def getTickData(self, queue):
# self._db_connection = mysql.connector.connect(user='******', database='blackbox', host="192.168.0.8")
cursor = self._db_connection.cursor()
cursor.callproc('aggregated_data', [self.symbol.identifier, self.period, self.start_date.timestamp(), self.end_date.timestamp() ])
for tick in self.cursor.stored_results():
quote = Quote(self.symbol, tick[0], self.period, Tick(tick[0], tick[1], tick[1])) # open
quote.add_tick(Tick(tick[0], tick[2], tick[2])) # high
quote.add_tick(Tick(tick[0], tick[3], tick[3])) # low
quote.add_tick(Tick(tick[0], tick[4], tick[4])) # close
queue.put(quote)
queue.put(None)
class PriceConflator(object):
def __init__(self, symbol, period, callback=None):
if not isinstance(period, datetime.timedelta):
raise TypeError("period must be a timedelta")
self.symbol = symbol
self.period = period
self.callback = callback
self.period_starting_timestamp = None
self.current_quote = None
@staticmethod
def round_datetime_to_period(timestamp, period):
return timestamp - timestamp % period
def add_tick(self, tick):
grouping_period = self.period.total_seconds()
if not self.current_quote:
self.period_starting_timestamp = PriceConflator.round_datetime_to_period(
tick.timestamp, grouping_period)
self.current_quote = Quote(
self.symbol,
datetime.datetime.utcfromtimestamp(
self.period_starting_timestamp), self.period, tick)
return self.current_quote
else:
current_tick_timeblock = PriceConflator.round_datetime_to_period(
tick.timestamp, grouping_period)
if (current_tick_timeblock -
self.period_starting_timestamp) < grouping_period:
self.current_quote.add_tick(tick)
else:
if self.callback is not None:
self.callback(self.current_quote)
t = self.period_starting_timestamp + grouping_period
while current_tick_timeblock >= (t + grouping_period):
self.callback(
Quote(
self.symbol, datetime.datetime.utcfromtimestamp(t),
self.period,
Tick(self.period_starting_timestamp,
self.current_quote.close,
self.current_quote.close)))
t += grouping_period
self.current_quote = Quote(
self.symbol, datetime.datetime.utcfromtimestamp(t),
self.period, tick)
self.period_starting_timestamp = t
return self.current_quote
return None
def add_tick(self, tick):
grouping_period = self.period.total_seconds()
if not self.current_quote:
self.period_starting_timestamp = PriceConflator.round_datetime_to_period(tick.timestamp, grouping_period)
self.current_quote = Quote(self.symbol, datetime.datetime.utcfromtimestamp(self.period_starting_timestamp), self.period, tick)
return self.current_quote
else:
current_tick_timeblock = PriceConflator.round_datetime_to_period(tick.timestamp, grouping_period)
if (current_tick_timeblock - self.period_starting_timestamp) < grouping_period:
self.current_quote.add_tick(tick)
else:
if self.callback is not None:
self.callback(self.current_quote)
t = self.period_starting_timestamp + grouping_period
while current_tick_timeblock >= (t + grouping_period):
self.callback(Quote(self.symbol, datetime.datetime.utcfromtimestamp(t), self.period, Tick(self.period_starting_timestamp, self.current_quote.close, self.current_quote.close)))
t += grouping_period
self.current_quote = Quote(self.symbol, datetime.datetime.utcfromtimestamp(t), self.period, tick)
self.period_starting_timestamp = t
return self.current_quote
return None
class PriceConflator(object):
def __init__(self, symbol, period, callback = None):
if not isinstance(period, datetime.timedelta):
raise TypeError("period must be a timedelta")
self.symbol = symbol
self.period = period
self.callback = callback
self.period_starting_timestamp = None
self.current_quote = None
@staticmethod
def round_datetime_to_period(timestamp, period):
return timestamp - timestamp % period
def add_tick(self, tick):
grouping_period = self.period.total_seconds()
if not self.current_quote:
self.period_starting_timestamp = PriceConflator.round_datetime_to_period(tick.timestamp, grouping_period)
self.current_quote = Quote(self.symbol, datetime.datetime.utcfromtimestamp(self.period_starting_timestamp), self.period, tick)
return self.current_quote
else:
current_tick_timeblock = PriceConflator.round_datetime_to_period(tick.timestamp, grouping_period)
if (current_tick_timeblock - self.period_starting_timestamp) < grouping_period:
self.current_quote.add_tick(tick)
else:
if self.callback is not None:
self.callback(self.current_quote)
t = self.period_starting_timestamp + grouping_period
while current_tick_timeblock >= (t + grouping_period):
self.callback(Quote(self.symbol, datetime.datetime.utcfromtimestamp(t), self.period, Tick(self.period_starting_timestamp, self.current_quote.close, self.current_quote.close)))
t += grouping_period
self.current_quote = Quote(self.symbol, datetime.datetime.utcfromtimestamp(t), self.period, tick)
self.period_starting_timestamp = t
return self.current_quote
return None
def add_tick(self, tick):
grouping_period = self.period.total_seconds()
if not self.current_quote:
self.period_starting_timestamp = PriceConflator.round_datetime_to_period(
tick.timestamp, grouping_period)
self.current_quote = Quote(
self.symbol,
datetime.datetime.utcfromtimestamp(
self.period_starting_timestamp), self.period, tick)
return self.current_quote
else:
current_tick_timeblock = PriceConflator.round_datetime_to_period(
tick.timestamp, grouping_period)
if (current_tick_timeblock -
self.period_starting_timestamp) < grouping_period:
self.current_quote.add_tick(tick)
else:
if self.callback is not None:
self.callback(self.current_quote)
t = self.period_starting_timestamp + grouping_period
while current_tick_timeblock >= (t + grouping_period):
self.callback(
Quote(
self.symbol, datetime.datetime.utcfromtimestamp(t),
self.period,
Tick(self.period_starting_timestamp,
self.current_quote.close,
self.current_quote.close)))
t += grouping_period
self.current_quote = Quote(
self.symbol, datetime.datetime.utcfromtimestamp(t),
self.period, tick)
self.period_starting_timestamp = t
return self.current_quote
return None
def getTickData(self, queue):
# self._db_connection = mysql.connector.connect(user='******', database='blackbox', host="192.168.0.8")
cursor = self._db_connection.cursor()
cursor.callproc('aggregated_data', [
self.symbol.identifier, self.period,
self.start_date.timestamp(),
self.end_date.timestamp()
])
for tick in self.cursor.stored_results():
quote = Quote(self.symbol, tick[0], self.period,
Tick(tick[0], tick[1], tick[1])) # open
quote.add_tick(Tick(tick[0], tick[2], tick[2])) # high
quote.add_tick(Tick(tick[0], tick[3], tick[3])) # low
quote.add_tick(Tick(tick[0], tick[4], tick[4])) # close
queue.put(quote)
queue.put(None)
def testBodyEngulfing(self):
start_time = datetime.datetime(2015, 7, 26, 12, 0, 0)
symbol = self.algo.analysis_symbols()[0]
t = (0.6, 0.8, 0.2, 0.4)
tick = Tick(start_time.timestamp(), t[0], t[0])
quote = Quote(symbol, start_time, MarketDataPeriod.HOUR_1, tick)
quote.add_tick(Tick(start_time.timestamp(), t[1], t[1]))
quote.add_tick(Tick(start_time.timestamp(), t[2], t[2]))
quote.add_tick(Tick(start_time.timestamp(), t[3], t[3]))
t = (0.8, 1.0, 0.0, 0.2)
tick = Tick(start_time.timestamp(), t[0], t[0])
quote2 = Quote(symbol, start_time, MarketDataPeriod.HOUR_1, tick)
quote2.add_tick(Tick(start_time.timestamp(), t[1], t[1]))
quote2.add_tick(Tick(start_time.timestamp(), t[2], t[2]))
quote2.add_tick(Tick(start_time.timestamp(), t[3], t[3]))
self.assertFalse(self.algo.is_body_engulfing(quote, quote2))
self.assertTrue(self.algo.is_body_engulfing(quote2, quote))
def testStrongCandleBull(self):
start_time = datetime.datetime(2015, 7, 26, 12, 0, 0)
symbol = self.algo.analysis_symbols()[0]
t = (0.2, 0.0, 1.0, 0.8)
tick = Tick(start_time.timestamp(), t[0], t[0])
quote = Quote(symbol, start_time, MarketDataPeriod.HOUR_1, tick)
quote.add_tick(Tick(start_time.timestamp(), t[1], t[1]))
quote.add_tick(Tick(start_time.timestamp(), t[2], t[2]))
quote.add_tick(Tick(start_time.timestamp(), t[3], t[3]))
self.assertTrue(self.algo.is_strong_candle(quote, Direction.LONG))
t = (0.2, 0.0, 1.0, 0.7)
tick = Tick(start_time.timestamp(), t[0], t[0])
quote = Quote(symbol, start_time, MarketDataPeriod.HOUR_1, tick)
quote.add_tick(Tick(start_time.timestamp(), t[1], t[1]))
quote.add_tick(Tick(start_time.timestamp(), t[2], t[2]))
quote.add_tick(Tick(start_time.timestamp(), t[3], t[3]))
self.assertFalse(self.algo.is_strong_candle(quote, Direction.LONG))
def testLargestCandle(self):
start_time = datetime.datetime(2015, 7, 26, 12, 0, 0)
symbol = self.algo.analysis_symbols()[0]
history = []
t = (0.6, 0.8, 0.2, 0.4)
tick = Tick(start_time.timestamp(), t[0], t[0])
quote = Quote(symbol, start_time, MarketDataPeriod.HOUR_1, tick)
quote.add_tick(Tick(start_time.timestamp(), t[1], t[1]))
quote.add_tick(Tick(start_time.timestamp(), t[2], t[2]))
quote.add_tick(Tick(start_time.timestamp(), t[3], t[3]))
history.append(quote)
t = (0.7, 0.9, 0.1, 0.3)
tick = Tick(start_time.timestamp(), t[0], t[0])
quote = Quote(symbol, start_time, MarketDataPeriod.HOUR_1, tick)
quote.add_tick(Tick(start_time.timestamp(), t[1], t[1]))
quote.add_tick(Tick(start_time.timestamp(), t[2], t[2]))
quote.add_tick(Tick(start_time.timestamp(), t[3], t[3]))
history.append(quote)
t = (0.8, 1.0, 0.0, 0.2)
tick = Tick(start_time.timestamp(), t[0], t[0])
quote = Quote(symbol, start_time, MarketDataPeriod.HOUR_1, tick)
quote.add_tick(Tick(start_time.timestamp(), t[1], t[1]))
quote.add_tick(Tick(start_time.timestamp(), t[2], t[2]))
quote.add_tick(Tick(start_time.timestamp(), t[3], t[3]))
self.assertTrue(self.algo.is_largest(quote, history))
t = (0.7, 0.8, 0.0, 0.31)
tick = Tick(start_time.timestamp(), t[0], t[0])
quote = Quote(symbol, start_time, MarketDataPeriod.HOUR_1, tick)
quote.add_tick(Tick(start_time.timestamp(), t[1], t[1]))
quote.add_tick(Tick(start_time.timestamp(), t[2], t[2]))
quote.add_tick(Tick(start_time.timestamp(), t[3], t[3]))
self.assertFalse(self.algo.is_largest(quote, history))
