def createAccount(self, cash, commission=0):
''' create account '''
raise NotImplementedError
account=Account()
# account.commission = commission
account.deposit(cash)
self.__accounts[account.accountId]=account
self.__accountPositions[account.accountId]=[] # list contains tuple (time, position)
return account.accountId
def setUp(self):
self.pubsub = MockRedis()
self.trans = connection.begin()
self.session = Session(connection)
currency = Currency(name='Pesos', code='ARG')
self.exchange = Exchange(name='Merval', code='MERV', currency=currency)
self.owner = Owner(name='poor owner')
self.broker = Broker(name='broker1')
self.account = Account(owner=self.owner, broker=self.broker)
self.account.deposit(Money(amount=10000, currency=currency))
def setUp(self):
self.trans = connection.begin()
self.session = Session(connection)
currency = Currency(name='Pesos', code='ARG')
self.exchange = Exchange(name='Merval', code='MERV', currency=currency)
self.owner = Owner(name='poor owner')
self.broker = Broker(name='broker1')
self.account = Account(owner=self.owner, broker=self.broker)
self.account.deposit(Money(amount=10000, currency=currency))
def setUp(self):
pesos = Currency(name='Pesos', code='ARG')
merval = Exchange(name='Merval', code='MERV', currency=pesos)
owner = Owner(name='test user')
self.account = Account(owner=owner)
self.security = Stock(symbol='YPF', exchange=merval)
self.tick = {
'pattern': None,
'data': {
'volume30d': '12165.08453826',
'timestamp': '1446070419',
'high': '305',
'ask': 302.7022,
'last': '302.632',
'bid': 301.0001,
'low': '294.51',
'volume': '437.07501250'
},
'type': 'message',
'security': self.security,
'channel': b'BTC'
}
class testTradingCenter(unittest.TestCase):
def setUp(self):
self.trans = connection.begin()
self.session = Session(connection)
currency = Currency(name='Pesos', code='ARG')
self.exchange = Exchange(name='Merval', code='MERV', currency=currency)
self.owner = Owner(name='poor owner')
self.broker = Broker(name='broker1')
self.account = Account(owner=self.owner, broker=self.broker)
self.account.deposit(Money(amount=10000, currency=currency))
def tearDown(self):
self.trans.rollback()
self.session.close()
def test_open_orders_by_order_id(self):
stock=Stock(symbol='symbol', description='a stock', ISIN='US123456789', exchange=self.exchange)
order1=BuyOrder(account=self.account, security=stock, price=13.2, share=10)
order2=BuyOrder(account=self.account, security=stock, price=13.25, share=10)
self.session.add(order1)
self.session.add(order2)
self.session.commit()
tc=TradingCenter(self.session)
order=tc.open_order_by_id(order1.id)
self.assertEquals(order1, order)
order=tc.open_order_by_id(100)
self.assertEquals(None, order)
def testGetOpenOrdersBySymbol(self):
stock=Stock(symbol='symbol', description='a stock', ISIN='US123456789', exchange=self.exchange)
order1=BuyOrder(account=self.account, security=stock, price=13.2, share=10)
order2=BuyOrder(account=self.account, security=stock, price=13.25, share=10)
self.session.add(order1)
self.session.add(order2)
self.session.commit()
tc=TradingCenter(self.session)
orders=tc.open_orders_by_symbol('symbol')
self.assertEquals([order1, order2], list(orders))
def testCancelOrder(self):
stock=Stock(symbol='symbol', description='a stock', ISIN='US123456789', exchange=self.exchange)
order1=BuyOrder(account=self.account, security=stock, price=13.2, share=10)
order2=BuyOrder(account=self.account, security=stock, price=13.25, share=10)
self.session.add(order1)
self.session.add(order2)
self.session.commit()
tc=TradingCenter(self.session)
order1.cancel()
self.assertEquals([order2], tc.open_orders)
self.assertEquals([order1], tc.cancel_orders)
self.assertEquals(CancelOrderStage, type(order1.current_stage))
order2.cancel()
self.assertEquals([], tc.open_orders)
self.assertEquals([order1, order2], tc.cancel_orders)
def testCancelAllOpenOrders(self):
security=Stock(symbol='symbol', description='a stock', ISIN='US123456789', exchange=self.exchange)
order1=BuyOrder(account=self.account, security=security, price=13.2, share=10)
order2=BuyOrder(account=self.account, security=security, price=13.25, share=10)
self.session.add(order1)
self.session.add(order2)
self.session.commit()
tc=TradingCenter(self.session)
tc.cancel_all_open_orders()
self.assertEquals([], tc.open_orders)
def testConsume(self):
pass
def testPostConsume(self):
pass
def testCreateAccountWithMetrix(self):
pass
'db': 0,
}
redis_conn = StrictRedis(**config)
engine = create_engine('sqlite://')
session_factory = sessionmaker(bind=engine)
Session = scoped_session(session_factory)
session = Session()
Base.metadata.create_all(engine)
usd = Currency(name='Dollar', code='USD')
nasdaq = Exchange(name='NASDAQ', currency=usd)
stock_ebay = Stock(symbol='EBAY', exchange=nasdaq, ISIN='US2786421030', description='')
owner = Owner(name='Lucky')
broker = Broker(name='Cheap Broker')
account = Account(owner=owner, broker=broker)
pesos = Currency(name='Pesos', code='ARG')
account.deposit(Money(amount=1000, currency=pesos))
config_file = "backtest_smaPortfolio.ini"
config = PyConfig(config_file)
strategy = StrategyFactory.create_strategy(config.get(CONF_ULTRAFINANCE_SECTION, CONF_STRATEGY_NAME),
config.getSection(CONF_ULTRAFINANCE_SECTION))
th_tick_feeder = BackTesterThread(config, redis_conn, securities=[stock_ebay])
start = datetime.now()
end = datetime.now() - timedelta(days=30)
th_trading_engine = TradingEngineThread(redis_conn.pubsub(), securities=[stock_ebay], strategy=strategy)
th_tick_feeder.start()
th_trading_engine.start()
class testTradingCenter(unittest.TestCase):
def setUp(self):
self.pubsub = MockRedis()
self.trans = connection.begin()
self.session = Session(connection)
currency = Currency(name='Pesos', code='ARG')
self.exchange = Exchange(name='Merval', code='MERV', currency=currency)
self.owner = Owner(name='poor owner')
self.broker = Broker(name='broker1')
self.account = Account(owner=self.owner, broker=self.broker)
self.account.deposit(Money(amount=10000, currency=currency))
def tearDown(self):
self.trans.rollback()
self.session.close()
def test_retrievet_open_orders(self):
stock = Stock(symbol='symbol',
description='a stock',
ISIN='US123456789',
exchange=self.exchange)
order1 = BuyOrder(account=self.account,
security=stock,
price=13.2,
share=10)
order2 = BuyOrder(account=self.account,
security=stock,
price=13.25,
share=10)
self.session.add(order1)
self.session.add(order2)
self.session.commit()
tc = TradingCenter(self.session, self.pubsub)
orders = tc.open_orders(stock)
self.assertEquals([order1, order2], list(orders))
def testCancelOrder(self):
stock = Stock(symbol='symbol',
description='a stock',
ISIN='US123456789',
exchange=self.exchange)
order1 = BuyOrder(account=self.account,
security=stock,
price=13.2,
share=10)
order2 = BuyOrder(account=self.account,
security=stock,
price=13.25,
share=10)
self.session.add(order1)
self.session.add(order2)
self.session.commit()
tc = TradingCenter(self.session, self.pubsub)
order1.cancel()
self.assertEquals([order2], tc.open_orders(stock))
# cancel open orders
self.assertEquals([order2], tc.cancel_orders())
self.assertEquals(CancelOrderStage, type(order1.current_stage))
self.assertEquals([], tc.open_orders(stock))
def testCancelAllOpenOrders(self):
security = Stock(symbol='symbol',
description='a stock',
ISIN='US123456789',
exchange=self.exchange)
order1 = BuyOrder(account=self.account,
security=security,
price=13.2,
share=10)
order2 = BuyOrder(account=self.account,
security=security,
price=13.25,
share=10)
self.session.add(order1)
self.session.add(order2)
self.session.commit()
tc = TradingCenter(self.session, self.pubsub)
tc.cancel_orders()
self.assertEquals([], tc.open_orders(security))
def testConsume(self):
pass
def testPostConsume(self):
pass
def testCreateAccountWithMetrix(self):
pass
engine = create_engine('sqlite://')
session_factory = sessionmaker(bind=engine)
Session = scoped_session(session_factory)
session = Session()
Base.metadata.create_all(engine)
usd = Currency(name='Dollar', code='USD')
nasdaq = Exchange(name='NASDAQ', currency=usd)
stock_ebay = Stock(symbol='EBAY',
exchange=nasdaq,
ISIN='US2786421030',
description='')
owner = Owner(name='Lucky')
broker = Broker(name='Cheap Broker')
account = Account(owner=owner, broker=broker)
pesos = Currency(name='Pesos', code='ARG')
account.deposit(Money(amount=1000, currency=pesos))
config_file = "backtest_smaPortfolio.ini"
config = PyConfig(config_file)
strategy = StrategyFactory.create_strategy(
config.get(CONF_ULTRAFINANCE_SECTION, CONF_STRATEGY_NAME),
config.getSection(CONF_ULTRAFINANCE_SECTION))
th_tick_feeder = TickFeederThread(config,
redis_conn,
securities=[stock_ebay])
start = datetime.now()
end = datetime.now() - timedelta(days=30)
th_trading_engine = TradingEngineThread(redis_conn.pubsub(),
def run_test(self):
""" run one test """
self._execute()
self._printResult()
# ###########Util function################################
def getBackTestResultDbName(securities, strategyName, start_tick_date, end_trade_date):
""" get table name for back test result"""
return "%s__%s__%s__%s" % (
"_".join(securities) if len(securities) <= 1 else len(securities),
strategyName,
start_tick_date,
end_trade_date if end_trade_date else "Now",
)
if __name__ == "__main__":
account = Account()
account.deposit(1000)
backtester = BackTester(
"backtest_zscoreMomentumPortfolio.ini",
account=account,
start_tick_date=19901010,
start_trade_date=19901010,
end_trade_date=20131010,
)
backtester.setup()
backtester.runTests()
backtester.printMetrics()
