parser.add_argument("--debug",
action='store_true',
help="Set to debug mode. Example --debug'")
args = parser.parse_args()
print("input args: {}".format(args))
if args.debug is not None:
logging.basicConfig(level=logging.DEBUG)
logger = logging.getLogger(__name__)
logger.debug('Debug mode on')
universe = []
with open(args.universe_file, 'r') as f:
reader = csv.reader(f, delimiter=',')
universe = list(reader)
if len(universe) != 1:
raise Exception(
"universe file should contain 1 line, current results: {}".format(
universe))
universe = universe[0]
print("universe: {}".format(universe))
gqdata = GQData()
df = gqdata.get_data(universe,
args.freq,
args.startdate,
end_date=args.enddate,
datasource=args.source,
data_type=DATATYPE_TICKER)
class GQBacktest(object):
def __init__(
self,
algo: GQAlgo,
symbols,
start_datetime,
end_datetime,
data_freq=FREQ_DAY,
initial_cash=10000,
):
self.algo = algo
self.symbols = symbols
self.start_datetime = start_datetime
self.end_datetime = end_datetime
self.data_freq = data_freq
self.datasource = algo.datasource
self.initial_cash = initial_cash
self.data = GQData()
freq_map = {
FREQ_DAY: Frequency.DAY,
FREQ_MINUTE: Frequency.MINUTE,
}
self.datafeed = csvfeed.GenericBarFeed(freq_map[data_freq])
self._load_datafeed()
self.my_strategy = MyStrategy(self.datafeed, self.symbols, self.algo,
self.initial_cash)
self.returnsAnalyzer = returns.Returns()
self.my_strategy.attachAnalyzer(self.returnsAnalyzer)
def _load_datafeed(self):
# loading all data
self.data.get_data(symbols=self.symbols,
freq=self.data_freq,
start_date=self.start_datetime,
end_date=self.end_datetime,
datasource=self.datasource,
use_cache=True,
fill_nan_method="ffill")
data_files = {}
for symbol in self.symbols:
data_key = self.data.get_data_key(
symbol=symbol,
freq=self.data_freq,
start_date=self.start_datetime,
end_date=self.end_datetime,
)
file_path = self.data.get_data_file_path(data_key)
data_files[symbol] = file_path
logger.debug("add csv file {} into data feed".format(file_path))
self.datafeed.addBarsFromCSV(symbol,
file_path,
skipMalformedBars=True)
def run(self, plot=True):
if plot:
backtest_plt = plotter.StrategyPlotter(self.my_strategy)
backtest_plt.getOrCreateSubplot("returns").addDataSeries(
"Simple returns", self.returnsAnalyzer.getReturns())
tmp = self.returnsAnalyzer.getReturns()
print(tmp)
self.my_strategy.run()
logger.info("Final portfolio value: $%.2f" %
self.my_strategy.getBroker().getEquity())
if plot:
if len(self.algo.metrics) > 0:
for k in self.algo.metrics:
ds, fig_idx = self.algo.metrics.get(k)
plt.figure(fig_idx)
ds.plot(legend=True)
backtest_plt.plot()
class GQAlgo(object):
def __init__(self, trading_platform, datasource):
self.trading_platform = trading_platform
self.datasource = datasource
self.account = get_account_class(trading_platform)
self.data = GQData()
self.t = None # current time in UTC
self.backtest_strategy = None
self.metrics = {}
self.init()
def init(self):
pass
def run(self) -> [list]:
raise NotImplementedError
def get_trading_platform(self):
return self.trading_platform
def get_time(self):
return self.t
def get_cash(self):
"""
get current cash in USD
:return:
"""
return self.account.get_cash()
def get_positions(self):
"""
get current positions
:return: dict
symbol->position
"""
return self.account.get_positions()
def algo_get_data(self, symbols, interval_timedelta, freq, fill_nan_method=None, remove_nan_rows=True):
"""
get data until now (time t, get from get_time())
:param symbols: list
list of symbols
:param interval_timedelta: deltatime
used to calculate start time
:param freq: string
day, minute data level
:param fill_nan_method: string
fill nan method, default not fill, see more parameters here:
https://pandas.pydata.org/pandas-docs/stable/reference/api/pandas.DataFrame.fillna.html
:param remove_nan_rows: bool
remove nan rows after fill nan
:return:
"""
end_datetime = datetime.now(timezone.utc)
if self.trading_platform == TRADING_BACKTEST:
end_datetime = self.get_time()
if end_datetime is None:
raise ValueError("please run prerun() function first")
start_datetime = end_datetime - interval_timedelta
data = self.data.get_data(symbols=symbols,
freq=freq,
start_date=start_datetime,
end_date=end_datetime,
datasource=self.datasource,
dict_output=True,
fill_nan_method=fill_nan_method,
remove_nan_rows=remove_nan_rows
)
return data
def init_backtest(self, strategy: strategy.BacktestingStrategy):
self.backtest_strategy = strategy
self.account.set_backtest_strategy(strategy)
def prerun(self, t, verbose=True):
if verbose:
msg = "=============\nAlgorithm Time: {}\nCash: {}\nPositions: {}\n".format(
t, self.get_cash(), self.get_positions()
)
logger.info(msg)
self.t = t
def record_metric(self, key, value, figure_group=1):
if figure_group < 0:
raise ValueError("figure_grouup only can be positive, get figure_group {}".format(figure_group))
cur_data_serise, _ = self.metrics.get(key, (pd.Series([], name=key), figure_group))
cur_data_serise = cur_data_serise.append(pd.Series([value], index=[self.t], name=key))
self.metrics[key] = (cur_data_serise, figure_group)