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52 lines
1.6 KiB
Python
52 lines
1.6 KiB
Python
from backtester.enums import Type, Direction
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from backtester.datahandler import Schema
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class StrategyLeg:
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"""Strategy Leg data class"""
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def __init__(self, name, schema, option_type=Type.CALL, direction=Direction.BUY):
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assert isinstance(schema, Schema)
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assert isinstance(option_type, Type)
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assert isinstance(direction, Direction)
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self.name = name
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self.schema = schema
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self.type = option_type
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self.direction = direction
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self._entry_filter = self._base_entry_filter()
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self._exit_filter = self._base_exit_filter()
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@property
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def entry_filter(self):
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"""Returns the entry filter"""
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return self._entry_filter
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@entry_filter.setter
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def entry_filter(self, flt):
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"""Sets the entry filter"""
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self._entry_filter = self._base_entry_filter() & flt
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@property
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def exit_filter(self):
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"""Returns the exit filter"""
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return self._exit_filter
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@exit_filter.setter
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def exit_filter(self, flt):
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"""Sets the exit filter"""
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self._exit_filter = self._base_exit_filter() & flt
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def _base_entry_filter(self):
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if self.direction == Direction.BUY:
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return (self.schema.type == self.type.value) & (self.schema.ask > 0)
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else:
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return (self.schema.type == self.type.value) & (self.schema.bid > 0)
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def _base_exit_filter(self):
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return self.schema.type == self.type.value
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def __repr__(self):
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return "StrategyLeg(name={}, type={}, direction={}, entry_filter={}, exit_filter={})".format(
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self.name, self.type, self.direction, self._entry_filter, self._exit_filter)
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