advanced-algorithmic-trading

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self.statistics.update(event.time, self.portfolio_handler)
elif event.type == EventType.SIGNAL:
self.portfolio_handler.on_signal(event)
elif event.type == EventType.ORDER:
self.execution_handler.execute_order(event)
elif event.type == EventType.FILL:
self.portfolio_handler.on_fill(event)
else:
raise NotImplemented(
"Unsupported event.type ’%s’" % event.type
)
This code continues looping until the backtest finishes (this being determined by the PriceHandler
object). It attempts to pull the latest Event from the queue and dispatches it to the correct
event handler object.
However the challenge here is that the previously mentioned sentiment signals CSV file also
contains timestamped sentiment signals. Hence it is necessary to "inject" the appropriate sentiment
signal for a particular ticker at the correct time point in the backtest.
This has been achieved by creating a new event called SentimentEvent. It stores a timestamp,
a ticker and a sentiment value (which can be a floating-point value, integer or a string)
that is sent to the Strategy object in order to generate SignalEvents. The QSTrader code for
SentimentEvent is as follows:
class SentimentEvent(Event):
"""
Handles the event of streaming a "Sentiment" value associated
with a ticker. Can be used for a generic "date-ticker-sentiment"
service, often provided by many data vendors.
"""
def __init__(self, timestamp, ticker, sentiment):
"""
Initialises the SentimentEvent.
Parameters:
timestamp - The timestamp when the sentiment was generated.
ticker - The ticker symbol, e.g. ’GOOG’.
sentiment - A string, float or integer value of "sentiment",
e.g. "bullish", -1, 5.4, etc.
"""
self.type = EventType.SENTIMENT
self.timestamp = timestamp
self.ticker = ticker
self.sentiment = sentiment
An additional object hierarchy called AbstractSentimentHandler has also been created.
It allows subclassing of sentiment handler objects for various vendor APIs, all shared through
a common interface. Since sentiment indicators are nearly always "timestamp-ticker-sentiment"