handle_data.py

def handle_data(context, data):

    RSI_periods = 14

    context.i += 1
    if context.i < RSI_periods:
        return

    RSI_data = data.history(context.asset,
                            "price",
                            bar_count = RSI_periods,
                            frequency = "30T")

    # compute RSI
    oversold = 30
    overbought = 70

    deltas = RSI_data.diff()
    seed = deltas[:RSI_periods + 1]
    up = seed[seed >= 0].sum() / RSI_periods
    down = -seed[seed < 0].sum() / RSI_periods

    RS = up / down
    RSI = 100 - (100 / (1 + RS))

    # get current price
    price = data.current(context.asset, "price")

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

    price_change = (price - context.base_price) / context.base_price

    record(price = price,
           cash = context.portfolio.cash,
           price_change = price_change,
           RSI = RSI)

    orders = context.blotter.open_orders
    if len(orders) > 0:
        return

    if not data.can_trade(context.asset):
        print("Cannot trade right now")
        return

    pos_amount = context.portfolio.positions[context.asset].amount

    # strategy logic
    if pos_amount == 0 and RSI <= oversold:
        order_target_percent(context.asset, 1)

    elif pos_amount < 0 and RSI <= 40:
        order_target_percent(context.asset, 0)

    elif pos_amount == 0 and RSI >= overbought:
        order_target_percent(context.asset, -1)

    elif pos_amount > 0 and RSI >= 60:
        order_target_percent(context.asset, 0)