def makeAlgs():
TradeSize = [0.25]
# Changing to use tradeCue combinations.
# Only 60 at the moment but this allows for up to 1000.
fetchCues = meSchema.tradeCue.all().fetch(1000)
TradeCues = []
for tradecue in fetchCues:
TradeCues.append(tradecue.key().name())
Cash = [100000.0]
id = 0
meList = []
count = 0
for buyCue in TradeCues:
for sellCue in TradeCues:
if sellCue != buyCue:
for size in TradeSize:
for meCash in Cash:
id += 1
key_name = meSchema.buildAlgKey(id)
alg = meSchema.meAlg(key_name = key_name,
TradeSize = size,
BuyCue = buyCue,
SellCue = sellCue,
Cash = meCash)
meList.append(alg)
meSchema.batchPut(meList)
def post(self):
startDayIndex = int(self.request.get('startDayIndex'))
Symbol = str(self.request.get('Symbol'))
stckID = meSchema.getStckID(Symbol)
csvFile = Symbol + '_01-2005_11-2010.csv'
dailyQuotes = list(csv.reader(open(csvFile)))
dailyQuotes.reverse()
# Index 0 is for step 1000001 to 1000080
# Index 1 is for step 1000081 to 1000160
# Index N is for step N*80 + 1 to (N+1)*80 # plus 1000000
putList = []
for N in range(len(dailyQuotes)):
dailyOpenStep = 1000000 + N*80 + 1
dailyCloseStep = 1000000 + N*80 + 80
'''Must draw random steps for High and Low.'''
daySteps = [step for step in range(dailyOpenStep+1,dailyCloseStep)]
highLow = sample(daySteps, 2)
dailyHighStep = highLow[0]
dailyLowStep = highLow[1]
''' Set Quote Values '''
OpenQuote = dailyQuotes[N][1]
HighQuote = dailyQuotes[N][2]
LowQuote = dailyQuotes[N][3]
CloseQuote = dailyQuotes[N][4]
''' Create stck Entities for stckID Quotes'''
openStck = meSchema.stck(key_name=str(stckID) + '_' + str(dailyOpenStep),
ID = stckID, quote = float(OpenQuote), step = dailyOpenStep)
highStck = meSchema.stck(key_name=str(stckID) + '_' + str(dailyHighStep),
ID = stckID, quote = float(HighQuote), step = dailyHighStep)
lowStck = meSchema.stck(key_name=str(stckID) + '_' + str(dailyLowStep),
ID = stckID, quote = float(LowQuote), step = dailyLowStep)
closeStck = meSchema.stck(key_name=str(stckID) + '_' + str(dailyCloseStep),
ID = stckID, quote = float(CloseQuote), step = dailyCloseStep)
putList.extend([openStck,highStck,lowStck,closeStck])
meSchema.batchPut(putList)
def post(self):
''' Starting at Step 1000001 and iterating over each group of 80,
Get all stck quotes for range and fill in gaps. '''
startStep = int(self.request.get('startStep'))
if startStep < 1000001:
raise Exception('Must be doing random fills above step 1000000!')
endStep = startStep + 79
stckDict,stepSeq = getStckDictStepSeq(startStep,endStep)
''' for stckID in stckDict, must fill in gaps between stepSeq values. '''
entityList = buildEntityList(stckDict, stepSeq)
meSchema.batchPut(entityList)
def makeTradeCues():
TimeDelta = [1,80,160,240,320,400]
QuoteDelta = [-0.05,-0.03,-0.02,-0.015,-0.01,-0.0075,0.0075,0.01,0.015,0.02,0.03,0.05]
cueID = 0
count = 0
meList = []
for tdelta in TimeDelta:
for qdelta in QuoteDelta:
cueID += 1
key_name = meSchema.buildTradeCueKey(cueID)
tradeCue = meSchema.tradeCue(key_name = key_name,
QuoteDelta = qdelta,
TimeDelta = tdelta)
meList.append(tradeCue)
meSchema.batchPut(meList)
def updateNs(stopStep,startStep, pReturnFilter, name, i, backTests):
N = [1,2]
Nkeys = {}
for n in N:
nStop = stopStep - n*400
nStart = startStep - n*400
thisN = meSchema.backTestResult.all(keys_only = True).filter("stopStep =", nStop).filter("startStep =", nStart).filter(pReturnFilter,0.0).order("-percentReturn")
memKey = str(dumps(thisN).__hash__())
algsN = memcache.get(memKey)
if algsN is None:
fullAlgKeys = thisN.fetch(4000)
algsN = [algkey.name().split('_')[0] for algkey in fullAlgKeys]
memcache.set(memKey, algsN)
Nkeys[n] = algsN
for backTest in backTests:
algKey = backTest.key().name().split('_')[0]
backTest.N = 1
if algKey in set(Nkeys[1]) - set(Nkeys[2]):
backTest.N = 2
elif algKey in set(Nkeys[1]) & set(Nkeys[2]):
backTest.N = 3
meSchema.batchPut(backTests)
