advanced-algorithmic-trading

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a sent_sell corresponding exit threshold. Both of these are specified later in the backtest code.
In addition a base quantity of shares is required for trading. In order to keep the strategy
relatively straightforward the position sizing solely buys and sells such a base quantity for each
ticker at any time point in the strategy. That is, there is no dynamic adjustment of position sizes
or percentage allocation to any ticker. In a production strategy this would be one of the first
parts to optimise. Since this position sizing code is likely to distract from the main "sentiment"
aspect of the strategy, it was decided that it be kept simple for this chapter.
Finally a self.invested dictionary member is created to store whether each ticker is currently
being traded. This is done by adjusting a boolean True/False value for each ticker
depending upon whether a long position is open or not:
class SentdexSentimentStrategy(AbstractStrategy):
"""
Requires:
tickers - The list of ticker symbols
events_queue - A handle to the system events queue
sent_buy - Integer entry threshold
sent_sell - Integer exit threshold
base_quantity - Number of shares to be traded
"""
def __init__(
self, tickers, events_queue,
sent_buy, sent_sell, base_quantity
):
self.tickers = tickers
self.events_queue = events_queue
self.sent_buy = sent_buy
self.sent_sell = sent_sell
self.qty = base_quantity
self.time = None
self.tickers.remove("SPY")
self.invested = dict(
(ticker, False) for ticker in self.tickers
)
As with all subclasses of AbstractStrategy the calculate_signals method is where the
actual event-driven trading rules are placed. In all other QSTrader strategies to date this method
has responded to BarEvent or TickEvent objects.
In every strategy presented thus far the first line in this method always checks what the event
type is (if event.type == EventType...). This provides greater flexibility in AbstractStrategy
subclasses, since they can respond to arbitrary events, not just those based around asset pricing
data.
Once the event has been confirmed as a SentimentEvent the code checks whether that
particular ticker is already being traded. If not, it checks whether the sentiment exceeds the
sentiment integer entry threshold and then creates a long of the base quantity of shares. If it
is already trading this ticker, and the current sentiment threshold is below the provided exit