SPY_QQQ_pairtrading_quantopian

import numpy as np

#initialise -schedule function
def initialize(context):
    schedule_function(check_pairs,date_rules.every_day(),time_rules.market_close(minutes=60))
    
    context.spy = sid(8554)
    context.qqq = sid(19920)
    
    context.long_on_spread = False
    context.shorting_spread = False
    
# check pairs
def check_pairs(context, data):
    
    spy = context.spy
    qqq = context.qqq
    
    prices = data.history([spy,qqq], 'price', 30, '1d')
    
    short_prices = prices.iloc[-1:]
    # spread = spy - qqq
    ma21 = np.mean(prices[spy] - prices[qqq])
    std21 = np.std(prices[spy] - prices[qqq])
    
    ma1 = np.mean(short_prices[spy] - short_prices[qqq])
    
    if std21 > 0:
        zscore = (ma1 - ma21)/std21
        
        if zscore > 1.0 and not context.shorting_spread:
            # spread = spy - qqq
            order_target_percent(spy,-0.5)
            order_target_percent(qqq,0.5)
            context.sorting_spread = True
            context.long_on_spread = False
            
        elif zscore < 1.0 and not context.long_on_spread:
            order_target_percent(spy, 0.5)
            order_target_percent(qqq, -0.5)
            context.sorting_spread = False
            context.long_on_spread = True
            
        elif abs(zscore) < 0.1: 
            order_target_percent(spy, 0)
            order_target_percent(qqq, 0)
            context.sorting_spread = False
            context.long_on_spread = False

           
        
        record(Z_score = zscore)