本文整理汇总了Python中mewp.util.pair_trade_analysis.TradeAnalysis.tick_pass_by方法的典型用法代码示例。如果您正苦于以下问题：Python TradeAnalysis.tick_pass_by方法的具体用法？Python TradeAnalysis.tick_pass_by怎么用？Python TradeAnalysis.tick_pass_by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mewp.util.pair_trade_analysis.TradeAnalysis的用法示例。
在下文中一共展示了TradeAnalysis.tick_pass_by方法的2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: StopWinAlgo
# 需要导入模块: from mewp.util.pair_trade_analysis import TradeAnalysis [as 别名]
# 或者: from mewp.util.pair_trade_analysis.TradeAnalysis import tick_pass_by [as 别名]
class StopWinAlgo(PairAlgoWrapper):
# called when algo param is set
def param_updated(self):
# make sure parent updates its param
super(StopWinAlgo, self).param_updated()
# algo settings
self.if_ema = self.param["if_ema"] # if false, use sma
self.if_stop_win = self.param["if_stop_win"] # if false, don't stop win
self.if_consider_spread = self.param["if_consider_spread"] # if false, don't consider spread and fee
# create rolling
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"])
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
# records
self.records = {
"timestamp": [],
"longs": [],
"shorts": [],
"long_mean": [],
"short_mean": [],
"long_sd": [],
"short_sd": [],
}
# tracker
self.tracker = TradeAnalysis(self.pair.x)
# 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()
## only do this when plotting is neede
# update record
# if self.if_ema:
# self._update_record(long_res, self.autoreg.mean, self.long_roll.sd,\
# short_res, self.autoreg.mean, self.short_roll.sd)
# else:
# 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()
# stop short position
if self.if_stop_win:
if pos == -1:
if (profit >= max(1, self.stop_win * self.long_roll.sd) and self.if_consider_spread == False) or (
profit >= max(1, self.stop_win * self.long_roll.sd, fee) and self.if_consider_spread == True
):
self.long_y(y_qty=1)
self.last_long_res = long_res
self.tracker.close_with_stop(profit)
return
# stop long position
if pos == 1:
if (profit >= max(1, self.stop_win * self.long_roll.sd) and self.if_consider_spread == False) or (
profit >= max(1, self.stop_win * self.long_roll.sd, fee) and self.if_consider_spread == True
):
self.short_y(y_qty=1)
self.last_short_res = short_res
self.tracker.close_with_stop(profit)
return
#.........这里部分代码省略.........
示例2: SMAAlgo
# 需要导入模块: from mewp.util.pair_trade_analysis import TradeAnalysis [as 别名]
# 或者: from mewp.util.pair_trade_analysis.TradeAnalysis import tick_pass_by [as 别名]
class SMAAlgo(PairAlgoWrapper):
# called when algo param is set
def param_updated(self):
# make sure parent updates its param
super(SMAAlgo, self).param_updated()
# 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'])
#params
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
#records
self.records = {'timestamp': [], 'longs': [], 'shorts': [],
'long_mean': [], 'short_mean': [],
'long_sd': [], 'short_sd':[]}
self.max_profit = 0
#tracker
self.tracker = TradeAnalysis(self.pair.x)
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 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()
#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(long_res, self.long_roll.mean, self.long_roll.sd,\
# short_res, self.short_roll.mean, self.short_roll.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
#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)
#.........这里部分代码省略.........