rsi_profit_target.py 文件源码

def _handle_data_rsi_only(context, data):
    price = data.current(context.asset, 'close')
    log.info('got price {price}'.format(price=price))

    if price is np.nan:
        log.warn('no pricing data')
        return

    if context.base_price is None:
        context.base_price = price

    try:
        prices = data.history(
            context.asset,
            fields='price',
            bar_count=20,
            frequency='30T'
        )
    except Exception as e:
        log.warn('historical data not available: '.format(e))
        return

    rsi = talib.RSI(prices.values, timeperiod=16)[-1]
    log.info('got rsi {}'.format(rsi))

    signal = None
    if rsi < context.RSI_OVERSOLD:
        signal = 'long'

    # Making sure that the price is still current
    price = data.current(context.asset, 'close')
    cash = context.portfolio.cash
    log.info(
        'base currency available: {cash}, cap: {cap}'.format(
            cash=cash,
            cap=context.MAX_HOLDINGS
        )
    )
    volume = data.current(context.asset, 'volume')
    price_change = (price - context.base_price) / context.base_price
    record(
        price=price,
        price_change=price_change,
        rsi=rsi,
        volume=volume,
        cash=cash,
        starting_cash=context.portfolio.starting_cash,
        leverage=context.account.leverage,
    )

    _handle_buy_sell_decision(context, data, signal, price)