def __getNextLine(self, bar): ret = None if len(self.getValues()) > 0: lastLine = self.getValues()[-1] close = pyalgotrade.bar.get_close(bar, self.__useAdjustedValues) if lastLine.isWhite(): if close > lastLine.getHigh(): # Price extends in the same direction ret = Line(lastLine.getHigh(), close, bar.getDateTime(), True) elif self.__isReversal(close, False): # Price change is enough to warrant a reversal. ret = Line(close, lastLine.getLow(), bar.getDateTime(), False) else: if close < lastLine.getLow(): # Price extends in the same direction ret = Line(close, lastLine.getLow(), bar.getDateTime(), False) elif self.__isReversal(close, True): # Price change is enough to warrant a reversal. ret = Line(lastLine.getHigh(), close, bar.getDateTime(), True) else: white = False if pyalgotrade.bar.get_close(bar, self.__useAdjustedValues) >= pyalgotrade.bar.get_open(bar, self.__useAdjustedValues): white = True ret = Line(pyalgotrade.bar.get_low(bar, self.__useAdjustedValues), pyalgotrade.bar.get_high(bar, self.__useAdjustedValues), bar.getDateTime(), white) return ret
def adjustBars(instrument, bars, startdate, enddate):
bars = []
bars_in_dtrange = [bar for bar in bars if startdate.replace(tzinfo=None) <= bar.getDateTime() <= enddate.replace(tzinfo=None)]
bars_in_dtrange.sort(key=lambda bar: bar.getDateTime(), reverse=True)
k = 0
splitdataList = []
dividendList = []
for bar in bars_in_dtrange:
splitdata = bar.getSplit()
dividend = bar.getDividend()
if splitdata != 1.0:
splitdataList.append(bar.getSplit())
if dividend != 0.0:
adjFactor = (bar.getClose() + bar.getDividend()) / bar.getClose()
dividendList.append(adjFactor)
#### Special case.... end date / analysis date nothing to do..
if (k==0):
bar = BasicBar(bar.getDateTime(),
bar.getOpen() , bar.getHigh(), bar.getLow(), bar.getClose(), bar.getVolume(), bar.getClose(), Frequency.DAY)
bars.append(bar)
else:
#### Adjust OHLC & Volume data for split adjustments and dividend adjustments
Open = bar.getOpen()
High = bar.getHigh()
Low = bar.getLow()
Close = bar.getClose()
Volume = bar.getVolume()
### adjust data for splits
for split in splitdataList:
Open = Open / split
High = High / split
Low = Low / split
Close = Close /split
Volume = Volume * split
### adjust data for dividends
for adjFactor in dividendList:
Open = Open / adjFactor
High = High / adjFactor
Low = Low / adjFactor
Close = Close / adjFactor
Volume = Volume * adjFactor
bar = BasicBar(bar.getDateTime(),
Open , High, Low, Close, Volume, Close, Frequency.DAY)
bars.append(bar)
k +=1
feed = Feed(Frequency.DAY, 1024)
return feed.loadBars(instrument+"_adjusted", bars)
def onBars(self, bars):
if not self.initState: # 如果MA均线有数值了才开始计算
if self.day_ma60.__len__() == 0:
return
if self.day_ma60[-1] is None:
return
else:
self.initState = True
bar = bars[self.__instrument]
self.updateParams(bar)
if not self.checkValueAtRisk(bar):
if self.__position != None and not self.__position.exitActive():
if (bar.getDateTime() - self.holdDay) < timedelta(days=1): # 持有期大于一天
pass
else:
print('position is not none,---exit market')
self.__position.exitMarket()
return
if self.__position is None or not self.__position.isOpen():
if self.checkEnterSignal(bar):
shares = 100 * (int(self.getBroker().getCash() * 0.7 / bars[self.__instrument].getPrice()) / 100)
self.__position = self.enterLong(self.__instrument, shares, True)
elif self.__position is not None and not self.__position.exitActive():
if self.checkExitSignal(bar):
self.__position.exitMarket()
def addBar(self, instrument, bar, frequency):
instrument = normalize_instrument(instrument)
instrumentId = self.__getOrCreateInstrument(instrument)
timeStamp = dt.datetime_to_timestamp(bar.getDateTime())
try:
sql = "insert into bar (instrument_id, frequency, timestamp, open, high, low, close, volume, adj_close) values (?, ?, ?, ?, ?, ?, ?, ?, ?)"
params = [
instrumentId, frequency, timeStamp,
bar.getOpen(),
bar.getHigh(),
bar.getLow(),
bar.getClose(),
bar.getVolume(),
bar.getAdjClose()
]
self.__connection.execute(sql, params)
except sqlite3.IntegrityError:
sql = "update bar set open = ?, high = ?, low = ?, close = ?, volume = ?, adj_close = ?" \
" where instrument_id = ? and frequency = ? and timestamp = ?"
params = [
bar.getOpen(),
bar.getHigh(),
bar.getLow(),
bar.getClose(),
bar.getVolume(),
bar.getAdjClose(), instrumentId, frequency, timeStamp
]
self.__connection.execute(sql, params)
def testWithPerFileTimezone(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"), marketsession.USEquities.getTimezone())
barFeed.addBarsFromCSV(FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv"), marketsession.USEquities.getTimezone())
for dateTime, bars in barFeed:
bar = bars.getBar(FeedTestCase.TestInstrument)
self.assertFalse(dt.datetime_is_naive(bar.getDateTime()))
def testWithPerFileTimezone(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"), marketsession.USEquities.getTimezone())
barFeed.addBarsFromCSV(FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv"), marketsession.USEquities.getTimezone())
for dateTime, bars in barFeed:
bar = bars.getBar(FeedTestCase.TestInstrument)
self.assertFalse(dt.datetime_is_naive(bar.getDateTime()))
def testWithoutTimezone(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv"))
for dateTime, bars in barFeed:
bar = bars.getBar(YahooTestCase.TestInstrument)
self.assertTrue(dt.datetime_is_naive(bar.getDateTime()))
def compute_BBands(instrument, startdate, enddate ):
from pyalgotrade.talibext import indicator
bBandsPeriod = 20 #### No of periods.....
feed = redis_build_feed_EOD_RAW(instrument, startdate, enddate)
barsDictForCurrAdj = {}
barsDictForCurrAdj[instrument] = feed.getBarSeries(instrument)
feedLookbackEndAdj = xiquantPlatform.xiQuantAdjustBars(barsDictForCurrAdj, startdate, enddate)
feedLookbackEndAdj.adjustBars()
closeDS = feedLookbackEndAdj.getCloseDataSeries(instrument + "_adjusted")
upper, middle, lower = indicator.BBANDS(closeDS, len(closeDS), bBandsPeriod, 2.0, 2.0)
dateTimes = feedLookbackEndAdj.getDateTimes(instrument + "_adjusted")
upperDS = numpy_to_highchartds(dateTimes, upper, startdate, enddate)
middleDS = numpy_to_highchartds(dateTimes, middle, startdate, enddate)
lowerDS = numpy_to_highchartds(dateTimes, lower, startdate, enddate)
##########Display price seriesin the center of Bolinger bands......##################
barDS = feedLookbackEndAdj.getBarSeries(instrument + "_adjusted")
adj_Close_Series = []
for bar in barDS:
dt = bar.getDateTime()
sec = calendar.timegm(dt.timetuple())
dtInMilliSeconds = int(sec * 1000)
adjPrice_val = [dtInMilliSeconds, bar.getOpen(), bar.getHigh(), \
bar.getLow(), bar.getClose()]
adj_Close_Series.append(adjPrice_val)
return upperDS, middleDS, lowerDS, adj_Close_Series
def checkExitSignal(self, bar):
price = bar.getClose()
if (bar.getDateTime() - self.holdDay) < timedelta(days=1): # 持有期大于一天
return
if not self.sellWaitSignal: #check sellwait
if bar.getDateTime().strftime('%Y-%m-%d') == '2016-09-07':
print(bar.getDateTime(), '---', price, '---', self.UPPER[-1])
if price > self.UPPER[-1]:
self.sellWaitSignal = True
print(bar.getDateTime(), '--------sell wait')
elif self.sellWaitSignal and self.checkMinCondition() == 'DOWN':
self.sellWaitSignal = False
return True
return False
def testWithoutTimezone(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
for dateTime, bars, _ in barFeed:
bar = bars.getBar(FeedTestCase.TestInstrument)
self.assertTrue(dt.datetime_is_naive(bar.getDateTime()))
def _processOrder(self, order, bar):
if not self._preProcessOrder(order, bar):
return
# Double dispatch to the fill strategy using the concrete order type.
fillInfo = order.process(self, bar)
if fillInfo is not None:
self.commitOrderExecution(order, bar.getDateTime(), fillInfo)
if order.isActive():
self._postProcessOrder(order, bar)
def onBars(self, bars):
try:
symbol = bars.getInstruments()[0]
bar = bars[symbol]
self.__ticker.append((bar.getDateTime().strftime('%Y-%m-%d %H:%M:%S.%f'), symbol.split('coinigy-')[1], bar.getPrice(), bar.getVolume(), 1 if bar.isBuy() else 2))
#logging.info('symbol: %r, frequency: %r, volume: %r' %(symbol, bar.getFrequency(), bar.getVolume()))
except Exception as e:
logging.error('%r', e)
except:
logging.error('Exception caught!')
def tryExecuteImpl(self, broker_, bar): justHitStopPrice = False # Check if we have to activate the limit order first. if not self.isLimitOrderActive() and self.__stopHit(broker_, bar): self.setLimitOrderActive(True) justHitStopPrice = True # Check if we have ever reached the limit price if self.isLimitOrderActive(): fillInfo = broker_.getFillStrategy().fillStopLimitOrder(self, broker_, bar, justHitStopPrice) if fillInfo != None: broker_.commitOrderExecution(self, fillInfo.getPrice(), self.getQuantity(), bar.getDateTime())
def addBar(self, instrument, bar, frequency):
instrument = normalize_instrument(instrument)
instrumentId = self.__getOrCreateInstrument(instrument)
timeStamp = dt.datetime_to_timestamp(bar.getDateTime())
try:
sql = "insert into bar (instrument_id, frequency, timestamp, open, high, low, close, volume, adj_close) values (?, ?, ?, ?, ?, ?, ?, ?, ?)"
params = [instrumentId, frequency, timeStamp, bar.getOpen(), bar.getHigh(), bar.getLow(), bar.getClose(), bar.getVolume(), bar.getAdjClose()]
self.__connection.execute(sql, params)
except sqlite3.IntegrityError:
sql = "update bar set open = ?, high = ?, low = ?, close = ?, volume = ?, adj_close = ?" \
" where instrument_id = ? and frequency = ? and timestamp = ?"
params = [bar.getOpen(), bar.getHigh(), bar.getLow(), bar.getClose(), bar.getVolume(), bar.getAdjClose(), instrumentId, frequency, timeStamp]
self.__connection.execute(sql, params)
def checkEnterSignal(self, bar):
price = bar.getClose()
if not self.buyWaitSignal: #check buywait
if (self.UPPER[-1] / self.MIDDLE[-1] - 1) < 0.05:
pass
elif price < self.LOWER[-1]:
self.buyWaitSignal = True
print(bar.getDateTime(), '--------buy wait')
elif self.buyWaitSignal and self.checkMinCondition() == 'UP':
self.buyWaitSignal = False
return True
return False
def tryExecuteImpl(self, broker_, bar):
justHitStopPrice = False
# Check if we have to activate the limit order first.
if not self.isLimitOrderActive() and self.__stopHit(broker_, bar):
self.setLimitOrderActive(True)
justHitStopPrice = True
# Check if we have ever reached the limit price
if self.isLimitOrderActive():
fillInfo = broker_.getFillStrategy().fillStopLimitOrder(
self, broker_, bar, justHitStopPrice)
if fillInfo != None:
broker_.commitOrderExecution(self, fillInfo.getPrice(),
self.getQuantity(),
bar.getDateTime())
def resampledOnBar(self, bars):
bar = bars[self.__instrument] # pyalgotrade.bar.BasicBar object
# print("Date: {} Close: {} PriceHigh: {}" .format(bar.getDateTime(), round(bar.getClose(),2), round(bar.getHigh(),2) ))
shares = int(self.getBroker().getCash() * 0.5 / bar.getHigh()) # 80% of cash stock
# print("this is current total cash {}" .format(round(self.getBroker().getCash(),2)))
# print("shares is {}" .format(shares))
print("Date: {} Open: {} Close: {} PriceLow: {} PriceHigh: {} ".format(bar.getDateTime(), round(bar.getOpen(), 2), round(bar.getClose(), 2),round(bar.getLow()), round(bar.getHigh())))
if self.__position is None:
self.__position = self.enterLong(self.__instrument, shares, False, True) # this to enter market order # pyalgotrade.strategy.position.LongPosition object
print("enter long for {} shares at {} price".format(shares, bar.getPrice()))
print("remaining cash is " + str(self.getBroker().getCash()))
print("position is " + str(self.__position.getShares()))
elif not self.__position.exitActive(): # Returns True if the exit order is active
# if not exit orders being active
self.__position.exitMarket(True) # this just submits the market order and self.__position becomes none
print("exit for {} shares at {} price".format(self.__position.getShares(), bar.getPrice()))
print("remaining cash is " + str(self.getBroker().getCash()))
print("position is " + str(self.__position.getShares()))
def getCurrentDateTime(self):
if self.__nextBar < len(self.__bars):
bar = self.__bars[self.__nextBar]
else:
bar = self.__bars[-1]
return bar.getDateTime()
def onBars(self, bars):
bar = bars[self.__instrument]
# tmp_dtime = bar.getDateTime()
self.__dtime = bar.getDateTime()
if (None is self.lastDate):
self.lastDate = self.__dtime.date()
else:
if (self.lastDate != self.__dtime.date()):
self.lastDate = self.__dtime.date()
self.__resetORHL()
else:
self.barIntradayCount += 1
## intraday dynamics
if (self.openrange > self.barIntradayCount):
if bar.getHigh() > self.orh:
self.orh = bar.getHigh()
if bar.getLow() < self.orl:
self.orl = bar.getLow()
elif (self.openrange == self.barIntradayCount):
self.__resetAC()
elif (self.__dtime.time() > self.exitIntradayTradeTime):
self.exitAllPositions()
else:
self.__clos = bar.getClose()
self.__dynamics(self.__clos)
if (0 == self.stateA):
tmp_0 = self.processEvent1()
if (1 <= tmp_0):
self.action_init2up()
elif (-1 >= tmp_0):
self.action_init2down()
else:
if (1 == self.stateA):
if (6 == self.stateB):
tmp_6 = self.processEvent1()
if (1 <= tmp_6):
self.action_upempty2duo()
elif (-2 == tmp_6):
self.action_upempty2kong()
elif (2 == self.stateB):
tmp_2 = self.processEvent3()
if (1 == tmp_2):
self.action_upduo2exit_time()
elif (4 == self.stateB):
tmp_4 = self.processEvent3()
if (1 == tmp_4):
self.action_upkong2exit_time()
else: # self.stateA == -1
if (6 == self.stateB):
tmp_6 = self.processEvent1()
if (2 == tmp_6):
self.action_downempty2duo()
elif (-1 >= tmp_6):
self.action_downempty2kong()
elif (2 == self.stateB):
tmp_2 = self.processEvent3()
if (1 == tmp_2):
self.action_downduo2exit_time()
elif (4 == self.stateB):
tmp_4 = self.processEvent3()
if (1 == tmp_4):
self.action_downkong2exit_time()
def __addBar(self, symbol, bar, cursor):
string = ("INSERT INTO data (`symbol`, `date`,`milliseconds`, `open`, `close`, `high`, `low`, `volume`) " +
"VALUES ('{0:s}', '{1:%Y-%m-%d %H:%M:%S}', '{4:d}','{2:f}', '{2:f}', '{2:f}', '{2:f}', '{3:f}')")
queryStr = string.format(symbol, bar.getDateTime(), bar.getClose(), bar.getVolume(), bar.getMilliSeconds())
cursor.execute(queryStr)
def adjustBars(self): for key, value in self.__barsDict.iteritems(): basicbars = [] bars = value bars_in_dtrange = [bar for bar in bars if self.__startdate.replace(tzinfo=None) <= bar.getDateTime() <= self.__enddate.replace(tzinfo=None)] bars_in_dtrange.sort(key=lambda bar: bar.getDateTime(), reverse=True) k = 0 splitdataList = [] dividendList = [] for bar in bars_in_dtrange: splitdata = float(bar.getSplit()) dividend = float(bar.getDividend()) if splitdata != 1.0: splitdataList.append(bar.getSplit()) if dividend != 0.0: adjFactor = (bar.getClose() + bar.getDividend()) / bar.getClose() dividendList.append(adjFactor) #### Special case.... end date / analysis date nothing to do.. if (k==0): bar = BasicBar(bar.getDateTime(), bar.getOpen() , bar.getHigh(), bar.getLow(), bar.getClose(), bar.getVolume(), bar.getClose(), Frequency.DAY) basicbars.append(bar) else: #### Adjust OHLC & Volume data for split adjustments and dividend adjustments Open = bar.getOpen() High = bar.getHigh() Low = bar.getLow() Close = bar.getClose() Volume = bar.getVolume() ### adjust data for splits for split in splitdataList: Open = Open / split High = High / split Low = Low / split Close = Close /split Volume = Volume * split ### adjust data for dividends for adjFactor in dividendList: Open = Open / adjFactor High = High / adjFactor Low = Low / adjFactor Close = Close / adjFactor Volume = Volume * adjFactor bar = BasicBar(bar.getDateTime(), Open , High, Low, Close, Volume, Close, Frequency.DAY) basicbars.append(bar) k +=1 DateTimes = [] OpenSeries = SequenceDataSeries(4000) HighSeries = SequenceDataSeries(4000) LowSeries = SequenceDataSeries(4000) CloseSeries = SequenceDataSeries(4000) VolumeSeries = SequenceDataSeries(4000) TypicalSeries = SequenceDataSeries(4000) barSeries = BarDataSeries(4000) basicbars.sort(key=lambda bar: bar.getDateTime(), reverse=False) for bar in basicbars: DateTimes.append(bar.getDateTime()) OpenSeries.appendWithDateTime(bar.getDateTime(), bar.getOpen()) HighSeries.appendWithDateTime(bar.getDateTime(), bar.getHigh()) LowSeries.appendWithDateTime(bar.getDateTime(), bar.getLow()) CloseSeries.appendWithDateTime(bar.getDateTime(), bar.getClose()) VolumeSeries.appendWithDateTime(bar.getDateTime(), bar.getVolume()) TypicalSeries.appendWithDateTime(bar.getDateTime(), (bar.getClose()+bar.getHigh()+bar.getLow())/3.0) barSeries.appendWithDateTime(bar.getDateTime(), bar) self.__DateTimes[key+"_adjusted"] = DateTimes self.__OpenDataSeries[key+"_adjusted"] = OpenSeries self.__HighDataSeries[key+"_adjusted"] = HighSeries self.__LowDataSeries[key+"_adjusted"] = LowSeries self.__CloseDataSeries[key+"_adjusted"] = CloseSeries self.__VolumeDataSeries[key+"_adjusted"] = VolumeSeries self.__TypicalDataSeries[key+"_adjusted"] = TypicalSeries self.__barSeries[key+"_adjusted"] = barSeries
def tryExecuteImpl(self, broker_, bar):
fillInfo = broker_.getFillStrategy().fillStopOrder(self, broker_, bar)
if fillInfo != None:
broker_.commitOrderExecution(self, fillInfo.getPrice(),
self.getQuantity(), bar.getDateTime())
def onBars(self, bars):
# If a position was not opened, check if we should enter a long position.
bar = bars[self.__instrument]
print bar.getDateTime(), bar.getBp(), bar.getAp(), self.__sma[-1]
def tryExecuteImpl(self, broker_, bar):
fillInfo = broker_.getFillStrategy().fillStopOrder(self, broker_, bar)
if fillInfo is not None:
broker_.commitOrderExecution(self, fillInfo.getPrice(), self.getQuantity(), bar.getDateTime())
