emacrossover.txt

def initialize(state):
    state.number_offset_trades = 0;

@schedule(interval="1h", symbol="BTCUSDT")
def handler(state, data):


    '''
    1) Compute indicators from data
    '''    
    ema_long = data.ema(40).last
    ema_short = data.ema(20).last
    
    # on erronous data return early (indicators are of NoneType)
    if ema_long is None:
        return

    current_price = data.close_last
    

    '''
    2) Fetch portfolio
    '''
    portfolio = query_portfolio()
    balance_quoted = portfolio.excess_liquidity_quoted
    # we invest only 95% of available liquidity
    buy_value = float(balance_quoted) * 0.95
    
    
    '''
    3) Fetch position for symbol
    '''
    position = query_open_position_by_symbol(data.symbol,include_dust=False)
    has_position = position is not None


    '''
    4) Resolve buy or sell signals     
    '''
    if ema_short > ema_long and not has_position:
        print("-------")
        print("Buy Signal: creating market order for {}".format(data.symbol))
        print("Buy value: ", buy_value, " at current market price: ", data.close_last)
        
        order_market_value(symbol=data.symbol, value=buy_value)

    elif ema_short < ema_long and has_position:
        print("-------")
        logmsg = "Sell Signal: closing {} position with exposure {} at current market price {}"
        print(logmsg.format(data.symbol,float(position.exposure),data.close_last))

        close_position(data.symbol)