def testResampleNinjaTraderDay(self):
with common.TmpDir() as tmp_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(tmp_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):
with common.TmpDir() as tmp_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(tmp_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 testResample(self):
barDs = bards.BarDataSeries()
resampledDS = resampled_ds.ResampledDataSeries(
barDs.getCloseDataSeries(), bar.Frequency.MINUTE, sum)
resampledBarDS = resampled_ds.ResampledBarDataSeries(
barDs, bar.Frequency.MINUTE)
barDs.append(
bar.BasicBar(datetime.datetime(2011, 1, 1, 1, 1, 1), 2.1, 3, 1, 2,
10, 1, bar.Frequency.SECOND))
barDs.append(
bar.BasicBar(datetime.datetime(2011, 1, 1, 1, 1, 2), 2, 3, 1, 2.3,
10, 2, bar.Frequency.SECOND))
barDs.append(
bar.BasicBar(datetime.datetime(2011, 1, 1, 1, 2, 1), 2, 3, 1, 2,
10, 2, bar.Frequency.SECOND))
self.assertEqual(len(resampledBarDS), 1)
self.assertEqual(resampledBarDS[0].getDateTime(),
datetime.datetime(2011, 1, 1, 1, 1))
self.assertEqual(resampledBarDS[0].getOpen(), 2.1)
self.assertEqual(resampledBarDS[0].getHigh(), 3)
self.assertEqual(resampledBarDS[0].getLow(), 1)
self.assertEqual(resampledBarDS[0].getClose(), 2.3)
self.assertEqual(resampledBarDS[0].getVolume(), 20)
self.assertEqual(resampledBarDS[0].getAdjClose(), 2)
self.assertEqual(resampledDS[-1], 2 + 2.3)
resampledBarDS.pushLast()
self.assertEqual(len(resampledBarDS), 2)
self.assertEqual(resampledBarDS[1].getDateTime(),
datetime.datetime(2011, 1, 1, 1, 2))
self.assertEqual(resampledBarDS[1].getOpen(), 2)
self.assertEqual(resampledBarDS[1].getHigh(), 3)
self.assertEqual(resampledBarDS[1].getLow(), 1)
self.assertEqual(resampledBarDS[1].getClose(), 2)
self.assertEqual(resampledBarDS[1].getVolume(), 10)
self.assertEqual(resampledBarDS[1].getAdjClose(), 2)
resampledDS.pushLast()
self.assertEqual(resampledDS[1], 2)
def testCheckNow(self):
barDs = bards.BarDataSeries()
resampledBarDS = resampled_ds.ResampledBarDataSeries(
barDs, bar.Frequency.MINUTE)
barDateTime = datetime.datetime(2014, 7, 7, 22, 46, 28, 10000)
barDs.append(
bar.BasicBar(barDateTime, 2.1, 3, 1, 2, 10, 1,
bar.Frequency.MINUTE))
self.assertEqual(len(resampledBarDS), 0)
resampledBarDS.checkNow(barDateTime + datetime.timedelta(minutes=1))
self.assertEqual(len(resampledBarDS), 1)
self.assertEqual(barDs[0].getOpen(), resampledBarDS[0].getOpen())
self.assertEqual(barDs[0].getHigh(), resampledBarDS[0].getHigh())
self.assertEqual(barDs[0].getLow(), resampledBarDS[0].getLow())
self.assertEqual(barDs[0].getClose(), resampledBarDS[0].getClose())
self.assertEqual(barDs[0].getVolume(), resampledBarDS[0].getVolume())
self.assertEqual(barDs[0].getAdjClose(),
resampledBarDS[0].getAdjClose())
self.assertEqual(resampledBarDS[0].getDateTime(),
datetime.datetime(2014, 7, 7, 22, 46))
def resample_impl(barFeed, frequency, csvFile):
instruments = barFeed.getRegisteredInstruments()
if len(instruments) != 1:
raise Exception("Only barfeeds with 1 instrument can be resampled")
csvWriter = CSVFileWriter(csvFile)
def on_bar(ds, dateTime, value):
csvWriter.writeBar(value)
if not (type(instruments) == list):
instruments = list(instruments)
insrumentDS = barFeed[instruments[0]]
resampledDS = resampled.ResampledBarDataSeries(insrumentDS, frequency)
resampledDS.getNewValueEvent().subscribe(on_bar)
# Process all bars.
disp = dispatcher.Dispatcher()
disp.addSubject(barFeed)
disp.run()
resampledDS.pushLast()