def testLoadFilterFromAndTo(self):
feed = barfeed.CSVTradeFeed()
feed.addBarsFromCSV(common.get_data_file_path("bitstampUSD.csv"),
instrument=INSTRUMENT,
fromDateTime=dt.as_utc(
datetime.datetime(2012, 5, 29)),
toDateTime=datetime.datetime(2012, 5, 31))
loaded = [(dateTime, bars) for dateTime, bars in feed]
self.assertEqual(len(loaded), 579)
self.assertEqual(loaded[0][0],
dt.as_utc(datetime.datetime(2012, 5, 29, 1, 47, 52)))
b = loaded[0][1].getBar(INSTRUMENT)
self.assertEqual(b.getDateTime(),
dt.as_utc(datetime.datetime(2012, 5, 29, 1, 47, 52)))
self.assertEqual(b.getClose(), 5.07)
self.assertEqual(b.getVolume(), 1.39081288)
self.assertEqual(loaded[-1][0],
dt.as_utc(datetime.datetime(2012, 5, 30, 23, 49, 21)))
b = loaded[-1][1].getBar(INSTRUMENT)
self.assertEqual(b.getDateTime(),
dt.as_utc(datetime.datetime(2012, 5, 30, 23, 49, 21)))
self.assertEqual(b.getClose(), 5.14)
self.assertEqual(b.getVolume(), 20)
def backtest(strategyClass, is_optimization, is_tick, start_date, end_date,
symbol, frequency, position_size, lb, i):
if is_tick:
feed = bitbf.CSVTradeFeed()
feed.addBarsFromCSV("../xbtusd_trades.csv",
'XBTUSD',
fromDateTime=start_date,
toDateTime=end_date)
else:
feed = GenericBarFeed(bar.Frequency.MINUTE, maxLen=10000)
feed.setColumnName('datetime', 'Date')
feed.setDateTimeFormat('%Y-%m-%dT%H:%M:%S.%fZ')
feed.setBarFilter(csvfeed.DateRangeFilter(start_date, end_date))
feed.addBarsFromCSV("XBTUSD", "../BITMEX_SPOT_BTC_USD_1MIN.csv")
if is_optimization:
strat = local.run(strategyClass,
feed,
parameters_generator(),
workerCount=None,
logLevel=10,
batchSize=1)
print(strat.getResult(), strat.getParameters())
else:
strat = strategyClass(feed, None, symbol, int(frequency),
position_size, lb, i)
strat.run()
def testLoadNoFilter(self):
feed = barfeed.CSVTradeFeed()
feed.addBarsFromCSV(common.get_data_file_path("bitstampUSD.csv"))
loaded = [(dateTime, bars) for dateTime, bars in feed]
self.assertEqual(len(loaded), 9999)
self.assertEqual(loaded[0][0],
dt.as_utc(datetime.datetime(2011, 9, 13, 13, 53, 36)))
b = loaded[0][1].getBar(INSTRUMENT)
self.assertEqual(b.getDateTime(),
dt.as_utc(datetime.datetime(2011, 9, 13, 13, 53, 36)))
self.assertEqual(b.getClose(), 5.8)
self.assertEqual(b.getPrice(), 5.8)
self.assertEqual(b.getVolume(), 1.0)
self.assertEqual(
loaded[-1][0],
dt.as_utc(datetime.datetime(2012, 5, 31, 8, 41, 18, 5)))
b = loaded[-1][1].getBar(INSTRUMENT)
self.assertEqual(
b.getDateTime(),
dt.as_utc(datetime.datetime(2012, 5, 31, 8, 41, 18, 5)))
self.assertEqual(b.getClose(), 5.1)
self.assertEqual(b.getPrice(), 5.1)
self.assertEqual(b.getVolume(), 0.39215686)
def testLoadFilterFrom(self):
feed = barfeed.CSVTradeFeed()
feed.addBarsFromCSV(common.get_data_file_path("bitstampUSD.csv"),
INSTRUMENT,
fromDateTime=dt.as_utc(
datetime.datetime(2012, 5, 29)))
loaded = [(dateTime, bars) for dateTime, bars in feed]
self.assertEqual(len(loaded), 646)
self.assertEqual(loaded[0][0],
dt.as_utc(datetime.datetime(2012, 5, 29, 1, 47, 52)))
b = loaded[0][1].getBar(INSTRUMENT)
self.assertEqual(b.getDateTime(),
dt.as_utc(datetime.datetime(2012, 5, 29, 1, 47, 52)))
self.assertEqual(b.getClose(), 5.07)
self.assertEqual(b.getPrice(), 5.07)
self.assertEqual(b.getVolume(), 1.39081288)
self.assertEqual(
loaded[-1][0],
dt.as_utc(datetime.datetime(2012, 5, 31, 8, 41, 18, 5)))
b = loaded[-1][1].getBar(INSTRUMENT)
self.assertEqual(
b.getDateTime(),
dt.as_utc(datetime.datetime(2012, 5, 31, 8, 41, 18, 5)))
self.assertEqual(b.getClose(), 5.1)
self.assertEqual(b.getPrice(), 5.1)
self.assertEqual(b.getVolume(), 0.39215686)
def main(end, months):
barFeed = barfeed.CSVTradeFeed()
start = end - timedelta(months * 365 / 12)
barFeed.addBarsFromCSV("/home/mcstar/data/.coinbaseUSD.csv",
fromDateTime=start,
toDateTime=end)
resample.resample_to_csv(barFeed, bar.Frequency.MINUTE * 30,
"./30min-btc-%s.csv" % (start.year))
def main(end,months,minutes=30):
barFeed = barfeed.CSVTradeFeed()
start = end - timedelta(months*365/12)
print "Resampling from %s to %s" % (start,end)
barFeed.addBarsFromCSV("/home/mcstar/data/coinbaseUSD.csv", fromDateTime=start, toDateTime=end)
path = "./%smin-BTC-%s.csv" % (minutes,end.year)
resample.resample_to_csv(barFeed, bar.Frequency.MINUTE*minutes, path)
print "Saved to ",path
def main():
'''
mid 先要从网站手动下载tick压缩文件
手动解压后通过此程序转化周期
'''
barFeed = barfeed.CSVTradeFeed()
barFeed.addBarsFromCSV("bitstampUSD.csv",
fromDateTime=datetime.datetime(2014, 1, 1),
toDateTime=datetime.datetime(2014, 2, 1))
resample.resample_to_csv(barFeed, bar.Frequency.MINUTE * 30,
"30min-bitstampUSD.csv")
def testMinTrade(self):
class TestStrategy(strategy.BaseStrategy):
def __init__(self, feed, brk):
strategy.BaseStrategy.__init__(self, feed, brk)
self.pos = None
def onBars(self, bars):
if not self.pos:
self.pos = self.enterLongLimit("BTC", 4.99, 1, True)
barFeed = btcbarfeed.CSVTradeFeed()
barFeed.addBarsFromCSV(tc_common.get_data_file_path("bitstampUSD.csv"))
brk = broker.BacktestingBroker(100, barFeed)
strat = TestStrategy(barFeed, brk)
with self.assertRaisesRegexp(Exception, "Trade must be >= 5"):
strat.run()
def testMinTrade(self):
class TestStrategy(strategy.BaseStrategy):
def __init__(self, feed, brk):
strategy.BaseStrategy.__init__(self, feed, brk)
self.pos = None
def onBars(self, bars):
if not self.pos:
self.pos = self.enterLongLimit(INSTRUMENT, 4.99, 1, True)
barFeed = btcbarfeed.CSVTradeFeed()
barFeed.addBarsFromCSV(tc_common.get_data_file_path("bitstampUSD.csv"),
instrument=INSTRUMENT)
brk = broker.BacktestingBroker({PRICE_CURRENCY: 100}, barFeed)
strat = TestStrategy(barFeed, brk)
with self.assertRaisesRegexp(Exception, "USD amount must be >= 25"):
strat.run()
def testBitcoinChartsFeed(self):
class TestStrategy(strategy.BaseStrategy):
def __init__(self, feed, brk):
strategy.BaseStrategy.__init__(self, feed, brk)
self.pos = None
def onBars(self, bars):
if not self.pos:
self.pos = self.enterLongLimit("BTC", 5.83, 1, True)
barFeed = btcbarfeed.CSVTradeFeed()
barFeed.addBarsFromCSV(tc_common.get_data_file_path("bitstampUSD.csv"))
brk = broker.BacktestingBroker(100, barFeed)
strat = TestStrategy(barFeed, brk)
strat.run()
self.assertEquals(strat.pos.getShares(), 1)
self.assertEquals(strat.pos.entryActive(), False)
self.assertEquals(strat.pos.isOpen(), True)
self.assertEquals(strat.pos.getEntryOrder().getAvgFillPrice(), 5.83)
def testBitcoinChartsFeed(self):
class TestStrategy(strategy.BaseStrategy):
def __init__(self, feed, brk):
strategy.BaseStrategy.__init__(self, feed, brk)
self.pos = None
def onBars(self, bars):
if not self.pos:
self.pos = self.enterLongLimit(INSTRUMENT, 5.83, 5, True)
barFeed = btcbarfeed.CSVTradeFeed()
barFeed.addBarsFromCSV(tc_common.get_data_file_path("bitstampUSD.csv"),
instrument=INSTRUMENT)
brk = broker.BacktestingBroker({PRICE_CURRENCY: 100}, barFeed)
strat = TestStrategy(barFeed, brk)
strat.run()
self.assertEqual(strat.pos.getShares(), 5)
self.assertEqual(strat.pos.entryActive(), False)
self.assertEqual(strat.pos.isOpen(), True)
self.assertEqual(strat.pos.getEntryOrder().getAvgFillPrice(),
round((3 * 5.83 + 2 * 5.76) / 5.0, 2))
def main():
barFeed = barfeed.CSVTradeFeed()
barFeed.addBarsFromCSV("bitstampUSD.csv", fromDateTime=datetime.datetime(2014, 1, 1))
resample.resample_to_csv(barFeed, bar.Frequency.MINUTE*30, "30min-bitstampUSD.csv")
def main(file_in, file_out, freq):
barFeed = barfeed.CSVTradeFeed()
barFeed.addBarsFromCSV(file_in, fromDateTime=datetime.datetime(2014, 1, 1))
resample.resample_to_csv(barFeed, bar.Frequency.MINUTE * freq, file_out)
