def testWithIntegerTimezone(self):
try:
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE, -3)
self.assertTrue(False, "Exception expected")
except Exception as e:
self.assertTrue(str(e).find("timezone as an int parameter is not supported anymore") == 0)
try:
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
barFeed.addBarsFromCSV("spy", common.get_data_file_path("nt-spy-minute-2011.csv"), -5)
self.assertTrue(False, "Exception expected")
except Exception as e:
self.assertTrue(str(e).find("timezone as an int parameter is not supported anymore") == 0)
def testResampleBarFeedWithMultipleInstrumentsFails(self):
with self. assertRaisesRegex(Exception, "Only barfeeds with 1 instrument can be resampled"):
with common.TmpDir() as tmp_path:
feed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
feed.addBarsFromCSV("spy", common.get_data_file_path("nt-spy-minute-2011.csv"))
feed.addBarsFromCSV("spb", common.get_data_file_path("nt-spy-minute-2011.csv"))
resample.resample_to_csv(feed, bar.Frequency.HOUR, os.path.join(tmp_path, "any.csv"))
def testResampleNinjaTraderHour(self):
with common.TmpDir() as tmp_path:
# Resample.
feed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
feed.addBarsFromCSV("spy", common.get_data_file_path("nt-spy-minute-2011.csv"))
resampledBarDS = resampled_ds.ResampledBarDataSeries(feed["spy"], bar.Frequency.HOUR)
resampledFile = os.path.join(tmp_path, "hour-nt-spy-minute-2011.csv")
resample.resample_to_csv(feed, bar.Frequency.HOUR, resampledFile)
resampledBarDS.pushLast() # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(bar.Frequency.HOUR, marketsession.USEquities.getTimezone())
feed.addBarsFromCSV("spy", resampledFile)
feed.loadAll()
self.assertEqual(len(feed["spy"]), 340)
self.assertEqual(feed["spy"][0].getDateTime(), dt.localize(datetime.datetime(2011, 1, 3, 9), marketsession.USEquities.getTimezone()))
self.assertEqual(feed["spy"][-1].getDateTime(), dt.localize(datetime.datetime(2011, 2, 1, 1), marketsession.USEquities.getTimezone()))
self.assertEqual(feed["spy"][0].getOpen(), 126.35)
self.assertEqual(feed["spy"][0].getHigh(), 126.45)
self.assertEqual(feed["spy"][0].getLow(), 126.3)
self.assertEqual(feed["spy"][0].getClose(), 126.4)
self.assertEqual(feed["spy"][0].getVolume(), 3397.0)
self.assertEqual(feed["spy"][0].getAdjClose(), None)
self.assertEqual(len(resampledBarDS), len(feed["spy"]))
self.assertEqual(resampledBarDS[0].getDateTime(), dt.as_utc(datetime.datetime(2011, 1, 3, 9)))
self.assertEqual(resampledBarDS[-1].getDateTime(), dt.as_utc(datetime.datetime(2011, 2, 1, 1)))
def testResampleNinjaTraderDay(self):
with common.TmpDir() as tmp_path:
# Resample.
feed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
feed.addBarsFromCSV(
"spy", common.get_data_file_path("nt-spy-minute-2011.csv"))
resampledBarDS = resampled_ds.ResampledBarDataSeries(
feed["spy"], bar.Frequency.DAY)
resampledFile = os.path.join(tmp_path,
"day-nt-spy-minute-2011.csv")
resample.resample_to_csv(feed, bar.Frequency.DAY, resampledFile)
resampledBarDS.pushLast(
) # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(bar.Frequency.DAY)
feed.addBarsFromCSV("spy", resampledFile,
marketsession.USEquities.getTimezone())
feed.loadAll()
self.assertEqual(len(feed["spy"]), 25)
self.assertEqual(
feed["spy"][0].getDateTime(),
dt.localize(datetime.datetime(2011, 1, 3),
marketsession.USEquities.getTimezone()))
self.assertEqual(
feed["spy"][-1].getDateTime(),
dt.localize(datetime.datetime(2011, 2, 1),
marketsession.USEquities.getTimezone()))
self.assertEqual(len(resampledBarDS), len(feed["spy"]))
self.assertEqual(resampledBarDS[0].getDateTime(),
dt.as_utc(datetime.datetime(2011, 1, 3)))
self.assertEqual(resampledBarDS[-1].getDateTime(),
dt.as_utc(datetime.datetime(2011, 2, 1)))
def __loadBarFeed(self):
ret = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
barFilter = csvfeed.USEquitiesRTH()
ret.setBarFilter(barFilter)
ret.addBarsFromCSV(INSTRUMENT,
common.get_data_file_path("nt-spy-minute-2011.csv"))
return ret
def testIntraDay(self):
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE,
marketsession.USEquities.getTimezone())
barFeed.setBarFilter(csvfeed.USEquitiesRTH())
barFeed.addBarsFromCSV(
"spy", common.get_data_file_path("nt-spy-minute-2011.csv"))
strat = strategy_test.TestStrategy(barFeed, 1000)
stratAnalyzer = sharpe.SharpeRatio(False)
strat.attachAnalyzer(stratAnalyzer)
strat.marketOrder("spy", 1)
strat.run()
tradingPeriods = 252 * 6.5 * 60
manualAnnualized = sharpe.sharpe_ratio(stratAnalyzer.getReturns(),
0.04, tradingPeriods, True)
manualNotAnnualized = sharpe.sharpe_ratio(stratAnalyzer.getReturns(),
0.04, tradingPeriods, False)
analyzerAnnualized = stratAnalyzer.getSharpeRatio(0.04)
analyzerNotAnnualized = stratAnalyzer.getSharpeRatio(0.04, False)
self.assertEqual(round(analyzerAnnualized, 10), -1.1814830854)
self.assertEqual(round(analyzerNotAnnualized, 10), -0.0037659686)
# They should be similar, but not identical because the analyzer uses 365 days/year
# when useDailyReturns is set to False.
self.assertEqual(round(analyzerAnnualized, 1),
round(manualAnnualized, 1))
self.assertEqual(round(analyzerNotAnnualized, 3),
round(manualNotAnnualized, 3))
def __loadBarFeed(self):
ret = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
barFilter = csvfeed.USEquitiesRTH()
ret.setBarFilter(barFilter)
ret.addBarsFromCSV(TradesAnalyzerTestCase.TestInstrument,
common.get_data_file_path("nt-spy-minute-2011.csv"))
return ret
def load_intraday_bars():
global feed
print "Loading bars from file"
feed = ninjatraderfeed.Feed(bar.Frequency.MINUTE)
# feed.setBarFilter(csvfeed.DateRangeFilter(dt.as_utc(datetime.datetime(2008, 1, 1)), dt.as_utc(datetime.datetime(2008, 12, 31))))
feed.setBarFilter(csvfeed.DateRangeFilter(dt.as_utc(datetime.datetime(2008, 1, 1)), dt.as_utc(datetime.datetime(2008, 3, 31))))
feed.addBarsFromCSV(instrument, "/Users/gabo/Downloads/etf-quotes/SPY.Last.txt")
def __createStrategy(self):
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
barFilter = csvfeed.USEquitiesRTH()
barFeed.setBarFilter(barFilter)
barFeed.addBarsFromCSV(
TradesAnalyzerTestCase.TestInstrument,
common.get_data_file_path("nt-spy-minute-2011.csv"))
return strategy_test.TestStrategy(barFeed, 1000)
def testMaxRecursion(self):
barFeed = ninjatraderfeed.Feed(bar.Frequency.MINUTE)
barFeed.addBarsFromCSV("any", common.get_data_file_path("nt-spy-minute-2011.csv"))
ema = ma.EMA(barFeed["any"].getPriceDataSeries(), 10)
# Load all the feed.
barFeed.loadAll()
# Check that the max recursion limit bug is not hit when generating the last value first.
self.assertEqual(round(ema[-1], 2), 128.81)
def __loadIntradayBarFeed(self):
ret = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
ret.addBarsFromCSV("spy", common.get_data_file_path("nt-spy-minute-2011.csv"))
# This is need to get session close attributes set. Strategy class is responsible for calling this.
ret.start()
# Process all events to get the dataseries fully loaded.
while not ret.stopDispatching():
ret.dispatch()
return ret
def loadIntradayBarFeed(self):
fromMonth = 1
toMonth = 1
fromDay = 3
toDay = 3
barFilter = csvfeed.USEquitiesRTH(us_equities_datetime(2011, fromMonth, fromDay, 00, 00), us_equities_datetime(2011, toMonth, toDay, 23, 59))
barFeed = ninjatraderfeed.Feed(barfeed.Frequency.MINUTE)
barFeed.setBarFilter(barFilter)
barFeed.addBarsFromCSV(BaseTestCase.TestInstrument, common.get_data_file_path("nt-spy-minute-2011.csv"))
return barFeed
def testWithIntegerTimezone(self):
try:
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE,
-3)
self.assertTrue(False, "Exception expected")
except Exception, e:
self.assertTrue(
str(e).find(
"timezone as an int parameter is not supported anymore") ==
0)
class NinjaTraderTestCase(unittest.TestCase):
def __loadIntradayBarFeed(self, timeZone=None):
ret = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE, timeZone)
ret.addBarsFromCSV("spy",
common.get_data_file_path("nt-spy-minute-2011.csv"))
ret.loadAll()
return ret
def testBaseFeedInterface(self):
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
barFeed.addBarsFromCSV(
"spy", common.get_data_file_path("nt-spy-minute-2011.csv"))
feed_test.tstBaseFeedInterface(self, barFeed)
def testWithTimezone(self):
timeZone = marketsession.USEquities.getTimezone()
barFeed = self.__loadIntradayBarFeed(timeZone)
ds = barFeed.getDataSeries()
for i, currentBar in enumerate(ds):
self.assertFalse(dt.datetime_is_naive(currentBar.getDateTime()))
self.assertEqual(ds[i].getDateTime(), ds.getDateTimes()[i])
def testWithoutTimezone(self):
barFeed = self.__loadIntradayBarFeed(None)
ds = barFeed.getDataSeries()
for i, currentBar in enumerate(ds):
# Datetime must be set to UTC.
self.assertFalse(dt.datetime_is_naive(currentBar.getDateTime()))
self.assertEqual(ds[i].getDateTime(), ds.getDateTimes()[i])
def testWithIntegerTimezone(self):
try:
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE,
-3)
self.assertTrue(False, "Exception expected")
except Exception, e:
self.assertTrue(
str(e).find(
"timezone as an int parameter is not supported anymore") ==
0)
try:
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
barFeed.addBarsFromCSV(
"spy", common.get_data_file_path("nt-spy-minute-2011.csv"), -5)
self.assertTrue(False, "Exception expected")
except Exception, e:
self.assertTrue(
str(e).find(
"timezone as an int parameter is not supported anymore") ==
0)
class NinjaTraderTestCase(unittest.TestCase):
def __loadIntradayBarFeed(self, timeZone=None):
ret = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE, timeZone)
ret.addBarsFromCSV("spy",
common.get_data_file_path("nt-spy-minute-2011.csv"))
# This is need to get session close attributes set. Strategy class is responsible for calling this.
ret.start()
# Process all events to get the dataseries fully loaded.
while not ret.stopDispatching():
ret.dispatch()
ret.stop()
ret.join()
return ret
def testWithTimezone(self):
timeZone = marketsession.USEquities.getTimezone()
barFeed = self.__loadIntradayBarFeed(timeZone)
ds = barFeed.getDataSeries()
for i in xrange(ds.getLength()):
currentBar = ds.getValueAbsolute(i)
self.assertFalse(dt.datetime_is_naive(currentBar.getDateTime()))
def testWithoutTimezone(self):
barFeed = self.__loadIntradayBarFeed(None)
ds = barFeed.getDataSeries()
for i in xrange(ds.getLength()):
currentBar = ds.getValueAbsolute(i)
# Datetime must be set to UTC.
self.assertFalse(dt.datetime_is_naive(currentBar.getDateTime()))
def testWithIntegerTimezone(self):
try:
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE,
-3)
self.assertTrue(False, "Exception expected")
except Exception, e:
self.assertTrue(
str(e).find(
"timezone as an int parameter is not supported anymore") ==
0)
try:
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
barFeed.addBarsFromCSV(
"spy", common.get_data_file_path("nt-spy-minute-2011.csv"), -5)
self.assertTrue(False, "Exception expected")
except Exception, e:
self.assertTrue(
str(e).find(
"timezone as an int parameter is not supported anymore") ==
0)
def testBounded(self):
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE, maxLen=2)
barFeed.addBarsFromCSV("spy", common.get_data_file_path("nt-spy-minute-2011-03.csv"))
barFeed.loadAll()
barDS = barFeed["spy"]
self.assertEqual(len(barDS), 2)
self.assertEqual(len(barDS.getDateTimes()), 2)
self.assertEqual(len(barDS.getCloseDataSeries()), 2)
self.assertEqual(len(barDS.getCloseDataSeries().getDateTimes()), 2)
self.assertEqual(len(barDS.getOpenDataSeries()), 2)
self.assertEqual(len(barDS.getHighDataSeries()), 2)
self.assertEqual(len(barDS.getLowDataSeries()), 2)
self.assertEqual(len(barDS.getAdjCloseDataSeries()), 2)
def testReset(self):
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
barFeed.addBarsFromCSV(
INSTRUMENT, common.get_data_file_path("nt-spy-minute-2011.csv"))
barFeed.loadAll()
ds = barFeed.getDataSeries(INSTRUMENT)
barFeed.reset()
barFeed.loadAll()
reloadedDs = barFeed.getDataSeries(INSTRUMENT)
self.assertEqual(len(reloadedDs), len(ds))
self.assertNotEqual(reloadedDs, ds)
for i in range(len(ds)):
self.assertEqual(ds[i].getDateTime(), reloadedDs[i].getDateTime())
self.assertEqual(ds[i].getClose(), reloadedDs[i].getClose())
def testLocalizeAndFilter(self):
timezone = marketsession.USEquities.getTimezone()
# The prices come from NinjaTrader interface when set to use 'US Equities RTH' session template.
prices = {
dt.localize(datetime.datetime(2011, 3, 9, 9, 31), timezone): 132.35,
dt.localize(datetime.datetime(2011, 3, 9, 16), timezone): 132.39,
dt.localize(datetime.datetime(2011, 3, 10, 9, 31), timezone): 130.81,
dt.localize(datetime.datetime(2011, 3, 10, 16), timezone): 129.92,
dt.localize(datetime.datetime(2011, 3, 11, 9, 31), timezone): 129.72,
dt.localize(datetime.datetime(2011, 3, 11, 16), timezone): 130.84,
}
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE, timezone)
barFeed.addBarsFromCSV("spy", common.get_data_file_path("nt-spy-minute-2011-03.csv"))
for dateTime, bars in barFeed:
price = prices.get(bars.getDateTime(), None)
if price is not None:
self.assertTrue(price == bars.getBar("spy").getClose())
def testReset(self):
instrument = "spy"
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
barFeed.addBarsFromCSV(instrument, common.get_data_file_path("nt-spy-minute-2011.csv"))
barFeed.loadAll()
instruments = barFeed.getRegisteredInstruments()
ds = barFeed[instrument]
barFeed.reset()
barFeed.loadAll()
reloadedDs = barFeed[instrument]
self.assertEqual(len(reloadedDs), len(ds))
self.assertNotEqual(reloadedDs, ds)
self.assertEqual(instruments, barFeed.getRegisteredInstruments())
for i in range(len(ds)):
self.assertEqual(ds[i].getDateTime(), reloadedDs[i].getDateTime())
self.assertEqual(ds[i].getClose(), reloadedDs[i].getClose())
def testBaseFeedInterface(self):
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
barFeed.addBarsFromCSV(
INSTRUMENT, common.get_data_file_path("nt-spy-minute-2011.csv"))
feed_test.tstBaseFeedInterface(self, barFeed)
def __loadIntradayBarFeed(self, timeZone=None):
ret = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE, timeZone)
ret.addBarsFromCSV(INSTRUMENT,
common.get_data_file_path("nt-spy-minute-2011.csv"))
ret.loadAll()
return ret
def testInvalidFrequency(self):
with self.assertRaisesRegexp(Exception, "Invalid frequency.*"):
ninjatraderfeed.Feed(bar.Frequency.WEEK)
def testBaseBarFeed(self):
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
barFeed.addBarsFromCSV(
INSTRUMENT, common.get_data_file_path("nt-spy-minute-2011.csv"))
barfeed_test.check_base_barfeed(self, barFeed, False)