def testIntradayExitOnClose_BuyOnLastBar(self):
bar_feed = self.loadIntradayBarFeed()
strat = TestStrategy(bar_feed, 1000)
strat.set_exit_on_session_close(True)
# 3/Jan/2011 20:59:00 - Enter long
# 3/Jan/2011 21:00:00 - Entry gets canceled.
strat.addPosEntry(dt.localize(datetime.datetime(2011, 1, 3, 20, 59), pytz.utc), strat.enter_long, StrategyTestCase.TestInstrument, 1, True)
strat.run()
self.assertTrue(strat.getEnterOkEvents() == 0)
self.assertTrue(strat.getExitOkEvents() == 0)
self.assertTrue(strat.getEnterCanceledEvents() == 1)
self.assertTrue(strat.getExitCanceledEvents() == 0)
self.assertTrue(round(strat.get_broker().get_cash(), 2) == 1000)
def testIntradayExitOnClose_BuyOnLastBar(self):
bar_feed = self.loadIntradayBarFeed()
strat = TestStrategy(bar_feed, 1000)
strat.set_exit_on_session_close(True)
# 3/Jan/2011 20:59:00 - Enter long
# 3/Jan/2011 21:00:00 - Entry gets canceled.
strat.addPosEntry(
dt.localize(datetime.datetime(2011, 1, 3, 20, 59), pytz.utc),
strat.enter_long, StrategyTestCase.TestInstrument, 1, True)
strat.run()
self.assertTrue(strat.getEnterOkEvents() == 0)
self.assertTrue(strat.getExitOkEvents() == 0)
self.assertTrue(strat.getEnterCanceledEvents() == 1)
self.assertTrue(strat.getExitCanceledEvents() == 0)
self.assertTrue(round(strat.get_broker().get_cash(), 2) == 1000)
def __parse_date_time(self, date_time):
ret = None
if self.__frequency == bar.Frequency.MINUTE:
ret = datetime.datetime.strptime(date_time, "%Y%m%d %H%M%S")
elif self.__frequency == bar.Frequency.DAY:
ret = datetime.datetime.strptime(date_time, "%Y%m%d")
# Time on CSV files is empty. If told to set one, do it.
if self.__daily_bar_time != None:
ret = datetime.datetime.combine(ret, self.__daily_bar_time)
else:
assert (False)
# According to NinjaTrader documentation the exported data will be in UTC.
ret = pytz.utc.localize(ret)
# Localize bars if a market session was set.
if self.__timezone:
ret = dt.localize(ret, self.__timezone)
return ret
def __parse_date_time(self, date_time):
ret = None
if self.__frequency == bar.Frequency.MINUTE:
ret = datetime.datetime.strptime(date_time, "%Y%m%d %H%M%S")
elif self.__frequency == bar.Frequency.DAY:
ret = datetime.datetime.strptime(date_time, "%Y%m%d")
# Time on CSV files is empty. If told to set one, do it.
if self.__daily_bar_time != None:
ret = datetime.datetime.combine(ret, self.__daily_bar_time)
else:
assert(False)
# According to NinjaTrader documentation the exported data will be in UTC.
ret = pytz.utc.localize(ret)
# Localize bars if a market session was set.
if self.__timezone:
ret = dt.localize(ret, self.__timezone)
return ret
def testLocalizeAndFilter(self):
timezone = marketsession.USEquities.getTimezone()
# The prices come from NinjaTrader interface when set to use 'US Equities RTH' session template.
prices = {
dt.localize(datetime.datetime(2011, 3, 9, 9, 31), timezone) : 132.35,
dt.localize(datetime.datetime(2011, 3, 9, 16), timezone) : 132.39,
dt.localize(datetime.datetime(2011, 3, 10, 9, 31), timezone) : 130.81,
dt.localize(datetime.datetime(2011, 3, 10, 16), timezone) : 129.92,
dt.localize(datetime.datetime(2011, 3, 11, 9, 31), timezone) : 129.72,
dt.localize(datetime.datetime(2011, 3, 11, 16), timezone) : 130.84,
}
bar_feed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE, timezone)
bar_feed.add_bars_from_csv("spy", common.get_data_file_path("nt-spy-minute-2011-03.csv"))
for bars in bar_feed:
price = prices.get(bars.get_date_time(), None)
if price != None:
self.assertTrue(price == bars.get_bar("spy").get_close())
def us_equities_datetime(*params):
ret = datetime.datetime(*params)
ret = dt.localize(ret, marketsession.USEquities.getTimezone())
return ret
def us_equities_datetime(*params):
ret = datetime.datetime(*params)
ret = dt.localize(ret, marketsession.USEquities.getTimezone())
return ret