class PyStrategy(TradingStrategy):
"""
A strategy which is empty and does nothing.
"""
def __init__(self, bar_type: BarType):
"""
Initializes a new instance of the PyStrategy class.
"""
super().__init__(order_id_tag='001')
self.bar_type = bar_type
self.object_storer = ObjectStorer()
def on_start(self):
self.subscribe_bars(self.bar_type)
def on_tick(self, tick):
pass
def on_bar(self, bar_type, bar):
print(bar)
self.object_storer.store_2(bar_type, bar)
def on_instrument(self, instrument):
pass
def on_event(self, event):
self.object_storer.store(event)
def on_stop(self):
pass
def on_reset(self):
pass
def on_save(self):
return {}
def on_load(self, state):
pass
def on_dispose(self):
pass
class PyStrategy(TradingStrategy):
"""
A strategy which is empty and does nothing.
"""
def __init__(self, bar_type: BarType):
"""Initialize a new instance of the PyStrategy class."""
super().__init__(order_id_tag="001")
self.bar_type = bar_type
self.object_storer = ObjectStorer()
def on_start(self):
self.subscribe_bars(self.bar_type)
def on_bar(self, bar_type, bar):
self.object_storer.store_2(bar_type, bar)
def on_event(self, event):
self.object_storer.store(event)
class TestStrategy1(TradingStrategy):
""""
A simple strategy for unit testing.
"""
__test__ = False
def __init__(self, bar_type, id_tag_strategy='001', clock=TestClock()):
"""
Initializes a new instance of the TestStrategy1 class.
"""
super().__init__(order_id_tag=id_tag_strategy, clock=clock)
self.object_storer = ObjectStorer()
self.bar_type = bar_type
self.ema1 = ExponentialMovingAverage(10)
self.ema2 = ExponentialMovingAverage(20)
self.register_indicator(self.bar_type, self.ema1, self.ema1.update)
self.register_indicator(self.bar_type, self.ema2, self.ema2.update)
self.position_id = None
def on_start(self):
self.object_storer.store('custom start logic')
self.account_inquiry()
def on_tick(self, tick):
self.object_storer.store(tick)
def on_bar(self, bar_type, bar):
self.object_storer.store((bar_type, Bar))
if bar_type.equals(self.bar_type):
if self.ema1.value > self.ema2.value:
buy_order = self.order_factory.market(self.bar_type.symbol,
Label('TestStrategy1_E'),
OrderSide.BUY, 100000)
self.submit_order(buy_order, PositionId(str(buy_order.id)))
self.position_id = buy_order.id
elif self.ema1.value < self.ema2.value:
sell_order = self.order_factory.market(
self.bar_type.symbol, Label('TestStrategy1_E'),
OrderSide.SELL, 100000)
self.submit_order(sell_order, PositionId(str(sell_order.id)))
self.position_id = sell_order.id
def on_instrument(self, instrument):
self.object_storer.store(instrument)
def on_event(self, event):
self.object_storer.store(event)
def on_stop(self):
self.object_storer.store('custom stop logic')
def on_reset(self):
self.object_storer.store('custom reset logic')
def on_save(self):
self.object_storer.store('custom save logic')
return {}
def on_load(self, state):
self.object_storer.store('custom load logic')
def on_dispose(self):
self.object_storer.store('custom dispose logic')
class TestStrategy1(TradingStrategy):
"""
A simple strategy for unit testing.
"""
__test__ = False
def __init__(self, bar_type, id_tag_strategy="001"):
"""Initialize a new instance of the TestStrategy1 class."""
super().__init__(order_id_tag=id_tag_strategy)
self.object_storer = ObjectStorer()
self.bar_type = bar_type
self.ema1 = ExponentialMovingAverage(10)
self.ema2 = ExponentialMovingAverage(20)
self.register_indicator_for_bars(self.bar_type, self.ema1)
self.register_indicator_for_bars(self.bar_type, self.ema2)
self.position_id = None
def on_start(self):
self.object_storer.store("custom start logic")
def on_quote_tick(self, tick):
self.object_storer.store(tick)
def on_bar(self, bar_type, bar):
self.object_storer.store((bar_type, Bar))
if bar_type == self.bar_type:
if self.ema1.value > self.ema2.value:
buy_order = self.order_factory.market(
self.bar_type.symbol,
OrderSide.BUY,
100000,
)
self.submit_order(buy_order)
self.position_id = buy_order.cl_ord_id
elif self.ema1.value < self.ema2.value:
sell_order = self.order_factory.market(
self.bar_type.symbol,
OrderSide.SELL,
100000,
)
self.submit_order(sell_order)
self.position_id = sell_order.cl_ord_id
def on_instrument(self, instrument):
self.object_storer.store(instrument)
def on_event(self, event):
self.object_storer.store(event)
def on_stop(self):
self.object_storer.store("custom stop logic")
def on_reset(self):
self.object_storer.store("custom reset logic")
def on_save(self):
self.object_storer.store("custom save logic")
return {}
def on_load(self, state):
self.object_storer.store("custom load logic")
def on_dispose(self):
self.object_storer.store("custom dispose logic")