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Thomas Wiecki
49 lines
1.3 KiB
Python
49 lines
1.3 KiB
Python
class BuySellAlgorithm(object):
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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 __init__(self, sid, amount, offset):
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self.sid = sid
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self.amount = amount
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self.incr = 0
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self.done = False
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self.order = None
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self.frame_count = 0
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self.portfolio = None
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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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self.prices = []
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def initialize(self):
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pass
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def set_order(self, order_callable):
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self.order = order_callable
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def set_portfolio(self, portfolio):
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self.portfolio = portfolio
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def handle_data(self, frame):
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order_size = self.buy_or_sell * (self.amount - (self.offset**2))
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self.order(self.sid, 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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self.frame_count += 1
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self.incr += 1
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def get_sid_filter(self):
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return [self.sid]
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