Python SimpleMoving.add方法代码示例

# 需要导入模块: from mewp.math.simple import SimpleMoving [as 别名]
# 或者: from mewp.math.simple.SimpleMoving import add [as 别名]
class TestAlgo(PairAlgoWrapper):

    # called when algo param is set
    def param_updated(self):
        # make sure parent updates its param
        super(TestAlgo, self).param_updated()
        #self.long_roll = SimpleMoving(size=self.param['rolling'])
        #self.short_roll = SimpleMoving(size=self.param['rolling'])
        self.sd_coef = self.param['sd_coef']
        self.block = self.param['block']

    def on_daystart(self, date, info_x, info_y):
        pass
        # recreate rolling at each day start
        self.long_roll = SimpleMoving(size=self.param['rolling'])
        self.short_roll = SimpleMoving(size=self.param['rolling'])

    def on_dayend(self, date, info_x, info_y):
        pos = self.position_y()
        # stop short position
        if pos == -1:
            self.long_y(y_qty = 1)
            return

        # stop long position
        if pos == 1:
            self.short_y(y_qty = 1)
            return

    def on_tick(self, multiple, contract, info):
        # skip if price_table doesnt have both, TODO fix this bug internally
        if len(self.price_table.table) < 2:
            return

        # get residuals and position
        long_res = self.pair.get_long_residual()
        short_res = self.pair.get_short_residual()
        pos = self.position_y()

        # action only when unblocked: bock size < rolling queue size
        if self.long_roll.queue.qsize() > self.block:
            # long when test long_res > roll.mean+sd_coef*roll.sd
            if self.long_roll.test_sigma(long_res, self.sd_coef):
                # only long when position is 0 or -1
                if pos <= 0:
                    self.long_y(y_qty=1)

            # short when test short_res > roll.mean+sd_coef*roll.sd
            elif self.short_roll.test_sigma(short_res, self.sd_coef):
                 # only short when position is 0 or 1
                if pos >= 0:
                    self.short_y(y_qty=1)
            else:
                pass

        # update rolling
        self.long_roll.add(long_res)
        self.short_roll.add(short_res)

# 需要导入模块: from mewp.math.simple import SimpleMoving [as 别名]
# 或者: from mewp.math.simple.SimpleMoving import add [as 别名]
class SpreadGuardAlgo(PairAlgoWrapper):

    # called when algo param is set
    def param_updated(self):
        # make sure parent updates its param
        super(SpreadGuardAlgo, self).param_updated()

        # algo settings

        self.min_ticksize = self.pair.x.symbol.min_ticksize
        # create rolling
        self.long_roll = SimpleMoving(size=self.param['rolling'])
        self.short_roll = SimpleMoving(size=self.param['rolling'])

        self.spreadx_roll = SimpleMoving(size = self.param['rolling'])
        self.spready_roll = SimpleMoving(size = self.param['rolling'])

        self.bollinger = self.param['bollinger']
        self.block = self.param['block']

        #other params
        self.last_long_res = -999
        self.last_short_res = -999

        #records
        self.records = {'timestamp': [], 'longs': [], 'shorts': [],
                        'long_mean': [], 'short_mean': [],
                        'long_sd': [], 'short_sd':[]}

        #tracker
        self.tracker = self.param['tracker']

    # what to do on every tick
    def on_tick(self, multiple, contract, info):

        self.tracker.tick_pass_by() # tell the tracker that one tick passed by
        # skip if price_table doesnt have both
        if len(self.price_table.table) < 2:
            return

        # get residuals and position
        long_res = self.pair.get_long_residual()
        short_res = self.pair.get_short_residual()
        pos = self.position_y()
        trade_flag = 0

        ## only do this when plotting is needed
        #update record
#       self._update_record(long_res, self.long_roll.mean, self.long_roll.sd,\
#                           short_res, self.short_roll.mean, self.short_roll.sd)

        #calculate profit for this round
        profit = 0
        if pos == -1:
            profit = long_res + self.last_short_res
        elif pos == 1:
            profit = short_res + self.last_long_res

        #two spread
        spreadx = self.spreadx_roll.mean
        spready = self.spready_roll.mean
        avg_spread = (spreadx + spready)/2

        #fee
        fee = self.pair.get_fee()

        # open or close position
        # action only when unblocked: bock size < rolling queue size
        if self.long_roll.queue.qsize() > self.block and trade_flag == 0:
            # long when test long_res > mean+bollinger*sd
            if self.long_roll.test_sigma(long_res, self.bollinger)                    and long_res - self.long_roll.mean > fee + avg_spread:
                # only long when position is 0 or -1
                if pos <= 0:
                    self.long_y(y_qty=1)
                    self.last_long_res = long_res

                    #tell the tracker
                    if pos == 0:
                        self.tracker.open_position()
                    else:
                        self.tracker.close_with_exit(profit - fee)

            # short when test short_res > mean+bollinger*sd
            elif self.short_roll.test_sigma(short_res, self.bollinger)                      and short_res - self.short_roll.mean > fee + avg_spread:
                # only short when position is 0 or 1
                if pos >= 0:
                    self.short_y(y_qty=1)
                    self.last_short_res = short_res

                    #tell the tracker
                    if pos == 0:
                        self.tracker.open_position()
                    else:
                        self.tracker.close_with_exit(profit - fee)


        # update rolling
        self.long_roll.add(long_res)
        self.short_roll.add(short_res)
        self.spreadx_roll.add(self.pair.get_spread_x())
#.........这里部分代码省略.........

# 需要导入模块: from mewp.math.simple import SimpleMoving [as 别名]
# 或者: from mewp.math.simple.SimpleMoving import add [as 别名]
class EMAAlgo(PairAlgoWrapper):

    # called when algo param is set
    def param_updated(self):
        # make sure parent updates its param
        super(EMAAlgo, self).param_updated()

        # create rolling
        self.long_autoreg = Autoregressive(alpha = self.param['alpha'])
        self.short_autoreg = Autoregressive(alpha = self.param['alpha'])
        self.long_roll = SimpleMoving(size = self.param['rolling'])
        self.short_roll = SimpleMoving(size = self.param['rolling'])
        self.bollinger = self.param['bollinger']
        self.block = self.param['block']
        self.stop_win = self.param['stop_win']

        #other params
        self.last_long_res = -999
        self.last_short_res = -999



    def on_tick(self, multiple, contract, info):
        # skip if price_table doesnt have both, TODO fix this bug internally
        if len(self.price_table.table) < 2:
            return

        # get residuals and position
        long_res = self.pair.get_long_residual()
        short_res = self.pair.get_short_residual()
        pos = self.position_y()

        # update rolling
        self.long_autoreg.add(long_res)
        self.short_autoreg.add(short_res)
        self.long_roll.add(long_res)
        self.short_roll.add(short_res)

        long_mean = self.long_autoreg.getMean()
        short_mean = self.short_autoreg.getMean()
        long_std = self.long_roll.sd
        short_std = self.short_roll.sd


        # stop short position
        if pos == -1:
            if long_res + self.last_short_res >= self.stop_win * long_std:
                self.long_y(y_qty = 1)
                return

        # stop long position
        if pos == 1:
            if short_res + self.last_long_res >= self.stop_win * short_std:
                self.short_y(y_qty = 1)
                return

        # action only when unblocked: bock size < rolling queue size
        if self.long_roll.queue.qsize() > self.block:
            # long when test long_res > mean+bollinger*std
            if long_res > long_mean + self.bollinger * long_std:
                # only long when position is 0 or -1
                if pos <= 0:
                    self.long_y(y_qty=1)
                    self.last_long_res = long_res
                    return

            # short when test short_res > mean+bollinger*std
            elif short_res > short_mean + self.bollinger * short_std:
                 # only short when position is 0 or 1
                if pos >= 0:
                    self.short_y(y_qty=1)
                    self.last_short_res = short_res
                    return

    def on_daystart(self, date, info_x, info_y):
        #create new stuff on day start
        self.long_autoreg = Autoregressive(alpha = self.param['alpha'])
        self.short_autoreg = Autoregressive(alpha = self.param['alpha'])
        self.long_roll = SimpleMoving(size = self.param['rolling'])
        self.short_roll = SimpleMoving(size = self.param['rolling'])

    def on_dayend(self, date, info_x, info_y):
        pos = self.position_y()
        # stop short position
        if pos == -1:
            self.long_y(y_qty = 1)
            return

        # stop long position
        if pos == 1:
            self.short_y(y_qty = 1)
            return

# 需要导入模块: from mewp.math.simple import SimpleMoving [as 别名]
# 或者: from mewp.math.simple.SimpleMoving import add [as 别名]

#.........这里部分代码省略.........
        spreadx = self.spreadx_roll.mean
        spready = self.spready_roll.mean
        avg_spread = (spreadx + spready)/2

        #fee
        fee = self.pair.get_fee()

        #update record
        #self._update_record(float(long_res), float(self.long_autoreg.mean), float(self.long_autoreg.sd), float(short_res), float(self.short_autoreg.mean), float(self.short_autoreg.sd))

        #calculate profit
        profit = 0
        if pos == -1:
            profit = long_res + self.last_short_res
        elif pos == 1:
            profit = short_res + self.last_long_res


        # action only when unblocked: bock size < rolling queue size
        if self.long_autoreg.get_length() > self.block:
            # long when test long_res > mean+bollinger*sd
            if self.long_autoreg.test_sigma(long_res, self.bollinger):
                # only long when position is 0 or -1
                if pos <= 0:
                    try:
                        [order1, order2] = self.long_y(y_qty=1)
                        self.last_long_res = long_res

                        #tell the tracker
                        if pos == 0:
                            self.orderfee = order1.fee + order2.fee
                            self.tracker.open_position()
                        else:
                            self.orderfee += order1.fee + order2.fee
                            self.tracker.close_with_exit(profit, self.orderfee)
                    except Exception:
                        pass


            # short when test short_res > mean + bollinger*sd
            elif self.short_autoreg.test_sigma(short_res, self.bollinger):
                # only short when position is 0 or 1
                if pos >= 0:
                    try:
                        [order1, order2] = self.short_y(y_qty=1)
                        self.last_short_res = short_res

                        #tell the tracker
                        if pos == 0:
                            self.orderfee = order1.fee + order2.fee
                            self.tracker.open_position()
                        else:
                            self.orderfee += order1.fee + order2.fee
                            self.tracker.close_with_exit(profit, self.orderfee)
                    except Exception:
                        pass



        # update rolling
        self.long_autoreg.add(long_res)
        self.short_autoreg.add(short_res)

        self.spreadx_roll.add(self.pair.get_spread_x())
        self.spready_roll.add(self.pair.get_spread_y())

    def on_daystart(self, date, info_x, info_y):
        # recreate rolling at each day start
        self.long_autoreg = AutoregOU(size=self.param['rolling'])
        self.short_autoreg = AutoregOU(size=self.param['rolling'])

        self.spreadx_roll = SimpleMoving(size = self.param['rolling'])
        self.spready_roll = SimpleMoving(size = self.param['rolling'])

    def on_dayend(self, date, info_x, info_y):
        pos = self.position_y()

        # stop short position
        if pos == -1:
            self.long_y(y_qty = 1)
            return

        # stop long position
        if pos == 1:
            self.short_y(y_qty = 1)
            return

    def on_risk(self, policy, risk_info):
        print '{} {} @ {}: {} {}/{}'.format(risk_info.action_type, risk_info.contract.name,
                                           risk_info.timestamp, risk_info.message,
                                           risk_info.value, risk_info.limit)

    def _update_record(self, long_res, long_mean, long_std, short_res, short_mean, short_std):
        self.records['timestamp'].append(Clock.timestamp)
        self.records['longs'].append(long_res)
        self.records['shorts'].append(short_res)
        self.records['long_mean'].append(long_mean)
        self.records['short_mean'].append(short_mean)
        self.records['long_sd'].append(long_std)
        self.records['short_sd'].append(short_std)

# 需要导入模块: from mewp.math.simple import SimpleMoving [as 别名]
# 或者: from mewp.math.simple.SimpleMoving import add [as 别名]

#.........这里部分代码省略.........
                    and self.if_ema == True
                    and self.if_consider_spread == True
                )
                or (
                    self.long_roll.test_sigma(long_res, self.bollinger)
                    and long_res - self.long_roll.mean > fee + avg_spread
                    and self.if_ema == False
                    and self.if_consider_spread == True
                )
            ):
                # only long when position is 0 or -1
                if pos <= 0:
                    self.long_y(y_qty=1)
                    self.last_long_res = long_res

                    # tell the tracker
                    if pos == 0:
                        self.tracker.open_position()
                    else:
                        self.tracker.close_with_exit(profit)

                    return

            # short when test short_res > mean+bollinger*sd
            elif (
                (
                    short_res > self.short_autoreg.mean + self.bollinger * self.short_roll.sd
                    and self.if_ema == True
                    and self.if_consider_spread == False
                )
                or (
                    self.short_roll.test_sigma(short_res, self.bollinger)
                    and self.if_ema == False
                    and self.if_consider_spread == False
                )
                or (
                    short_res - self.short_autoreg.mean > max(fee + avg_spread, self.bollinger * self.short_roll.sd)
                    and self.if_ema == True
                    and self.if_consider_spread == True
                )
                or (
                    self.short_roll.test_sigma(short_res, self.bollinger)
                    and short_res - self.short_roll.mean > fee + avg_spread
                    and self.if_ema == False
                    and self.if_consider_spread == True
                )
            ):
                # only short when position is 0 or 1
                if pos >= 0:
                    self.short_y(y_qty=1)
                    self.last_short_res = short_res

                    # tell the tracker
                    if pos == 0:
                        self.tracker.open_position()
                    else:
                        self.tracker.close_with_exit(profit)

                    return
            else:
                pass

        # update rolling
        self.long_roll.add(long_res)
        self.short_roll.add(short_res)
        self.long_autoreg.add(long_res)
        self.short_autoreg.add(short_res)
        self.spreadx_roll.add(self.pair.get_spread_x())
        self.spready_roll.add(self.pair.get_spread_y())

    def on_daystart(self, date, info_x, info_y):
        # recreate rolling at each day start
        self.long_roll = SimpleMoving(size=self.param["rolling"])
        self.short_roll = SimpleMoving(size=self.param["rolling"])
        self.long_autoreg = Autoregressive(alpha=self.param["alpha"])
        self.short_autoreg = Autoregressive(alpha=self.param["alpha"])
        self.spreadx_roll = SimpleMoving(size=self.param["rolling"])
        self.spready_roll = SimpleMoving(size=self.param["rolling"])

    def on_dayend(self, date, info_x, info_y):
        # force close on day end
        pos = self.position_y()
        # stop short position
        if pos == -1:
            self.long_y(y_qty=1)
            return

        # stop long position
        if pos == 1:
            self.short_y(y_qty=1)
            return

    def _update_record(self, long_res, long_mean, long_std, short_res, short_mean, short_std):
        self.records["timestamp"].append(Clock.timestamp)
        self.records["longs"].append(long_res)
        self.records["shorts"].append(short_res)
        self.records["long_mean"].append(long_mean)
        self.records["short_mean"].append(short_mean)
        self.records["long_sd"].append(long_std)
        self.records["short_sd"].append(short_std)

# 需要导入模块: from mewp.math.simple import SimpleMoving [as 别名]
# 或者: from mewp.math.simple.SimpleMoving import add [as 别名]

#.........这里部分代码省略.........
            profit = long_res + self.last_short_res
        elif pos == 1:
            profit = short_res + self.last_long_res

        #trailing stop win
        if profit > self.max_profit and profit > 0:
            self.max_profit = profit
        else:
            # stop short position
            if pos == -1:
                if self.max_profit - profit > max(1,self.stop_win * self.long_roll.sd) and profit > 0:
                    self.long_y(y_qty = 1)
                    self.last_long_res = long_res
                    self.tracker.close_with_stop(profit - fee)
                    return

            # stop long position
            if pos == 1:
                if self.max_profit - profit > max(1,self.stop_win * self.short_roll.sd) and profit > 0:
                    self.short_y(y_qty = 1)
                    self.last_short_res = short_res
                    self.tracker.close_with_stop(profit - fee)
                    return

        # action only when unblocked: bock size < rolling queue size
        if self.long_roll.queue.qsize() > self.block:
            # long when test long_res > mean+bollinger*sd
            if self.long_roll.test_sigma(long_res, self.bollinger) \
               and long_res > self.long_roll.mean + avg_spread + fee/2:
                # only long when position is 0 or -1
                if pos <= 0:
                    self.long_y(y_qty=1)
                    self.last_long_res = long_res

                    self.max_profit = 0

                    #tell the tracker
                    if pos == 0:
                        self.tracker.open_position()
                    else:
                        self.tracker.close_with_exit(profit - fee)

                    return

            # short when test short_res > mean+bollinger*sd
            elif self.short_roll.test_sigma(short_res, self.bollinger) \
                 and short_res > self.short_roll.mean + avg_spread + fee/2:
                # only short when position is 0 or 1
                if pos >= 0:
                    self.short_y(y_qty=1)
                    self.last_short_res = short_res

                    self.max_profit = 0

                    #tell the tracker
                    if pos == 0:
                        self.tracker.open_position()
                    else:
                        self.tracker.close_with_exit(profit - fee)

                    return
            else:
                pass


        # update rolling
        self.long_roll.add(long_res)
        self.short_roll.add(short_res)

        self.spreadx_roll.add(self.pair.get_spread_x())
        self.spready_roll.add(self.pair.get_spread_y())

    def on_daystart(self, date, info_x, info_y):
        # recreate rolling at each day start
        self.long_roll = SimpleMoving(size=self.param['rolling'])
        self.short_roll = SimpleMoving(size=self.param['rolling'])

        self.spreadx_roll = SimpleMoving(size = self.param['rolling'])
        self.spready_roll = SimpleMoving(size = self.param['rolling'])

    def on_dayend(self, date, info_x, info_y):
        pos = self.position_y()
        # stop short position
        if pos == -1:
            self.long_y(y_qty = 1)
            return

        # stop long position
        if pos == 1:
            self.short_y(y_qty = 1)
            return

    def _update_record(self, long_res, long_mean, long_std, short_res, short_mean, short_std):
        self.records['timestamp'].append(Clock.timestamp)
        self.records['longs'].append(long_res)
        self.records['shorts'].append(short_res)
        self.records['long_mean'].append(long_mean)
        self.records['short_mean'].append(short_mean)
        self.records['long_sd'].append(long_std)
        self.records['short_sd'].append(short_std)

# 需要导入模块: from mewp.math.simple import SimpleMoving [as 别名]
# 或者: from mewp.math.simple.SimpleMoving import add [as 别名]
class TestAlgo(PairAlgoWrapper):

    # called when algo param is set
    def param_updated(self):
        # make sure parent updates its param
        super(TestAlgo, self).param_updated()

        self.sd_coef = self.param['sd_coef']
        self.block = self.param['block']
        self.guard_coef = self.param['guard_coef']
        self.stop_win = self.param['stop_win']
        self.min_ticksize = self.pair.x.symbol.min_ticksize
        self.last_long_res = -999
        self.last_short_res = -999

    def on_daystart(self, date, info_x, info_y):
        # recreate rolling at each day start
        self.long_roll = SimpleMoving(size=self.param['rolling'])
        self.short_roll = SimpleMoving(size=self.param['rolling'])

    def on_dayend(self, date, info_x, info_y):
        print '{} settle price: x {}, y {}. PNL is {}'.format(
                date, info_x['SettlePrice'], info_y['SettlePrice'],
                self.account.get_pnl())

    def on_tick(self, multiple, contract, info):
        # skip if price_table doesnt have both, TODO fix this bug internally
        if len(self.price_table.table) < 2:
            return

        # get residuals and position
        long_res = self.pair.get_long_residual()
        short_res = self.pair.get_short_residual()
        pos = self.position_y()

        if pos == -1:
            if long_res + self.last_short_res >= max(self.stop_win, 2*self.long_roll.sd) * self.min_ticksize:
                self.long_y(y_qty = 1)
                return

        # stop long position
        if pos == 1:
            if short_res + self.last_long_res >= max(self.stop_win, 2*self.short_roll.sd) * self.min_ticksize:
                self.short_y(y_qty = 1)
                return

        # get ask-bid spread cost
        spreadcost = self.price_table.get_ask(self.pair.x) - self.price_table.get_bid(self.pair.x) + self.price_table.get_ask(self.pair.y) - self.price_table.get_bid(self.pair.y)
        if spreadcost < 0:
            raise Exception

        # action only when unblocked: bock size < rolling queue size
        if self.long_roll.queue.qsize() > self.block:
            # long when test long_res > roll.mean+sd_coef*roll.sd
            # if self.long_roll.test_sigma(long_res, self.sd_coef):

            if long_res > self.long_roll.mean + max( self.sd_coef*self.long_roll.sd,(self.guard_coef*self.min_ticksize + spreadcost)) :
                # only long when position is 0 or -1
                if pos <= 0:
                    self.long_y(y_qty=1)

            # short when test short_res > roll.mean+sd_coef*roll.sd
            #elif self.short_roll.test_sigma(short_res, self.sd_coef):
            elif short_res > self.short_roll.mean + max( self.sd_coef*self.short_roll.sd,(self.guard_coef*self.min_ticksize + spreadcost)) :
                 # only short when position is 0 or 1
                if pos >= 0:
                    self.short_y(y_qty=1)
            else:
                pass

        # update rolling
        self.long_roll.add(long_res)
        self.short_roll.add(short_res)

# 需要导入模块: from mewp.math.simple import SimpleMoving [as 别名]
# 或者: from mewp.math.simple.SimpleMoving import add [as 别名]

#.........这里部分代码省略.........
    def on_tick(self, multiple, contract, info):
        self.tracker.tick_pass_by()
        # skip if price_table doesnt have both, TODO fix this bug internally
        if self.price_table.get_size() < 2:
            return

        # get residuals and position
        long_res = self.pair.get_long_residual()
        short_res = self.pair.get_short_residual()
        pos = self.position_y()

        # two spread
        spreadx = self.spreadx_roll.mean
        spready = self.spready_roll.mean
        avg_spread = (spreadx + spready) / 2

        # fee
        fee = self.pair.get_fee()

        # update record
        # self._update_record(float(long_res), float(self.long_autoreg.mean), float(self.long_autoreg.sd),\
        #                    float(short_res), float(self.short_autoreg.mean), float(self.short_autoreg.sd))

        # calculate profit
        profit = 0
        if pos == -1:
            profit = long_res + self.last_short_res
        elif pos == 1:
            profit = short_res + self.last_long_res

        # action only when unblocked: bock size < rolling queue size
        if self.long_autoreg.get_length() > self.block:
            # long when test long_res > mean+bollinger*sd
            if (
                self.long_autoreg.test_sigma(long_res, self.bollinger)
                and long_res > self.long_autoreg.mean + avg_spread + fee / 2
            ):
                # only long when position is 0 or -1
                if pos <= 0:
                    self.long_y(y_qty=1)
                    self.last_long_res = long_res

                    # tell the tracker
                    if pos == 0:
                        self.tracker.open_position()
                    else:
                        self.tracker.close_with_exit(profit - fee)

            # short when test short_res > mean + bollinger*sd
            elif (
                self.short_autoreg.test_sigma(short_res, self.bollinger)
                and short_res > self.short_autoreg.mean + avg_spread + fee / 2
            ):
                # only short when position is 0 or 1
                if pos >= 0:
                    self.short_y(y_qty=1)
                    self.last_short_res = short_res

                    # tell the tracker
                    if pos == 0:
                        self.tracker.open_position()
                    else:
                        self.tracker.close_with_exit(profit - fee)

        # update rolling
        self.long_autoreg.add(long_res)
        self.short_autoreg.add(short_res)

        self.spreadx_roll.add(self.pair.get_spread_x())
        self.spready_roll.add(self.pair.get_spread_y())

    def on_daystart(self, date, info_x, info_y):
        # recreate rolling at each day start
        self.long_autoreg = AutoregOU(size=self.param["rolling"])
        self.short_autoreg = AutoregOU(size=self.param["rolling"])

        self.spreadx_roll = SimpleMoving(size=self.param["rolling"])
        self.spready_roll = SimpleMoving(size=self.param["rolling"])

    def on_dayend(self, date, info_x, info_y):
        pos = self.position_y()

        # stop short position
        if pos == -1:
            self.long_y(y_qty=1)
            return

        # stop long position
        if pos == 1:
            self.short_y(y_qty=1)
            return

    def _update_record(self, long_res, long_mean, long_std, short_res, short_mean, short_std):
        self.records["timestamp"].append(Clock.timestamp)
        self.records["longs"].append(long_res)
        self.records["shorts"].append(short_res)
        self.records["long_mean"].append(long_mean)
        self.records["short_mean"].append(short_mean)
        self.records["long_sd"].append(long_std)
        self.records["short_sd"].append(short_std)