def main():
bf = membf.BarFeed(bar.Frequency.DAY)
bars = [
bar.BasicBar(datetime.datetime(2000, 1, 1), 10, 10, 10, 10, 10, 10,
bar.Frequency.DAY),
]
bf.addBarsFromSequence("orcl", bars)
strat = Strategy(bf, 1000)
strat.run()
def main():
bf = membf.BarFeed(bar.Frequency.DAY)
bars = [
bar.BasicBar(datetime.datetime(2000, 1, 1), 10, 10, 10, 10, 10, 10,
bar.Frequency.DAY),
bar.BasicBar(datetime.datetime(2000, 1, 2), 10, 10, 10, 10, 10, 10,
bar.Frequency.DAY),
]
bf.addBarsFromSequence("orcl", bars)
logger.getLogger().setLevel(logging.DEBUG)
strat = BacktestingStrategy(bf, 1)
strat.run()
def load_pyalgotrade_daily_bars(instrument, barType, fromDateTime, toDateTime):
assert (barType == persistence.Bar.Type.DAILY)
# Load pyalgotrade.bar.Bar objects from the db.
dbBars = persistence.Bar.getBars(instrument, barType, fromDateTime,
toDateTime)
bars = [ds_bar_to_pyalgotrade_bar(dbBar) for dbBar in dbBars]
# Use a feed to build pyalgotrade.bar.Bars objects.
feed = membf.BarFeed(bar.Frequency.DAY)
feed.addBarsFromSequence(instrument, bars)
ret = []
for dateTime, bars in feed:
ret.append(bars)
return ret
def __testManualImpl(self, closingPrices, cash):
barFeed = membf.BarFeed(barfeed.Frequency.DAY)
bars = build_bars_from_closing_prices(closingPrices)
barFeed.addBarsFromSequence("orcl", bars)
strat = strategy_test.TestStrategy(barFeed, cash)
stratAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(stratAnalyzer)
# Manually place the order to get it filled on the first bar.
order = strat.getBroker().createMarketOrder(broker.Order.Action.BUY,
"orcl", 1, True)
order.setGoodTillCanceled(True)
strat.getBroker().placeOrder(order)
strat.run()
return stratAnalyzer
def testPartialFillGTCOpenAndClose2(self):
instrument = "orcl"
bf = membf.BarFeed(bar.Frequency.DAY)
bars = [
bar.BasicBar(datetime.datetime(2000, 1, 1), 10, 10, 10, 10, 10, 10,
bar.Frequency.DAY),
bar.BasicBar(datetime.datetime(2000, 1, 2), 11, 11, 10, 10, 10, 10,
bar.Frequency.DAY),
bar.BasicBar(datetime.datetime(2000, 1, 3), 12, 12, 10, 10, 10, 10,
bar.Frequency.DAY),
bar.BasicBar(datetime.datetime(2000, 1, 4), 13, 13, 10, 10, 10, 10,
bar.Frequency.DAY),
bar.BasicBar(datetime.datetime(2000, 1, 5), 14, 14, 10, 10, 10, 10,
bar.Frequency.DAY),
]
bf.addBarsFromSequence(instrument, bars)
strat = TestStrategy(bf, instrument, 1000)
strat.addPosEntry(datetime.datetime(2000, 1, 1), strat.enterLong,
instrument, 4, True)
# Exit the position before the entry order gets completely filled.
strat.addPosExit(datetime.datetime(2000, 1, 2))
strat.run()
self.assertEqual(strat.positions[0].isOpen(), False)
self.assertEqual(strat.enterOkCalls, 1)
self.assertEqual(strat.enterCanceledCalls, 0)
self.assertEqual(strat.exitOkCalls, 1)
self.assertEqual(strat.exitCanceledCalls, 0)
self.assertEqual(len(strat.posExecutionInfo), 2)
self.assertTrue(strat.positions[0].getEntryOrder().isCanceled())
self.assertTrue(strat.positions[0].getExitOrder().isFilled())
self.assertEqual(strat.positions[0].getShares(), 0)
self.assertEqual(strat.posExecutionInfo[0].getPrice(), 11)
self.assertEqual(strat.posExecutionInfo[0].getQuantity(), 2)
self.assertEqual(strat.posExecutionInfo[0].getCommission(), 0)
self.assertEqual(strat.posExecutionInfo[0].getDateTime(),
datetime.datetime(2000, 1, 2))
self.assertEqual(strat.posExecutionInfo[1].getPrice(), 12)
self.assertEqual(strat.posExecutionInfo[1].getQuantity(), 2)
self.assertEqual(strat.posExecutionInfo[1].getCommission(), 0)
self.assertEqual(strat.posExecutionInfo[1].getDateTime(),
datetime.datetime(2000, 1, 3))