本文整理汇总了Python中algorithm.Algorithm.update方法的典型用法代码示例。如果您正苦于以下问题：Python Algorithm.update方法的具体用法？Python Algorithm.update怎么用？Python Algorithm.update使用的例子？那么恭喜您, 这里精选的方法代码示例或许可以为您提供帮助。您也可以进一步了解该方法所在类algorithm.Algorithm的用法示例。
在下文中一共展示了Algorithm.update方法的1个代码示例，这些例子默认根据受欢迎程度排序。您可以为喜欢或者感觉有用的代码点赞，您的评价将有助于系统推荐出更棒的Python代码示例。
示例1: __init__
# 需要导入模块: from algorithm import Algorithm [as 别名]
# 或者: from algorithm.Algorithm import update [as 别名]
class Controller:
def __init__(self, portfolio = None, algorithm = None):
self._logger = logging.getLogger(__name__)
self._portfolio = Portfolio() if portfolio is None else portfolio
self._algorithm = Algorithm() if algorithm is None else algorithm
self._order_api = OrderApi()
@classmethod
def backtest(cls, queue, controller = None):
controller = cls() if controller is None else controller
try:
while True:
if not queue.empty():
o = queue.get()
controller._logger.debug(o)
if o == 'POISON':
break
timestamp = o[0]
ticker = o[1]
price = o[2]
# Update pricing
controller.process_pricing(ticker = ticker, price = price)
# Generate Orders
orders = controller._algorithm.generate_orders(timestamp, controller._portfolio)
# Process orders
if len(orders) > 0:
# Randomize the order execution
final_orders = [orders[k] for k in np.random.choice(len(orders), replace=False, size=len(orders))]
for order in final_orders:
controller.process_order(order)
controller._logger.info(controller._portfolio.value_summary(timestamp))
except Exception as e:
print(e)
finally:
controller._logger.info(controller._portfolio.value_summary(None))
def process_order(self, order):
success = False
receipt = self._order_api.process_order(order)
if receipt is not None:
success = self.process_receipt(receipt)
if order is None or success is False:
self._logger.info(('{order_type} failed: %s at $%s for %s shares' % order).format(order_type = 'Sell' if order[2] < 0 else 'Buy'))
def process_receipt(self,receipt):
ticker = receipt[0]
price = receipt[1]
share_delta = receipt[2]
fee = receipt[3]
temp = self._portfolio.balance - (price * share_delta + fee)
if temp > 0:
if share_delta < 0 and -share_delta > self._portfolio.get_shares(ticker):
# Liquidate
share_delta = -self._portfolio.get_shares(ticker)
fee = self._order_api._calculate_fee(share_delta*price)
if fee > abs(share_delta*price):
return False
self._portfolio.update_trade(ticker=ticker, price=price, share_delta=share_delta, fee=fee)
self._logger.debug('Trade on %s for %s shares at %s with fee %s' % (ticker,share_delta,price, fee))
return True
return False
def process_pricing(self, ticker, price):
self._portfolio.update(price=price, ticker = ticker)
self._algorithm.update(stock=ticker, price = price)