edgeyopt/execution/executor.py

'''
'''

from .trade import Trade
import numpy

class Executor(object):
    '''
    '''


    def __init__(self, series, max_hold_bars):
        '''
        Constructor
        '''
        self.series = series
        self.max_hold_bars = max_hold_bars
        
    def execute(self, sig_vectors, long=True, stop=None, tp=None):
        self.trades = []
        
        in_trade = False
        current_entry_price = None
        bar_counter = 0
        entry_bar = 0
        stop_price = 0
        tp_price = 0
        
        for i in range(0, self.series.length()):
            if not in_trade:
                has_signal = sig_vectors[i]
    
                if has_signal and i + 1 < self.series.length():
                    in_trade = True
                    current_entry_price = self.series.get_open(i + 1)
                    if stop is not None:
                        if long:
                            stop_price = current_entry_price * (1 - stop)
                        else:
                            stop_price = current_entry_price * (1 + stop)
                    if tp is not None:
                        if long:
                            tp_price = current_entry_price * (1 + tp)
                        else:
                            tp_price = current_entry_price * (1 - tp)
                    entry_bar = i + 1
                    bar_counter = 0
            else:
                bar_counter += 1
                if long:
                    if stop is not None and self.series.get_low(i) < stop_price:
                        self.trades.append(Trade(current_entry_price, stop_price, entry_bar, i, Trade.LONG))
                        in_trade = False
                    elif tp is not None and self.series.get_high(i) > tp_price:
                        self.trades.append(Trade(current_entry_price, tp_price, entry_bar, i, Trade.LONG))
                        in_trade = False
                else:
                    if stop is not None and self.series.get_high(i) > stop_price:
                        self.trades.append(Trade(current_entry_price, stop_price, entry_bar, i, Trade.SHORT))
                        in_trade = False
                    elif tp is not None and self.series.get_low(i) < tp_price:
                        self.trades.append(Trade(current_entry_price, tp_price, entry_bar, i, Trade.SHORT))
                        in_trade = False
            
                if in_trade:
                    if bar_counter >= self.max_hold_bars:
                        in_trade = False
                        if long:
                            trade_dir = Trade.LONG
                        else:
                            trade_dir = Trade.SHORT
                        self.trades.append(Trade(current_entry_price, self.series.get_close(i), entry_bar, i, trade_dir))
                    
        return self.trades