quantx sample code

############################################################################
# Sample Algorithm

import pandas as pd
import talib as ta
import numpy as np


def initialize(ctx):
    # 設定
    ctx.logger.debug("initialize() called")
    ctx.fastperiod = 12 
    ctx.slowperiod = 26 
    ctx.signalperiod = 9 
    ctx.configure(
        channels={  # 利用チャンネル
            "jp.stock": {
                "symbols": [
                    "jp.stock.1333",
                ],
                "columns": [
                    "close_price_adj",  # 終値(株式分割調整後) 
                ]
            }
        }
    )

    def _my_signal(data):
      df = data["close_price_adj"].fillna(method="ffill")
      d_macd = dict() 
      d_macdsignal = dict()
      d_macdhist = dict() 
      d_macd_upper_bb, d_macd_mid_bb, d_macd_lower_bb = dict(), dict(), dict()
      
      buy_sig = pd.DataFrame(data=0,columns=[], index=df.index)
      sell_sig = pd.DataFrame(data=0,columns=[], index=df.index)

      for symbol in data.minor_axis:
        macd, macdsignal, macdhist = ta.MACD(df[symbol].values.astype(np.double), 
                                          fastperiod=ctx.fastperiod , slowperiod=ctx.slowperiod, signalperiod=ctx.signalperiod)
        d_macd[symbol] = macd
        d_macdsignal[symbol] = macdsignal
        d_macdhist[symbol] = macdhist
      
      for symbol in data.minor_axis:
        macd_upper_bb, macd_mid_bb, macd_lower_bb = ta.BBANDS(d_macd[symbol],
          timeperiod=10,
          nbdevup=2,
          nbdevdn=2,
          matype=0)
          
        ctx.logger.info(macd_upper_bb) 
        
        d_macd_upper_bb[symbol] = macd_upper_bb
        d_macd_mid_bb[symbol] = macd_mid_bb
        d_macd_lower_bb[symbol] = macd_lower_bb
                                                      
        # ctx.logger.info(d_macd[symbol])  
        # ctx.logger.info(d_macd_upper_bb[symbol])                                              

      
        buy_sig[symbol] = d_macd[symbol] > d_macd_upper_bb[symbol]
        sell_sig[symbol] = d_macd[symbol] < d_macd_lower_bb[symbol]
        
        
      return {
        "buy:sig": buy_sig, 
        "sell:sig": sell_sig, 
        }

    # シグナル登録
    ctx.regist_signal("my_signal", _my_signal)


def handle_signals(ctx, date, current):
    '''
    current: pd.DataFrame
    '''

    done_syms = set([])
    for (sym, val) in ctx.portfolio.positions.items():
        returns = val["returns"]
        # if returns < -0.03:
        #     sec = ctx.getSecurity(sym)
        #     sec.order(-val["amount"], comment="損切り(%f)" % returns)
        #     done_syms.add(sym)
        # elif returns > 0.05:
        #     sec = ctx.getSecurity(sym)
        #     sec.order(-val["amount"], comment="利益確定売(%f)" % returns)
        #     done_syms.add(sym)

    buy = current["buy:sig"].dropna()
    for (sym, val) in buy.items():
        if sym in done_syms:
            continue

        sec = ctx.getSecurity(sym)
        sec.order(sec.unit() * 10, comment="SIGNAL BUY")
        ctx.logger.debug("BUY: %s,  %f" % (sec.code(), val))
        pass

    sell = current["sell:sig"].dropna()
    for (sym, val) in sell.items():
        if sym in done_syms:
            continue

        sec = ctx.getSecurity(sym)
        sec.order(sec.unit() * -10, comment="SIGNAL SELL")
        ctx.logger.debug("SELL: %s,  %f" % (sec.code(), val))
        pass