def assessFitness(self):
trade_at_open = True
fitnessess = []
for (d,date) in enumerate(trading_days):
# Make up some VWAP vol profiles
buying = buyings[d]
volProfiles = []
if trade_at_open:
filename = os.getcwd() + '/tickData/' + date.strftime('%Y%m%d') + ticker + 'open.csv'
startTrading = datetime.datetime.combine(date, datetime.time(13, 30, 0))
endTrading = datetime.datetime.combine(date, datetime.time(14, 0, 0))
volProfiles.append(VolWindow(datetime.time(13, 30, 0), datetime.time(13, 35, 0)))
volProfiles[0].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 35, 0), datetime.time(13, 40, 0)))
volProfiles[1].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 40, 0), datetime.time(13, 45, 0)))
volProfiles[2].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 45, 0), datetime.time(13, 50, 0)))
volProfiles[3].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 50, 0), datetime.time(13, 55, 0)))
volProfiles[4].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 55, 0), datetime.time(14, 00, 0)))
volProfiles[5].volProfile = 5
else:
filename = os.getcwd() + '/tickData/' + date.strftime('%Y%m%d') + ticker + 'close.csv'
startTrading = datetime.datetime.combine(date, datetime.time(13, 30, 0))
endTrading = datetime.datetime.combine(date, datetime.time(14, 0, 0))
volProfiles.append(VolWindow(datetime.time(13, 30, 0), datetime.time(13, 35, 0)))
volProfiles[0].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 35, 0), datetime.time(13, 40, 0)))
volProfiles[1].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 40, 0), datetime.time(13, 45, 0)))
volProfiles[2].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 45, 0), datetime.time(13, 50, 0)))
volProfiles[3].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 50, 0), datetime.time(13, 55, 0)))
volProfiles[4].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 55, 0), datetime.time(14, 00, 0)))
volProfiles[5].volProfile = 5
theVWAP = VWAP(startTrading,endTrading,BINSIZE)
trading_session = Trading(buying, date, startTrading, endTrading,
volProfiles, filename, open_prices[d], self.genotype)
trading_session.trade()
trades = trading_session.trades
trade_prices = [x[1] for x in trades]
theVWAP.addDatapointFile(filename, False)
the_vwaps = theVWAP.getBinVWAPS()
for (i,price) in enumerate(trade_prices):
if price==None: fitnessess.append(0.0)
else:
if trading_session.buying: f = (the_vwaps[i]-price)/float(the_vwaps[i])
else: f = (price-the_vwaps[i])/float(the_vwaps[i])
fitnessess.append(1+f)
self.fitness = (sum(fitnessess)/float(len(fitnessess)))
volProfiles[0].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 35, 0), datetime.time(13, 40, 0)))
volProfiles[1].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 40, 0), datetime.time(13, 45, 0)))
volProfiles[2].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 45, 0), datetime.time(13, 50, 0)))
volProfiles[3].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 50, 0), datetime.time(13, 55, 0)))
volProfiles[4].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 55, 0), datetime.time(14, 00, 0)))
volProfiles[5].volProfile = 5
trading_session = Trading(buying, date, startTrading, endTrading,
volProfiles, filename, open_prices[d], elite_genome)
trading_session.trade()
trades = trading_session.trades
trade_times = [x[0] for x in trades]
trade_prices = [x[1] for x in trades]
crappyvolProfiles = []
################ For crappy
crappyvolProfiles.append(VolWindow(datetime.time(13, 30, 0), datetime.time(13, 35, 0)))
crappyvolProfiles[0].volProfile = 5
crappyvolProfiles.append(VolWindow(datetime.time(13, 35, 0), datetime.time(13, 40, 0)))
crappyvolProfiles[1].volProfile = 5
crappyvolProfiles.append(VolWindow(datetime.time(13, 40, 0), datetime.time(13, 45, 0)))
crappyvolProfiles[2].volProfile = 5
crappyvolProfiles.append(VolWindow(datetime.time(13, 45, 0), datetime.time(13, 50, 0)))
crappyvolProfiles[3].volProfile = 5
volProfiles[0].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 35, 0), datetime.time(13, 40, 0)))
volProfiles[1].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 40, 0), datetime.time(13, 45, 0)))
volProfiles[2].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 45, 0), datetime.time(13, 50, 0)))
volProfiles[3].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 50, 0), datetime.time(13, 55, 0)))
volProfiles[4].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 55, 0), datetime.time(14, 00, 0)))
volProfiles[5].volProfile = 5
# trade
mornTrading = Trading(True, date, startTrading, endTrading, volProfiles, filename, oPrices[i])
mornTrading.trade()
# skim through file to work out period VWAP
pqSum = 0
qSum = 0
try:
reader = open(filename, 'rU')
for line in reader:
split = line.split(',')
if (split[1] == 'TRADE'):
pqSum += int(split[3]) * float(split[2])
qSum += int(split[3])
reader.close()
expVwap = (pqSum / float(qSum))
except IOError:
print 'Cannot open input file "{}"'.format(filename)
