def addBar(self, instrument, bar, frequency):
instrument = normalize_instrument(instrument)
instrumentId = self.__getOrCreateInstrument(instrument)
timeStamp = dt.datetime_to_timestamp(bar.getDateTime())
try:
sql = "insert into bar (instrument_id, frequency, timestamp, open, high, low, close, volume, adj_close) values (?, ?, ?, ?, ?, ?, ?, ?, ?)"
params = [
instrumentId, frequency, timeStamp,
bar.getOpen(),
bar.getHigh(),
bar.getLow(),
bar.getClose(),
bar.getVolume(),
bar.getAdjClose()
]
self.__connection.execute(sql, params)
except sqlite3.IntegrityError:
sql = "update bar set open = ?, high = ?, low = ?, close = ?, volume = ?, adj_close = ?" \
" where instrument_id = ? and frequency = ? and timestamp = ?"
params = [
bar.getOpen(),
bar.getHigh(),
bar.getLow(),
bar.getClose(),
bar.getVolume(),
bar.getAdjClose(), instrumentId, frequency, timeStamp
]
self.__connection.execute(sql, params)
def adjustBars(instrument, bars, startdate, enddate):
bars = []
bars_in_dtrange = [bar for bar in bars if startdate.replace(tzinfo=None) <= bar.getDateTime() <= enddate.replace(tzinfo=None)]
bars_in_dtrange.sort(key=lambda bar: bar.getDateTime(), reverse=True)
k = 0
splitdataList = []
dividendList = []
for bar in bars_in_dtrange:
splitdata = bar.getSplit()
dividend = bar.getDividend()
if splitdata != 1.0:
splitdataList.append(bar.getSplit())
if dividend != 0.0:
adjFactor = (bar.getClose() + bar.getDividend()) / bar.getClose()
dividendList.append(adjFactor)
#### Special case.... end date / analysis date nothing to do..
if (k==0):
bar = BasicBar(bar.getDateTime(),
bar.getOpen() , bar.getHigh(), bar.getLow(), bar.getClose(), bar.getVolume(), bar.getClose(), Frequency.DAY)
bars.append(bar)
else:
#### Adjust OHLC & Volume data for split adjustments and dividend adjustments
Open = bar.getOpen()
High = bar.getHigh()
Low = bar.getLow()
Close = bar.getClose()
Volume = bar.getVolume()
### adjust data for splits
for split in splitdataList:
Open = Open / split
High = High / split
Low = Low / split
Close = Close /split
Volume = Volume * split
### adjust data for dividends
for adjFactor in dividendList:
Open = Open / adjFactor
High = High / adjFactor
Low = Low / adjFactor
Close = Close / adjFactor
Volume = Volume * adjFactor
bar = BasicBar(bar.getDateTime(),
Open , High, Low, Close, Volume, Close, Frequency.DAY)
bars.append(bar)
k +=1
feed = Feed(Frequency.DAY, 1024)
return feed.loadBars(instrument+"_adjusted", bars)
def addBar(self, instrument, bar, frequency): instrument = normalize_instrument(instrument) instrumentId = self.__getOrCreateInstrument(instrument) timeStamp = dt.datetime_to_timestamp(bar.getDateTime()) try: sql = "insert into bar (instrument_id, frequency, timestamp, open, high, low, close, volume, adj_close) values (?, ?, ?, ?, ?, ?, ?, ?, ?)" params = [instrumentId, frequency, timeStamp, bar.getOpen(), bar.getHigh(), bar.getLow(), bar.getClose(), bar.getVolume(), bar.getAdjClose()] self.__connection.execute(sql, params) except sqlite3.IntegrityError: sql = "update bar set open = ?, high = ?, low = ?, close = ?, volume = ?, adj_close = ?" \ " where instrument_id = ? and frequency = ? and timestamp = ?" params = [bar.getOpen(), bar.getHigh(), bar.getLow(), bar.getClose(), bar.getVolume(), bar.getAdjClose(), instrumentId, frequency, timeStamp] self.__connection.execute(sql, params)
def get_stop_price_trigger(action, stopPrice, useAdjustedValues, bar):
ret = None
open_ = bar.getOpen(useAdjustedValues)
high = bar.getHigh(useAdjustedValues)
low = bar.getLow(useAdjustedValues)
# If the bar is above the stop price, use the open price.
# If the bar includes the stop price, use the open price or the stop price. Whichever is better.
if action in [broker.Order.Action.BUY, broker.Order.Action.BUY_TO_COVER]:
if low > stopPrice:
ret = open_
elif stopPrice <= high:
if open_ > stopPrice: # The stop price was penetrated on open.
ret = open_
else:
ret = stopPrice
# If the bar is below the stop price, use the open price.
# If the bar includes the stop price, use the open price or the stop price. Whichever is better.
elif action in [broker.Order.Action.SELL, broker.Order.Action.SELL_SHORT]:
if high < stopPrice:
ret = open_
elif stopPrice >= low:
if open_ < stopPrice: # The stop price was penetrated on open.
ret = open_
else:
ret = stopPrice
else: # Unknown action
assert(False)
return ret
def get_stop_price_trigger(action, stopPrice, useAdjustedValues, bar):
ret = None
open_ = bar.getOpen(useAdjustedValues)
high = bar.getHigh(useAdjustedValues)
low = bar.getLow(useAdjustedValues)
# If the bar is above the stop price, use the open price.
# If the bar includes the stop price, use the open price or the stop price. Whichever is better.
if action in [broker.Order.Action.BUY, broker.Order.Action.BUY_TO_COVER]:
if low > stopPrice:
ret = open_
elif stopPrice <= high:
if open_ > stopPrice: # The stop price was penetrated on open.
ret = open_
else:
ret = stopPrice
# If the bar is below the stop price, use the open price.
# If the bar includes the stop price, use the open price or the stop price. Whichever is better.
elif action in [broker.Order.Action.SELL, broker.Order.Action.SELL_SHORT]:
if high < stopPrice:
ret = open_
elif stopPrice >= low:
if open_ < stopPrice: # The stop price was penetrated on open.
ret = open_
else:
ret = stopPrice
else: # Unknown action
assert (False)
return ret
def get_range_price_trigger(action, lowPrice, upPrice, useAdjustedValues, bar):
ret = None
open_ = bar.getOpen(useAdjustedValues)
high = bar.getHigh(useAdjustedValues)
low = bar.getLow(useAdjustedValues)
# If the bar is below the limit price, use the open price.
# If the bar includes the limit price, use the open price or the limit price.
# if action in [broker.Order.Action.BUY, broker.Order.Action.BUY_TO_COVER]:
# if high < limitPrice:
# ret = open_
# elif limitPrice >= low:
# if open_ < limitPrice: # The limit price was penetrated on open.
# ret = open_
# else:
# ret = limitPrice
# If low of the bar is below lowPrice, use the open price when open is below lowPrice else use lowPrice.
# If high of the bar is above upPrice, use the open price when open is above upPrice else use upPrice.
if action in [broker.Order.Action.SELL, broker.Order.Action.SELL_SHORT]:
if low < lowPrice:
if open_ < lowPrice:
ret = open_
else:
ret = lowPrice
elif upPrice <= high:
if open_ > upPrice: # The limit price was penetrated on open.
ret = open_
else:
ret = upPrice
else: # Unknown action
assert(False)
return ret
def compute_BBands(instrument, startdate, enddate ):
from pyalgotrade.talibext import indicator
bBandsPeriod = 20 #### No of periods.....
feed = redis_build_feed_EOD_RAW(instrument, startdate, enddate)
barsDictForCurrAdj = {}
barsDictForCurrAdj[instrument] = feed.getBarSeries(instrument)
feedLookbackEndAdj = xiquantPlatform.xiQuantAdjustBars(barsDictForCurrAdj, startdate, enddate)
feedLookbackEndAdj.adjustBars()
closeDS = feedLookbackEndAdj.getCloseDataSeries(instrument + "_adjusted")
upper, middle, lower = indicator.BBANDS(closeDS, len(closeDS), bBandsPeriod, 2.0, 2.0)
dateTimes = feedLookbackEndAdj.getDateTimes(instrument + "_adjusted")
upperDS = numpy_to_highchartds(dateTimes, upper, startdate, enddate)
middleDS = numpy_to_highchartds(dateTimes, middle, startdate, enddate)
lowerDS = numpy_to_highchartds(dateTimes, lower, startdate, enddate)
##########Display price seriesin the center of Bolinger bands......##################
barDS = feedLookbackEndAdj.getBarSeries(instrument + "_adjusted")
adj_Close_Series = []
for bar in barDS:
dt = bar.getDateTime()
sec = calendar.timegm(dt.timetuple())
dtInMilliSeconds = int(sec * 1000)
adjPrice_val = [dtInMilliSeconds, bar.getOpen(), bar.getHigh(), \
bar.getLow(), bar.getClose()]
adj_Close_Series.append(adjPrice_val)
return upperDS, middleDS, lowerDS, adj_Close_Series
def get_limit_price_trigger(action, limitPrice, useAdjustedValues, bar):
ret = None
open_ = bar.getOpen(useAdjustedValues)
high = bar.getHigh(useAdjustedValues)
low = bar.getLow(useAdjustedValues)
# If the bar is below the limit price, use the open price.
# If the bar includes the limit price, use the open price or the limit price.
if action in [broker.Order.Action.BUY, broker.Order.Action.BUY_TO_COVER]:
if high < limitPrice:
ret = open_
elif limitPrice >= low:
if open_ < limitPrice: # The limit price was penetrated on open.
ret = open_
else:
ret = limitPrice
# If the bar is above the limit price, use the open price.
# If the bar includes the limit price, use the open price or the limit price.
elif action in [broker.Order.Action.SELL, broker.Order.Action.SELL_SHORT]:
if low > limitPrice:
ret = open_
elif limitPrice <= high:
if open_ > limitPrice: # The limit price was penetrated on open.
ret = open_
else:
ret = limitPrice
else: # Unknown action
assert False
return ret
def onBars(self, bars):
for instrument in bars.getInstruments():
bar = bars[instrument]
self.info("%s: %s %s %s %s %s %s" % (
instrument,
bar.getOpen(),
bar.getHigh(),
bar.getLow(),
bar.getClose(),
bar.getAdjClose(),
bar.getVolume(),
))
def onBars(self, bars):
bar = bars[self.__instrument]
# tmp_dtime = bar.getDateTime()
self.__dtime = bar.getDateTime()
if (None is self.lastDate):
self.lastDate = self.__dtime.date()
else:
if (self.lastDate != self.__dtime.date()):
self.lastDate = self.__dtime.date()
self.__resetORHL()
else:
self.barIntradayCount += 1
## intraday dynamics
if (self.openrange > self.barIntradayCount):
if bar.getHigh() > self.orh:
self.orh = bar.getHigh()
if bar.getLow() < self.orl:
self.orl = bar.getLow()
elif (self.openrange == self.barIntradayCount):
self.__resetAC()
elif (self.__dtime.time() > self.exitIntradayTradeTime):
self.exitAllPositions()
else:
self.__clos = bar.getClose()
self.__dynamics(self.__clos)
if (0 == self.stateA):
tmp_0 = self.processEvent1()
if (1 <= tmp_0):
self.action_init2up()
elif (-1 >= tmp_0):
self.action_init2down()
else:
if (1 == self.stateA):
if (6 == self.stateB):
tmp_6 = self.processEvent1()
if (1 <= tmp_6):
self.action_upempty2duo()
elif (-2 == tmp_6):
self.action_upempty2kong()
elif (2 == self.stateB):
tmp_2 = self.processEvent3()
if (1 == tmp_2):
self.action_upduo2exit_time()
elif (4 == self.stateB):
tmp_4 = self.processEvent3()
if (1 == tmp_4):
self.action_upkong2exit_time()
else: # self.stateA == -1
if (6 == self.stateB):
tmp_6 = self.processEvent1()
if (2 == tmp_6):
self.action_downempty2duo()
elif (-1 >= tmp_6):
self.action_downempty2kong()
elif (2 == self.stateB):
tmp_2 = self.processEvent3()
if (1 == tmp_2):
self.action_downduo2exit_time()
elif (4 == self.stateB):
tmp_4 = self.processEvent3()
if (1 == tmp_4):
self.action_downkong2exit_time()
def adjustBars(self): for key, value in self.__barsDict.iteritems(): basicbars = [] bars = value bars_in_dtrange = [bar for bar in bars if self.__startdate.replace(tzinfo=None) <= bar.getDateTime() <= self.__enddate.replace(tzinfo=None)] bars_in_dtrange.sort(key=lambda bar: bar.getDateTime(), reverse=True) k = 0 splitdataList = [] dividendList = [] for bar in bars_in_dtrange: splitdata = float(bar.getSplit()) dividend = float(bar.getDividend()) if splitdata != 1.0: splitdataList.append(bar.getSplit()) if dividend != 0.0: adjFactor = (bar.getClose() + bar.getDividend()) / bar.getClose() dividendList.append(adjFactor) #### Special case.... end date / analysis date nothing to do.. if (k==0): bar = BasicBar(bar.getDateTime(), bar.getOpen() , bar.getHigh(), bar.getLow(), bar.getClose(), bar.getVolume(), bar.getClose(), Frequency.DAY) basicbars.append(bar) else: #### Adjust OHLC & Volume data for split adjustments and dividend adjustments Open = bar.getOpen() High = bar.getHigh() Low = bar.getLow() Close = bar.getClose() Volume = bar.getVolume() ### adjust data for splits for split in splitdataList: Open = Open / split High = High / split Low = Low / split Close = Close /split Volume = Volume * split ### adjust data for dividends for adjFactor in dividendList: Open = Open / adjFactor High = High / adjFactor Low = Low / adjFactor Close = Close / adjFactor Volume = Volume * adjFactor bar = BasicBar(bar.getDateTime(), Open , High, Low, Close, Volume, Close, Frequency.DAY) basicbars.append(bar) k +=1 DateTimes = [] OpenSeries = SequenceDataSeries(4000) HighSeries = SequenceDataSeries(4000) LowSeries = SequenceDataSeries(4000) CloseSeries = SequenceDataSeries(4000) VolumeSeries = SequenceDataSeries(4000) TypicalSeries = SequenceDataSeries(4000) barSeries = BarDataSeries(4000) basicbars.sort(key=lambda bar: bar.getDateTime(), reverse=False) for bar in basicbars: DateTimes.append(bar.getDateTime()) OpenSeries.appendWithDateTime(bar.getDateTime(), bar.getOpen()) HighSeries.appendWithDateTime(bar.getDateTime(), bar.getHigh()) LowSeries.appendWithDateTime(bar.getDateTime(), bar.getLow()) CloseSeries.appendWithDateTime(bar.getDateTime(), bar.getClose()) VolumeSeries.appendWithDateTime(bar.getDateTime(), bar.getVolume()) TypicalSeries.appendWithDateTime(bar.getDateTime(), (bar.getClose()+bar.getHigh()+bar.getLow())/3.0) barSeries.appendWithDateTime(bar.getDateTime(), bar) self.__DateTimes[key+"_adjusted"] = DateTimes self.__OpenDataSeries[key+"_adjusted"] = OpenSeries self.__HighDataSeries[key+"_adjusted"] = HighSeries self.__LowDataSeries[key+"_adjusted"] = LowSeries self.__CloseDataSeries[key+"_adjusted"] = CloseSeries self.__VolumeDataSeries[key+"_adjusted"] = VolumeSeries self.__TypicalDataSeries[key+"_adjusted"] = TypicalSeries self.__barSeries[key+"_adjusted"] = barSeries
def resampledOnBar(self, bars):
bar = bars[self.__instrument] # pyalgotrade.bar.BasicBar object
# print("Date: {} Close: {} PriceHigh: {}" .format(bar.getDateTime(), round(bar.getClose(),2), round(bar.getHigh(),2) ))
shares = int(self.getBroker().getCash() * 0.5 / bar.getHigh()) # 80% of cash stock
# print("this is current total cash {}" .format(round(self.getBroker().getCash(),2)))
# print("shares is {}" .format(shares))
print("Date: {} Open: {} Close: {} PriceLow: {} PriceHigh: {} ".format(bar.getDateTime(), round(bar.getOpen(), 2), round(bar.getClose(), 2),round(bar.getLow()), round(bar.getHigh())))
if self.__position is None:
self.__position = self.enterLong(self.__instrument, shares, False, True) # this to enter market order # pyalgotrade.strategy.position.LongPosition object
print("enter long for {} shares at {} price".format(shares, bar.getPrice()))
print("remaining cash is " + str(self.getBroker().getCash()))
print("position is " + str(self.__position.getShares()))
elif not self.__position.exitActive(): # Returns True if the exit order is active
# if not exit orders being active
self.__position.exitMarket(True) # this just submits the market order and self.__position becomes none
print("exit for {} shares at {} price".format(self.__position.getShares(), bar.getPrice()))
print("remaining cash is " + str(self.getBroker().getCash()))
print("position is " + str(self.__position.getShares()))