def test_parse_file(self):
parser = CSVOrderParser("data/SimpleOrdersFile.csv")
parser.parse()
orders = parser.get_parsed_orders()
symbols = parser.get_symbols_traded()
self.assertEqual(len(symbols), 2)
self.assertTrue("AAPL" in symbols)
self.assertTrue("IBM" in symbols)
first_trade, last_trade = parser.get_dates_range()
self.assertEqual("2011-01-10", first_trade.strftime("%Y-%m-%d"))
self.assertEqual("2011-01-13", last_trade.strftime("%Y-%m-%d"))
self.assertEqual(len(orders), 3)
self.assertEqual(orders[0].symbol, "AAPL")
self.assertEqual(orders[0].type, Order.TYPE_BUY)
self.assertEqual(orders[0].quantity, 1500)
self.assertEqual(orders[0].timestamp.strftime("%Y-%m-%d %H:%M:%S"),
"2011-01-10 16:00:00")
self.assertEqual(orders[1].symbol, "AAPL")
self.assertEqual(orders[1].type, Order.TYPE_SELL)
self.assertEqual(orders[1].quantity, 1500)
self.assertEqual(orders[1].timestamp.strftime("%Y-%m-%d %H:%M:%S"),
"2011-01-13 16:00:00")
self.assertEqual(orders[2].symbol, "IBM")
self.assertEqual(orders[2].type, Order.TYPE_BUY)
self.assertEqual(orders[2].quantity, 4000)
self.assertEqual(orders[2].timestamp.strftime("%Y-%m-%d %H:%M:%S"),
"2011-01-13 16:00:00")
def test_parse_file(self):
parser = CSVOrderParser("data/SimpleOrdersFile.csv")
parser.parse()
orders = parser.get_parsed_orders()
symbols = parser.get_symbols_traded()
self.assertEqual(len(symbols), 2)
self.assertTrue("AAPL" in symbols)
self.assertTrue("IBM" in symbols)
first_trade, last_trade = parser.get_dates_range()
self.assertEqual("2011-01-10", first_trade.strftime("%Y-%m-%d"))
self.assertEqual("2011-01-13", last_trade.strftime("%Y-%m-%d"))
self.assertEqual(len(orders), 3)
self.assertEqual(orders[0].symbol, "AAPL")
self.assertEqual(orders[0].type, Order.TYPE_BUY)
self.assertEqual(orders[0].quantity,1500)
self.assertEqual(orders[0].timestamp.strftime("%Y-%m-%d %H:%M:%S"),"2011-01-10 16:00:00")
self.assertEqual(orders[1].symbol, "AAPL")
self.assertEqual(orders[1].type, Order.TYPE_SELL)
self.assertEqual(orders[1].quantity,1500)
self.assertEqual(orders[1].timestamp.strftime("%Y-%m-%d %H:%M:%S"),"2011-01-13 16:00:00")
self.assertEqual(orders[2].symbol, "IBM")
self.assertEqual(orders[2].type, Order.TYPE_BUY)
self.assertEqual(orders[2].quantity,4000)
self.assertEqual(orders[2].timestamp.strftime("%Y-%m-%d %H:%M:%S"),"2011-01-13 16:00:00")
def setUp(self):
parser = CSVOrderParser("data/SimpleOrdersFile.csv")
parser.parse()
orders = parser.get_parsed_orders()
start_date, end_date = parser.get_dates_range()
self.market = Market(parser.get_symbols_traded(), start_date, end_date)
self.portfolio = Portfolio(self.market, 1000000)
for order in orders:
self.portfolio.add_order(order)
self.portfolio.calculate_number_of_shares_held()
self.portfolio.calculate_portfolio_value()
self.portfolio_report = PortfolioReport(self.portfolio)
def setUp(self):
parser = CSVOrderParser("data/SimpleOrdersFile.csv")
parser.parse()
orders = parser.get_parsed_orders()
start_date, end_date = parser.get_dates_range()
self.market = Market(parser.get_symbols_traded(),start_date,end_date)
self.portfolio = Portfolio(self.market, 1000000)
for order in orders:
self.portfolio.add_order(order)
self.portfolio.calculate_number_of_shares_held()
self.portfolio.calculate_portfolio_value()
self.portfolio_report = PortfolioReport(self.portfolio)
from backtesting.Market import Market
from backtesting.Order import Order
from backtesting.Parser.CSVOrderParser import CSVOrderParser
from backtesting.Portfolio import Portfolio
from backtesting.Report.PortfolioReport import PortfolioReport
import matplotlib.pyplot as plt
import pylab
#A simple program used to run and play around with
#Portfolio and Market
#Plots value of all holdings
order_parser = CSVOrderParser("test/data/SimpleOrdersFile.csv")
order_parser.parse()
start_date, end_date = order_parser.get_dates_range()
market = Market(order_parser.get_symbols_traded(), start_date, end_date)
portfolio = Portfolio(market, 1000000)
for order in order_parser.get_parsed_orders():
portfolio.add_order(order)
portfolio.execute()
portfolio.calculate_portfolio_value()
report = PortfolioReport(portfolio)
print report.get_return()
figure = plt.figure()
from backtesting.Market import Market
from backtesting.Order import Order
from backtesting.Parser.CSVOrderParser import CSVOrderParser
from backtesting.Portfolio import Portfolio
from backtesting.Report.PortfolioReport import PortfolioReport
import matplotlib.pyplot as plt
import pylab
#A simple program used to run and play around with
#Portfolio and Market
#Plots value of all holdings
order_parser = CSVOrderParser("test/data/SimpleOrdersFile.csv")
order_parser.parse()
start_date, end_date = order_parser.get_dates_range()
market = Market(order_parser.get_symbols_traded(),start_date,end_date)
portfolio = Portfolio(market, 1000000)
for order in order_parser.get_parsed_orders():
portfolio.add_order(order)
portfolio.execute()
portfolio.calculate_portfolio_value()
report = PortfolioReport(portfolio)
print report.get_return()
figure = plt.figure()