def __init__(self, algo, working_capital, order_book, data_provider):
if not isinstance(algo, Framework):
raise TypeError(
"algorithm must be a subclass of strategy.strategy.Framework")
if not isinstance(order_book, OrderBook):
raise TypeError("order_book must be a subclass of OrderBook")
if not isinstance(data_provider, MarketData):
raise TypeError("data_provider must be a subclass of MarketData")
self.algo = algo
self.starting_capital = working_capital
self.order_book = order_book
self.data_provider = data_provider
self.context = Context(working_capital, self.order_book,
self.algo.analysis_symbols(),
self.algo.quote_cache_size())
self.algo.initialise_context(self.context)
self.order_book.addOrderStatusObserver(self.context,
self.order_status_update)
self.order_book.addPositionStatusObserver(
self.context, self.position_status_observer)
for (symbol, period, callback) in self.algo.analysis_symbols():
self.data_provider.addPriceObserver(
symbol, period, partial(self.handle_tick_update, callback))
class Container(object):
def __init__(self, algo, working_capital, order_book, data_provider):
if not isinstance(algo, Framework):
raise TypeError("algorithm must be a subclass of strategy.strategy.Framework")
if not isinstance(order_book, OrderBook):
raise TypeError("order_book must be a subclass of OrderBook")
if not isinstance(data_provider, MarketData):
raise TypeError("data_provider must be a subclass of MarketData")
self.algo = algo
self.starting_capital = working_capital
self.order_book = order_book
self.data_provider = data_provider
self.context = Context(working_capital, self.order_book, self.algo.analysis_symbols(), self.algo.quote_cache_size())
self.algo.initialise_context(self.context)
self.order_book.addOrderStatusObserver(self.context, self.order_status_update)
self.order_book.addPositionStatusObserver(self.context, self.position_status_observer)
for (symbol, period, callback) in self.algo.analysis_symbols():
self.data_provider.addPriceObserver(symbol, period, partial(self.handle_tick_update, callback))
def handle_tick_update(self, callback, symbol, quote):
"""
This method gets called from the MarketData framework
"""
# if quote is None or not isinstance(quote, Quote):
# raise TypeError("Invalid quote")
callback(self.context, quote)
self.context.add_quote(quote)
def order_status_update(self, order, previous_state):
if order.status is State.WORKING and previous_state is State.PENDING_NEW:
logging.debug("Order accepted =================")
elif order.status is State.FILLED and previous_state is State.WORKING:
logging.debug("Order filled =================")
def position_status_observer(self, position, previous_state):
if previous_state is None and position not in self.context.positions:
self.context.positions.append(position)
elif not position.is_open() and position in self.context.positions:
self.context.working_capital += position.points_delta() * position.order.quantity
def __str__(self):
total_positions = len(list(filter(lambda x: not x.is_open(), self.context.positions)))
if total_positions == 0:
return "========================\nAlgo %s\nNo Positions taken" % (self.algo.identifier(),)
else:
closed = list(map(lambda x: "%s --> %.2fpts (%s)" % (x, x.points_delta(), x.position_time()), filter(lambda x: not x.is_open(), self.context.positions)))
open = list(map(lambda x: "%s" % (x), filter(lambda x: x.is_open(), self.context.positions)))
winning = list(filter(lambda x: x.points_delta() > 0.0, filter(lambda x: not x.is_open(), self.context.positions)))
return "========================\nAlgo %s\nCompleted:\n%s\nOpen:\n%s\nWinning Ratio: %.2f%%\nTotal Pts: %.2f" % (self.algo.identifier(), "\n".join(closed),
"\n".join(open),
(len(winning)/total_positions * 100),
sum([x.points_delta() for x in filter(lambda x: not x.is_open(), self.context.positions)]))
def __init__(self, algo, working_capital, order_book, data_provider):
if not isinstance(algo, Framework):
raise TypeError("algorithm must be a subclass of strategy.strategy.Framework")
if not isinstance(order_book, OrderBook):
raise TypeError("order_book must be a subclass of OrderBook")
if not isinstance(data_provider, MarketData):
raise TypeError("data_provider must be a subclass of MarketData")
self.algo = algo
self.starting_capital = working_capital
self.order_book = order_book
self.data_provider = data_provider
self.context = Context(working_capital, self.order_book, self.algo.analysis_symbols(), self.algo.quote_cache_size())
self.algo.initialise_context(self.context)
self.order_book.addOrderStatusObserver(self.context, self.order_status_update)
self.order_book.addPositionStatusObserver(self.context, self.position_status_observer)
for (symbol, period, callback) in self.algo.analysis_symbols():
self.data_provider.addPriceObserver(symbol, period, partial(self.handle_tick_update, callback))
class Container(object):
def __init__(self, algo, working_capital, order_book, data_provider):
if not isinstance(algo, Framework):
raise TypeError(
"algorithm must be a subclass of strategy.strategy.Framework")
if not isinstance(order_book, OrderBook):
raise TypeError("order_book must be a subclass of OrderBook")
if not isinstance(data_provider, MarketData):
raise TypeError("data_provider must be a subclass of MarketData")
self.algo = algo
self.starting_capital = working_capital
self.order_book = order_book
self.data_provider = data_provider
self.context = Context(working_capital, self.order_book,
self.algo.analysis_symbols(),
self.algo.quote_cache_size())
self.algo.initialise_context(self.context)
self.order_book.addOrderStatusObserver(self.context,
self.order_status_update)
self.order_book.addPositionStatusObserver(
self.context, self.position_status_observer)
for (symbol, period, callback) in self.algo.analysis_symbols():
self.data_provider.addPriceObserver(
symbol, period, partial(self.handle_tick_update, callback))
def handle_tick_update(self, callback, symbol, quote):
"""
This method gets called from the MarketData framework
"""
# if quote is None or not isinstance(quote, Quote):
# raise TypeError("Invalid quote")
callback(self.context, quote)
self.context.add_quote(quote)
def order_status_update(self, order, previous_state):
if order.status is State.WORKING and previous_state is State.PENDING_NEW:
logging.debug("Order accepted =================")
elif order.status is State.FILLED and previous_state is State.WORKING:
logging.debug("Order filled =================")
def position_status_observer(self, position, previous_state):
if previous_state is None and position not in self.context.positions:
self.context.positions.append(position)
elif not position.is_open() and position in self.context.positions:
self.context.working_capital += position.points_delta(
) * position.order.quantity
def __str__(self):
total_positions = len(
list(filter(lambda x: not x.is_open(), self.context.positions)))
if total_positions == 0:
return "========================\nAlgo %s\nNo Positions taken" % (
self.algo.identifier(), )
else:
closed = list(
map(
lambda x: "%s --> %.2fpts (%s)" %
(x, x.points_delta(), x.position_time()),
filter(lambda x: not x.is_open(), self.context.positions)))
open = list(
map(lambda x: "%s" % (x),
filter(lambda x: x.is_open(), self.context.positions)))
winning = list(
filter(
lambda x: x.points_delta() > 0.0,
filter(lambda x: not x.is_open(), self.context.positions)))
return "========================\nAlgo %s\nCompleted:\n%s\nOpen:\n%s\nWinning Ratio: %.2f%%\nTotal Pts: %.2f" % (
self.algo.identifier(), "\n".join(closed), "\n".join(open),
(len(winning) / total_positions * 100),
sum([
x.points_delta() for x in filter(lambda x: not x.is_open(),
self.context.positions)
]))
def setUp(self):
Symbol.set_info_provider(DummySymbolProvider())
self.order_router = TestOrderRouter()
self.algo = NakedBigShadow(10, 50, 100, MarketDataPeriod.HOUR_1)
self.context = Context(10000, OrderBook(self.order_router, BacktestOrderbookPersist()), self.algo.analysis_symbols(), self.algo.quote_cache_size())