RayLty
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| import numpy as np | |
| import time | |
| from base import * | |
| class DataPoint(): | |
| def __init__(self, source_name, t, data): | |
| self.source_name = source_name | |
| self.t = t | |
| # data is a list in order of TRA, DER, SA, TM, IT | |
| self.data = data |
RayLty
/ gist:d828ebe4391e564c3319680dbd0dc300
Created
November 14, 2016 22:34
Foreign Exchange Algorithmic Trading method
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| from base import * | |
| import datetime | |
| class FXBot(BaseBot): | |
| def __init__(self): | |
| super(FXBot, self).__init__() | |
| self.contracts = [0]*8 # EURJPY/CHFJPY/USDCHF/EURCHF/EURCAD/EURUSD/USDJPY/USDCAD | |
| self.cash = [0]*8 # JPY/EUR/USD/CHF/CAD | |
| self.limits = [102000000, 900000, 1000000, 980000, 1300000] # JPY/EUR/USD/CHF/CAD | |
| self.bids = [] # EURJPY/CHFJPY/USDCHF/EURCHF/EURCAD/EURUSD/USDJPY/USDCAD | |
| self.asks = [] # EURJPY/CHFJPY/USDCHF/EURCHF/EURCAD/EURUSD/USDJPY/USDCAD |