def setUp(self):
''' called at the beginning of each test '''
self.log_handler = logbook.TestHandler()
self.log_handler.push_thread()
self.tickers = ['google', 'apple', 'starbucks']
self.fields = ['close', 'volume']
self.start = dt.datetime(2006, 1, 1, tzinfo = pytz.utc)
self.end = dt.datetime(2010, 12, 31, tzinfo = pytz.utc)
self.offset = pd.datetools.BMonthEnd()
self.agent = DataAgent()
def setUp(self):
''' called at the beginning of each test '''
self.tickers = ['starbucks']
self.fields = ['low', 'adj_close', 'volume']
self.start = dt.datetime(2004, 12, 1, tzinfo=pytz.utc)
self.end = dt.datetime(2012, 12, 31, tzinfo=pytz.utc)
self.offset = pd.datetools.BMonthEnd(4)
self.timestamp = pd.date_range(self.start, self.end, freq=self.offset)
self.agent = DataAgent()
self.agent.connectTo(['remote', 'database'],
db_name='stocks.db',
lvl='critical')
def setUp(self):
''' called at the beginning of each test '''
self.tickers = ['starbucks']
self.fields = ['low', 'adj_close', 'volume']
self.start = dt.datetime(2004, 12, 1, tzinfo = pytz.utc)
self.end = dt.datetime(2012, 12, 31, tzinfo = pytz.utc)
self.offset = pd.datetools.BMonthEnd(4)
self.timestamp = pd.date_range(self.start, self.end, freq = self.offset)
self.agent = DataAgent()
self.agent.connectTo(['remote', 'database'], db_name='stocks.db', lvl='critical')
'''-------------------------------------- Notes
Zipline uses a benchmark data very interesting (see utils/factory.py and data/benchmark.py)
Modifying it to take in parameter an action and to process associated market ? only s&p500 at the moment
'''
if __name__ == '__main__':
''' ----------------------------------------------------------------- Data -----'''
# Thiz tzinfo is annoying ! default to provide if forgotten, or the one sent
#through the init of dataagent. See also zipline.loader_utils.py
timestamp = date_range(dt.datetime(2004,12,31, tzinfo=pytz.utc), \
dt.datetime(2005,12,31, tzinfo=pytz.utc), freq='M')
ticker = 'starbucks'
#TODO implement a how method wich give the same results as in table
#put in some DataAgent properties ?
db_agent = DataAgent('stocks.db')
data = db_agent.getQuotes([ticker], ['adj_close'], index=timestamp, \
save=False, reverse=True)
#ts = Series(data[ticker]['adj_close'], name=ticker)
ts = data['adj_close'][ticker]
#ts = Series([31.18, 27.0, 25.91, 25.83, 24.76, 27.4, 25.83, 26.27, \
#24.51, 25.05, 28.28, 30.45, 30.51], index=timestamp)
''' ----------------------------------------------------------------------------------'''
print
print('-' * 60)
#1 Simple monthly return between the end of December 2004 and the end of January 2005
compute = Quantitative(lvl='error')
monthly_ret = compute.returns(ts,
start=dt.datetime(2004, 12, 31),
sys.path.append(str(os.environ['QTRADE']))
from pyTrade.data.DataAgent import DataAgent
from pyTrade.calculus.engine import Backtester
from pyTrade.utils import LogSubsystem
import pandas as pd
import pytz
from zipline.data.benchmarks import *
from pyTrade.ai.genetic import Genetic, GeneticAlgorithm
start = pd.datetime(2008, 6, 20, 0, 0, 0, 0, pytz.utc)
end = pd.datetime(2010, 4, 1, 0, 0, 0, 0, pytz.utc)
delta = pd.datetools.timedelta(days=1)
dataobj = DataAgent('stocks.db')
data_tmp = dataobj.getQuotes(['google'], ['open'],
start=start,
end=end,
delta=delta,
reverse=True)
data = data_tmp['open']
def runBacktest(genes):
'''-------------------------------------------- Parameters -----'''
'''chromosome[short_window, long_window, buy_on_event, sell_on_event] '''
print('chromosome: {}'.format(genes))
short_window = genes['short_window']
long_window = round(short_window * genes['ma_rate'] / 2)
buy_on_event = genes['buy_n']
class test_DataAgent(unittest.TestCase):
'''
A test class for the data agent of quanTrade
'''
def setUp(self):
''' called at the beginning of each test '''
self.log_handler = logbook.TestHandler()
self.log_handler.push_thread()
self.tickers = ['google', 'apple', 'starbucks']
self.fields = ['close', 'volume']
self.start = dt.datetime(2006, 1, 1, tzinfo = pytz.utc)
self.end = dt.datetime(2010, 12, 31, tzinfo = pytz.utc)
self.offset = pd.datetools.BMonthEnd()
self.agent = DataAgent()
def test_loadFromCSV(self):
self.agent.connectTo(['database'], timezone=pytz.utc, level='info')
timestamps = pd.date_range(self.start, self.end, freq=self.offset)
quotes = self.agent.load_from_csv(self.tickers, index=timestamps,
fields=self.fields, verbose=True)
def test_connectToRemote(self):
''' DataAgent sources controller, make up connections with their initialisations '''
self.agent.connectTo(['remote'], timezone=pytz.utc, level='info')
self.assertTrue(self.agent.connected['remote'])
def test_connectToDB(self):
self.agent.connectTo(['database'], db_name='stocks.db')
self.assertTrue(self.agent.connected['database'])
def test_getQuotes_Index(self):
timestamp = pd.date_range(self.start, self.end, freq=self.offset)
self.agent.connectTo(['remote', 'database'], db_name='stocks.db',
lvl='critical')
quotes = self.agent.getQuotes(
self.tickers,
self.fields,
index=timestamp,
save=False,
reverse=False)
self.assertTrue(isinstance(quotes[self.tickers[0]][self.fields[0]][5], float))
def test_getQuotes_Dates(self):
self.agent.connectTo(['remote', 'database'], db_name='stocks.db', lvl='critical')
quotes = self.agent.getQuotes(
self.tickers,
self.fields,
start=self.start,
end=self.end,
delta=self.offset,
save=False,
reverse=False)
self.assertTrue(isinstance(quotes[self.tickers[0]][self.fields[0]][5], float))
pdb.set_trace()
def test__guessResolution(self):
pass
def test_help(self):
self.agent.help('test')
def tearDown(self):
self.log_handler.pop_thread()
if self.agent.connected['database']:
print('Closing database')
self.agent.db.close(commit=True)
sys.path.append(str(os.environ['QTRADE']))
from pyTrade.data.DataAgent import DataAgent
from pyTrade.calculus.engine import Backtester
from pyTrade.utils import LogSubsystem
import pandas as pd
import pytz
from zipline.data.benchmarks import *
from pyTrade.ai.genetic import Genetic, GeneticAlgorithm
start = pd.datetime(2008, 6, 20, 0, 0, 0, 0, pytz.utc)
end = pd.datetime(2010, 4, 1, 0, 0, 0, 0, pytz.utc)
delta = pd.datetools.timedelta(days = 1)
dataobj = DataAgent('stocks.db')
data_tmp = dataobj.getQuotes(['google'], ['open'],
start=start,
end=end,
delta=delta,
reverse = True)
data = data_tmp['open']
def runBacktest(genes):
'''-------------------------------------------- Parameters -----'''
'''chromosome[short_window, long_window, buy_on_event, sell_on_event] '''
print('chromosome: {}'.format(genes))
short_window = genes['short_window']
long_window = round(short_window * genes['ma_rate'] / 2)
buy_on_event = genes['buy_n']
class test_getQuotes(unittest.TestCase):
'''
A test class for the data agent of quanTrade
'''
def setUp(self):
''' called at the beginning of each test '''
self.tickers = ['starbucks']
self.fields = ['low', 'adj_close', 'volume']
self.start = dt.datetime(2004, 12, 1, tzinfo = pytz.utc)
self.end = dt.datetime(2012, 12, 31, tzinfo = pytz.utc)
self.offset = pd.datetools.BMonthEnd(4)
self.timestamp = pd.date_range(self.start, self.end, freq = self.offset)
self.agent = DataAgent()
self.agent.connectTo(['remote', 'database'], db_name='stocks.db', lvl='critical')
''' ---------------------------------------------------- Index -----------------------'''
def test__makeIndex(self):
kwargs = {'start' : self.start,
'end' : self.end,
'delta' : self.offset,
'period': pd.datetools.BMonthEnd(6)}
made_idx = self.agent._makeIndex(kwargs)
self.assertTrue(isinstance(made_idx, pd.DatetimeIndex))
self.assertTrue(made_idx.size > 0)
self.assertTrue(made_idx == self.timestamp)
def test__guessResolution(self):
delta = self.agent._guessResolution(self.star, self.end)
self.assertTrue(isinstance(delta, pd.datetools.DateOffset))
self.assertTrue(delta == pd.Datetools.BDay())
''' ---------------------------------------------------- Remote ---------------------'''
def test_getMinutelyQuotes(self):
symbols = {self.tickers[0]: 'SBUX'}
markets = {self.tickers[0]: 'NASDAQ'}
df = self.remote.getMinutelyQuotes(symbols[self.tickers[0], markets[self.tickers[0], self.timestamp]])
df_fields = pd.DataFrame(df, columns=self.fields)
cut_df = df.truncate(after=self.timestamp[-1])
def test_getHistoricalQuotes(self):
symbols = {self.tickers[0]: 'SBUX'}
markets = {self.tickers[0]: 'NASDAQ'}
df = self.remote.getHistoricalQuotes(symbols[self.tickers[0], markets[self.tickers[0], self.timestamp]])
df_fields = pd.DataFrame(df, columns=self.fields)
''' ---------------------------------------------------- Database -------------------'''
def test__inspectDB(self):
db_df, idx_to_dl = self.agent._inspectDB(self.tickers[0], self.timestamp, self.fields)
def test_getDataIndex(self):
index = self.db.getDataIndex(self.tickers[0], self.fields, summary=False)
def test_updateStockDb(self):
panel = None
self.db.updateStockDb(panel, Fields.QUOTES, drop=True)
def test_getQuotesDB(self):
quotes_db = self.db.getQuotesDB(self.tickers[0], self.timestamp)
df = pd.DataFrame(quotes_db, columns=self.fields)
clean_df = df.dropna()
self.assertTrue(clean_df.index.tzinfo)
def test_getTickersCode(self):
symbols, markets = self.db.getTickersCodes(self.tickers)
self.assertTrue(isinstance(symbols, list) and isinstance(markets, list))
self.assertTrue(symbols[self.tickers[0]] == 'SBUX')
self.assertTrue(markets[self.tickers[0]] == 'NASDAQ')
''' ---------------------------------------------------- Principal ------------------'''
def test_getQuotes_Index(self):
quotes = self.agent.getQuotes(
self.tickers,
self.fields,
index=self.timestamp,
save=False,
reverse=False)
self.assertTrue(isinstance(quotes[self.tickers[0]][self.fields[0]][5], float))
def test_getQuotes_Dates(self):
quotes = self.agent.getQuotes(
self.tickers,
self.fields,
start=self.start,
end=self.end,
delta=self.offset,
save=False,
reverse=False)
self.assertTrue(isinstance(quotes[self.tickers[0]][self.fields[0]][5], float))
pdb.set_trace()
def tearDown(self):
if self.agent.connected['database']:
print('Closing database')
self.agent.db.close(commit=True)
'''-------------------------------------- Notes
Zipline uses a benchmark data very interesting (see utils/factory.py and data/benchmark.py)
Modifying it to take in parameter an action and to process associated market ? only s&p500 at the moment
'''
if __name__ == '__main__':
''' ----------------------------------------------------------------- Data -----'''
# Thiz tzinfo is annoying ! default to provide if forgotten, or the one sent
#through the init of dataagent. See also zipline.loader_utils.py
timestamp = date_range(dt.datetime(2004,12,31, tzinfo=pytz.utc), \
dt.datetime(2005,12,31, tzinfo=pytz.utc), freq='M')
ticker = 'starbucks'
#TODO implement a how method wich give the same results as in table
#put in some DataAgent properties ?
db_agent = DataAgent('stocks.db')
data = db_agent.getQuotes([ticker], ['adj_close'], index=timestamp, \
save=False, reverse=True)
#ts = Series(data[ticker]['adj_close'], name=ticker)
ts = data['adj_close'][ticker]
#ts = Series([31.18, 27.0, 25.91, 25.83, 24.76, 27.4, 25.83, 26.27, \
#24.51, 25.05, 28.28, 30.45, 30.51], index=timestamp)
''' ----------------------------------------------------------------------------------'''
print
print('-'*60)
#1 Simple monthly return between the end of December 2004 and the end of January 2005
compute = Quantitative(lvl='error')
monthly_ret = compute.returns(ts, start=dt.datetime(2004,12,31), end=dt.datetime(2005,1,31))
print('1. Return = {} %'.format(monthly_ret*100.0))
class test_getQuotes(unittest.TestCase):
'''
A test class for the data agent of quanTrade
'''
def setUp(self):
''' called at the beginning of each test '''
self.tickers = ['starbucks']
self.fields = ['low', 'adj_close', 'volume']
self.start = dt.datetime(2004, 12, 1, tzinfo=pytz.utc)
self.end = dt.datetime(2012, 12, 31, tzinfo=pytz.utc)
self.offset = pd.datetools.BMonthEnd(4)
self.timestamp = pd.date_range(self.start, self.end, freq=self.offset)
self.agent = DataAgent()
self.agent.connectTo(['remote', 'database'],
db_name='stocks.db',
lvl='critical')
''' ---------------------------------------------------- Index -----------------------'''
def test__makeIndex(self):
kwargs = {
'start': self.start,
'end': self.end,
'delta': self.offset,
'period': pd.datetools.BMonthEnd(6)
}
made_idx = self.agent._makeIndex(kwargs)
self.assertTrue(isinstance(made_idx, pd.DatetimeIndex))
self.assertTrue(made_idx.size > 0)
self.assertTrue(made_idx == self.timestamp)
def test__guessResolution(self):
delta = self.agent._guessResolution(self.star, self.end)
self.assertTrue(isinstance(delta, pd.datetools.DateOffset))
self.assertTrue(delta == pd.Datetools.BDay())
''' ---------------------------------------------------- Remote ---------------------'''
def test_getMinutelyQuotes(self):
symbols = {self.tickers[0]: 'SBUX'}
markets = {self.tickers[0]: 'NASDAQ'}
df = self.remote.getMinutelyQuotes(symbols[self.tickers[0],
markets[self.tickers[0],
self.timestamp]])
df_fields = pd.DataFrame(df, columns=self.fields)
cut_df = df.truncate(after=self.timestamp[-1])
def test_getHistoricalQuotes(self):
symbols = {self.tickers[0]: 'SBUX'}
markets = {self.tickers[0]: 'NASDAQ'}
df = self.remote.getHistoricalQuotes(symbols[self.tickers[0],
markets[self.tickers[0],
self.timestamp]])
df_fields = pd.DataFrame(df, columns=self.fields)
''' ---------------------------------------------------- Database -------------------'''
def test__inspectDB(self):
db_df, idx_to_dl = self.agent._inspectDB(self.tickers[0],
self.timestamp, self.fields)
def test_getDataIndex(self):
index = self.db.getDataIndex(self.tickers[0],
self.fields,
summary=False)
def test_updateStockDb(self):
panel = None
self.db.updateStockDb(panel, Fields.QUOTES, drop=True)
def test_getQuotesDB(self):
quotes_db = self.db.getQuotesDB(self.tickers[0], self.timestamp)
df = pd.DataFrame(quotes_db, columns=self.fields)
clean_df = df.dropna()
self.assertTrue(clean_df.index.tzinfo)
def test_getTickersCode(self):
symbols, markets = self.db.getTickersCodes(self.tickers)
self.assertTrue(
isinstance(symbols, list) and isinstance(markets, list))
self.assertTrue(symbols[self.tickers[0]] == 'SBUX')
self.assertTrue(markets[self.tickers[0]] == 'NASDAQ')
''' ---------------------------------------------------- Principal ------------------'''
def test_getQuotes_Index(self):
quotes = self.agent.getQuotes(self.tickers,
self.fields,
index=self.timestamp,
save=False,
reverse=False)
self.assertTrue(
isinstance(quotes[self.tickers[0]][self.fields[0]][5], float))
def test_getQuotes_Dates(self):
quotes = self.agent.getQuotes(self.tickers,
self.fields,
start=self.start,
end=self.end,
delta=self.offset,
save=False,
reverse=False)
self.assertTrue(
isinstance(quotes[self.tickers[0]][self.fields[0]][5], float))
pdb.set_trace()
def tearDown(self):
if self.agent.connected['database']:
print('Closing database')
self.agent.db.close(commit=True)
