def __processJob(self, job, barsFreq, instruments, bars):
bestResult = None
parameters = job.getNextParameters()
bestParams = parameters
while parameters is not None:
# Wrap the bars into a feed.
feed = barfeed.OptimizerBarFeed(barsFreq, instruments, bars)
# Run the strategy.
self.getLogger().info("Running strategy with parameters %s" %
(str(parameters)))
result = None
try:
result = self.runStrategy(feed, *parameters)
except Exception as e:
self.getLogger().exception(
"Error running strategy with parameters %s: %s" %
(str(parameters), e))
self.getLogger().info("Result %s" % result)
if bestResult is None or result > bestResult:
bestResult = result
bestParams = parameters
# Run with the next set of parameters.
parameters = job.getNextParameters()
assert (bestParams is not None)
self.pushJobResults(job.getId(), bestResult, bestParams)
def testBaseBarFeedNoAdjClose(self):
bars = [
bar.Bars({"orcl": bar.BasicBar(datetime.datetime(2001, 1, 1), 1, 1, 1, 1, 1, None, bar.Frequency.DAY)}),
bar.Bars({"orcl": bar.BasicBar(datetime.datetime(2001, 1, 2), 1, 1, 1, 1, 1, None, bar.Frequency.DAY)}),
]
barFeed = barfeed.OptimizerBarFeed(bar.Frequency.DAY, ["orcl"], bars)
check_base_barfeed(self, barFeed, False)
def testDateTimesNotInOrder(self):
bars = [
bar.Bars({"orcl": bar.BasicBar(datetime.datetime(2001, 1, 2), 1, 1, 1, 1, 1, 1, bar.Frequency.DAY)}),
bar.Bars({"orcl": bar.BasicBar(datetime.datetime(2001, 1, 1), 1, 1, 1, 1, 1, 1, bar.Frequency.DAY)}),
]
f = barfeed.OptimizerBarFeed(bar.Frequency.DAY, ["orcl"], bars)
with self.assertRaisesRegexp(Exception, "Bar date times are not in order.*"):
for dt, b in f:
pass
def resultFunction2(self, parametres):
assert(len(parametres) == len(self.lowerBound))
feedToBuildOnEveryLoop = barfeed.OptimizerBarFeed(self.feed.getFrequency(),
self.feed.getRegisteredInstruments(), self.bars)
myStrategy = UnionStrategy(feedToBuildOnEveryLoop, "btc", parametres)
myStrategy.run()
return myStrategy.getResult()
def runStrategy(self, stratExecConfig, paramValues): bars = self.__loadBars(stratExecConfig) barFeed = barfeed.OptimizerBarFeed(barfeed.Frequency.DAY, [stratExecConfig.instrument], bars) # Evaluate the strategy with the feed bars. params = [barFeed] params.extend(paramValues) myStrategy = cls.Class(stratExecConfig.className).getClass()(*params) myStrategy.run() return myStrategy.getResult()
def testBaseBarFeedNoAdjClose(self):
bars = [
bar.Bars([
bar.BasicBar(INSTRUMENT, datetime.datetime(2001, 1, 1), 1, 1,
1, 1, 1, None, bar.Frequency.DAY)
]),
bar.Bars([
bar.BasicBar(INSTRUMENT, datetime.datetime(2001, 1, 2), 1, 1,
1, 1, 1, None, bar.Frequency.DAY)
]),
]
barFeed = barfeed.OptimizerBarFeed(bar.Frequency.DAY, [INSTRUMENT],
bars)
check_base_barfeed(self, barFeed, False)
def testDupliateDateTimesForTradeBars(self):
bars = [
bar.Bars([
bar.BasicBar(INSTRUMENT, datetime.datetime(2001, 1, 1), 1, 1,
1, 1, 1, 1, bar.Frequency.TRADE)
]),
bar.Bars([
bar.BasicBar(INSTRUMENT, datetime.datetime(2001, 1, 1), 1, 1,
1, 1, 2, 1, bar.Frequency.TRADE)
]),
]
f = barfeed.OptimizerBarFeed(bar.Frequency.TRADE, [INSTRUMENT], bars)
expected_volume = 1
for dt, b in f:
assert b[INSTRUMENT].getVolume() == expected_volume
expected_volume += 1
def testDupliateDateTimesForDailyBars(self):
bars = [
bar.Bars([
bar.BasicBar(INSTRUMENT, datetime.datetime(2001, 1, 1), 1, 1,
1, 1, 1, 1, bar.Frequency.DAY)
]),
bar.Bars([
bar.BasicBar(INSTRUMENT, datetime.datetime(2001, 1, 1), 1, 1,
1, 1, 1, 1, bar.Frequency.DAY)
]),
]
f = barfeed.OptimizerBarFeed(bar.Frequency.DAY, [INSTRUMENT], bars)
with self.assertRaisesRegexp(Exception, "%s bars are not in order.*" %
INSTRUMENT):
for dt, b in f:
pass
def __processJob(self, job, instruments, bars):
bestResult = 0
parameters = job.getNextParameters()
bestParams = parameters
while parameters != None:
# Wrap the bars into a feed.
feed = barfeed.OptimizerBarFeed(instruments, bars)
# Run the strategy.
self.getLogger().info("Running strategy with parameters %s" % (str(parameters)))
result = self.runStrategy(feed, *parameters)
self.getLogger().info("Result %s" % result)
if result > bestResult:
bestResult = result
bestParams = parameters
# Run with the next set of parameters.
parameters = job.getNextParameters()
assert(bestParams != None)
self.pushJobResults(job.getId(), bestResult, bestParams)
def testEmtpy(self):
barFeed = barfeed.OptimizerBarFeed(bar.Frequency.DAY, ["orcl"], [])
self.assertEquals(barFeed.barsHaveAdjClose(), False)