def testLiveBrokerDonchianAlgorithm2014WithMemoryDataProvider(self):
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
days = feed.getAllDays()
dataProvider = MemoryDataProvider()
dataProvider.persistCash(cash=self.initialCash)
for day in days:
fromDate = day - timedelta(days=self.maxLen)
toDate = day + timedelta(days=5)
feed = DynamicFeed(self.db,
self.codes,
fromDateTime=fromDate,
toDateTime=toDate,
maxLen=self.maxLen)
feed.positionFeed(day)
broker = PytradeBroker(feed,
cash=dataProvider.loadCash(),
orders=dataProvider.loadOrders(),
shares=dataProvider.loadShares())
self.runDonchianAlgorithm(broker, feed, self.donchianEntry,
self.donchianExit, self.riskFactor)
dataProvider.persistCash(cash=broker.getAvailableCash())
dataProvider.persistShares(shares=broker.getAllShares())
dataProvider.persistOrders(orders=broker.getAllActiveOrders())
self.assertEqual(broker.getEquity(), 36922.16)
def testLiveBrokerDonchianAlgorithm2014WithoutDataProvider(self):
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
days = feed.getAllDays()
cash = self.initialCash
shares = {}
orders = {}
for day in days:
fromDate = day - timedelta(days=self.maxLen)
toDate = day + timedelta(days=5)
feed = DynamicFeed(self.db,
self.codes,
fromDateTime=fromDate,
toDateTime=toDate,
maxLen=self.maxLen)
feed.positionFeed(day)
broker = PytradeBroker(feed,
cash=cash,
orders=orders,
shares=shares)
self.runDonchianAlgorithm(broker, feed, self.donchianEntry,
self.donchianExit, self.riskFactor)
cash = broker.getAvailableCash()
shares = broker.getAllShares()
orders = broker.getAllActiveOrders()
self.assertEqual(broker.getEquity(), 36922.16)
def testLiveBrokerDonchianAlgorithmWithSpecificDatesAndSQLiteDataProvider(self):
username = "******"
utc = pytz.utc
days = [
utc.localize(datetime.datetime(2014, 2, 7)),
utc.localize(datetime.datetime(2014, 2, 11)),
utc.localize(datetime.datetime(2014, 9, 18)),
utc.localize(datetime.datetime(2014, 10, 23)),
utc.localize(datetime.datetime(2014, 10, 28)),
utc.localize(datetime.datetime(2014, 12, 31))]
dataProvider = SQLiteDataProvider(self.db)
dataProvider.createSchema()
dataProvider.initializeUser(username, self.initialCash)
for day in days:
fromDate = day - timedelta(days=self.maxLen)
toDate = day + timedelta(days=5)
feed = DynamicFeed(self.db, self.codes, fromDateTime=fromDate, toDateTime=toDate, maxLen=self.maxLen)
feed.positionFeed(day)
broker = PytradeBroker(feed, cash=dataProvider.loadCash(username), orders=dataProvider.loadOrders(username), shares=dataProvider.loadShares(username))
self.runDonchianAlgorithm(broker, feed, self.donchianEntry, self.donchianExit, self.riskFactor)
dataProvider.persistCash(username, broker.getAvailableCash())
dataProvider.persistShares(username, broker.getAllShares())
dataProvider.persistOrders(username, broker.getAllActiveOrders())
self.assertEqual(broker.getEquity(), 36922.16)
def initializeBroker(self, username):
assert self.__feed is not None
assert self.__dataProvider is not None
assert username is not None
self.__broker = PytradeBroker(
feed=self.__feed,
cash=self.__dataProvider.loadCash(username),
orders=self.__dataProvider.loadOrders(username),
shares=self.__dataProvider.loadShares(username))