def testEventProfiler(self):
startDate = dt.date(2011, 1, 1)
endDate = dt.date(2011, 12, 31)
symbols = ["AAPL", "XOM"]
series = TimeSeries(startDate, endDate)
window = MarketWindow(series, symbols)
history = PricePanel(window, self.provider)
def event(bar, prevbar, timestamp, index, symbol, timestamps):
return True
ev = event
profiler = EventProfiler()
profiler.config(window, history, event)
df_eventHistory = profiler.find()
self.assertEqual(df_eventHistory["AAPL"].iloc[121], 1)
orders = profiler.generateOrders(100, 5)
self.assertEqual(len(orders), 1008)
str = orders.to_string()
bits = str.split(",")
self.assertEqual(len(bits), 5041)
def foo(self):
# def testCustomEvent(self):
import QSTK.qstkutil.DataAccess as da
balance = 50000
startDate = dt.date(2008,1,1)
endDate = dt.date(2009,12,31)
provider = da.DataAccess('Yahoo')
symbols = provider.get_symbols_from_list('SP5002012')
shares = 100
holdPeriod = dt.timedelta(days=5)
orderFilename = 'ev_orders.csv'
historyFilename = 'ev_history.csv'
profiler = EventProfiler()
profiler.config(startDate, endDate, symbols).fetchHistory()
def event(bar, prevbar, timestamp, index,
symbol, panel, symbols, timestamps):
if prevbar is not None:
res = bool((prevbar[ADJ_CLOSE] >= 8) and (bar[ADJ_CLOSE] < 8))
return res
else:
return False
ev = event
df_eventHistory = profiler.setEvent(ev).find()
# print df_eventHistory.to_string()
orders = profiler.generateOrders(shares, holdPeriod)
self.assertTrue(len(orders) > 0)
# print orders.to_string()
f = open(orderFilename,'w')
f.write(orders.to_string())
f.close()
sim = self.blankSimulator()
sim.config(startDate, endDate, balance, orderFilename, historyFilename)
sim.bootstrap()
sim.run()
print sim.df_accountHistory.to_string()
