TradingStrategyDataSource

tradingstrategy.frameworks.qstrader.TradingStrategyDataSource Python class in Trading Strategy framework.

class TradingStrategyDataSource

Bases: object

QSTrader daily price integration for Capitalgram dataframe object.

__init__(exchange_universe, pair_universe, candle_universe, price_look_back_candles=5)

Parameters:

• exchange_universe (ExchangeUniverse) –

• pair_universe (PandasPairUniverse) –

• candle_universe (GroupedCandleUniverse) –

• price_look_back_candles – For low liquidity assets that may have no data at the certain data point, how many candles look back t

Methods

__init__(exchange_universe, pair_universe, ...)	param exchange_universe:
get_ask(dt, pair_id[, complain])
get_assets_historical_closes(start_dt, ...)	Obtain a multi-asset historical range of closing prices as a DataFrame, indexed by timestamp with asset symbols as columns.
get_bid(dt, pair_id[, complain])	Get a bid price for an asset at a certain timestamp.
get_price(dt, pair_id[, ohlc, complain])	Get a price for a trading pair base pair from candle data.

__init__(exchange_universe, pair_universe, candle_universe, price_look_back_candles=5)

Parameters:

• exchange_universe (ExchangeUniverse) –

• pair_universe (PandasPairUniverse) –

• candle_universe (GroupedCandleUniverse) –

• price_look_back_candles – For low liquidity assets that may have no data at the certain data point, how many candles look back t

get_price(dt, pair_id, ohlc='Open', complain=False)

Get a price for a trading pair base pair from candle data.

If there is no candle (no trades at the day), look for a previous day.

Parameters:

• dt (Timestamp) –

• pair_id (int) –

Return type:

float

get_bid(dt, pair_id, complain=False)

Get a bid price for an asset at a certain timestamp.

LIMITATIONS: - Assume using daily bars - Use opening price of each candle

Parameters:

• complain – Do not fail silently on data gaps

• dt (Timestamp) –

• pair_id (int) –

Return type:

float

get_assets_historical_closes(start_dt, end_dt, assets)

Obtain a multi-asset historical range of closing prices as a DataFrame, indexed by timestamp with asset symbols as columns.

Parameters

start_dtpd.Timestamp

The starting datetime of the range to obtain.

end_dtpd.Timestamp

The ending datetime of the range to obtain.

assetslist[str]

The list of asset symbols to obtain closing prices for.

Returns

pd.DataFrame

The multi-asset closing prices DataFrame.