def __createStrategy(self):
bar_feed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
bar_filter = csvfeed.USEquitiesRTH()
bar_feed.set_bar_filter(bar_filter)
bar_feed.add_bars_from_csv(
TradesAnalyzerTestCase.TestInstrument,
common.get_data_file_path("nt-spy-minute-2011.csv"))
return strategy_test.TestStrategy(bar_feed, 1000)
def __loadIntradayBarFeed(self, timeZone = None):
ret = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE, timeZone)
ret.add_bars_from_csv("spy", common.get_data_file_path("nt-spy-minute-2011.csv"))
# This is need to get session close attributes set. Strategy class is responsible for calling this.
ret.start()
# Process all events to get the dataseries fully loaded.
while not ret.stop_dispatching():
ret.dispatch()
ret.stop()
ret.join()
return ret
def loadIntradayBarFeed(self):
from_month = 1
to_month = 1
from_day = 3
to_day = 3
bar_filter = barfeed.USEquitiesRTH(
us_equities_datetime(2011, from_month, from_day, 00, 00),
us_equities_datetime(2011, to_month, to_day, 23, 59))
bar_feed = ninjatraderfeed.Feed(bar.Frequency.MINUTE)
bar_feed.set_bar_filter(bar_filter)
bar_feed.add_bars_from_csv(
StrategyTestCase.TestInstrument,
common.get_data_file_path("nt-spy-minute-2011.csv"))
return bar_feed
def testLocalizeAndFilter(self):
timezone = marketsession.USEquities.getTimezone()
# The prices come from NinjaTrader interface when set to use 'US Equities RTH' session template.
prices = {
dt.localize(datetime.datetime(2011, 3, 9, 9, 31), timezone) : 132.35,
dt.localize(datetime.datetime(2011, 3, 9, 16), timezone) : 132.39,
dt.localize(datetime.datetime(2011, 3, 10, 9, 31), timezone) : 130.81,
dt.localize(datetime.datetime(2011, 3, 10, 16), timezone) : 129.92,
dt.localize(datetime.datetime(2011, 3, 11, 9, 31), timezone) : 129.72,
dt.localize(datetime.datetime(2011, 3, 11, 16), timezone) : 130.84,
}
bar_feed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE, timezone)
bar_feed.add_bars_from_csv("spy", common.get_data_file_path("nt-spy-minute-2011-03.csv"))
for bars in bar_feed:
price = prices.get(bars.get_date_time(), None)
if price != None:
self.assertTrue(price == bars.get_bar("spy").get_close())
class NinjaTraderTestCase(unittest.TestCase):
def __loadIntradayBarFeed(self, timeZone = None):
ret = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE, timeZone)
ret.add_bars_from_csv("spy", common.get_data_file_path("nt-spy-minute-2011.csv"))
# This is need to get session close attributes set. Strategy class is responsible for calling this.
ret.start()
# Process all events to get the dataseries fully loaded.
while not ret.stop_dispatching():
ret.dispatch()
ret.stop()
ret.join()
return ret
def testWithTimezone(self):
timeZone = marketsession.USEquities.getTimezone()
bar_feed = self.__loadIntradayBarFeed(timeZone)
ds = bar_feed.get_data_series()
for i in xrange(ds.get_length()):
current_bar = ds[i]
self.assertFalse(dt.datetime_is_naive(current_bar.get_date_time()))
def testWithoutTimezone(self):
bar_feed = self.__loadIntradayBarFeed(None)
ds = bar_feed.get_data_series()
for i in xrange(ds.get_length()):
current_bar = ds[i]
# Datetime must be set to UTC.
self.assertFalse(dt.datetime_is_naive(current_bar.get_date_time()))
def testWithIntegerTimezone(self):
try:
bar_feed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE, -3)
self.assertTrue(False, "Exception expected")
except Exception, e:
self.assertTrue(str(e).find("timezone as an int parameter is not supported anymore") == 0)
try:
bar_feed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
bar_feed.add_bars_from_csv("spy", common.get_data_file_path("nt-spy-minute-2011.csv"), -5)
self.assertTrue(False, "Exception expected")
except Exception, e:
self.assertTrue(str(e).find("timezone as an int parameter is not supported anymore") == 0)
def testWithIntegerTimezone(self):
try:
bar_feed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE, -3)
self.assertTrue(False, "Exception expected")
except Exception, e:
self.assertTrue(str(e).find("timezone as an int parameter is not supported anymore") == 0)