Mastering Python for Finance - Second Edition

Adding event listeners

Let's hook up the price, order, and position events in our MeanReversionTrader class.

Add the setup_broker() method into this class, as follows:

def setup_broker(self, broker):
    broker.on_price_event = self.on_price_event
    broker.on_order_event = self.on_order_event
    broker.on_position_event = self.on_position_event
    return broker

We are simply assigning three class methods as listeners on any broker-generated event to listen to price, order, and position updates.

Add the on_price_event() method into this class, as follows:

def on_price_event(self, symbol, bid, ask): print(dt.datetime.now(), '[PRICE]', symbol, 'bid:', bid, 'ask:', ask) self.bid_price = bid self.ask_price = ask self.df_prices.loc[pd.Timestamp.now(), symbol] ...