mirror of
https://github.com/xavierchuan/FX-ML-Trading-Engine.git
synced 2026-08-05 05:47:42 +00:00
47 lines
7.6 KiB
Plaintext
47 lines
7.6 KiB
Plaintext
|
Ë
|
|||
|
|
i6 ã ó’ — d Z ddlmZ ddlZddlZddlmZ ddlmZ ddlm Z ddl
|
|||
|
|
m Z m Z m
|
|||
|
|
Z
|
|||
|
|
mZmZ dd lmZ dd
|
|||
|
|
lmZ G d „ d e « Zy)
|
|||
|
|
zNPaper trading adapter that simulates fills with configurable latency/slippage.é )Ú annotationsN)Údatetime)ÚPath)ÚDicté )Ú CancelAckÚExecutionAdapterÚOrderAckÚ OrderParamsÚ
|
|||
|
|
PositionState)Ú log_event)Ú
|
|||
|
|
OrderStorec óz — e Zd Z d d
|
|||
|
|
d„Zdd„Zdd„Zdd„Zdd„Zdd„Zdd„Z dd „Z
|
|||
|
|
dd
|
|||
|
|
„Z dd „Z y)Ú PaperAdapterNc ó\ — || _ || _ |xs t d« | _ i | _ i | _ || _ t |« | _ | j j j dd¬« | j j « s | j j dd¬« d| _
|
|||
|
|
y )Nz"results/execution/paper_orders.logT)ÚparentsÚexist_okz
|
|||
|
|
ts,equity
|
|||
|
|
úutf-8©Úencodingr )Ú
|
|||
|
|
latency_msÚ
|
|||
|
|
slippage_pipsr Ú order_storeÚ positionsÚ
|
|||
|
|
last_priceÚcashr Ú equity_pathÚparentÚmkdirÚexistsÚ
|
|||
|
|
write_textÚ
|
|||
|
|
_order_seq)Úselfr r r Ústarting_equityÚequity_log_paths úR/Users/chuan/Documents/Projects/FX_Backtest/QuantTrader/execution/paper_adapter.pyÚ__init__zPaperAdapter.__init__ s™ € ð %ˆŒØ *ˆÔØ&ÒZ¬*Ð5YÓ*ZˆÔØ35ˆŒØ,.ˆŒØ#ˆŒ Ü Ó0ˆÔØ ×Ñ× Ñ ×%Ñ%¨d¸TÐ%ÔBØ× Ñ ×&Ñ&Ô(Ø × Ñ × 'Ñ '¨
|
|||
|
|
ÀÐ 'Ô H؈�ó c óJ — | xj dz
|
|||
|
|
c_ d| j › �S )Nr zPAPER-)r" ©r# s r& Ú_next_idzPaperAdapter._next_id% s" € Ø �Š˜1Ñ �ؘŸ™Ð(Ð)Ð)r( c ó¦ — t j « }t j | j dz « | j « }| j
|
|||
|
|
|« }| j ||« | j j ||« t j « }t d||j d||« | j |« t |d|¬« S )Ng @�@ÚsubmitÚaccepted©Úorder_idÚstatusÚ timestamp)r ÚutcnowÚtimeÚsleepr r+ Ú _fill_priceÚ _apply_fillr Úappendr
|
|||
|
|
ÚsymbolÚ_record_equityr
|
|||
|
|
)r# ÚorderÚstartr0 Ú
|
|||
|
|
fill_priceÚends r& r- zPaperAdapter.submit) s£ € Ü—‘Ó!ˆÜ �
|
|||
|
|
‰
|
|||
|
|
�4—?‘? VÑ+Ô,Ø—=‘=“?ˆØ×%Ñ% eÓ,ˆ
|
|||
|
|
Ø ×ј
|
|||
|
|
Ô+Ø ×Ñ× Ñ ¨%Ô0Ü�o‰oÓ ˆÜ�(˜H e§l¡l°JÀÀsÔKØ ×јCÔ Ü °*ÈÔLÐLr( c óÒ — t j « }t j | j dz « t j « }t d|dd||« t
|
|||
|
|
|d|¬« S )Ng @Ÿ@ÚcancelÚ Ú cancelledr/ )r r3 r4 r5 r r
|
|||
|
|
r )r# r0 r< r> s r& r@ zPaperAdapter.cancel5 sP € Ü—‘Ó!ˆÜ �
|
|||
|
|
‰
|
|||
|
|
�4—?‘? VÑ+Ô,Ü�o‰oÓ ˆÜ�(˜H b¨+°u¸cÔBÜ (°;È#ÔNÐNr( c ó — | j S )N)r r* s r& Úsync_positionszPaperAdapter.sync_positions< s € Ø�~‰~Ð r( c ó — y)NT© r* s r& Ú heartbeatzPaperAdapter.heartbeat? s € Ør( c ó, — |j d« rdS dS )NÚJPYg{®Gáz„?g-C ëâ6?)Úendswith)r# r9 s r& Ú
|
|||
|
|
_pip_valuezPaperAdapter._pip_valueB s € Ø —‘ uÔ-ˆtÐ9°6Ð9r( c ó< — |j xs& | j j |j d« }| j | j |j « z }|j j « dk( rdnd}|||z t j ddg« z z S )Ng ð?Úbuyr éÿÿÿÿ)
|
|||
|
|
Úpricer Úgetr9 r rK ÚsideÚlowerÚrandomÚchoice)r# r; Ú
|
|||
|
|
base_priceÚslipÚ directions r& r6 zPaperAdapter._fill_priceE s € Ø—[‘[ÒJ D§O¡O×$7Ñ$7¸¿ ¹ ÀcÓ$Jˆ
|
|||
|
|
Ø×!Ñ! D§O¡O°E·L±LÓ$AÑAˆØ Ÿ™×)Ñ)Ó+¨uÒ4‘A¸"ˆ ؘI¨Ñ ,¬v¯}©}¸aÀ¸WÓ/EÑ EÑEÐEr( c ó¤ — |j j « dk( r |j n |j }| j j |j
|
|||
|
|
« }|€t
|
|||
|
|
|j
|
|||
|
|
d|d¬« }|j |z }|dk( rP||j z
|
|||
|
|
| z }| xj |z
|
|||
|
|
c_ | j j |j
|
|||
|
|
d « �n |j dk( s(|j dkD r|dkD s|j dk rZ|dk rU|j |j z ||z z |z }t
|
|||
|
|
|j
|
|||
|
|
||d¬« }|| j |j
|
|||
|
|
< n’|j |z
|