spread_size_strategy.py 文件源码

def __init__(self, default_position, undercut_market_by=0.01, minimum_return=1.005, market_fee=0.005):
        '''
        default_position is whether the Strategy should hold the minor currency (sell, False) or
        the major currency (buy / True) after scalping the market. For example, in a USD-CAD market
        True would mean CAD is held after scalping and False would mean USD is held after scalping.

        It is assumed that the default_position is currently being held. If not, override it by setting
        current_position after initializing the strategy.
        '''

        Strategy.__init__(self)

        self._spread_size_indicator = SpreadSize(minimum_return, market_fee)
        self.default_position = default_position
        self.current_position = default_position
        self._first_time_unprofitable = True #Prevents repeating the same message.

        # undercut_market_by is used to make the strategy's order be the next one filled on the market.
        with localcontext() as context:
            context.prec = 8
            self.undercut_market_by = Decimal(undercut_market_by)