edgeyopt/execution/executor.py

'''
'''

from .trade import Trade

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


    def __init__(self, series, max_hold_bars):
        '''
        Constructor
        '''
        self.series = series
        self.max_hold_bars = max_hold_bars
        
    def execute(self, signals, long=True):
        self.trades = []
        sig_vectors = []
        vec_length = 0
        for signal in signals:
            vec = signal.calculate(self.series)
            sig_vectors.append(vec)
            if vec_length == 0:
                vec_length = len(vec)
            else:
                assert(vec_length == len(vec))
                
        in_trade = False
        current_entry_price = None
        bar_counter = 0
        entry_bar = 0
        
        for i in range(0, vec_length):
            if not in_trade:
                has_signal = True
                for vec in sig_vectors:
                    if vec[i] is None or vec[i] == False:
                        has_signal = False
                        break
    
                if has_signal and i + 1 < vec_length:
                    in_trade = True
                    current_entry_price = self.series.get_open(i + 1)
                    entry_bar = i + 1
                    bar_counter = 0
            else:
                bar_counter += 1
                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