def init(self, instrumentId):
# let's fetch ten days of hourly history.
endDate = date.today().strftime('%Y%m%d')
startDate = (date.today() - timedelta(days=10)).strftime('%Y%m%d')
self.candles[instrumentId] = onlinearchive.history(instrumentId, 'HOURS_1', startDate, endDate)
print 'Fetched ', len(self.candles[instrumentId]), ' candles from history archive.'
return
def init(self, instrumentId):
# let's fetch ten days of hourly history.
endDate = date.today().strftime('%Y%m%d')
startDate = (date.today() - timedelta(days=10)).strftime('%Y%m%d')
self.candles[instrumentId] = onlinearchive.history(
instrumentId, 'HOURS_1', startDate, endDate)
print 'Fetched ', len(
self.candles[instrumentId]), ' candles from history archive.'
return
def init(self, instrumentId):
self.logger.info('Initializing ' + instrumentId)
# let's fetch ten days of hourly history.
endDate = date.today().strftime('%Y%m%d')
startDate = (date.today() - timedelta(days=10)).strftime('%Y%m%d')
self.candlesHourly[instrumentId] = onlinearchive.history(instrumentId, 'HOURS_1', startDate, endDate)
length = len(self.candlesHourly[instrumentId])
lastClose = self.candlesHourly[instrumentId]['C'][length - 1]
tradingRange = self.calculateTradingRange(self.candlesHourly[instrumentId][length - 10:length])
# let's store the current price range for later reuse.
self.currentPriceRanges[instrumentId] = tradingRange
self.upperBoundaries[instrumentId] = lastClose + tradingRange
self.lowerBoundaries[instrumentId] = lastClose - tradingRange
print 'Fetched ', len(self.candlesHourly[instrumentId]), ' candles from history archive.'
return
def init(self, instrumentId):
self.logger.info('Initializing ' + instrumentId)
# let's fetch ten days of hourly history.
endDate = date.today().strftime('%Y%m%d')
startDate = (date.today() - timedelta(days=10)).strftime('%Y%m%d')
self.candlesHourly[instrumentId] = onlinearchive.history(
instrumentId, 'HOURS_1', startDate, endDate)
length = len(self.candlesHourly[instrumentId])
lastClose = self.candlesHourly[instrumentId]['C'][length - 1]
tradingRange = self.calculateTradingRange(
self.candlesHourly[instrumentId][length - 10:length])
# let's store the current price range for later reuse.
self.currentPriceRanges[instrumentId] = tradingRange
self.upperBoundaries[instrumentId] = lastClose + tradingRange
self.lowerBoundaries[instrumentId] = lastClose - tradingRange
print 'Fetched ', len(
self.candlesHourly[instrumentId]), ' candles from history archive.'
return
import os
import sys
from aq.util import onlinearchive
import pybacktest
import matplotlib.pyplot as plt
import pandas
from pandas import Series, ewma, concat, DataFrame
import matplotlib.pyplot as plt
# h = onlinearchive.history('EURUSD','HOURS_1',20130615,20130701)
eurusd = onlinearchive.history('EURUSD', 'HOURS_1', 20130501, 20130701)
# usdchf = onlinearchive.history2('CNX.MDI.EUR/GBP','HOURS_1',20120801,20130701)
# eurusd.plot()
# usdchf.plot()
# plt.show()
slowEma1 = DataFrame(ewma(eurusd.ix[:, 3], span=20))
fastEma1 = DataFrame(ewma(eurusd.ix[:, 3], span=50))
emaDiff = (fastEma1 - slowEma1) * 1000000
emaDiff = emaDiff.astype(int)
# signal = (((fastEma1 - slowEma1) > 0) * 2 - 1)
signal = emaDiff.shift(1).ix[:, 0]
closeDiff = eurusd.ix[:, 3].diff()
