advanced-algorithmic-trading

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that arrive out of order in the events queue.
"""
# Set the first instance of time
if self.time is None:
self.time = event.time
# Set the correct latest prices depending upon
# order of arrival of market bar event
price = event.adj_close_price/float(
PriceParser.PRICE_MULTIPLIER
)
if event.time == self.time:
for i in range(0, len(self.tickers)):
if event.ticker == self.tickers[i]:
self.latest_prices[i] = price
else:
self.time = event.time
self.bars_elapsed += 1
self.latest_prices = np.full(len(self.tickers), -1.0)
for i in range(0, len(self.tickers)):
if event.ticker == self.tickers[i]:
self.latest_prices[i] = price
go_long_units is a helper method that longs the appropriate quantity of portfolio "units"
by purchasing their individual components separately in the correct quantities. It achieves this
by shorting any component that has a negative value in the self.weights array and by longing
any component that has a positive value. Note that it multiplies this by the self.qty value,
which is the base number of units to transact for a portfolio "unit":
def go_long_units(self):
"""
Go long the appropriate number of "units" of the
portfolio to open a new position or to close out
a short position.
"""
for i, ticker in enumerate(self.tickers):
if self.weights[i] < 0.0:
self.events_queue.put(SignalEvent(
ticker, "SLD",
int(floor(-1.0*self.qty*self.weights[i])))
)
else:
self.events_queue.put(SignalEvent(
ticker, "BOT",
int(floor(self.qty*self.weights[i])))
go_short_units is almost identical to the above method except that it swaps the long/short