def calculate_signals(self, event):
if event.type == 'TICK':
pair = event.instrument
price = event.bid
pd = self.pairs_dict[pair]
if pd["ticks"] == 0:
pd["short_sma"] = price
pd["long_sma"] = price
else:
pd["short_sma"] = self.calc_rolling_sma(
pd["short_sma"], self.short_window, price)
pd["long_sma"] = self.calc_rolling_sma(pd["long_sma"],
self.long_window, price)
# Only start the strategy when we have created an accurate short
# window
if pd["ticks"] > self.short_window:
if pd["short_sma"] > pd["long_sma"] and not pd["invested"]:
signal = SignalEvent(pair, "market", "buy", event.time)
self.events.put(signal)
pd["invested"] = True
if pd["short_sma"] < pd["long_sma"] and pd["invested"]:
signal = SignalEvent(pair, "market", "sell", event.time)
self.events.put(signal)
pd["invested"] = False
pd["ticks"] += 1
def calculate_signals(self, event):
if event.type == 'TICK':
price = event.bid
if self.ticks == 0:
self.short_sma = price
self.long_sma = price
else:
self.short_sma = self.calc_rolling_sma(self.short_sma,
self.short_window,
price)
self.long_sma = self.calc_rolling_sma(self.long_sma,
self.long_window, price)
# Only start the strategy when we have created an accurate short window
if self.ticks > self.short_window:
if self.short_sma > self.long_sma and not self.invested:
signal = SignalEvent(self.pairs[0], "market", "buy",
event.time)
self.events.put(signal)
self.invested = True
if self.short_sma < self.long_sma and self.invested:
signal = SignalEvent(self.pairs[0], "market", "sell",
event.time)
self.events.put(signal)
self.invested = False
self.ticks += 1
def calculate_signals(self, event):
if event.type == 'TICK' and event.instrument == self.pairs[0]:
if self.ticks % 5 == 0:
if self.invested == False:
signal = SignalEvent(self.pairs[0], "market", "buy", event.time)
self.events.put(signal)
self.invested = True
else:
signal = SignalEvent(self.pairs[0], "market", "sell", event.time)
self.events.put(signal)
self.invested = False
self.ticks += 1
def calculate_signals(self, event):
if event.type == 'TICK':
if self.ticks % 200 == 0:
if self.invested == False:
signal = SignalEvent(self.instrument, "market", "buy")
self.events.put(signal)
self.invested = True
else:
signal = SignalEvent(self.instrument, "market", "sell")
self.events.put(signal)
self.invested = False
self.ticks += 1