Now, before we get into the main strategy loop, let's define some final variables and thresholds we will need to build our StatArb trading strategy:

# Variables for Trading Strategy trade, position & pnl management:
orders = [] # Container for tracking buy/sell order, +1 for buy order, -1 for sell order, 0 for no-action
positions = [] # Container for tracking positions, positive for long positions, negative for short positions, 0 for flat/no position
pnls = [] # Container for tracking total_pnls, this is the sum of closed_pnl i.e. pnls already locked in and open_pnl i.e. pnls for open-position marked to market price

last_buy_price = 0 # Price at which last buy trade was made, used to prevent over-trading at/around the same price
last_sell_price = 0 # Price at which last sell trade was made, used to prevent over-trading at/around the same price
position = 0 # Current position of the trading strategy
buy_sum_price_qty = 0 # Summation of products of buy_trade_price and buy_trade_qty for every buy Trade made since last time being flat
buy_sum_qty = 0 # Summation of buy_trade_qty for every buy Trade made since last time being flat
sell_sum_price_qty = 0 # Summation of products of sell_trade_price and sell_trade_qty for every sell Trade made since last time being flat
sell_sum_qty = 0 # Summation of sell_trade_qty for every sell Trade made since last time being flat
open_pnl = 0 # Open/Unrealized PnL marked to market
closed_pnl = 0 # Closed/Realized PnL so far

# Constants that define strategy behavior/thresholds
StatArb_VALUE_FOR_BUY_ENTRY = 0.01 # StatArb trading signal value above which to enter buy-orders/long-position
StatArb_VALUE_FOR_SELL_ENTRY = -0.01 # StatArb trading signal value below which to enter sell-orders/short-position
MIN_PRICE_MOVE_FROM_LAST_TRADE = 0.01 # Minimum price change since last trade before considering trading again, this is to prevent over-trading at/around same prices
NUM_SHARES_PER_TRADE = 1000000 # Number of currency to buy/sell on every trade
MIN_PROFIT_TO_CLOSE = 10 # Minimum Open/Unrealized profit at which to close positions and lock profits