Docker
70 lines
2.4 KiB
Python
70 lines
2.4 KiB
Python
"""Example external moving-average strategy for the ZMQ backtest bridge."""
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import argparse
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from bigqmt_backtest.client import BacktestZmqClient
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from bigqmt_backtest.strategy import ExternalStrategyRunner
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class MovingAverageStrategy(object):
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def __init__(self, symbol, fast=5, slow=20):
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self.symbol = symbol
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self.fast = int(fast)
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self.slow = int(slow)
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self.sequence = 0
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def on_bar(self, context, bars):
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if self.symbol not in bars:
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return []
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rows = context.history(self.symbol, count=self.slow, fields=["close"])
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if len(rows) < self.slow:
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return []
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closes = [float(row["close"]) for row in rows]
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fast_value = sum(closes[-self.fast :]) / self.fast
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slow_value = sum(closes) / self.slow
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position = context.positions.get(self.symbol, {})
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quantity = int(position.get("quantity") or 0)
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available = int(position.get("available") or 0)
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self.sequence += 1
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if fast_value > slow_value and quantity == 0:
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return [
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{
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"client_order_id": "ma-buy-%d" % self.sequence,
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"symbol": self.symbol,
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"side": "BUY",
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"quantity": 100,
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"order_type": "MARKET",
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}
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]
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if fast_value < slow_value and available > 0:
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return [
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{
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"client_order_id": "ma-sell-%d" % self.sequence,
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"symbol": self.symbol,
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"side": "SELL",
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"quantity": available,
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"order_type": "MARKET",
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}
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]
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return []
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def main():
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parser = argparse.ArgumentParser()
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parser.add_argument("--endpoint", default="tcp://127.0.0.1:16661")
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parser.add_argument("--run-id", default="", help="Optional; discovered from QMT when omitted")
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parser.add_argument("--symbol", required=True)
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parser.add_argument("--fast", type=int, default=5)
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parser.add_argument("--slow", type=int, default=20)
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args = parser.parse_args()
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with BacktestZmqClient(args.endpoint, args.run_id, client_id="ma-example") as client:
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result = ExternalStrategyRunner(
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client,
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MovingAverageStrategy(args.symbol, fast=args.fast, slow=args.slow),
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).run()
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print(result)
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if __name__ == "__main__":
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main()
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