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52 lines
1.4 KiB
52 lines
1.4 KiB
8 years ago
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'''
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'''
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from .trade import Trade
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class Executor(object):
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'''
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'''
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def __init__(self, series):
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'''
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Constructor
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'''
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self.series = series
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self.max_hold_bars = 1
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def execute(self, signals):
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self.trades = []
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sig_vectors = []
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vec_length = 0
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for signal in signals:
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vec = signal.calculate(self.series)
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sig_vectors.append(vec)
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if vec_length == 0:
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vec_length = len(vec)
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else:
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assert(vec_length == len(vec))
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in_trade = False
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current_entry_price = None
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bar_counter = 0
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for i in range(0, vec_length):
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if not in_trade:
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has_signal = True
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for vec in sig_vectors:
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if vec[i] is None or vec[i] == False:
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has_signal = False
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break
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if has_signal and i + 1 < vec_length:
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in_trade = True
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current_entry_price = self.series.get_open(i + 1)
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bar_counter = 0
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else:
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bar_counter += 1
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if bar_counter >= self.max_hold_bars:
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in_trade = False
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self.trades.append(Trade(current_entry_price, self.series.get_close(i)))
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return self.trades
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