advanced-algorithmic-trading

415
)
)
self.invested = "long"
elif et > sqrt_Qt:
# Short Entry
print("SHORT: %s" % event.time)
self.cur_hedge_qty = int(
floor(self.qty*self.theta[0])
)
self.events_queue.put(
SignalEvent(
self.tickers[1], "SLD", self.qty
)
)
self.events_queue.put(
SignalEvent(
self.tickers[0], "BOT",
self.cur_hedge_qty
)
)
self.invested = "short"
# If we are in the market...
if self.invested is not None:
if self.invested == "long" and et > -sqrt_Qt:
print("CLOSING LONG: %s" % event.time)
self.events_queue.put(
SignalEvent(
self.tickers[1],
"SLD", self.qty
)
)
self.events_queue.put(
SignalEvent(
self.tickers[0],
"BOT", self.cur_hedge_qty
)
)
self.invested = None
elif self.invested == "short" and et < sqrt_Qt:
print("CLOSING SHORT: %s" % event.time)
self.events_queue.put(
SignalEvent(
self.tickers[1],
"BOT", self.qty
)