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Adjustments to the sample arbitrage algo

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This commit is contained in:
fredfortier
2017-09-11 18:20:28 -04:00
parent 3e2a8dd78b
commit 41d9bbca1b
3 changed files with 19 additions and 6 deletions
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catalyst/examples/arbitrage_with_interface.py
+6 -4
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@@ -1,6 +1,7 @@
from logbook import Logger
from catalyst.api import (
record,
order,
symbol,
get_open_orders
@@ -26,12 +27,12 @@ def initialize(context):
symbol(context.trading_pair_symbol, context.selling_exchange.name)
context.entry_points = [
dict(gap=0.01, amount=0.05),
dict(gap=0.02, amount=0.1),
dict(gap=0.03, amount=0.05),
dict(gap=0.04, amount=0.1),
dict(gap=0.05, amount=0.5),
]
context.exit_points = [
dict(gap=0.01, amount=0.05),
dict(gap=-0.02, amount=0.01),
dict(gap=-0.02, amount=0.5),
]
context.MAX_POSITIONS = 50
@@ -168,6 +169,7 @@ def handle_data(context, data):
gap_percent=gap * 100
)
)
record(buying_price=buying_price, selling_price=selling_price, gap=gap)
for exchange in context.trading_pairs:
asset = context.trading_pairs[exchange]