def getKrakenData(interval=1440,since=0): directory = krakenutl.SRCDIR if not os.path.exists(directory): os.makedirs(directory) for p in krakenutl.PAIRS: logger.debug('download data for: '+p+' interval: '+str(interval)+' since:'+str(krakenutl.localTimeFromEpoch(since))) pdata = getOhlc(p, interval,since) storeHdf5(pdata,krakenutl.getTagFromPair(p,interval),krakenutl.getH5source())
def getKrakenData(interval=1440, since=0): directory = krakenutl.SRCDIR if not os.path.exists(directory): os.makedirs(directory) for p in krakenutl.PAIRS: logger.debug('download data for: ' + p + ' interval: ' + str(interval) + ' since:' + str(krakenutl.localTimeFromEpoch(since))) pdata = getOhlc(p, interval, since) storeHdf5(pdata, krakenutl.getTagFromPair(p, interval), krakenutl.getH5source())
def compute(pair,fr,interval=INTERVAL,foo=macd1.compTradeDmacd): filename=krakenutl.getH5source() h5 = pd.HDFStore(filename, 'r') tag=krakenutl.getTagFromPair(pair,interval) df=h5[tag] dtSlice = df[df.index > dateutil.parser.parse(fr)] dt = macd1.compMacd(dtSlice,foo) #comparison between market and strategy dcumsum = dt[['market','strategy','strategy_fee']].cumsum() lpos=len(dcumsum)-1 strat=np.exp(dcumsum['strategy'][lpos]) strat_f=np.exp(dcumsum['strategy_fee'][lpos]) bhold=np.exp(dcumsum['market'][lpos]) return (df.index[0],df.index[len(df.index)-1],bhold,strat,strat_f,lpos+1)