Source code for qf_lib.backtesting.orders_filter.orders_filter

#     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
#     Unless required by applicable law or agreed to in writing, software
#     distributed under the License is distributed on an "AS IS" BASIS,
#     WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
#     See the License for the specific language governing permissions and
#     limitations under the License.
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()