def testResampleNinjaTraderDay(self):
# 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"], barfeed.Frequency.DAY)
resampledFile = os.path.join(common.get_temp_path(), "day-nt-spy-minute-2011.csv")
resample.resample_to_csv(feed, barfeed.Frequency.DAY, resampledFile)
resampledBarDS.pushLast() # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(barfeed.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 testResampleMtGoxMinute(self):
# Resample.
feed = mtgoxfeed.CSVTradeFeed()
feed.addBarsFromCSV(
common.get_data_file_path("trades-mgtox-usd-2013-01-01.csv"))
resampledBarDS = resampled.ResampledBarDataSeries(
feed["BTC"], barfeed.Frequency.MINUTE)
resample.resample_to_csv(feed, barfeed.Frequency.MINUTE,
"minute-mgtox-usd-2013-01-01.csv")
resampledBarDS.pushLast(
) # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(barfeed.Frequency.MINUTE)
feed.addBarsFromCSV("BTC", "minute-mgtox-usd-2013-01-01.csv")
feed.loadAll()
self.assertEqual(len(feed["BTC"]), 537)
self.assertEqual(feed["BTC"][0].getDateTime(),
datetime.datetime(2013, 01, 01, 00, 04, 59))
self.assertEqual(feed["BTC"][-1].getDateTime(),
datetime.datetime(2013, 01, 01, 23, 58, 59))
self.assertEqual(len(resampledBarDS), len(feed["BTC"]))
self.assertEqual(resampledBarDS[0].getDateTime(),
dt.as_utc(feed["BTC"][0].getDateTime()))
self.assertEqual(resampledBarDS[-1].getDateTime(),
dt.as_utc(feed["BTC"][-1].getDateTime()))
def testMarketTimes(self):
# 9:30 in GMT-5
dateTime = dt.as_utc(datetime.datetime(2013, 1, 1, 9 + 5, 30))
self.assertEqual(
dt.unlocalize(api.to_market_datetime(dateTime, "XNYS")),
datetime.datetime(2013, 1, 1, 9, 30))
self.assertEqual(
dt.unlocalize(api.to_market_datetime(dateTime, "XASE")),
datetime.datetime(2013, 1, 1, 9, 30))
self.assertEqual(
dt.unlocalize(api.to_market_datetime(dateTime, "XNAS")),
datetime.datetime(2013, 1, 1, 9, 30))
self.assertEqual(
dt.unlocalize(api.to_market_datetime(dateTime, "XNYS")),
datetime.datetime(2013, 1, 1, 9, 30))
# 8:00 in GMT
dateTime = dt.as_utc(datetime.datetime(2013, 1, 1, 8))
self.assertEqual(
dt.unlocalize(api.to_market_datetime(dateTime, "CHIX")),
datetime.datetime(2013, 1, 1, 8))
# From Apr~Oct CHIX is GMT+1
dateTime = dt.as_utc(datetime.datetime(2013, 4, 1, 8))
self.assertEqual(
dt.unlocalize(api.to_market_datetime(dateTime, "CHIX")),
datetime.datetime(2013, 4, 1, 9))
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 testResampleMtGoxDay(self):
# Resample.
feed = mtgoxfeed.CSVTradeFeed()
feed.addBarsFromCSV(common.get_data_file_path("trades-mgtox-usd-2013-01-01.csv"))
resampledBarDS = resampled.ResampledBarDataSeries(feed["BTC"], barfeed.Frequency.DAY)
resampledFile = os.path.join(common.get_temp_path(), "day-mgtox-usd-2013-01-01.csv")
resample.resample_to_csv(feed, barfeed.Frequency.DAY, resampledFile)
resampledBarDS.pushLast() # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(barfeed.Frequency.DAY)
feed.addBarsFromCSV("BTC", resampledFile)
feed.loadAll()
self.assertEqual(len(feed["BTC"]), 1)
self.assertEqual(feed["BTC"][0].getDateTime(), datetime.datetime(2013, 1, 1))
self.assertEqual(feed["BTC"][0].getOpen(), 13.51001)
self.assertEqual(feed["BTC"][0].getHigh(), 13.56)
self.assertEqual(feed["BTC"][0].getLow(), 13.16123)
self.assertEqual(feed["BTC"][0].getClose(), 13.30413)
self.assertEqual(feed["BTC"][0].getVolume(), 28168.9114596)
self.assertEqual(feed["BTC"][0].getAdjClose(), 13.30413)
self.assertEqual(len(resampledBarDS), len(feed["BTC"]))
self.assertEqual(resampledBarDS[0].getDateTime(), dt.as_utc(feed["BTC"][0].getDateTime()))
self.assertEqual(resampledBarDS[-1].getDateTime(), dt.as_utc(feed["BTC"][-1].getDateTime()))
self.assertEqual(resampledBarDS[0].getOpen(), feed["BTC"][0].getOpen())
self.assertEqual(resampledBarDS[0].getHigh(), feed["BTC"][0].getHigh())
self.assertEqual(resampledBarDS[0].getLow(), feed["BTC"][0].getLow())
self.assertEqual(resampledBarDS[0].getClose(), feed["BTC"][0].getClose())
self.assertEqual(round(resampledBarDS[0].getVolume(), 5), round(feed["BTC"][0].getVolume(), 5))
self.assertEqual(resampledBarDS[0].getAdjClose(), feed["BTC"][0].getAdjClose())
def load_intraday_bars(): global feed print "Loading bars from file" feed = ninjatraderfeed.Feed(barfeed.Frequency.MINUTE) feed.setBarFilter(csvfeed.DateRangeFilter(dt.as_utc(datetime.datetime(2008, 1, 1)), dt.as_utc(datetime.datetime(2008, 12, 31)))) feed.addBarsFromCSV(instrument, "/Users/gabo/Downloads/etf-quotes/SPY.Last.txt")
def testLoadFilterFrom(self):
feed = barfeed.CSVTradeFeed()
feed.addBarsFromCSV(common.get_data_file_path("bitstampUSD.csv"),
INSTRUMENT,
fromDateTime=dt.as_utc(
datetime.datetime(2012, 5, 29)))
loaded = [(dateTime, bars) for dateTime, bars in feed]
self.assertEqual(len(loaded), 646)
self.assertEqual(loaded[0][0],
dt.as_utc(datetime.datetime(2012, 5, 29, 1, 47, 52)))
b = loaded[0][1].getBar(INSTRUMENT)
self.assertEqual(b.getDateTime(),
dt.as_utc(datetime.datetime(2012, 5, 29, 1, 47, 52)))
self.assertEqual(b.getClose(), 5.07)
self.assertEqual(b.getPrice(), 5.07)
self.assertEqual(b.getVolume(), 1.39081288)
self.assertEqual(
loaded[-1][0],
dt.as_utc(datetime.datetime(2012, 5, 31, 8, 41, 18, 5)))
b = loaded[-1][1].getBar(INSTRUMENT)
self.assertEqual(
b.getDateTime(),
dt.as_utc(datetime.datetime(2012, 5, 31, 8, 41, 18, 5)))
self.assertEqual(b.getClose(), 5.1)
self.assertEqual(b.getPrice(), 5.1)
self.assertEqual(b.getVolume(), 0.39215686)
def testLoadFilterFromAndTo(self):
feed = barfeed.CSVTradeFeed()
feed.addBarsFromCSV(common.get_data_file_path("bitstampUSD.csv"),
instrument=INSTRUMENT,
fromDateTime=dt.as_utc(
datetime.datetime(2012, 5, 29)),
toDateTime=datetime.datetime(2012, 5, 31))
loaded = [(dateTime, bars) for dateTime, bars in feed]
self.assertEqual(len(loaded), 579)
self.assertEqual(loaded[0][0],
dt.as_utc(datetime.datetime(2012, 5, 29, 1, 47, 52)))
b = loaded[0][1].getBar(INSTRUMENT)
self.assertEqual(b.getDateTime(),
dt.as_utc(datetime.datetime(2012, 5, 29, 1, 47, 52)))
self.assertEqual(b.getClose(), 5.07)
self.assertEqual(b.getVolume(), 1.39081288)
self.assertEqual(loaded[-1][0],
dt.as_utc(datetime.datetime(2012, 5, 30, 23, 49, 21)))
b = loaded[-1][1].getBar(INSTRUMENT)
self.assertEqual(b.getDateTime(),
dt.as_utc(datetime.datetime(2012, 5, 30, 23, 49, 21)))
self.assertEqual(b.getClose(), 5.14)
self.assertEqual(b.getVolume(), 20)
def testResampleMtGoxHour(self):
# Resample.
feed = mtgoxfeed.CSVTradeFeed()
feed.addBarsFromCSV(
common.get_data_file_path("trades-mgtox-usd-2013-01-01.csv"))
resampledBarDS = resampled.ResampledBarDataSeries(
feed["BTC"], barfeed.Frequency.HOUR)
resampledFile = os.path.join(common.get_temp_path(),
"hour-mgtox-usd-2013-01-01.csv")
resample.resample_to_csv(feed, barfeed.Frequency.HOUR, resampledFile)
resampledBarDS.pushLast(
) # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(barfeed.Frequency.HOUR)
feed.addBarsFromCSV("BTC", resampledFile)
feed.loadAll()
self.assertEqual(len(feed["BTC"]), 24)
self.assertEqual(feed["BTC"][0].getDateTime(),
datetime.datetime(2013, 01, 01, 00, 59, 59))
self.assertEqual(feed["BTC"][-1].getDateTime(),
datetime.datetime(2013, 01, 01, 23, 59, 59))
self.assertEqual(len(resampledBarDS), len(feed["BTC"]))
self.assertEqual(resampledBarDS[0].getDateTime(),
dt.as_utc(feed["BTC"][0].getDateTime()))
self.assertEqual(resampledBarDS[-1].getDateTime(),
dt.as_utc(feed["BTC"][-1].getDateTime()))
def testResampleNinjaTraderHour(self):
# 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"], barfeed.Frequency.HOUR)
resampledFile = os.path.join(common.get_temp_path(), "hour-nt-spy-minute-2011.csv")
resample.resample_to_csv(feed, barfeed.Frequency.HOUR, resampledFile)
resampledBarDS.pushLast() # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(barfeed.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 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 testLoadNoFilter(self):
feed = barfeed.CSVTradeFeed()
feed.addBarsFromCSV(common.get_data_file_path("bitstampUSD.csv"))
loaded = [(dateTime, bars) for dateTime, bars in feed]
self.assertEqual(len(loaded), 9999)
self.assertEqual(loaded[0][0],
dt.as_utc(datetime.datetime(2011, 9, 13, 13, 53, 36)))
b = loaded[0][1].getBar(INSTRUMENT)
self.assertEqual(b.getDateTime(),
dt.as_utc(datetime.datetime(2011, 9, 13, 13, 53, 36)))
self.assertEqual(b.getClose(), 5.8)
self.assertEqual(b.getPrice(), 5.8)
self.assertEqual(b.getVolume(), 1.0)
self.assertEqual(
loaded[-1][0],
dt.as_utc(datetime.datetime(2012, 5, 31, 8, 41, 18, 5)))
b = loaded[-1][1].getBar(INSTRUMENT)
self.assertEqual(
b.getDateTime(),
dt.as_utc(datetime.datetime(2012, 5, 31, 8, 41, 18, 5)))
self.assertEqual(b.getClose(), 5.1)
self.assertEqual(b.getPrice(), 5.1)
self.assertEqual(b.getVolume(), 0.39215686)
def load_intraday_bars():
global feed
print "Loading bars from file"
feed = ninjatraderfeed.Feed(barfeed.Frequency.MINUTE)
# feed.setBarFilter(csvfeed.DateRangeFilter(dt.as_utc(datetime.datetime(2008, 1, 1)), dt.as_utc(datetime.datetime(2008, 12, 31))))
feed.setBarFilter(
csvfeed.DateRangeFilter(dt.as_utc(datetime.datetime(2008, 1, 1)),
dt.as_utc(datetime.datetime(2008, 3, 31))))
feed.addBarsFromCSV(instrument,
"/Users/gabo/Downloads/etf-quotes/SPY.Last.txt")
def testMarketTimes(self):
# 9:30 in GMT-5
dateTime = dt.as_utc(datetime.datetime(2013, 1, 1, 9+5, 30))
self.assertEqual(dt.unlocalize(api.to_market_datetime(dateTime, "XNYS")), datetime.datetime(2013, 1, 1, 9, 30))
self.assertEqual(dt.unlocalize(api.to_market_datetime(dateTime, "XASE")), datetime.datetime(2013, 1, 1, 9, 30))
self.assertEqual(dt.unlocalize(api.to_market_datetime(dateTime, "XNAS")), datetime.datetime(2013, 1, 1, 9, 30))
self.assertEqual(dt.unlocalize(api.to_market_datetime(dateTime, "XNYS")), datetime.datetime(2013, 1, 1, 9, 30))
# 8:00 in GMT
dateTime = dt.as_utc(datetime.datetime(2013, 1, 1, 8))
self.assertEqual(dt.unlocalize(api.to_market_datetime(dateTime, "CHIX")), datetime.datetime(2013, 1, 1, 8))
# From Apr~Oct CHIX is GMT+1
dateTime = dt.as_utc(datetime.datetime(2013, 4, 1, 8))
self.assertEqual(dt.unlocalize(api.to_market_datetime(dateTime, "CHIX")), datetime.datetime(2013, 4, 1, 9))
def testLoadNoFilter(self):
feed = barfeed.CSVTradeFeed()
feed.addBarsFromCSV(common.get_data_file_path("bitstampUSD.csv"))
loaded = [(dateTime, bars) for dateTime, bars in feed]
self.assertEquals(len(loaded), 9999)
self.assertEquals(loaded[0][0], dt.as_utc(datetime.datetime(2011, 9, 13, 13, 53, 36)))
self.assertEquals(loaded[0][1]["BTC"].getDateTime(), dt.as_utc(datetime.datetime(2011, 9, 13, 13, 53, 36)))
self.assertEquals(loaded[0][1]["BTC"].getClose(), 5.8)
self.assertEquals(loaded[0][1]["BTC"].getVolume(), 1.0)
self.assertEquals(loaded[-1][0], dt.as_utc(datetime.datetime(2012, 5, 31, 8, 41, 18, 5)))
self.assertEquals(loaded[-1][1]["BTC"].getDateTime(), dt.as_utc(datetime.datetime(2012, 5, 31, 8, 41, 18, 5)))
self.assertEquals(loaded[-1][1]["BTC"].getClose(), 5.1)
self.assertEquals(loaded[-1][1]["BTC"].getVolume(), 0.39215686)
def testLoadFilterFromAndTo(self):
feed = barfeed.CSVTradeFeed()
feed.addBarsFromCSV(common.get_data_file_path("bitstampUSD.csv"), "bitstampUSD", fromDateTime=dt.as_utc(datetime.datetime(2012, 5, 29)), toDateTime=datetime.datetime(2012, 5, 31))
loaded = [(dateTime, bars) for dateTime, bars in feed]
self.assertEquals(len(loaded), 579)
self.assertEquals(loaded[0][0], dt.as_utc(datetime.datetime(2012, 5, 29, 1, 47, 52)))
self.assertEquals(loaded[0][1]["bitstampUSD"].getDateTime(), dt.as_utc(datetime.datetime(2012, 5, 29, 1, 47, 52)))
self.assertEquals(loaded[0][1]["bitstampUSD"].getClose(), 5.07)
self.assertEquals(loaded[0][1]["bitstampUSD"].getVolume(), 1.39081288)
self.assertEquals(loaded[-1][0], dt.as_utc(datetime.datetime(2012, 5, 30, 23, 49, 21)))
self.assertEquals(loaded[-1][1]["bitstampUSD"].getDateTime(), dt.as_utc(datetime.datetime(2012, 5, 30, 23, 49, 21)))
self.assertEquals(loaded[-1][1]["bitstampUSD"].getClose(), 5.14)
self.assertEquals(loaded[-1][1]["bitstampUSD"].getVolume(), 20)
def testLoadFilterFrom(self):
feed = barfeed.CSVTradeFeed()
feed.addBarsFromCSV(common.get_data_file_path("bitstampUSD.csv"), "bitstampUSD", fromDateTime=dt.as_utc(datetime.datetime(2012, 5, 29)))
loaded = [(dateTime, bars) for dateTime, bars in feed]
self.assertEquals(len(loaded), 646)
self.assertEquals(loaded[0][0], dt.as_utc(datetime.datetime(2012, 5, 29, 1, 47, 52)))
self.assertEquals(loaded[0][1]["bitstampUSD"].getDateTime(), dt.as_utc(datetime.datetime(2012, 5, 29, 1, 47, 52)))
self.assertEquals(loaded[0][1]["bitstampUSD"].getClose(), 5.07)
self.assertEquals(loaded[0][1]["bitstampUSD"].getVolume(), 1.39081288)
self.assertEquals(loaded[-1][0], dt.as_utc(datetime.datetime(2012, 5, 31, 8, 41, 18, 5)))
self.assertEquals(loaded[-1][1]["bitstampUSD"].getDateTime(), dt.as_utc(datetime.datetime(2012, 5, 31, 8, 41, 18, 5)))
self.assertEquals(loaded[-1][1]["bitstampUSD"].getClose(), 5.1)
self.assertEquals(loaded[-1][1]["bitstampUSD"].getVolume(), 0.39215686)
def testTimeStampConversions(self):
dateTime = datetime.datetime(2000, 1, 1)
self.assertEqual(
dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime),
False), dateTime)
dateTime = dt.as_utc(datetime.datetime(2000, 1, 1, 1, 1))
self.assertEqual(
dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime), True),
dateTime)
def testResampleMtGoxDay(self):
# Resample.
feed = mtgoxfeed.CSVTradeFeed()
feed.addBarsFromCSV(
common.get_data_file_path("trades-mgtox-usd-2013-01-01.csv"))
resampledBarDS = resampled.ResampledBarDataSeries(
feed["BTC"], barfeed.Frequency.DAY)
resampledFile = os.path.join(common.get_temp_path(),
"day-mgtox-usd-2013-01-01.csv")
resample.resample_to_csv(feed, barfeed.Frequency.DAY, resampledFile)
resampledBarDS.pushLast(
) # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(barfeed.Frequency.DAY)
feed.addBarsFromCSV("BTC", resampledFile)
feed.loadAll()
self.assertEqual(len(feed["BTC"]), 1)
self.assertEqual(feed["BTC"][0].getDateTime(),
datetime.datetime(2013, 01, 01, 23, 59, 59))
self.assertEqual(feed["BTC"][0].getOpen(), 13.51001)
self.assertEqual(feed["BTC"][0].getHigh(), 13.56)
self.assertEqual(feed["BTC"][0].getLow(), 13.16123)
self.assertEqual(feed["BTC"][0].getClose(), 13.30413)
self.assertEqual(feed["BTC"][0].getVolume(), 28168.9114596)
self.assertEqual(feed["BTC"][0].getAdjClose(), 13.30413)
self.assertEqual(len(resampledBarDS), len(feed["BTC"]))
self.assertEqual(resampledBarDS[0].getDateTime(),
dt.as_utc(feed["BTC"][0].getDateTime()))
self.assertEqual(resampledBarDS[-1].getDateTime(),
dt.as_utc(feed["BTC"][-1].getDateTime()))
self.assertEqual(resampledBarDS[0].getOpen(), feed["BTC"][0].getOpen())
self.assertEqual(resampledBarDS[0].getHigh(), feed["BTC"][0].getHigh())
self.assertEqual(resampledBarDS[0].getLow(), feed["BTC"][0].getLow())
self.assertEqual(resampledBarDS[0].getClose(),
feed["BTC"][0].getClose())
self.assertEqual(round(resampledBarDS[0].getVolume(), 5),
round(feed["BTC"][0].getVolume(), 5))
self.assertEqual(resampledBarDS[0].getAdjClose(),
feed["BTC"][0].getAdjClose())
def testResampleMtGoxHour(self):
# Resample.
feed = mtgoxfeed.CSVTradeFeed()
feed.addBarsFromCSV(common.get_data_file_path("trades-mgtox-usd-2013-01-01.csv"))
resampledBarDS = resampled.ResampledBarDataSeries(feed["BTC"], barfeed.Frequency.HOUR)
resample.resample_to_csv(feed, barfeed.Frequency.HOUR, "hour-mgtox-usd-2013-01-01.csv")
resampledBarDS.pushLast() # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(barfeed.Frequency.HOUR)
feed.addBarsFromCSV("BTC", "hour-mgtox-usd-2013-01-01.csv")
feed.loadAll()
self.assertEqual(len(feed["BTC"]), 24)
self.assertEqual(feed["BTC"][0].getDateTime(), datetime.datetime(2013, 01, 01, 00, 59, 59))
self.assertEqual(feed["BTC"][-1].getDateTime(), datetime.datetime(2013, 01, 01, 23, 59, 59))
self.assertEqual(len(resampledBarDS), len(feed["BTC"]))
self.assertEqual(resampledBarDS[0].getDateTime(), dt.as_utc(feed["BTC"][0].getDateTime()))
self.assertEqual(resampledBarDS[-1].getDateTime(), dt.as_utc(feed["BTC"][-1].getDateTime()))
def testTimeStampConversionsWithMicroseconds(self):
dateTime = datetime.datetime(2000, 1, 1, 1, 1, 1, microsecond=10)
self.assertEqual(
dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime),
False), dateTime)
dateTime = dt.as_utc(
datetime.datetime(2000, 1, 1, 1, 1, 1, microsecond=10))
self.assertEqual(
dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime), True),
dateTime)
def testResampleMtGoxMinute(self):
# Resample.
feed = mtgoxfeed.CSVTradeFeed()
feed.addBarsFromCSV(common.get_data_file_path("trades-mgtox-usd-2013-01-01.csv"))
resampledBarDS = resampled.ResampledBarDataSeries(feed["BTC"], barfeed.Frequency.MINUTE)
resampledFile = os.path.join(common.get_temp_path(), "minute-mgtox-usd-2013-01-01.csv")
resample.resample_to_csv(feed, barfeed.Frequency.MINUTE, resampledFile)
resampledBarDS.pushLast() # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(barfeed.Frequency.MINUTE)
feed.addBarsFromCSV("BTC", resampledFile)
feed.loadAll()
self.assertEqual(len(feed["BTC"]), 537)
self.assertEqual(feed["BTC"][0].getDateTime(), datetime.datetime(2013, 1, 1, 0, 4))
self.assertEqual(feed["BTC"][-1].getDateTime(), datetime.datetime(2013, 1, 1, 23, 58))
self.assertEqual(len(resampledBarDS), len(feed["BTC"]))
self.assertEqual(resampledBarDS[0].getDateTime(), dt.as_utc(feed["BTC"][0].getDateTime()))
self.assertEqual(resampledBarDS[-1].getDateTime(), dt.as_utc(feed["BTC"][-1].getDateTime()))
def initializeFeed(self):
assert self.__dbFilePath is not None
assert self.__currentDate is not None
assert self.__maxLen is not None
fromDate = self.__currentDate - timedelta(days=self.__maxLen)
toDate = self.__currentDate + timedelta(days=5)
self.__feed = DynamicFeed(self.__dbFilePath,
self.__codes,
fromDateTime=fromDate,
toDateTime=toDate,
maxLen=self.__maxLen)
self.__feed.positionFeed(dt.as_utc(self.__currentDate))
def build_order_from_open_order(openOrder, instrumentTraits):
#order_id = openOrder.order.m_permId #we use the TWS id for the order rather than our id - not sure this is a good idea but its apparently consistent across sessions - https://www.interactivebrokers.com/en/software/api/apiguide/java/order.htm
order_id = openOrder.order.m_orderId
#doesn't seem to be a useable date/time for orders so going to use current time
order_time = dt.as_utc(datetime.datetime.now())
order_type = openOrder.order.m_orderType #stop, limit, stoplimit, market
order_action = openOrder.order.m_action
order_amount = openOrder.order.m_totalQuantity
order_limprice = openOrder.order.m_lmtPrice
order_auxprice = openOrder.order.m_auxPrice
contract_symbol = openOrder.contract.m_symbol
if order_action == 'BUY':
action = broker.Order.Action.BUY
elif order_action == 'SELL':
action = broker.Order.Action.SELL
elif order_action == 'SSHORT':
action = broker.Order.Action.SELL_SHORT
else:
raise Exception("Invalid order action")
if order_type == 'LMT': #Limit
ret = broker.LimitOrder(action, contract_symbol, order_limprice,
order_amount, instrumentTraits)
elif order_type == 'MKT': #Market
ret = broker.MarketOrder(action, contract_symbol, order_amount, False,
instrumentTraits)
elif order_type == 'MOC': #Market On Close
ret = broker.MarketOrder(action, contract_symbol, order_amount, True,
instrumentTraits)
elif order_type == 'STP': #Stop order
ret = broker.StopOrder(action, contract_symbol, order_auxprice,
order_amount, instrumentTraits)
elif order_type == 'STP LMT':
ret = broker.StopLimitOrder(action, contract_symbol, order_auxprice,
order_limprice, order_amount,
instrumentTraits)
else:
#Totally possible if you use pyalgotrade and TWS to manage the same account which is not really a good idea
raise Exception("Unsupported order type - %s" % order_type)
ret.setSubmitted(order_id, order_time)
ret.setState(broker.Order.State.ACCEPTED)
return ret
def testBuildBar(self):
# This is the response to http://globalrealtime.xignite.com/v3/xGlobalRealTime.json/GetBar?Identifier=RIOl.CHIX&IdentifierType=Symbol&EndTime=3/19/2014%2010:00:00&Precision=Minutes&Period=5
response = """{
"Outcome": "Success",
"Message": null,
"Identity": "Request",
"Delay": 0.0330687,
"Bar": {
"StartDate": "3/19/2014",
"StartTime": "9:55:00 AM",
"EndDate": "3/19/2014",
"EndTime": "10:00:00 AM",
"UTCOffset": 0,
"Open": 31.71,
"High": 31.71,
"Low": 31.68,
"Close": 31.69,
"Volume": 2966,
"Trades": 19,
"TWAP": 31.6929,
"VWAP": 31.693
},
"Security": {
"CIK": "0000863064",
"CUSIP": null,
"Symbol": "RIOl.CHIX",
"ISIN": null,
"Valoren": "402589",
"Name": "Rio Tinto PLC",
"Market": "CHI-X EUROPE LIMITED.",
"MarketIdentificationCode": "CHIX",
"MostLiquidExchange": false,
"CategoryOrIndustry": "IndustrialMetalsAndMinerals"
}
}"""
responseDict = json.loads(response)
bar = barfeed.build_bar(responseDict["Bar"], "RIOl.CHIX", 60 * 5)
self.assertEqual(bar.getOpen(), 31.71)
self.assertEqual(bar.getHigh(), 31.71)
self.assertEqual(bar.getLow(), 31.68)
self.assertEqual(bar.getClose(), 31.69)
self.assertEqual(bar.getVolume(), 2966)
self.assertEqual(bar.getDateTime(),
dt.as_utc(datetime.datetime(2014, 3, 19, 9, 55)))
def testBuildBar(self):
# This is the response to http://globalrealtime.xignite.com/v3/xGlobalRealTime.json/GetBar?Identifier=RIOl.CHIX&IdentifierType=Symbol&EndTime=3/19/2014%2010:00:00&Precision=Minutes&Period=5
response = """{
"Outcome": "Success",
"Message": null,
"Identity": "Request",
"Delay": 0.0330687,
"Bar": {
"StartDate": "3/19/2014",
"StartTime": "9:55:00 AM",
"EndDate": "3/19/2014",
"EndTime": "10:00:00 AM",
"UTCOffset": 0,
"Open": 31.71,
"High": 31.71,
"Low": 31.68,
"Close": 31.69,
"Volume": 2966,
"Trades": 19,
"TWAP": 31.6929,
"VWAP": 31.693
},
"Security": {
"CIK": "0000863064",
"CUSIP": null,
"Symbol": "RIOl.CHIX",
"ISIN": null,
"Valoren": "402589",
"Name": "Rio Tinto PLC",
"Market": "CHI-X EUROPE LIMITED.",
"MarketIdentificationCode": "CHIX",
"MostLiquidExchange": false,
"CategoryOrIndustry": "IndustrialMetalsAndMinerals"
}
}"""
responseDict = json.loads(response)
bar = barfeed.build_bar(responseDict["Bar"], "RIOl.CHIX", 60*5)
self.assertEqual(bar.getOpen(), 31.71)
self.assertEqual(bar.getHigh(), 31.71)
self.assertEqual(bar.getLow(), 31.68)
self.assertEqual(bar.getClose(), 31.69)
self.assertEqual(bar.getVolume(), 2966)
self.assertEqual(bar.getDateTime(), dt.as_utc(datetime.datetime(2014, 3, 19, 9, 55)))
def build_order_from_open_order(openOrder, instrumentTraits):
#order_id = openOrder.order.m_permId #we use the TWS id for the order rather than our id - not sure this is a good idea but its apparently consistent across sessions - https://www.interactivebrokers.com/en/software/api/apiguide/java/order.htm
order_id = openOrder.order.m_orderId
#doesn't seem to be a useable date/time for orders so going to use current time
order_time = dt.as_utc(datetime.datetime.now())
order_type = openOrder.order.m_orderType #stop, limit, stoplimit, market
order_action = openOrder.order.m_action
order_amount = openOrder.order.m_totalQuantity
order_limprice = openOrder.order.m_lmtPrice
order_auxprice = openOrder.order.m_auxPrice
contract_symbol = openOrder.contract.m_symbol
if order_action == 'BUY':
action = broker.Order.Action.BUY
elif order_action == 'SELL':
action = broker.Order.Action.SELL
elif order_action == 'SSHORT':
action = broker.Order.Action.SELL_SHORT
else:
raise Exception("Invalid order action")
if order_type == 'LMT': #Limit
ret = broker.LimitOrder(action, contract_symbol, order_limprice, order_amount, instrumentTraits)
elif order_type == 'MKT': #Market
ret = broker.MarketOrder(action, contract_symbol, order_amount, False, instrumentTraits)
elif order_type == 'MOC': #Market On Close
ret = broker.MarketOrder(action, contract_symbol, order_amount, True, instrumentTraits)
elif order_type == 'STP': #Stop order
ret = broker.StopOrder(action, contract_symbol, order_auxprice, order_amount, instrumentTraits)
elif order_type == 'STP LMT':
ret = broker.StopLimitOrder(action, contract_symbol, order_auxprice, order_limprice, order_amount, instrumentTraits)
else:
#Totally possible if you use pyalgotrade and TWS to manage the same account which is not really a good idea
raise Exception("Unsupported order type - %s" % order_type)
ret.setSubmitted(order_id, order_time)
ret.setState(broker.Order.State.ACCEPTED)
return ret
def __init__(self,
dbfilepah="/var/pytrade/sqlitedb",
googleFinanceDir="/var/pytrade/googlefinance",
username=None,
tradingAlgorithmGenerator=None,
codes=None,
date=dt.as_utc(datetime.now()),
maxlen=90,
debugmode=False):
if codes is None:
self.__codes = [
"ABEV3", "BBAS3", "BBDC3", "BBDC4", "BBSE3", "BRAP4", "BRFS3",
"BRKM5", "BRML3", "BVMF3", "CCRO3", "CIEL3", "CMIG4", "CPFE3",
"CPLE6", "CSAN3", "CSNA3", "CTIP3", "CYRE3", "ECOR3", "EGIE3",
"EMBR3", "ENBR3", "EQTL3", "ESTC3", "FIBR3", "GGBR4", "GOAU4",
"HYPE3", "ITSA4", "ITUB4", "JBSS3", "KLBN11", "KROT3", "LAME4",
"LREN3", "MRFG3", "MRVE3", "MULT3", "NATU3", "PCAR4", "PETR3",
"PETR4", "QUAL3", "RADL3", "RENT3", "RUMO3", "SANB11", "SBSP3",
"SMLE3", "SUZB5", "TIMP3", "UGPA3", "USIM5", "VALE3", "VALE5",
"VIVT4", "WEGE3"
]
else:
self.__codes = codes
self.__logger = logger.getLogger(PytradeApi.LOGGER_NAME)
self.__dbFilePath = dbfilepah
self.__googleFinanceDir = googleFinanceDir
self.__debugMode = debugmode
self.__tradingAlgorithmGenerator = tradingAlgorithmGenerator
self.__currentDate = date
self.__maxLen = maxlen
self.initializeDataProvider()
self.initializeFeed()
self.__username = username
if username is not None:
self.initializeBroker(username)
self.initializeStrategy(
) # tradingAlgorithmGenerator must not be None
def __init__(self):
self.__datetime = dt.as_utc(datetime.datetime.utcnow())
def utcnow(): # 世界时间
return dt.as_utc(datetime.utcnow())
def to_utc_if_naive(dateTime):
if dateTime is not None and dt.datetime_is_naive(dateTime):
dateTime = dt.as_utc(dateTime)
return dateTime
def utcnow():
return dt.as_utc(datetime.datetime.utcnow())
def parse_datetime(dateTime):
try:
ret = datetime.datetime.strptime(dateTime, "%Y-%m-%d %H:%M:%S")
except ValueError:
ret = datetime.datetime.strptime(dateTime, "%Y-%m-%d %H:%M:%S.%f")
return dt.as_utc(ret)
def onBars(self, bars):
if self.pos is None:
self.pos = self.enterLongLimit(INSTRUMENT, 100, 1, True)
elif bars.getDateTime() == dt.as_utc(
datetime.datetime(2000, 1, 3)):
self.pos.exitLimit(101)
def getDateTime(self):
return dt.as_utc(datetime.datetime.utcnow())
def parse_datetime(dateTime):
try:
ret = datetime.datetime.strptime(dateTime, "%Y-%m-%d %H:%M:%S")
except ValueError:
ret = datetime.datetime.strptime(dateTime, "%Y-%m-%d %H:%M:%S.%f")
return dt.as_utc(ret)
def to_utc_if_naive(dateTime):
if dateTime is not None and dt.datetime_is_naive(dateTime):
dateTime = dt.as_utc(dateTime)
return dateTime
def utcnow():
return dt.as_utc(datetime.datetime.utcnow())
def datetime_to_tid(dateTime):
unixTime = dt.datetime_to_timestamp(dt.as_utc(dateTime))
return timestamp_to_tid(unixTime)
def localnow():
return dt.as_utc(datetime.datetime.now())
def datetime_to_tid(dateTime):
unixTime = dt.datetime_to_timestamp(dt.as_utc(dateTime))
return timestamp_to_tid(unixTime)
def testTimeStampConversionsWithMicroseconds(self):
dateTime = datetime.datetime(2000, 1, 1, 1, 1, 1, microsecond=10)
self.assertEqual(dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime), False), dateTime)
dateTime = dt.as_utc(datetime.datetime(2000, 1, 1, 1, 1, 1, microsecond=10))
self.assertEqual(dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime), True), dateTime)
def testTimeStampConversions(self):
dateTime = datetime.datetime(2000, 1, 1)
self.assertEqual(dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime), False), dateTime)
dateTime = dt.as_utc(datetime.datetime(2000, 1, 1, 1, 1))
self.assertEqual(dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime), True), dateTime)