def _start(self, app_context, **kwargs):
self.length = self.get_stg_config_value("length", 10)
self.bars = [
self.app_context.inst_data_mgr.get_series("Bar.%s.Time.300" % i)
for i in self.app_context.app_config.instrument_ids
]
for bar in self.bars:
bar.start(app_context)
self.opens = MakeVector(self.bars, input_key='Open')
self.volumes = MakeVector(self.bars, input_key="Volume")
self.rank_opens = Rank(self.bars, input_key='open')
self.rank_opens.start(app_context)
self.rank_volumes = Rank(self.bars, input_key='Volume')
self.rank_volumes.start(app_context)
#
self.pair_correlation = PairCorrelation(self.rank_opens,
self.rank_volumes,
length=self.length)
self.pair_correlation.start(app_context)
super(AlphaFormula3, self)._start(app_context, **kwargs)
def test_with_single_bar_multi_time(self):
bar0 = self.app_context.inst_data_mgr.get_series("bar0")
bar1 = self.app_context.inst_data_mgr.get_series("bar1")
bar0.start(self.app_context)
bar1.start(self.app_context)
plus = Plus(bar0, bar1, input_key='close')
minus = Minus(bar0, bar1, input_key='close')
times = Times(bar0, bar1, input_key='close')
divides = Divides(bar0, bar1, input_key='close')
pcorr = PairCorrelation(bar0, bar1, length=4, input_key='close')
plus.start(self.app_context)
minus.start(self.app_context)
times.start(self.app_context)
divides.start(self.app_context)
pcorr.start(self.app_context)
now = datetime.datetime.now()
x = np.array([80.0, 102.0, 101.0, 99.0])
y = np.array([95.0, 98.0, 105.2, 103.3])
ts = [now + datetime.timedelta(0, i * 3) for i in range(4)]
x_p_y = x + y
x_m_y = x - y
x_t_y = x * y
x_d_y = x / y
bar0.add({"timestamp": ts[0], "close": x[0], "open": 0})
bar1.add({"timestamp": ts[0], "close": y[0], "open": 0})
self.assertEqual(plus.now('value'), 175.0)
self.assertEqual(minus.now('value'), -15.0)
self.assertEqual(times.now('value'), 7600.0)
self.assertEqual(divides.now('value'), 80.0 / 95.0)
bar0.add({"timestamp": ts[1], "close": x[1], "open": 0})
bar1.add({"timestamp": ts[1], "close": y[1], "open": 0})
self.assertEqual(plus.now('value'), 200.0)
self.assertEqual(minus.now('value'), 4.0)
self.assertEqual(times.now('value'), 102.0 * 98.0)
self.assertEqual(divides.now('value'), 102.0 / 98.0)
bar0.add({"timestamp": ts[2], "close": x[2], "open": 0})
bar1.add({"timestamp": ts[2], "close": y[2], "open": 0})
bar0.add({"timestamp": ts[3], "close": x[3], "open": 0})
bar1.add({"timestamp": ts[3], "close": y[3], "open": 0})
# self.assertEqual(pcorr.now('value'), np.corrcoef(x, y))
self.__np_assert_almost_equal(pcorr.now('value'), np.corrcoef(x, y))
def test_with_pair_corr_with_vec(self):
bar0 = self.app_context.inst_data_mgr.get_series("bar0")
bar1 = self.app_context.inst_data_mgr.get_series("bar1")
bar2 = self.app_context.inst_data_mgr.get_series("bar2")
bar3 = self.app_context.inst_data_mgr.get_series("bar3")
bar0.start(self.app_context)
bar1.start(self.app_context)
bar2.start(self.app_context)
bar3.start(self.app_context)
vec0 = MakeVector([bar0, bar1], input_key='close')
vec1 = MakeVector([bar2, bar3], input_key='close')
vec0.start(self.app_context)
vec1.start(self.app_context)
pcorr = PairCorrelation(vec0, vec1, length=4, input_key=PipeLine.VALUE)
pcorr.start(self.app_context)
now = datetime.datetime.now()
x0 = np.array([80.0, 102.0, 101.0, 99.0])
x1 = np.array([102.0, 101.5, 99.0, 97.0])
x2 = np.array([94.0, 98.5, 91.0, 87.0])
x3 = np.array([104.5, 107.5, 97.0, 91.0])
ts = [now + datetime.timedelta(0, i * 3) for i in range(4)]
for i in range(4):
bar0.add({"timestamp": ts[i], "close": x0[i], "open": 0})
bar1.add({"timestamp": ts[i], "close": x1[i], "open": 0})
bar2.add({"timestamp": ts[i], "close": x2[i], "open": 0})
bar3.add({"timestamp": ts[i], "close": x3[i], "open": 0})
x = np.vstack([x0, x1])
y = np.vstack([x2, x3])
self.__np_assert_almost_equal(pcorr.now('value'), np.corrcoef(x, y))
