def test1(self):
dirc = '/Users/Zibin/NYU/twriter.gz'
w = TradeWriter(dirc, 1) # Create a .gz file on directory
r = TAQTradesReader('/Users/Zibin/Documents/R/trades/20070620/NVDA_trades.binRT') # Read a file
# Using tested readers, test for expected values
baseTS = r.getSecsFromEpocToMidn() * 1000
ts = baseTS + r.getMillisFromMidn(0)
s = r.getSize(0)
p = r.getPrice(0)
w.writer(r,1,1) # write to the file
b = BinReader(dirc, '>QIIf', 100) # use binreader to read
ts0, _, size0, p0 = b.next()
b.close()
self.assertEquals( ts0, ts ) # Check if time stamps are equal
self.assertEquals( size0, s ) # Check if numbers of shares are equal
self.assertAlmostEquals( p0, p ) # Check if prices are equal
def test1(self):
# Stocks and trades
s_p500 = '/media/louis/DATA/documents/cours/NYU/SPRING_18/ATQS/HK1/s_p500.xlsx'
stackedTrades = np.array(
[['20070620', 34241000, 106.5, 85200.0],
['20070621', 57596000, 106.61000061035156, 500.0],
['20070621', 57596000, 106.61000061035156, 200.0],
['20070621', 57597000, 106.5999984741211, 200.0],
['20070621', 57597000, 106.5999984741211, 200.0],
['20070621', 57597000, 106.5999984741211, 200.0]])
stackedQuotes = np.array(
[['20070620', 34241000, 106.5, 85200.0, 106.1, 8200.0],
['20070621', 57597000, 106.5, 85200.0, 106.1, 800.0],
['20070621', 57597000, 106.5, 85200.0, 106.1, 800.0],
['20070621', 57597000, 106.5, 85200.0, 106.1, 800.0],
['20070621', 57597000, 106.5, 85200.0, 106.1, 800.0]])
# Directories where to store
filepathadj = '/media/louis/DATA/documents/cours/NYU/SPRING_18/ATQS/HK1/adj/'
filepathcln = '/media/louis/DATA/documents/cours/NYU/SPRING_18/ATQS/HK1/cln/'
# Multipliers map
multmap = AdjustingHashmap(s_p500)
# Write after reading and adjusting
adjuster = TAQAdjust(stackedQuotes, stackedTrades, 'IBM', multmap)
adjuster.setPriceMult("20070621", 2.0)
adjuster.setVolMult("20070621", 4.0)
adjuster.adjustQuote()
adjuster.adjustTrade()
adjuster.storeAdjustedQuotes(filepathadj)
adjuster.storeAdjustedTrades(filepathadj)
# Write after reading and cleaning
cleaner = TAQCleaner(stackedQuotes, stackedTrades, 'IBM')
stackedQuotes = stackedQuotes[cleaner.cleanQuotesIndices() == True, :]
stackedTrades = stackedTrades[cleaner.cleanTradesIndices() == True, :]
cleaner.storeCleanedQuotes(filepathcln)
cleaner.storeCleanedTrades(filepathcln)
# Read results
readerclnQ = TAQQuotesReader(
'/media/louis/DATA/documents/cours/NYU/SPRING_18/ATQS/HK1/cln/quotes/20070620/IBM_quotes.binRQ'
)
readerclnT = TAQTradesReader(
'/media/louis/DATA/documents/cours/NYU/SPRING_18/ATQS/HK1/cln/trades/20070620/IBM_trades.binRT'
)
readeradjQ = TAQQuotesReader(
'/media/louis/DATA/documents/cours/NYU/SPRING_18/ATQS/HK1/adj/quotes/20070620/IBM_quotes.binRQ'
)
readeradjT = TAQTradesReader(
'/media/louis/DATA/documents/cours/NYU/SPRING_18/ATQS/HK1/adj/trades/20070620/IBM_trades.binRT'
)
# Using previously tested readers, test for expected values
self.assertEquals(readerclnQ.getN(), 5)
self.assertEquals(readerclnQ.getSecsFromEpocToMidn(), 0)
self.assertEquals(readerclnQ.getMillisFromMidn(readerclnQ.getN() - 1),
57597000)
self.assertEquals(readerclnQ.getBidSize(readerclnQ.getN() - 1), 21300)
self.assertEquals(readerclnQ.getAskSize(readerclnQ.getN() - 1), 200)
self.assertAlmostEquals(readerclnQ.getAskPrice(readerclnQ.getN() - 1),
53.0499, 3)
self.assertAlmostEquals(readerclnQ.getBidPrice(readerclnQ.getN() - 1),
53.25, 3)
# Using previously tested readers, test for expected values
self.assertEquals(readeradjQ.getN(), 5)
self.assertEquals(readeradjQ.getSecsFromEpocToMidn(), 0)
self.assertEquals(readeradjQ.getMillisFromMidn(readeradjQ.getN() - 1),
57597000)
self.assertEquals(readeradjQ.getBidSize(readeradjQ.getN() - 1), 21300)
self.assertEquals(readeradjQ.getAskSize(readeradjQ.getN() - 1), 200)
self.assertAlmostEquals(readeradjQ.getAskPrice(readeradjQ.getN() - 1),
53.0499, 3)
self.assertAlmostEquals(readeradjQ.getBidPrice(readeradjQ.getN() - 1),
53.25, 3)
# Using previously tested readers, test for expected values
self.assertEquals(readerclnT.getN(), 6)
self.assertEquals(readerclnT.getSecsFromEpocToMidn(), 0)
self.assertEquals(readerclnT.getMillisFromMidn(readerclnT.getN() - 1),
57597000)
self.assertEquals(readerclnT.getSize(readerclnT.getN() - 1), 50)
self.assertAlmostEquals(readerclnT.getPrice(readerclnT.getN() - 1),
53.29999, 3)
# Using previously tested readers, test for expected values
self.assertEquals(readeradjT.getN(), 6)
self.assertEquals(readeradjT.getSecsFromEpocToMidn(), 0)
self.assertEquals(readeradjT.getMillisFromMidn(readeradjT.getN() - 1),
57597000)
self.assertEquals(readeradjT.getSize(readeradjT.getN() - 1), 50)
self.assertAlmostEquals(readerclnT.getPrice(readeradjT.getN() - 1),
53.29999, 3)