# Copyright 2016-present CERN – European Organization for Nuclear Research
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
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# See the License for the specific language governing permissions and
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import abc
from typing import List
from qf_lib.backtesting.order.order import Order
from qf_lib.common.utils.logging.qf_parent_logger import qf_logger
from qf_lib.data_providers.data_provider import DataProvider
[docs]class OrdersFilter(metaclass=abc.ABCMeta):
"""Adjusts final orders list to meet various requirements e.g. volume limitations."""
def __init__(self, data_provider: DataProvider):
self._data_provider = data_provider
self.logger = qf_logger.getChild(self.__class__.__name__)
[docs] @abc.abstractmethod
def adjust_orders(self, orders: List[Order]) -> List[Order]:
"""
Takes the original produced list of orders and returns a new one, where all of the original orders are modified
in order to meet the predefined requirements.
"""
raise NotImplementedError()