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())
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)
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, 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()
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())
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))))
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)
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()
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)
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()
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)
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()
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)
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)))
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)
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)
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)
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)
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)
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)
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)
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)
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)
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)
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)
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)
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.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))))
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)
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)), ) ), ) )
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))))))))
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)
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)))
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.orderbook._oftrader import OfTrader_IAccount as _orderbook_OfTrader_IAccount from marketsim import deref_opt return deref_opt(_orderbook_OfTrader_IAccount())
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))))
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))))
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)
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
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)
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