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https://github.com/wassname/catalyst.git
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Eddie Hebert
50 lines
1.5 KiB
Python
50 lines
1.5 KiB
Python
#
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# Copyright 2012 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from logbook import Logger
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from zipline.algorithm import TradingAlgorithm
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logger = Logger('Algo')
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class BuySellAlgorithm(TradingAlgorithm):
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"""Algorithm that buys and sells alternatingly. The amount for
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each order can be specified. In addition, an offset that will
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quadratically reduce the amount that will be bought can be
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specified.
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This algorithm is used to test the parameter optimization
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framework. If combined with the UpDown trade source, an offset of
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0 will produce maximum returns.
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"""
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def initialize(self, amount=100, offset=0):
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self.amount = amount
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self.buy_or_sell = -1
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self.offset = offset
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self.orders = []
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def handle_data(self, data):
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order_size = self.buy_or_sell * (self.amount - (self.offset ** 2))
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self.order(self.sids[0], order_size)
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logger.debug("ordering" + str(order_size))
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#sell next time around.
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self.buy_or_sell *= -1
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self.orders.append(order_size)
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