def testResampleNinjaTraderDay(self):
common.init_temp_path()
# Resample.
feed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
feed.addBarsFromCSV("spy", common.get_data_file_path("nt-spy-minute-2011.csv"))
resampledBarDS = resampled.ResampledBarDataSeries(feed["spy"], bar.Frequency.DAY)
resampledFile = os.path.join(common.get_temp_path(), "day-nt-spy-minute-2011.csv")
resample.resample_to_csv(feed, bar.Frequency.DAY, resampledFile)
resampledBarDS.pushLast() # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(bar.Frequency.DAY)
feed.addBarsFromCSV("spy", resampledFile, marketsession.USEquities.getTimezone())
feed.loadAll()
self.assertEqual(len(feed["spy"]), 25)
self.assertEqual(
feed["spy"][0].getDateTime(),
dt.localize(datetime.datetime(2011, 1, 3), marketsession.USEquities.getTimezone()),
)
self.assertEqual(
feed["spy"][-1].getDateTime(),
dt.localize(datetime.datetime(2011, 2, 1), marketsession.USEquities.getTimezone()),
)
self.assertEqual(len(resampledBarDS), len(feed["spy"]))
self.assertEqual(resampledBarDS[0].getDateTime(), dt.as_utc(datetime.datetime(2011, 1, 3)))
self.assertEqual(resampledBarDS[-1].getDateTime(), dt.as_utc(datetime.datetime(2011, 2, 1)))
def testResampleNinjaTraderHour(self):
common.init_temp_path()
# Resample.
feed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
feed.addBarsFromCSV("spy", common.get_data_file_path("nt-spy-minute-2011.csv"))
resampledBarDS = resampled_ds.ResampledBarDataSeries(feed["spy"], bar.Frequency.HOUR)
resampledFile = os.path.join(common.get_temp_path(), "hour-nt-spy-minute-2011.csv")
resample.resample_to_csv(feed, bar.Frequency.HOUR, resampledFile)
resampledBarDS.pushLast() # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(bar.Frequency.HOUR, marketsession.USEquities.getTimezone())
feed.addBarsFromCSV("spy", resampledFile)
feed.loadAll()
self.assertEqual(len(feed["spy"]), 340)
self.assertEqual(feed["spy"][0].getDateTime(), dt.localize(datetime.datetime(2011, 1, 3, 9), marketsession.USEquities.getTimezone()))
self.assertEqual(feed["spy"][-1].getDateTime(), dt.localize(datetime.datetime(2011, 2, 1, 1), marketsession.USEquities.getTimezone()))
self.assertEqual(feed["spy"][0].getOpen(), 126.35)
self.assertEqual(feed["spy"][0].getHigh(), 126.45)
self.assertEqual(feed["spy"][0].getLow(), 126.3)
self.assertEqual(feed["spy"][0].getClose(), 126.4)
self.assertEqual(feed["spy"][0].getVolume(), 3397.0)
self.assertEqual(feed["spy"][0].getAdjClose(), None)
self.assertEqual(len(resampledBarDS), len(feed["spy"]))
self.assertEqual(resampledBarDS[0].getDateTime(), dt.as_utc(datetime.datetime(2011, 1, 3, 9)))
self.assertEqual(resampledBarDS[-1].getDateTime(), dt.as_utc(datetime.datetime(2011, 2, 1, 1)))
def testBaseFeedInterface(self):
common.init_temp_path()
path = os.path.join(common.get_temp_path(), "trades-mgtox-usd-2013-01-01.csv")
tools.download_trades_by_day("usd", 2013, 1, 1, path)
bf = barfeed.CSVTradeFeed()
bf.addBarsFromCSV(path)
feed_test.tstBaseFeedInterface(self, bf)
def testBaseFeedInterface(self):
common.init_temp_path()
path = os.path.join(common.get_temp_path(),
"trades-mgtox-usd-2013-01-01.csv")
tools.download_trades_by_day("usd", 2013, 1, 1, path)
bf = barfeed.CSVTradeFeed()
bf.addBarsFromCSV(path)
feed_test.tstBaseFeedInterface(self, bf)
def testDownloadAndParseDaily(self):
instrument = "orcl"
common.init_temp_path()
path = os.path.join(common.get_temp_path(), "orcl-2010.csv")
googlefinance.download_daily_bars(instrument, 2010, path)
bf = googlefeed.Feed()
bf.addBarsFromCSV(instrument, path)
bf.loadAll()
self.assertEqual(bf[instrument][-1].getOpen(), 31.22)
self.assertEqual(bf[instrument][-1].getClose(), 31.30)
def testDownloadAndParseDaily(self):
instrument = "orcl"
common.init_temp_path()
path = os.path.join(common.get_temp_path(), "orcl-2010.csv")
yahoofinance.download_daily_bars(instrument, 2010, path)
bf = yahoofeed.Feed()
bf.addBarsFromCSV(instrument, path)
bf.loadAll()
self.assertEqual(bf[instrument][-1].getOpen(), 31.22)
self.assertEqual(bf[instrument][-1].getClose(), 31.30)
def testDownloadAndParseWeekly(self):
instrument = "aapl"
common.init_temp_path()
path = os.path.join(common.get_temp_path(), "aapl-weekly-2013.csv")
yahoofinance.download_weekly_bars(instrument, 2013, path)
bf = yahoofeed.Feed(frequency=bar.Frequency.WEEK)
bf.addBarsFromCSV(instrument, path)
bf.loadAll()
self.assertEqual(round(bf[instrument][-1].getOpen(), 2), 557.46)
self.assertEqual(round(bf[instrument][-1].getHigh(), 2), 561.28)
self.assertEqual(round(bf[instrument][-1].getLow(), 2), 540.43)
self.assertEqual(round(bf[instrument][-1].getClose(), 2), 540.98)
self.assertTrue(bf[instrument][-1].getVolume() in (9852500, 9855900, 68991600))
def testDownloadAndParseDaily(self):
instrument = "ORCL"
common.init_temp_path()
path = os.path.join(common.get_temp_path(), "quandl-daily-orcl-2010.csv")
quandl.download_daily_bars("WIKI", instrument, 2010, path, auth_token)
bf = quandlfeed.Feed()
bf.addBarsFromCSV(instrument, path)
bf.loadAll()
self.assertEquals(bf[instrument][-1].getDateTime(), datetime.datetime(2010, 12, 31))
self.assertEquals(bf[instrument][-1].getOpen(), 31.22)
self.assertEquals(bf[instrument][-1].getHigh(), 31.33)
self.assertEquals(bf[instrument][-1].getLow(), 30.93)
self.assertEquals(bf[instrument][-1].getClose(), 31.3)
self.assertEquals(bf[instrument][-1].getVolume(), 11716300)
self.assertEquals(bf[instrument][-1].getAdjClose(), 30.23179912467581)
def testDownloadAndParse(self):
common.init_temp_path()
path = os.path.join(common.get_temp_path(), "trades-mgtox-usd-2013-01-01.csv")
tools.download_trades_by_day("usd", 2013, 1, 1, path)
bf = barfeed.CSVTradeFeed()
bf.addBarsFromCSV(path)
bf.loadAll()
ds = bf["BTC"]
self.assertTrue(len(ds) > 0)
self.assertEqual(ds[-1].getOpen(), ds[-1].getHigh())
self.assertEqual(ds[-1].getHigh(), ds[-1].getLow())
self.assertEqual(ds[-1].getLow(), ds[-1].getClose())
self.assertEqual(ds[-1].getClose(), 13.30413)
self.assertEqual(ds[-1].getVolume(), 0.01)
self.assertEqual(ds[-1].getTradeType(), "ask")
self.assertEqual(ds[-1].getDateTime().date(), datetime.date(2013, 1, 1))
def testDownloadAndParseDailyNoAdjClose(self):
instrument = "ORCL"
common.init_temp_path()
path = os.path.join(common.get_temp_path(), "quandl-daily-orcl-2013.csv")
quandl.download_daily_bars("GOOG", "NASDAQ_ORCL", 2013, path, auth_token)
bf = quandlfeed.Feed()
bf.setNoAdjClose()
bf.addBarsFromCSV(instrument, path)
bf.loadAll()
self.assertEquals(bf[instrument][-1].getDateTime(), datetime.datetime(2013, 12, 31))
self.assertEquals(bf[instrument][-1].getOpen(), 37.94)
self.assertEquals(bf[instrument][-1].getHigh(), 38.34)
self.assertEquals(bf[instrument][-1].getLow(), 37.88)
self.assertEquals(bf[instrument][-1].getClose(), 38.26)
self.assertEquals(bf[instrument][-1].getVolume(), 11747517)
self.assertEquals(bf[instrument][-1].getAdjClose(), None)
def testDownloadAndParse(self):
common.init_temp_path()
path = os.path.join(common.get_temp_path(),
"trades-mgtox-usd-2013-01-01.csv")
tools.download_trades_by_day("usd", 2013, 1, 1, path)
bf = barfeed.CSVTradeFeed()
bf.addBarsFromCSV(path)
bf.loadAll()
ds = bf["BTC"]
self.assertTrue(len(ds) > 0)
self.assertEqual(ds[-1].getOpen(), ds[-1].getHigh())
self.assertEqual(ds[-1].getHigh(), ds[-1].getLow())
self.assertEqual(ds[-1].getLow(), ds[-1].getClose())
self.assertEqual(ds[-1].getClose(), 13.30413)
self.assertEqual(ds[-1].getVolume(), 0.01)
self.assertEqual(ds[-1].getTradeType(), "ask")
self.assertEqual(ds[-1].getDateTime().date(),
datetime.date(2013, 1, 1))
def testDownloadAndParseWeekly(self):
instrument = "AAPL"
common.init_temp_path()
path = os.path.join(common.get_temp_path(), "quandl-aapl-weekly-2010.csv")
quandl.download_weekly_bars("WIKI", instrument, 2010, path, auth_token)
bf = quandlfeed.Feed(frequency=bar.Frequency.WEEK)
bf.addBarsFromCSV(instrument, path)
bf.loadAll()
self.assertEquals(bf[instrument][0].getDateTime(), datetime.datetime(2010, 1, 3))
self.assertEquals(bf[instrument][-1].getDateTime(), datetime.datetime(2010, 12, 26))
self.assertEquals(bf[instrument][-1].getOpen(), 325.0)
self.assertEquals(bf[instrument][-1].getHigh(), 325.15)
self.assertEquals(bf[instrument][-1].getLow(), 323.17)
self.assertEquals(bf[instrument][-1].getClose(), 323.6)
self.assertEquals(bf[instrument][-1].getVolume(), 7969900)
# Not checking against a specific value since this is going to change
# as time passes by.
self.assertNotEquals(bf[instrument][-1].getAdjClose(), None)
def testResampleNinjaTraderHour(self):
common.init_temp_path()
# Resample.
feed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
feed.addBarsFromCSV(
"spy", common.get_data_file_path("nt-spy-minute-2011.csv"))
resampledBarDS = resampled_ds.ResampledBarDataSeries(
feed["spy"], bar.Frequency.HOUR)
resampledFile = os.path.join(common.get_temp_path(),
"hour-nt-spy-minute-2011.csv")
resample.resample_to_csv(feed, bar.Frequency.HOUR, resampledFile)
resampledBarDS.pushLast(
) # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(bar.Frequency.HOUR,
marketsession.USEquities.getTimezone())
feed.addBarsFromCSV("spy", resampledFile)
feed.loadAll()
self.assertEqual(len(feed["spy"]), 340)
self.assertEqual(
feed["spy"][0].getDateTime(),
dt.localize(datetime.datetime(2011, 1, 3, 9),
marketsession.USEquities.getTimezone()))
self.assertEqual(
feed["spy"][-1].getDateTime(),
dt.localize(datetime.datetime(2011, 2, 1, 1),
marketsession.USEquities.getTimezone()))
self.assertEqual(feed["spy"][0].getOpen(), 126.35)
self.assertEqual(feed["spy"][0].getHigh(), 126.45)
self.assertEqual(feed["spy"][0].getLow(), 126.3)
self.assertEqual(feed["spy"][0].getClose(), 126.4)
self.assertEqual(feed["spy"][0].getVolume(), 3397.0)
self.assertEqual(feed["spy"][0].getAdjClose(), None)
self.assertEqual(len(resampledBarDS), len(feed["spy"]))
self.assertEqual(resampledBarDS[0].getDateTime(),
dt.as_utc(datetime.datetime(2011, 1, 3, 9)))
self.assertEqual(resampledBarDS[-1].getDateTime(),
dt.as_utc(datetime.datetime(2011, 2, 1, 1)))
def testDownloadAndParseDaily_UseAdjClose(self):
instrument = "ORCL"
common.init_temp_path()
path = os.path.join(common.get_temp_path(), "quandl-daily-orcl-2010.csv")
quandl.download_daily_bars("WIKI", instrument, 2010, path, auth_token)
bf = quandlfeed.Feed()
bf.addBarsFromCSV(instrument, path)
# Need to setUseAdjustedValues(True) after loading the file because we
# can't tell in advance if adjusted values are there or not.
bf.setUseAdjustedValues(True)
bf.loadAll()
self.assertEquals(bf[instrument][-1].getDateTime(), datetime.datetime(2010, 12, 31))
self.assertEquals(bf[instrument][-1].getOpen(), 31.22)
self.assertEquals(bf[instrument][-1].getHigh(), 31.33)
self.assertEquals(bf[instrument][-1].getLow(), 30.93)
self.assertEquals(bf[instrument][-1].getClose(), 31.3)
self.assertEquals(bf[instrument][-1].getVolume(), 11716300)
self.assertEquals(bf[instrument][-1].getAdjClose(), 30.23179912467581)
self.assertEquals(bf[instrument][-1].getPrice(), 30.23179912467581)
def testResampleNinjaTraderDay(self):
common.init_temp_path()
# Resample.
feed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
feed.addBarsFromCSV(
"spy", common.get_data_file_path("nt-spy-minute-2011.csv"))
resampledBarDS = resampled_ds.ResampledBarDataSeries(
feed["spy"], bar.Frequency.DAY)
resampledFile = os.path.join(common.get_temp_path(),
"day-nt-spy-minute-2011.csv")
resample.resample_to_csv(feed, bar.Frequency.DAY, resampledFile)
resampledBarDS.pushLast(
) # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(bar.Frequency.DAY)
feed.addBarsFromCSV("spy", resampledFile,
marketsession.USEquities.getTimezone())
feed.loadAll()
self.assertEqual(len(feed["spy"]), 25)
self.assertEqual(
feed["spy"][0].getDateTime(),
dt.localize(datetime.datetime(2011, 1, 3),
marketsession.USEquities.getTimezone()))
self.assertEqual(
feed["spy"][-1].getDateTime(),
dt.localize(datetime.datetime(2011, 2, 1),
marketsession.USEquities.getTimezone()))
self.assertEqual(len(resampledBarDS), len(feed["spy"]))
self.assertEqual(resampledBarDS[0].getDateTime(),
dt.as_utc(datetime.datetime(2011, 1, 3)))
self.assertEqual(resampledBarDS[-1].getDateTime(),
dt.as_utc(datetime.datetime(2011, 2, 1)))
