def testBaseBarFeedNoAdjClose(self):
bars = [
bar.Bars({
"orcl":
bar.BasicBar(datetime.datetime(2001, 1, 1), 1, 1, 1, 1, 1,
None, bar.Frequency.DAY)
}),
bar.Bars({
"orcl":
bar.BasicBar(datetime.datetime(2001, 1, 2), 1, 1, 1, 1, 1,
None, bar.Frequency.DAY)
}),
]
barFeed = barfeed.OptimizerBarFeed(bar.Frequency.DAY, ["orcl"], bars)
check_base_barfeed(self, barFeed, False)
def testInvalidDateTimes(self):
b1 = bar.BasicBar(datetime.datetime.now(), 2, 3, 1, 2.1, 10, 5,
bar.Frequency.DAY)
b2 = bar.BasicBar(datetime.datetime.now() + datetime.timedelta(days=1),
2, 3, 1, 2.1, 10, 5, bar.Frequency.DAY)
with self.assertRaises(Exception):
bar.Bars({"a": b1, "b": b2})
def testDateTimesNotInOrder(self):
bars = [
bar.Bars({
"orcl":
bar.BasicBar(datetime.datetime(2001, 1, 2), 1, 1, 1, 1, 1, 1,
bar.Frequency.DAY)
}),
bar.Bars({
"orcl":
bar.BasicBar(datetime.datetime(2001, 1, 1), 1, 1, 1, 1, 1, 1,
bar.Frequency.DAY)
}),
]
f = barfeed.OptimizerBarFeed(bar.Frequency.DAY, ["orcl"], bars)
with self.assertRaisesRegexp(Exception,
"Bar date times are not in order.*"):
for dt, b in f:
pass
def testBasic(self):
dt = datetime.datetime.now()
b1 = bar.BasicBar(dt, 1, 1, 1, 1, 10, 1, bar.Frequency.DAY)
b2 = bar.BasicBar(dt, 2, 2, 2, 2, 10, 2, bar.Frequency.DAY)
bars = bar.Bars({"a": b1, "b": b2})
self.assertEquals(bars["a"].getClose(), 1)
self.assertEquals(bars["b"].getClose(), 2)
self.assertTrue("a" in bars)
self.assertEquals(bars.items(), [("a", b1), ("b", b2)])
self.assertEquals(bars.keys(), ["a", "b"])
self.assertEquals(bars.getInstruments(), ["a", "b"])
self.assertEquals(bars.getDateTime(), dt)
self.assertEquals(bars.getBar("a").getClose(), 1)
def getNextBars(self):
# All bars must have the same datetime. We will return all the ones with the smallest datetime.
smallestDateTime = self.peekDateTime()
if smallestDateTime is None:
return None
# Make a second pass to get all the bars that had the smallest datetime.
ret = {}
for instrument, bars in self.__bars.iteritems():
nextPos = self.__nextPos[instrument]
if nextPos < len(bars) and bars[nextPos].getDateTime(
) == smallestDateTime:
ret[instrument] = bars[nextPos]
self.__nextPos[instrument] += 1
if self.__currDateTime == smallestDateTime:
raise Exception("Duplicate bars found for %s on %s" %
(ret.keys(), smallestDateTime))
self.__currDateTime = smallestDateTime
return bar.Bars(ret)
def getGrouped(self):
bar_dict = {}
for instrument, grouper in self.__barGroupers.items():
bar_dict[instrument] = grouper.getGrouped()
return bar.Bars(bar_dict)
def testEmptyDict(self):
with self.assertRaises(Exception):
bar.Bars({})
def getNextBars(self):
ret = None
if len(self.__barDicts):
ret = bar.Bars(self.__barDicts.pop(0))
return ret
class GetBarThread(PollingThread):
# Events
ON_BARS = 1
def __init__(self, queue, apiToken, identifiers, frequency, apiCallDelay):
PollingThread.__init__(self)
# Map frequency to precision and period.
if frequency < bar.Frequency.MINUTE:
raise Exception(
"Frequency must be greater than or equal to bar.Frequency.MINUTE"
)
elif frequency < bar.Frequency.HOUR:
self.__precision = "Minutes"
self.__period = frequency / bar.Frequency.MINUTE
elif frequency < bar.Frequency.DAY:
self.__precision = "Hours"
self.__period = frequency / bar.Frequency.HOUR
else:
raise Exception("Frequency must be less than bar.Frequency.DAY")
self.__queue = queue
self.__apiToken = apiToken
self.__identifiers = identifiers
self.__frequency = frequency
self.__nextBarClose = None
# The delay between the bar's close and the API call.
self.__apiCallDelay = apiCallDelay
self.__updateNextBarClose()
def __updateNextBarClose(self):
self.__nextBarClose = resamplebase.build_range(
utcnow(), self.__frequency).getEnding()
def getNextCallDateTime(self):
return self.__nextBarClose + self.__apiCallDelay
def doCall(self):
endDateTime = self.__nextBarClose
self.__updateNextBarClose()
barDict = {}
for indentifier in self.__identifiers:
try:
logger.debug(
"Requesting bars with precision %s and period %s for %s" %
(self.__precision, self.__period, indentifier))
response = api.XigniteGlobalRealTime_GetBar(
self.__apiToken, indentifier, "Symbol", endDateTime,
self.__precision, self.__period)
# logger.debug(response)
barDict[indentifier] = build_bar(response["Bar"], indentifier,
self.__frequency)
except api.XigniteError, e:
logger.error(e)
if len(barDict):
bars = bar.Bars(barDict)
self.__queue.put((GetBarThread.ON_BARS, bars))