INNER CODE UNIT · Python

lambda_

AlexShakaev/backtesting_and_algotrading_options_with_Interactive_Brokers_API · main.py:130

    lambda_ = 150 # initialize 150*150 matrix for bocd algorithm
    alpha = 0.1
    beta = alpha * client.data['c'].rolling(50).var().iloc[-1] 
    kappa = 1
    mu = 0
    bocd = BOCD(partial(constant_hazard, lambda_),
                 StudentT(alpha, beta, kappa, mu), lambda_)                
    
    while True:        
                
        current_time = datetime.now(ny)       
       
        if current_time > RTH_end: 
            print('End of trading day. Disconnecting!')            
            exit_event.set()
            break
        
        try:

View source record →