38 lines
866 B
Python
38 lines
866 B
Python
from abc import ABC, abstractmethod
|
|
from enum import Enum
|
|
from typing import Dict, Optional, cast
|
|
|
|
import pandas as pd
|
|
from pt_trading.results import BacktestResult
|
|
from pt_trading.trading_pair import TradingPair
|
|
|
|
NanoPerMin = 1e9
|
|
|
|
|
|
class PairsTradingFitMethod(ABC):
|
|
TRADES_COLUMNS = [
|
|
"time",
|
|
"symbol",
|
|
"side",
|
|
"action",
|
|
"price",
|
|
"disequilibrium",
|
|
"scaled_disequilibrium",
|
|
"signed_scaled_disequilibrium",
|
|
"pair",
|
|
]
|
|
|
|
@abstractmethod
|
|
def run_pair(
|
|
self, pair: TradingPair, bt_result: BacktestResult
|
|
) -> Optional[pd.DataFrame]: ...
|
|
|
|
@abstractmethod
|
|
def reset(self) -> None: ...
|
|
|
|
@abstractmethod
|
|
def create_trading_pair(
|
|
self, config: Dict, market_data: pd.DataFrame, symbol_a: str, symbol_b: str, price_column: str
|
|
) -> TradingPair: ...
|
|
|