def testReset(self):
feed = csvfeed.Feed("Date", "%Y-%m-%d")
feed.addValuesFromCSV(
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
disp = dispatcher.Dispatcher()
disp.addSubject(feed)
disp.run()
keys = feed.getKeys()
key = keys[0]
values = feed[key]
feed.reset()
disp = dispatcher.Dispatcher()
disp.addSubject(feed)
disp.run()
reloadedKeys = feed.getKeys()
reloadedValues = feed[key]
self.assertEqual(keys.sort(), reloadedKeys.sort())
self.assertNotEqual(values, reloadedValues)
self.assertEqual(len(values), len(reloadedValues))
for i in range(len(values)):
self.assertEqual(values[i], reloadedValues[i])
def testFeedWithQuandl(self):
class RowFilter(csvfeed.RowFilter):
def includeRow(self, dateTime, values):
return dateTime.year == 2013
feed = csvfeed.Feed("Date",
"%Y-%m-%d",
maxLen=40,
timezone=marketsession.USEquities.timezone)
feed.setRowFilter(RowFilter())
feed.setTimeDelta(datetime.timedelta(hours=23, minutes=59, seconds=59))
feed.addValuesFromCSV(
os.path.join("samples", "data", "quandl_gold_2.csv"))
for col in ["USD", "GBP", "EUR"]:
self.assertEqual(len(feed[col]), 0)
disp = dispatcher.Dispatcher()
disp.addSubject(feed)
disp.run()
for col in ["USD", "GBP", "EUR"]:
self.assertEqual(len(feed[col]), 39)
self.assertEqual(feed["USD"][-1], 1333.0)
self.assertEqual(feed["GBP"][-1], 831.203)
self.assertEqual(feed["EUR"][-1], 986.75)
self.assertFalse(dt.datetime_is_naive(feed["USD"].getDateTimes()[-1]))
self.assertEqual(
feed["USD"].getDateTimes()[-1],
dt.localize(datetime.datetime(2013, 9, 29, 23, 59, 59),
marketsession.USEquities.timezone))
def main(plot):
instruments = ["GORO"]
# Download GORO bars using WIKI source code.
feed = quandl.build_feed("WIKI", instruments, 2006, 2012, ".")
# Load Quandl CSV downloaded from http://www.quandl.com/OFDP-Open-Financial-Data-Project/GOLD_2-LBMA-Gold-Price-London-Fixings-P-M
quandlFeed = csvfeed.Feed("Date", "%Y-%m-%d")
quandlFeed.setDateRange(datetime.datetime(2006, 1, 1),
datetime.datetime(2012, 12, 31))
quandlFeed.addValuesFromCSV("quandl_gold_2.csv")
myStrategy = MyStrategy(feed, quandlFeed, instruments[0])
if plot:
plt = plotter.StrategyPlotter(myStrategy, True, False, False)
plt.getOrCreateSubplot("quandl").addDataSeries("USD",
quandlFeed["USD"])
plt.getOrCreateSubplot("quandl").addDataSeries("EUR",
quandlFeed["EUR"])
plt.getOrCreateSubplot("quandl").addDataSeries("GBP",
quandlFeed["GBP"])
myStrategy.run()
if plot:
plt.plot()
def testFeedWithBars(self):
feed = csvfeed.Feed("Date", "%Y-%m-%d")
feed.addValuesFromCSV(
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
self.assertEqual(len(feed.getKeys()), 6)
for col in ["Open", "High", "Low", "Close", "Volume", "Adj Close"]:
self.assertEqual(len(feed[col]), 0)
disp = dispatcher.Dispatcher()
disp.addSubject(feed)
disp.run()
for col in ["Open", "High", "Low", "Close", "Volume", "Adj Close"]:
self.assertEqual(len(feed[col]), 252)
self.assertEqual(feed["Open"][-1], 30.87)
self.assertEqual(feed["High"][-1], 31.31)
self.assertEqual(feed["Low"][-1], 28.69)
self.assertEqual(feed["Close"][-1], 29.06)
self.assertEqual(feed["Volume"][-1], 31655500)
self.assertEqual(feed["Adj Close"][-1], 28.41)
def testBaseFeedInterface(self):
feed = csvfeed.Feed("Date", "%Y-%m-%d")
feed.addValuesFromCSV(
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
feed_test.tstBaseFeedInterface(self, feed)
from __future__ import print_function
from quantworks.feed import csvfeed
feed = csvfeed.Feed("Date", "%Y-%m-%d")
feed.addValuesFromCSV("quandl_gold_2.csv")
for dateTime, value in feed:
print(dateTime, value)