def test_fixed_symbol_handler(self):
q = EventsQueue()
start, end = dt.datetime(2015, 1, 2), dt.datetime(2015, 1, 9)
symbols = [Indices.sp_100_etf.value, Indices.sp_500_etf.value]
sh = FixedSymbolHandler(symbols, [])
dh = DatabaseDataHandler(q, sh, start, end, 10)
self.assertEqual(set(sh.select_symbols(dh.current_date)), set(symbols))
def test_dollar_volume_symbol_handler(self):
q = EventsQueue()
start, end = dt.datetime(2015, 1, 2), dt.datetime(2015, 1, 9)
symbols = [Indices.sp_100_etf, Indices.sp_500_etf]
sh = DollarVolumeSymbolHandler(1, [], None)
dh = DatabaseDataHandler(q, sh, start, end, 10)
sel = set([s for s in sh.select_symbols(dh.current_date)])
self.assertEqual(sel, set((Indices.sp_500_etf.value, )))
def test_markowitz(self):
q = EventsQueue()
symbols = ["GOOG", "MS", "AMZN", "GS"]
sh = FixedSymbolHandler(symbols, [])
start, end = dt.datetime(2011, 1, 1), dt.datetime(2017, 1, 1)
dh = DatabaseDataHandler(q, sh, start, end, 252 * 5)
dh.request_prices()
prices = dh.bars["adj_price_close"]
series = solve_markowitz(prices, 1.)
def test_to_datebase_portfolio(self):
q = EventsQueue()
start, end = dt.datetime(2015, 1, 2), dt.datetime(2015, 1, 9)
symbols = [Indices.sp_100_etf, Indices.sp_500_etf]
sh = FixedSymbolHandler(symbols, [])
dh = DatabaseDataHandler(q, sh, start, end, 10)
max_cap = 1
capital = 100000.0
ph = PortfolioHandler(max_cap, "test_portfolio_id", capital,
"test_fund_id")
ph.to_database_portfolio()
def test_from_database_portfolio(self):
pid = "test_portfolio_id"
q = EventsQueue()
start, end = dt.datetime(2015, 1, 2), dt.datetime(2015, 1, 9)
symbols = [Indices.sp_100_etf, Indices.sp_500_etf]
sh = FixedSymbolHandler(symbols, [])
dh = DatabaseDataHandler(q, sh, start, end, 10)
ph = PortfolioHandler.from_database_portfolio(pid)
self.assertEqual(ph.capital, 100000.0)
self.assertEqual(ph.maximum_capacity, 1)
self.assertEqual(ph.portfolio_id, pid)
self.assertTrue("SPY" in ph.filled_positions)
from odin.events import EventsQueue
from odin.handlers.portfolio_handler import PortfolioHandler
from odin.handlers.position_handler.templates import (
SuggestedProportionPositionHandler)
from odin.handlers.execution_handler import SimulatedExecutionHandler
from odin.handlers.symbol_handler import FixedSymbolHandler
from odin.handlers.data_handler import DatabaseDataHandler
from odin.handlers.data_handler.price_handler import DatabasePriceHandler
import settings
# Create a portfolio handler to manage transactions and keeping track of
# capital.
porth = PortfolioHandler(settings.maximum_capacity, settings.pid,
settings.init_capital, settings.fid)
# Events queue for handling market data, signals, orders, and fills.
events = EventsQueue()
# Symbol handler will determine which symbols will be processed during trading.
# In this example, we will just trade the S&P 500 ETF (SPY).
sh = FixedSymbolHandler(settings.symbols, [porth])
# Set up a price handler and a data handler to provide data to the trading
# system.
dh = DatabaseDataHandler(events, sh, settings.start_date, settings.end_date,
settings.n_init)
# Execution handler executes trades.
eh = SimulatedExecutionHandler(dh, settings.transaction_cost)
# Position handler to determine how much of an asset to purchase.
posh = SuggestedProportionPositionHandler(dh)