def run(self):
database = {'user': '******', 'database': 'blackbox', 'host': "192.168.0.8"}
Symbol.set_info_provider(MySQLSymbolProvider(database))
provider = MySQLProvider(database, Symbol.get('EURUSD:CUR'), MarketDataPeriod.HOUR_1)
self.file_handle = open(r"market_data_d1.pkl", "wb")
provider.startPublishing(lambda symbol, quote: self.add_quote(quote))
self.file_handle.close()
def run(self):
database = {
'user': '******',
'database': 'blackbox',
'host': "192.168.0.8"
}
Symbol.set_info_provider(MySQLSymbolProvider(database))
provider = MySQLProvider(database, Symbol.get('EURUSD:CUR'),
MarketDataPeriod.HOUR_1)
self.file_handle = open(r"market_data_d1.pkl", "wb")
provider.startPublishing(lambda symbol, quote: self.add_quote(quote))
self.file_handle.close()
def testQuoteConstructionOnInterval(self):
s = Symbol.get("TEST")
conflator = PriceConflator("TEST", MarketDataPeriod.MIN_5, self.callback)
start_time = datetime.datetime(2015, 7, 7, 14, 0, 0)
tick = Tick(start_time.timestamp(), 9.0, 9.2)
conflator.add_tick(tick)
tick = Tick((start_time + datetime.timedelta(seconds=60)).timestamp(), 9.0, 9.2)
conflator.add_tick(tick)
tick = Tick((start_time + datetime.timedelta(seconds=120)).timestamp(), 8.7, 8.9)
conflator.add_tick(tick)
tick = Tick((start_time + datetime.timedelta(seconds=180)).timestamp(), 11.0, 11.2)
conflator.add_tick(tick)
tick = Tick((start_time + datetime.timedelta(seconds=240)).timestamp(), 10.5, 10.7)
conflator.add_tick(tick)
tick = Tick((start_time + datetime.timedelta(seconds=300)).timestamp(), 9.0, 9.2)
conflator.add_tick(tick)
tick = Tick((start_time + datetime.timedelta(seconds=360)).timestamp(), 9.0, 9.2)
conflator.add_tick(tick)
self.assertEqual(1, len(self.callbackQuote))
quote = self.callbackQuote[0]
self.assertEqual(5, quote.ticks)
self.assertEqual(9.1, quote.open)
self.assertEqual(11.1, quote.high)
self.assertEqual(8.8, quote.low)
self.assertEqual(10.6, quote.close)
def testQuoteConstruction(self):
s = Symbol.get("TEST")
conflator = PriceConflator("TEST", MarketDataPeriod.MIN_5, self.callback)
start_time = datetime.datetime(2015, 7, 7, 14, 10, 0)
start_time = start_time + MarketDataPeriod.MIN_1
tick = Tick(start_time.timestamp(), 9.0, 9.2) # 14:11:00
conflator.add_tick(tick)
start_time = start_time + MarketDataPeriod.MIN_1
tick = Tick(start_time.timestamp(), 8.7, 8.9) # 14:12:00
conflator.add_tick(tick)
start_time = start_time + MarketDataPeriod.MIN_1
tick = Tick(start_time.timestamp(), 11.0, 11.2) # 14:13:00
conflator.add_tick(tick)
start_time = start_time + MarketDataPeriod.MIN_1
tick = Tick(start_time.timestamp(), 10.5, 10.7) # 14:14:00
conflator.add_tick(tick)
start_time = start_time + MarketDataPeriod.MIN_1
tick = Tick(start_time.timestamp(), 9.0, 9.2) # 14:15:00
conflator.add_tick(tick)
self.assertEqual(1, len(self.callbackQuote))
quote = self.callbackQuote[0]
self.assertEqual(9.1, quote.open)
self.assertEqual(11.1, quote.high)
self.assertEqual(8.8, quote.low)
self.assertEqual(10.6, quote.close)
def testAlgoExpiredOrder(self):
symbol = Symbol.get('TEST')
start_time = datetime.datetime(2015, 7, 7, 12)
order = Order(symbol, 1, Entry(Entry.Type.STOP_ENTRY, 12.5), Direction.LONG, expire_time=datetime.timedelta(seconds=90), entry_time=start_time)
# symbol = algo.analysis_symbols()[0]
ticks = []
ticks.append(Tick(start_time.timestamp(), 10.0, 10.1))
start_time = start_time + MarketDataPeriod.MIN_1
ticks.append(Tick(start_time.timestamp(), 11.0, 11.1))
start_time = start_time + MarketDataPeriod.MIN_1
ticks.append(Tick(start_time.timestamp(), 12.0, 12.1))
start_time = start_time + MarketDataPeriod.MIN_1
ticks.append(Tick(start_time.timestamp(), 12.3, 12.4))
start_time = start_time + MarketDataPeriod.MIN_1
ticks.append(Tick(start_time.timestamp(), 12.8, 12.9))
dataProvider = SimulatedDataProvider(symbol, ticks)
order_manager = Broker(dataProvider)
order_manager.subscribeSymbol(symbol)
order_creator = OrderCreator(order_manager, symbol, order)
order_manager.addPriceObserver(order_creator.handle_data)
order_manager.start()
self.assertEqual(0, len(order_manager.orders))
self.assertEqual(0, len(order_manager.positions))
self.assertEqual(State.EXPIRED, order.status)
def testTakeProfitMarketOrder(self):
symbol = Symbol.get('TEST')
symbol.lot_size = 1
start_time = datetime.datetime(2015, 7, 7, 12)
# symbol = algo.analysis_symbols()[0]
ticks = []
ticks.append(Tick(start_time.timestamp(), 10.0, 10.1))
start_time = start_time + MarketDataPeriod.MIN_1
ticks.append(Tick(start_time.timestamp(), 11.0, 11.1))
start_time = start_time + MarketDataPeriod.MIN_1
ticks.append(Tick(start_time.timestamp(), 13.0, 13.1))
dataProvider = SimulatedDataProvider(symbol, ticks)
order_manager = Broker(dataProvider)
order_manager.subscribeSymbol(symbol)
order = Order(symbol, 1, Entry(Entry.Type.MARKET), Direction.LONG, take_profit=2)
order_creator = OrderCreator(order_manager, symbol, order)
order_manager.addPriceObserver(order_creator.handle_data)
order_manager.addPositionObserver(lambda position, state: self.setPosition(position))
order_manager.start()
self.assertEqual(0, len(order_manager.orders))
self.assertEqual(0, len(order_manager.positions))
self.assertEqual(State.FILLED, order.status)
self.assertIsNotNone(self.position)
self.assertEqual(Position.PositionStatus.TAKE_PROFIT, self.position.status)
self.assertEqual(12.1, self.position.exit_price)
self.assertAlmostEquals(2.0, self.position.points_delta())
def testAlgoStopEntryOrder(self):
symbol = Symbol.get('TEST')
start_time = datetime.datetime(2015, 7, 7, 12)
# symbol = algo.analysis_symbols()[0]
ticks = []
ticks.append(Tick(start_time.timestamp(), 10.0, 10.1))
start_time = start_time + MarketDataPeriod.MIN_1
ticks.append(Tick(start_time.timestamp(), 11.0, 11.1))
start_time = start_time + MarketDataPeriod.MIN_1
ticks.append(Tick(start_time.timestamp(), 12.0, 12.1))
start_time = start_time + MarketDataPeriod.MIN_1
ticks.append(Tick(start_time.timestamp(), 12.3, 12.4))
start_time = start_time + MarketDataPeriod.MIN_1
ticks.append(Tick(start_time.timestamp(), 12.8, 12.9))
dataProvider = SimulatedDataProvider(symbol, ticks)
order_manager = Broker(dataProvider)
order_manager.subscribeSymbol(symbol)
order = Order(symbol, 1, Entry(Entry.Type.STOP_ENTRY, 11.3), Direction.LONG)
order_creator = OrderCreator(order_manager, symbol, order)
order_manager.addPriceObserver(order_creator.handle_data)
order_manager.start()
self.assertEqual(0, len(order_manager.orders))
self.assertEqual(1, len(order_manager.positions))
self.assertEqual(State.FILLED, order.status)
position = order_manager.positions[0]
self.assertEqual(Position.PositionStatus.OPEN, position.status)
self.assertEqual(12.1, position.entry_price)
def analysis_symbols(self):
"""
This is a list of symbols which are used in this algorithm.
:return: Array of Symbols used in this algorithm
"""
return [
(Symbol.get('EURUSD:CUR'), MarketDataPeriod.MIN_5,
self.evaluate_quote_update),
]
def __init__(self, symbol, outfile, input_files):
self.pending = []
self.totalTicks = 0
self.outfile = open(outfile, 'w+')
for filename in input_files:
logging.info("Processing '%s'" % (filename,))
data = CSVProvider(Symbol.get(symbol), filename)
data.start_publishing(self.tick_handler)
self.outfile.close()
def testShortLoss(self):
s1 = Symbol.get("TEST")
s1.lot_size = 10000
# LONG
order = Order(s1, 1, Entry(Entry.Type.MARKET), Direction.SHORT)
tick = Tick(datetime.utcnow(), 1.12239, 1.12245) # spread of 0.6
position = Position(order, tick)
tick = Tick(datetime.utcnow(), 1.12259, 1.12265)
position.close(tick)
self.assertAlmostEquals(-2, position.points_delta())
def testShortLoss(self):
s1 = Symbol.get("TEST")
s1.lot_size = 10000
# LONG
order = Order(s1, 1, Entry(Entry.Type.MARKET), Direction.SHORT)
tick = Tick(datetime.utcnow(), 1.12239, 1.12245) # spread of 0.6
position = Position(order, tick)
tick = Tick(datetime.utcnow(), 1.12259, 1.12265)
position.close(tick)
self.assertAlmostEquals(-2, position.points_delta())
def testModifiedStopLoss(self):
s1 = Symbol.get("TEST")
s1.lot_size = 10000
# LONG
order = Order(s1, 1, Entry(Entry.Type.MARKET), Direction.SHORT)
tick = Tick(datetime.utcnow(), 1.12239, 1.12245) # spread of 0.6
position = Position(order, tick)
self.assertIsNone(position.stop_price)
position.update(stop_loss=StopLoss(StopLoss.Type.FIXED, 2))
self.assertIsNotNone(position.stop_price)
self.assertEqual(1.12265, position.stop_price)
def testModifiedStopLoss(self):
s1 = Symbol.get("TEST")
s1.lot_size = 10000
# LONG
order = Order(s1, 1, Entry(Entry.Type.MARKET), Direction.SHORT)
tick = Tick(datetime.utcnow(), 1.12239, 1.12245) # spread of 0.6
position = Position(order, tick)
self.assertIsNone(position.stop_price)
position.update(stop_loss=StopLoss(StopLoss.Type.FIXED, 2))
self.assertIsNotNone(position.stop_price)
self.assertEqual(1.12265, position.stop_price)
def __init__(self, symbol, user, database, host, input_files):
self.pending = []
self.totalTicks = 0
self._db_connection = connector.connect(user=user, database=database, host=host)
self.cursor = self._db_connection.cursor(buffered=True)
self.cursor.execute("SET unique_checks=0;")
self.cursor.execute("SET autocommit=0;")
for filename in input_files:
logging.info("Processing '%s'" % (filename,))
data = CSVProvider(Symbol.get(symbol), filename)
data.start_publishing(self.tick_handler)
self._db_connection.commit()
self.cursor.execute("SET unique_checks=1;")
self.cursor.close()
self._db_connection.close()
def __init__(self, symbol, user, database, host, input_files):
self.pending = []
self.totalTicks = 0
self._db_connection = connector.connect(user=user,
database=database,
host=host)
self.cursor = self._db_connection.cursor(buffered=True)
self.cursor.execute("SET unique_checks=0;")
self.cursor.execute("SET autocommit=0;")
for filename in input_files:
logging.info("Processing '%s'" % (filename, ))
data = CSVProvider(Symbol.get(symbol), filename)
data.start_publishing(self.tick_handler)
self._db_connection.commit()
self.cursor.execute("SET unique_checks=1;")
self.cursor.close()
self._db_connection.close()
def testQuoteGap(self):
s = Symbol.get("TEST")
conflator = PriceConflator("TEST", MarketDataPeriod.MIN_5, self.callback)
start_time = datetime.datetime(2015, 7, 7, 14, 10, 0)
start_time = start_time + MarketDataPeriod.MIN_1
tick = Tick(start_time.timestamp(), 9.0, 9.2) # 14:11
conflator.add_tick(tick)
start_time = start_time + MarketDataPeriod.MIN_1
tick = Tick(start_time.timestamp(), 8.7, 8.9) # 14:12
conflator.add_tick(tick)
start_time = start_time + MarketDataPeriod.MIN_1
tick = Tick(start_time.timestamp(), 11.0, 11.2) # 14:13
conflator.add_tick(tick)
start_time = start_time + MarketDataPeriod.MIN_1
tick = Tick(start_time.timestamp(), 10.5, 10.7) # 14:14
conflator.add_tick(tick)
self.assertEqual(0, len(self.callbackQuote)) # (All in 14:10:00)
start_time = start_time + MarketDataPeriod.MIN_15
tick = Tick(start_time.timestamp(), 9.0, 9.2) # 14:29
conflator.add_tick(tick)
self.assertEqual(3, len(self.callbackQuote)) # 14:15:00, 14:20:00, 14:25:00
start_time = start_time + MarketDataPeriod.MIN_1
tick = Tick(start_time.timestamp(), 10.5, 10.7) # 14:30
conflator.add_tick(tick)
self.assertEqual(4, len(self.callbackQuote))
quote = self.callbackQuote[0]
self.assertEqual(9.1, quote.open)
self.assertEqual(11.1, quote.high)
self.assertEqual(8.8, quote.low)
self.assertEqual(10.6, quote.close)
quote = self.callbackQuote[1]
self.assertEqual(10.6, quote.open)
self.assertEqual(10.6, quote.high)
self.assertEqual(10.6, quote.low)
self.assertEqual(10.6, quote.close)
def __init__(self, symbol, out_file, input_files):
self.pending = []
self.totalTicks = 0
self.conn = sqlite3.connect(out_file)
self.cursor = self.conn.cursor()
self.cursor.execute("PRAGMA synchronous = OFF")
self.cursor.execute("PRAGMA journal_mode = OFF")
self.cursor.execute("CREATE TABLE IF NOT EXISTS tick_data("
"symbol varchar(64) NOT NULL,"
"timestamp timestamp NOT NULL,"
"bid NUMBER NOT NULL,"
"offer NUMBER NOT NULL)")
self.cursor.execute("CREATE INDEX tick_data_timestamp_idx ON tick_data(timestamp)")
for filename in input_files:
logging.info("Processing '%s'" % (filename,))
data = CSVProvider(Symbol.get(symbol), filename)
data.start_publishing(self.tickHandler)
self._db_connection.commit()
logging.debug("Commited %s" % (self.totalTicks, ))
self.totalTicks = 0
except connector.errors.IntegrityError as e:
# probably a duplicate entry
pass
if __name__ == '__main__':
logging.basicConfig(format='%(asctime)s %(message)s', level=logging.DEBUG)
database = {
'user': '******',
'database': 'blackbox',
'host': "192.168.0.8"
}
Symbol.set_info_provider(MySQLSymbolProvider(database))
parser = argparse.ArgumentParser(
description='Parse CSV Tick data into sqlite db.')
parser.add_argument("-s",
"--symbol",
dest="symbol",
required=True,
help="symbol identifier")
parser.add_argument("-u",
"--user",
dest="user",
default="blackbox",
help="mysql host")
parser.add_argument("-x",
"--host",
def testSymbol(self):
s1 = Symbol.get("TEST")
s2 = Symbol.get("TEST")
self.assertEqual(s1, s2)
self.assertEqual(id(s1.__dict__), id(s2.__dict__))
def setUp(self):
Symbol.set_info_provider(DummySymbolProvider())
self.cursor.execute("CREATE INDEX tick_data_timestamp_idx ON tick_data(timestamp)")
for filename in input_files:
logging.info("Processing '%s'" % (filename,))
data = CSVProvider(Symbol.get(symbol), filename)
data.start_publishing(self.tickHandler)
def tickHandler(self, symbol, tick):
self.pending.append((symbol.identifier, tick.timestamp, tick.bid, tick.offer))
if len(self.pending) >= 10000:
self.cursor.executemany("INSERT INTO tick_data(symbol, timestamp, bid, offer) VALUES(?, ?, ?, ?)", self.pending)
self.totalTicks += len(self.pending)
self.pending.clear()
self.conn.commit()
logging.debug("Commited %s" % (self.totalTicks,))
if __name__ == '__main__':
logging.basicConfig(format='%(asctime)s %(message)s', level=logging.DEBUG)
Symbol.set_info_provider("")
parser = argparse.ArgumentParser(description='Parse CSV Tick data into sqlite db.')
parser.add_argument("-a", "--symbol", dest="symbol", required=True, help="symbol identifier")
parser.add_argument("-o", "--out", dest="db_filename", default="data.store", help="sqlite filename")
parser.add_argument("-i", "--in", dest="in_filename", help="csv file to read")
args = parser.parse_args()
input_files = glob.glob(os.path.expanduser(os.path.expandvars(args.in_filename)))
h = Handler(args.symbol, args.db_filename, input_files)
def analysis_symbols(self):
"""
This is a list of symbols which are used in this algorithm.
:return: Array of Symbols used in this algorithm
"""
return [(Symbol.get("EURUSD:CUR"), MarketDataPeriod.MIN_5, self.evaluate_quote_update)]
def analysis_symbols(self):
return [Symbol.get('EURUSD:CUR'), ]
def setUp(self):
Symbol.set_info_provider(DummySymbolProvider())
logging.basicConfig(format='%(asctime)s %(message)s', level=logging.DEBUG)
self.position = None
def analysis_symbols(self):
return [
(Symbol.get('EURUSD:CUR'), self.time_period, self.evaluate_quote_update),
(Symbol.get('EURUSD:CUR'), MarketDataPeriod.MIN_5, self.evaluate_risk)
]
def analysis_symbols(self):
return [
Symbol.get('EURUSD:CUR'),
]
def setUp(self):
Symbol.set_info_provider(DummySymbolProvider())
self.callbackQuote = []
def tick_handler(self, symbol, tick):
try:
self.cursor.execute("INSERT INTO tick_data2(symbol_id, timestamp, bid, offer) VALUES(%s, %s, %s, %s)", (symbol.identifier, tick.timestamp.timestamp(), tick.bid, tick.offer))
self.totalTicks += 1
if self.totalTicks >= 100000:
self._db_connection.commit()
logging.debug("Commited %s" % (self.totalTicks,))
self.totalTicks = 0
except connector.errors.IntegrityError as e:
# probably a duplicate entry
pass
if __name__ == '__main__':
logging.basicConfig(format='%(asctime)s %(message)s', level=logging.DEBUG)
database = {'user': '******', 'database': 'blackbox', 'host': "192.168.0.8"};
Symbol.set_info_provider(MySQLSymbolProvider(database))
parser = argparse.ArgumentParser(description='Parse CSV Tick data into sqlite db.')
parser.add_argument("-s", "--symbol", dest="symbol", required=True, help="symbol identifier")
parser.add_argument("-u", "--user", dest="user", default="blackbox", help="mysql host")
parser.add_argument("-x", "--host", dest="host", default="localhost", help="mysql host")
parser.add_argument("-d", "--database", dest="database", default="blackbox", help="mysql database")
parser.add_argument("-i", "--in", dest="in_filename", help="csv file to read")
args = parser.parse_args()
input_files = glob.glob(os.path.expanduser(os.path.expandvars(args.in_filename)))
logging.debug("Processing %s files: %s" % (len(input_files), input_files))
h = Handler(args.symbol, args.user, args.database, args.host, input_files)
def setUp(self):
Symbol.set_info_provider("1")
def setUp(self):
Symbol.set_info_provider(DummySymbolProvider())
self.order_router = TestOrderRouter()
self.algo = NakedBigShadow(10, 50, 100, MarketDataPeriod.HOUR_1)
self.context = Context(10000, OrderBook(self.order_router, BacktestOrderbookPersist()), self.algo.analysis_symbols(), self.algo.quote_cache_size())