Function run_system

alphapy/system.py:309–383

r"""Run a system for a given group, creating a trades frame. Parameters ---------- model : alphapy.Model The model object with specifications. system : alphapy.System The system to run. group : alphapy.Group The group of symbols to trade. intraday : b

(model,
               system,
               group,
               intraday = False,
               quantity = 1)

#

def run_system(model,
               system,
               group,
               intraday = False,
               quantity = 1):
    r"""Run a system for a given group, creating a trades frame.

    Parameters
    ----------
    model : alphapy.Model
        The model object with specifications.
    system : alphapy.System
        The system to run.
    group : alphapy.Group
        The group of symbols to trade.
    intraday : bool, optional
        If true, this is an intraday system.
    quantity : float, optional
        The amount to trade for each symbol, e.g., number of shares

    Returns
    -------
    tf : pandas.DataFrame
        All of the trades for this ``group``.

    """

    system_name = system.name
    logger.info("Generating Trades for System %s", system_name)

    # Unpack the model data.

    directory = model.specs['directory']
    extension = model.specs['extension']
    separator = model.specs['separator']

    # Extract the group information.

    gname = group.name
    gmembers = group.members
    gspace = group.space

    # Run the system for each member of the group

    gtlist = []
    for symbol in gmembers:
        # generate the trades for this member
        tlist = trade_system(model, system, gspace, intraday, symbol, quantity)
        if tlist:
            # add trades to global trade list
            for item in tlist:
                gtlist.append(item)
        else:
            logger.info("No trades for symbol %s", symbol)

    # Create group trades frame

    tf = None