Mastering Python for Finance - Second Edition

Implementing the mean-reversion trader class

The resample interval and the number of periods in our calculation are two important parameters that are required by our trading system. First, create a class named MeanReversionTrader, which we can instantiate and run as our trading system:

import timeimport datetime as dtimport pandas as pdclass MeanReversionTrader(object):    def __init__(        self, broker, symbol=None, units=1,        resample_interval='60s', mean_periods=5    ):        """        A trading platform that trades on one side            based on a mean-reverting algorithm.        :param broker: Broker object        :param symbol: A str object recognized by the broker for trading        :param units: Number of units to trade        :param resample_interval:  Frequency for resampling price time series ...