def margin_account_log(self):
return TimeSeries(self._margin_account_log)
self.last_price = price
if __name__ == '__main__':
start = datetime(2008, 1, 1, 0, 0, 0, 0, pytz.utc)
end = datetime(2013, 1, 1, 0, 0, 0, 0, pytz.utc)
data = load_from_yahoo(stocks=[SYMBOL],
indexes={},
start=start,
end=end,
adjusted=True)
simple_algo = BuyStock()
results = simple_algo.run(data)
ax1 = plt.subplot(211)
ax2 = plt.subplot(212)
TRACK_STRIPPED = [x for x in TRACK if type(x) == tuple]
futures_indexes = [timestamp for (_, _, timestamp) in TRACK_STRIPPED]
futures_quantity_data = [
quantity_owned for (_, quantity_owned, _) in TRACK_STRIPPED
]
futures_margin_data = [margin for (margin, _, _) in TRACK_STRIPPED]
futures_margin_series = TimeSeries(index=futures_indexes,
data=futures_margin_data)
futures_margin_series.plot(ax=ax1)
futures_quantity_series = TimeSeries(index=futures_indexes,
data=futures_quantity_data)
futures_quantity_series.plot(ax=ax2)
plt.gcf().set_size_inches(18, 8)
class BuyGoogleAsFuture(FuturesTradingAlgorithm):
def initialize_futures(self, *args, **kwargs):
pass
def handle_futures_data(self, data):
self.order("GOOG", 1, initial_margin=data['GOOG']['initial_margin'])
def _handle_margin_call(self):
self._liquidate_random_positions()
if __name__ == '__main__':
start = datetime(2008, 1, 1, 0, 0, 0, 0, pytz.utc)
end = datetime(2013, 1, 1, 0, 0, 0, 0, pytz.utc)
data = load_from_yahoo(stocks=["GOOG"], indexes={}, start=start,
end=end, adjusted=True)
simple_algo = BuyGoogleAsFuture()
results = simple_algo.run(data)
ax1 = plt.subplot(211)
futures_indexes = list(simple_algo.margin_account_log.keys())
futures_margin_data = list(simple_algo.margin_account_log.values)
futures_margin_series = TimeSeries(index=futures_indexes, data=futures_margin_data)
futures_margin_series.plot(ax=ax1)
ax2 = plt.subplot(212, sharex=ax1)
data.GOOG.plot(ax=ax2)
plt.gcf().set_size_inches(18, 8)
