Michael Halls-Moore
30 lines
793 B
Python
30 lines
793 B
Python
class Event(object):
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pass
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class TickEvent(Event):
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def __init__(self, instrument, time, bid, ask):
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self.type = 'TICK'
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self.instrument = instrument
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self.time = time
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self.bid = bid
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self.ask = ask
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class SignalEvent(Event):
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def __init__(self, instrument, order_type, side, time):
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self.type = 'SIGNAL'
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self.instrument = instrument
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self.order_type = order_type
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self.side = side
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self.time = time # Time of the last tick that generated the signal
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class OrderEvent(Event):
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def __init__(self, instrument, units, order_type, side):
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self.type = 'ORDER'
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self.instrument = instrument
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self.units = units
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self.order_type = order_type
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self.side = side
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