation)
self.__dict__['_processing_ex'] = False
def typecheck(self):
from marketsim import rtti
from marketsim.gen._out.strategy.position._rsi_linear import RSI_linear
from marketsim.gen._out._ifunction._ifunctioniobservableiorder_from_ifunctionfloat import IFunctionIObservableIOrder_from_IFunctionfloat
rtti.typecheck(RSI_linear, self.x)
rtti.typecheck(IFunctionIObservableIOrder_from_IFunctionfloat, self.orderFactory)
def registerIn(self, registry):
if self.__dict__.get('_id', False): return
self.__dict__['_id'] = True
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
registry.insert(self)
self.x.registerIn(registry)
self.orderFactory.registerIn(registry)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions: s.registerIn(registry)
self.impl.registerIn(registry)
self.__dict__['_processing_ex'] = False
def bind(self, ctx):
self._ctx = ctx.clone()
_internals = ['impl']
def __call__(self, *args, **kwargs):
return self.impl()
def reset(self):
from marketsim import context
self.impl = self.getImpl()
ctx_ex = getattr(self, '_ctx_ex', None)
if ctx_ex: self.impl.bind_ex(ctx_ex)
def getImpl(self):
from marketsim.gen._out.strategy._generic import Generic_IObservableIOrderIEvent as _strategy_Generic_IObservableIOrderIEvent
from marketsim.gen._out.strategy.position._position import Position_strategypositionRSI_linear as _strategy_position_Position_strategypositionRSI_linear
from marketsim import deref_opt
return deref_opt(_strategy_Generic_IObservableIOrderIEvent(deref_opt(self.orderFactory(deref_opt(_strategy_position_Position_strategypositionRSI_linear(self.x))))))
def __getattr__(self, name):
if name[0:2] != '__' and self.impl:
return getattr(self.impl, name)
else:
raise AttributeError
@property
def suspended(self):
return self.inner.suspended
def set_suspended(self, value):
self.inner.suspended = value
def _send(self, order, source):
self.on_order_created.fire(order, self)
def __init__(self):
Base.__init__(self)
from marketsim.gen._out.event._event import Event
self.on_order_created = Event()
class Base_Impl(Holder_Impl):
""" Base class for traders.
Responsible for bookkeeping P&L of the trader and
maintaining on_order_sent and on_traded events
"""
def __init__(self):
Holder_Impl.__init__(self)
# event to be fired when an order has been sent
from marketsim.gen._out.event._event import Event
self.on_order_sent = Event()
# event to be fired when an order issued by the trader has been matched
self.on_order_matched = Event()
# event to be fired when an order issued by the trader has been cancelled
self.on_order_disposed = Event()
# event to be fired when a trader's is traded; to be removed
self.on_traded = Event()
self.reset()
def updateContext(self, context):
context.trader = self
context.orderProcessor = self
def updateContext_ex(self, context):
context.trader = self
context.orderProcessor = self
def reset(self):
self.PnL = 0
def _charge(self, price):
self.PnL -= price
def onOrderMatched(self, order, price, volume):
""" Called when a trader's 'order' is traded against 'other' order
at given 'price' and 'volume'
Trader's P&L is updated and listeners are notified about the trade
"""
pv = price * volume
self.PnL += pv if order.side == Side.Sell else -pv
self.on_order_matched.fire(self, order, price, volume)
self.on_traded.fire(self)
def onOrderDisposed(self, order):
self.on_order_disposed.fire(self, order)
def _makeSubscribedTo(self, order):
""" Makes trader subscribed to 'order' on_matched event
before sending it to the order book
Returns the order itself
"""
order.owner = self
return order
def send(self, book, order):
""" Sends 'order' to 'book'
After having the order sent notifies listeners about it
"""
from marketsim.gen._out._iorder import IOrder
order.bind_ex(self._ctx_ex)
if isinstance(order, IOrder):
order = self._makeSubscribedTo(order)
book.process(order)
if isinstance(order, IOrder):
self.on_order_sent.fire(order)
class TwoSides_strategypriceMarketMaker(ISingleAssetStrategy):
"""
"""
def __init__(self, x = None):
from marketsim.gen._out.event._event import Event
from marketsim import _
from marketsim import event
from marketsim.gen._out.strategy.price._marketmaker import MarketMaker_FloatFloat as _strategy_price_MarketMaker_FloatFloat
from marketsim import deref_opt
self.x = x if x is not None else deref_opt(_strategy_price_MarketMaker_FloatFloat())
self.impl = self.getImpl()
self.on_order_created = Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
@property
def label(self):
return repr(self)
_properties = {
'x' : MarketMaker
}
def __repr__(self):
return "MarketMaker(%(x)s)" % dict([ (name, getattr(self, name)) for name in self._properties.iterkeys() ])
def bind_ex(self, ctx):
if self.__dict__.get('_bound_ex', False): return
self.__dict__['_bound_ex'] = True
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
self.__dict__['_ctx_ex'] = ctx.updatedFrom(self)
self.x.bind_ex(self._ctx_ex)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions: s.bind_ex(self.__dict__['_ctx_ex'])
self.impl.bind_ex(self.__dict__['_ctx_ex'])
self.__dict__['_processing_ex'] = False
def reset_ex(self, generation):
if self.__dict__.get('_reset_generation_ex', -1) == generation: return
self.__dict__['_reset_generation_ex'] = generation
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
self.x.reset_ex(generation)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions: s.reset_ex(generation)
self.impl.reset_ex(generation)
self.__dict__['_processing_ex'] = False
def typecheck(self):
from marketsim import rtti
from marketsim.gen._out.strategy.price._marketmaker import MarketMaker
rtti.typecheck(MarketMaker, self.x)
def registerIn(self, registry):
if self.__dict__.get('_id', False): return
self.__dict__['_id'] = True
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
registry.insert(self)
self.x.registerIn(registry)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions: s.registerIn(registry)
self.impl.registerIn(registry)
self.__dict__['_processing_ex'] = False
def bind(self, ctx):
self._ctx = ctx.clone()
_internals = ['impl']
def __call__(self, *args, **kwargs):
return self.impl()
def reset(self):
from marketsim import context
self.impl = self.getImpl()
ctx_ex = getattr(self, '_ctx_ex', None)
if ctx_ex: self.impl.bind_ex(ctx_ex)
def getImpl(self):
from marketsim.gen._out.strategy.price._oneside import OneSide_strategypriceMarketMakerSideFloat as _strategy_price_OneSide_strategypriceMarketMakerSideFloat
from marketsim.gen._out.side._sell import Sell_ as _side_Sell_
from marketsim.gen._out.strategy._combine import Combine_ISingleAssetStrategyISingleAssetStrategy as _strategy_Combine_ISingleAssetStrategyISingleAssetStrategy
from marketsim.gen._out.side._buy import Buy_ as _side_Buy_
from marketsim import deref_opt
return deref_opt(_strategy_Combine_ISingleAssetStrategyISingleAssetStrategy(deref_opt(_strategy_price_OneSide_strategypriceMarketMakerSideFloat(self.x,deref_opt(_side_Sell_()),1.0)),deref_opt(_strategy_price_OneSide_strategypriceMarketMakerSideFloat(self.x,deref_opt(_side_Buy_()),-1.0))))
def __getattr__(self, name):
if name[0:2] != '__' and self.impl:
return getattr(self.impl, name)
else:
raise AttributeError
@property
def suspended(self):
return self.inner.suspended
def set_suspended(self, value):
self.inner.suspended = value
def _send(self, order, source):
self.on_order_created.fire(order, self)
class TradeIfProfitable_ISingleAssetStrategyISingleAssetStrategyIAccountIAccountFloat(
ISingleAssetStrategy):
""" **Adaptive strategy that evaluates *inner* strategy efficiency**
and if it is considered as good, sends orders
Parameters are:
**inner**
wrapped strategy
**account**
defines how strategy trades are booked:
actually traded amount or virtual market orders are
used in order to estimate how the strategy would have traded
if all its orders appeared at market
**performance**
given a trading account tells
should it be considered as effective or not
"""
def __init__(self, inner=None, account=None, performance=None):
from marketsim.gen._out.strategy.account.inner._inner_virtualmarket import inner_VirtualMarket_ as _strategy_account_inner_inner_VirtualMarket_
from marketsim.gen._out.event._event import Event
from marketsim import _
from marketsim import event
from marketsim.gen._out.strategy._empty import Empty_ as _strategy_Empty_
from marketsim.gen._out.strategy.weight.trader._trader_traderefficiencytrend import trader_TraderEfficiencyTrend_Float as _strategy_weight_trader_trader_TraderEfficiencyTrend_Float
from marketsim import deref_opt
self.inner = inner if inner is not None else deref_opt(
_strategy_Empty_())
self.account = account if account is not None else deref_opt(
_strategy_account_inner_inner_VirtualMarket_())
self.performance = performance if performance is not None else deref_opt(
_strategy_weight_trader_trader_TraderEfficiencyTrend_Float())
self.impl = self.getImpl()
self.on_order_created = Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
@property
def label(self):
return repr(self)
_properties = {
'inner': ISingleAssetStrategy,
'account': IFunctionIAccount_from_ISingleAssetStrategy,
'performance': IFunctionIFunctionfloat_from_IAccount
}
def __repr__(self):
return "TradeIfProfitable(%(inner)s, %(account)s, %(performance)s)" % dict(
[(name, getattr(self, name))
for name in self._properties.iterkeys()])
def bind_ex(self, ctx):
if self.__dict__.get('_bound_ex', False): return
self.__dict__['_bound_ex'] = True
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
self.__dict__['_ctx_ex'] = ctx.updatedFrom(self)
self.inner.bind_ex(self._ctx_ex)
self.account.bind_ex(self._ctx_ex)
self.performance.bind_ex(self._ctx_ex)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions:
s.bind_ex(self.__dict__['_ctx_ex'])
self.impl.bind_ex(self.__dict__['_ctx_ex'])
self.__dict__['_processing_ex'] = False
def reset_ex(self, generation):
if self.__dict__.get('_reset_generation_ex', -1) == generation: return
self.__dict__['_reset_generation_ex'] = generation
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
self.inner.reset_ex(generation)
self.account.reset_ex(generation)
self.performance.reset_ex(generation)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions:
s.reset_ex(generation)
self.impl.reset_ex(generation)
self.__dict__['_processing_ex'] = False
def typecheck(self):
from marketsim import rtti
from marketsim.gen._out._isingleassetstrategy import ISingleAssetStrategy
from marketsim.gen._out._ifunction._ifunctioniaccount_from_isingleassetstrategy import IFunctionIAccount_from_ISingleAssetStrategy
from marketsim.gen._out._ifunction._ifunctionifunctionfloat_from_iaccount import IFunctionIFunctionfloat_from_IAccount
rtti.typecheck(ISingleAssetStrategy, self.inner)
rtti.typecheck(IFunctionIAccount_from_ISingleAssetStrategy,
self.account)
rtti.typecheck(IFunctionIFunctionfloat_from_IAccount, self.performance)
def registerIn(self, registry):
if self.__dict__.get('_id', False): return
self.__dict__['_id'] = True
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
registry.insert(self)
self.inner.registerIn(registry)
self.account.registerIn(registry)
self.performance.registerIn(registry)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions:
s.registerIn(registry)
self.impl.registerIn(registry)
self.__dict__['_processing_ex'] = False
def bind(self, ctx):
self._ctx = ctx.clone()
_internals = ['impl']
def __call__(self, *args, **kwargs):
return self.impl()
def reset(self):
from marketsim import context
self.impl = self.getImpl()
ctx_ex = getattr(self, '_ctx_ex', None)
if ctx_ex: self.impl.bind_ex(ctx_ex)
def getImpl(self):
from marketsim.gen._out.strategy._suspendable import Suspendable_ISingleAssetStrategyBoolean as _strategy_Suspendable_ISingleAssetStrategyBoolean
from marketsim.gen._out.ops._greaterequal import GreaterEqual_FloatFloat as _ops_GreaterEqual_FloatFloat
from marketsim import deref_opt
from marketsim.gen._out._constant import constant_Int as _constant_Int
return deref_opt(
_strategy_Suspendable_ISingleAssetStrategyBoolean(
self.inner,
deref_opt(
_ops_GreaterEqual_FloatFloat(
deref_opt(
self.performance(
deref_opt(self.account(self.inner)))),
deref_opt(_constant_Int(0))))))
def __getattr__(self, name):
if name[0:2] != '__' and self.impl:
return getattr(self.impl, name)
else:
raise AttributeError
@property
def suspended(self):
return self.inner.suspended
def set_suspended(self, value):
self.inner.suspended = value
def _send(self, order, source):
self.on_order_created.fire(order, self)
class Strategy_strategypriceLiquidityProviderIEventSideFloatIObservableIOrder(
ISingleAssetStrategy):
"""
"""
def __init__(self, x=None, eventGen=None, orderFactory=None):
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.gen._out.event._event import Event
from marketsim import _
from marketsim import event
from marketsim.gen._out.strategy.price._liquidityprovider import LiquidityProvider_FloatFloatIOrderBook as _strategy_price_LiquidityProvider_FloatFloatIOrderBook
from marketsim.gen._out.order._curried._sideprice_limit import sideprice_Limit_Float as _order__curried_sideprice_Limit_Float
from marketsim import deref_opt
self.x = x if x is not None else deref_opt(
_strategy_price_LiquidityProvider_FloatFloatIOrderBook())
self.eventGen = eventGen if eventGen is not None else deref_opt(
_event_Every_Float(deref_opt(_math_random_expovariate_Float(1.0))))
self.orderFactory = orderFactory if orderFactory is not None else deref_opt(
_order__curried_sideprice_Limit_Float())
self.impl = self.getImpl()
self.on_order_created = Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
@property
def label(self):
return repr(self)
_properties = {
'x': LiquidityProvider,
'eventGen': IEvent,
'orderFactory':
IFunctionIObservableIOrder_from_IFunctionSideIFunctionfloat
}
def __repr__(self):
return "LiquidityProvider(%(x)s, %(eventGen)s, %(orderFactory)s)" % dict(
[(name, getattr(self, name))
for name in self._properties.iterkeys()])
def bind_ex(self, ctx):
if self.__dict__.get('_bound_ex', False): return
self.__dict__['_bound_ex'] = True
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
self.__dict__['_ctx_ex'] = ctx.updatedFrom(self)
self.x.bind_ex(self._ctx_ex)
self.eventGen.bind_ex(self._ctx_ex)
self.orderFactory.bind_ex(self._ctx_ex)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions:
s.bind_ex(self.__dict__['_ctx_ex'])
self.impl.bind_ex(self.__dict__['_ctx_ex'])
self.__dict__['_processing_ex'] = False
def reset_ex(self, generation):
if self.__dict__.get('_reset_generation_ex', -1) == generation: return
self.__dict__['_reset_generation_ex'] = generation
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
self.x.reset_ex(generation)
self.eventGen.reset_ex(generation)
self.orderFactory.reset_ex(generation)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions:
s.reset_ex(generation)
self.impl.reset_ex(generation)
self.__dict__['_processing_ex'] = False
def typecheck(self):
from marketsim import rtti
from marketsim.gen._out.strategy.price._liquidityprovider import LiquidityProvider
from marketsim.gen._out._ievent import IEvent
from marketsim.gen._out._ifunction._ifunctioniobservableiorder_from_ifunctionsideifunctionfloat import IFunctionIObservableIOrder_from_IFunctionSideIFunctionfloat
rtti.typecheck(LiquidityProvider, self.x)
rtti.typecheck(IEvent, self.eventGen)
rtti.typecheck(
IFunctionIObservableIOrder_from_IFunctionSideIFunctionfloat,
self.orderFactory)
def registerIn(self, registry):
if self.__dict__.get('_id', False): return
self.__dict__['_id'] = True
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
registry.insert(self)
self.x.registerIn(registry)
self.eventGen.registerIn(registry)
self.orderFactory.registerIn(registry)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions:
s.registerIn(registry)
self.impl.registerIn(registry)
self.__dict__['_processing_ex'] = False
def bind(self, ctx):
self._ctx = ctx.clone()
_internals = ['impl']
def __call__(self, *args, **kwargs):
return self.impl()
def reset(self):
from marketsim import context
self.impl = self.getImpl()
ctx_ex = getattr(self, '_ctx_ex', None)
if ctx_ex: self.impl.bind_ex(ctx_ex)
def getImpl(self):
from marketsim.gen._out.side._sell import Sell_ as _side_Sell_
from marketsim.gen._out.strategy._combine import Combine_ISingleAssetStrategyISingleAssetStrategy as _strategy_Combine_ISingleAssetStrategyISingleAssetStrategy
from marketsim.gen._out.side._buy import Buy_ as _side_Buy_
from marketsim.gen._out.strategy.price._onesidestrategy import OneSideStrategy_strategypriceLiquidityProviderIEventSideFloatIObservableIOrderSide as _strategy_price_OneSideStrategy_strategypriceLiquidityProviderIEventSideFloatIObservableIOrderSide
from marketsim import deref_opt
return deref_opt(
_strategy_Combine_ISingleAssetStrategyISingleAssetStrategy(
deref_opt(
_strategy_price_OneSideStrategy_strategypriceLiquidityProviderIEventSideFloatIObservableIOrderSide(
self.x, self.eventGen, self.orderFactory,
deref_opt(_side_Sell_()))),
deref_opt(
_strategy_price_OneSideStrategy_strategypriceLiquidityProviderIEventSideFloatIObservableIOrderSide(
self.x, self.eventGen, self.orderFactory,
deref_opt(_side_Buy_())))))
def __getattr__(self, name):
if name[0:2] != '__' and self.impl:
return getattr(self.impl, name)
else:
raise AttributeError
@property
def suspended(self):
return self.inner.suspended
def set_suspended(self, value):
self.inner.suspended = value
def _send(self, order, source):
self.on_order_created.fire(order, self)
def __init__(self):
Base.__init__(self)
from marketsim.gen._out.event._event import Event
self.on_order_created = Event()
class Strategy_strategypriceLiquidityProviderIEventSideFloatIObservableIOrder(ISingleAssetStrategy):
"""
"""
def __init__(self, x = None, eventGen = None, orderFactory = None):
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.gen._out.event._event import Event
from marketsim import _
from marketsim import event
from marketsim.gen._out.strategy.price._liquidityprovider import LiquidityProvider_FloatFloatIOrderBook as _strategy_price_LiquidityProvider_FloatFloatIOrderBook
from marketsim.gen._out.order._curried._sideprice_limit import sideprice_Limit_Float as _order__curried_sideprice_Limit_Float
from marketsim import deref_opt
self.x = x if x is not None else deref_opt(_strategy_price_LiquidityProvider_FloatFloatIOrderBook())
self.eventGen = eventGen if eventGen is not None else deref_opt(_event_Every_Float(deref_opt(_math_random_expovariate_Float(1.0))))
self.orderFactory = orderFactory if orderFactory is not None else deref_opt(_order__curried_sideprice_Limit_Float())
self.impl = self.getImpl()
self.on_order_created = Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
@property
def label(self):
return repr(self)
_properties = {
'x' : LiquidityProvider,
'eventGen' : IEvent,
'orderFactory' : IFunctionIObservableIOrder_from_IFunctionSideIFunctionfloat
}
def __repr__(self):
return "LiquidityProvider(%(x)s, %(eventGen)s, %(orderFactory)s)" % dict([ (name, getattr(self, name)) for name in self._properties.iterkeys() ])
def bind_ex(self, ctx):
if self.__dict__.get('_bound_ex', False): return
self.__dict__['_bound_ex'] = True
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
self.__dict__['_ctx_ex'] = ctx.updatedFrom(self)
self.x.bind_ex(self._ctx_ex)
self.eventGen.bind_ex(self._ctx_ex)
self.orderFactory.bind_ex(self._ctx_ex)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions: s.bind_ex(self.__dict__['_ctx_ex'])
self.impl.bind_ex(self.__dict__['_ctx_ex'])
self.__dict__['_processing_ex'] = False
def reset_ex(self, generation):
if self.__dict__.get('_reset_generation_ex', -1) == generation: return
self.__dict__['_reset_generation_ex'] = generation
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
self.x.reset_ex(generation)
self.eventGen.reset_ex(generation)
self.orderFactory.reset_ex(generation)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions: s.reset_ex(generation)
self.impl.reset_ex(generation)
self.__dict__['_processing_ex'] = False
def typecheck(self):
from marketsim import rtti
from marketsim.gen._out.strategy.price._liquidityprovider import LiquidityProvider
from marketsim.gen._out._ievent import IEvent
from marketsim.gen._out._ifunction._ifunctioniobservableiorder_from_ifunctionsideifunctionfloat import IFunctionIObservableIOrder_from_IFunctionSideIFunctionfloat
rtti.typecheck(LiquidityProvider, self.x)
rtti.typecheck(IEvent, self.eventGen)
rtti.typecheck(IFunctionIObservableIOrder_from_IFunctionSideIFunctionfloat, self.orderFactory)
def registerIn(self, registry):
if self.__dict__.get('_id', False): return
self.__dict__['_id'] = True
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
registry.insert(self)
self.x.registerIn(registry)
self.eventGen.registerIn(registry)
self.orderFactory.registerIn(registry)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions: s.registerIn(registry)
self.impl.registerIn(registry)
self.__dict__['_processing_ex'] = False
def bind(self, ctx):
self._ctx = ctx.clone()
_internals = ['impl']
def __call__(self, *args, **kwargs):
return self.impl()
def reset(self):
from marketsim import context
self.impl = self.getImpl()
ctx_ex = getattr(self, '_ctx_ex', None)
if ctx_ex: self.impl.bind_ex(ctx_ex)
def getImpl(self):
from marketsim.gen._out.side._sell import Sell_ as _side_Sell_
from marketsim.gen._out.strategy._combine import Combine_ISingleAssetStrategyISingleAssetStrategy as _strategy_Combine_ISingleAssetStrategyISingleAssetStrategy
from marketsim.gen._out.side._buy import Buy_ as _side_Buy_
from marketsim.gen._out.strategy.price._onesidestrategy import OneSideStrategy_strategypriceLiquidityProviderIEventSideFloatIObservableIOrderSide as _strategy_price_OneSideStrategy_strategypriceLiquidityProviderIEventSideFloatIObservableIOrderSide
from marketsim import deref_opt
return deref_opt(_strategy_Combine_ISingleAssetStrategyISingleAssetStrategy(deref_opt(_strategy_price_OneSideStrategy_strategypriceLiquidityProviderIEventSideFloatIObservableIOrderSide(self.x,self.eventGen,self.orderFactory,deref_opt(_side_Sell_()))),deref_opt(_strategy_price_OneSideStrategy_strategypriceLiquidityProviderIEventSideFloatIObservableIOrderSide(self.x,self.eventGen,self.orderFactory,deref_opt(_side_Buy_())))))
def __getattr__(self, name):
if name[0:2] != '__' and self.impl:
return getattr(self.impl, name)
else:
raise AttributeError
@property
def suspended(self):
return self.inner.suspended
def set_suspended(self, value):
self.inner.suspended = value
def _send(self, order, source):
self.on_order_created.fire(order, self)
class OneSide_strategypriceMarketMakerIObservableSideFloat(
ISingleAssetStrategy):
"""
"""
def __init__(self, x=None, side=None, sign=None):
from marketsim.gen._out.side._observablesell import observableSell_ as _side_observableSell_
from marketsim.gen._out.event._event import Event
from marketsim import _
from marketsim import event
from marketsim.gen._out.strategy.price._marketmaker import MarketMaker_FloatFloat as _strategy_price_MarketMaker_FloatFloat
from marketsim import deref_opt
self.x = x if x is not None else deref_opt(
_strategy_price_MarketMaker_FloatFloat())
self.side = side if side is not None else deref_opt(
_side_observableSell_())
self.sign = sign if sign is not None else 1.0
self.impl = self.getImpl()
self.on_order_created = Event()
event.subscribe(self.impl.on_order_created, _(self)._send, self)
@property
def label(self):
return repr(self)
_properties = {'x': MarketMaker, 'side': IObservableSide, 'sign': float}
def __repr__(self):
return "MarketMakerSide(%(x)s, %(side)s, %(sign)s)" % dict(
[(name, getattr(self, name))
for name in self._properties.iterkeys()])
def bind_ex(self, ctx):
if self.__dict__.get('_bound_ex', False): return
self.__dict__['_bound_ex'] = True
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
self.__dict__['_ctx_ex'] = ctx.updatedFrom(self)
self.x.bind_ex(self._ctx_ex)
self.side.bind_ex(self._ctx_ex)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions:
s.bind_ex(self.__dict__['_ctx_ex'])
self.impl.bind_ex(self.__dict__['_ctx_ex'])
self.__dict__['_processing_ex'] = False
def reset_ex(self, generation):
if self.__dict__.get('_reset_generation_ex', -1) == generation: return
self.__dict__['_reset_generation_ex'] = generation
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
self.x.reset_ex(generation)
self.side.reset_ex(generation)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions:
s.reset_ex(generation)
self.impl.reset_ex(generation)
self.__dict__['_processing_ex'] = False
def typecheck(self):
from marketsim import rtti
from marketsim.gen._out.strategy.price._marketmaker import MarketMaker
from marketsim.gen._out._side import Side
from marketsim.gen._out._iobservable._iobservableside import IObservableSide
rtti.typecheck(MarketMaker, self.x)
rtti.typecheck(IObservableSide, self.side)
rtti.typecheck(float, self.sign)
def registerIn(self, registry):
if self.__dict__.get('_id', False): return
self.__dict__['_id'] = True
if self.__dict__.get('_processing_ex', False):
raise Exception('cycle detected')
self.__dict__['_processing_ex'] = True
registry.insert(self)
self.x.registerIn(registry)
self.side.registerIn(registry)
if hasattr(self, '_subscriptions'):
for s in self._subscriptions:
s.registerIn(registry)
self.impl.registerIn(registry)
self.__dict__['_processing_ex'] = False
def bind(self, ctx):
self._ctx = ctx.clone()
_internals = ['impl']
def __call__(self, *args, **kwargs):
return self.impl()
def reset(self):
from marketsim import context
self.impl = self.getImpl()
ctx_ex = getattr(self, '_ctx_ex', None)
if ctx_ex: self.impl.bind_ex(ctx_ex)
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 __getattr__(self, name):
if name[0:2] != '__' and self.impl:
return getattr(self.impl, name)
else:
raise AttributeError
@property
def suspended(self):
return self.inner.suspended
def set_suspended(self, value):
self.inner.suspended = value
def _send(self, order, source):
self.on_order_created.fire(order, self)
