36 lines
736 B
Python
36 lines
736 B
Python
from abc import ABC, abstractmethod
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from enum import Enum
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from typing import Dict, Optional, cast
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import pandas as pd # type: ignore[import]
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from pt_trading.results import BacktestResult
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from pt_trading.trading_pair import TradingPair
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NanoPerMin = 1e9
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class PairsTradingFitMethod(ABC):
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TRADES_COLUMNS = [
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"time",
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"action",
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"symbol",
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"price",
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"disequilibrium",
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"scaled_disequilibrium",
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"pair",
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]
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@abstractmethod
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def run_pair(
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self, config: Dict, pair: TradingPair, bt_result: BacktestResult
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) -> Optional[pd.DataFrame]: ...
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@abstractmethod
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def reset(self) -> None: ...
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class PairState(Enum):
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INITIAL = 1
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OPEN = 2
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CLOSED = 3
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