def testCommandLineWeeklyCreatingDir(self):
tmpPath = tempfile.mkdtemp()
shutil.rmtree(tmpPath)
try:
instrument = "AAPL"
subprocess.call([
"python", "-m", "quantworks.tools.quandl",
"--source-code=WIKI",
"--table-code=%s" % instrument,
"--from-year=2010",
"--to-year=2010",
"--storage=%s" % tmpPath,
"--frequency=weekly",
"--auth-token=%s" % QUANDL_API_KEY
])
bf = quandlfeed.Feed()
bf.addBarsFromCSV(instrument, os.path.join(tmpPath, "WIKI-AAPL-2010-quandl.csv"))
bf.loadAll()
self.assertEqual(bf[instrument][-1].getDateTime(), datetime.datetime(2010, 12, 26))
self.assertEqual(bf[instrument][-1].getOpen(), 325.0)
self.assertEqual(bf[instrument][-1].getHigh(), 325.15)
self.assertEqual(bf[instrument][-1].getLow(), 323.17)
self.assertEqual(bf[instrument][-1].getClose(), 323.6)
self.assertEqual(bf[instrument][-1].getVolume(), 7969900)
self.assertEqual(bf[instrument][-1].getPrice(), 323.6)
finally:
shutil.rmtree(tmpPath)
def testDownloadAndParseDailyUsingApiKey(self):
with common.TmpDir() as tmpPath:
instrument = "ORCL"
path = os.path.join(tmpPath, "quandl-daily-orcl-2010.csv")
quandl.download_daily_bars("WIKI", instrument, 2010, path, authToken=QUANDL_API_KEY)
bf = quandlfeed.Feed()
bf.addBarsFromCSV(instrument, path)
bf.loadAll()
self.assertEqual(bf[instrument][-1].getDateTime(), datetime.datetime(2010, 12, 31))
self.assertEqual(bf[instrument][-1].getOpen(), 31.22)
self.assertEqual(bf[instrument][-1].getHigh(), 31.33)
self.assertEqual(bf[instrument][-1].getLow(), 30.93)
self.assertEqual(bf[instrument][-1].getClose(), 31.3)
self.assertEqual(bf[instrument][-1].getVolume(), 11716300)
self.assertEqual(bf[instrument][-1].getPrice(), 31.3)
# Not checking against a specific value since this is going to change
# as time passes by.
self.assertNotEqual(bf[instrument][-1].getAdjClose(), None)
def testDownloadAndParseDailyNoAdjClose(self):
with common.TmpDir() as tmpPath:
instrument = "IWG"
year = 2017
path = os.path.join(tmpPath, "quandl-daily-%s-%s.csv" % (instrument, year))
quandl.download_daily_bars("LSE", instrument, year, path, authToken=QUANDL_API_KEY)
bf = quandlfeed.Feed()
bf.setNoAdjClose()
bf.setColumnName("open", "Price")
bf.setColumnName("close", "Price")
bf.addBarsFromCSV(instrument, path, skipMalformedBars=True)
bf.loadAll()
self.assertEqual(bf[instrument][0].getDateTime(), datetime.datetime(year, 1, 3))
self.assertEqual(bf[instrument][0].getOpen(), 237.80)
self.assertEqual(bf[instrument][0].getHigh(), 247.00)
self.assertEqual(bf[instrument][0].getLow(), 236.30)
self.assertEqual(bf[instrument][0].getClose(), 237.80)
self.assertEqual(bf[instrument][0].getVolume(), 3494173)
self.assertEqual(bf[instrument][0].getAdjClose(), None)
self.assertEqual(bf[instrument][0].getPrice(), 237.80)
def testDownloadAndParseDaily_UseAdjClose(self):
with common.TmpDir() as tmpPath:
instrument = "ORCL"
path = os.path.join(tmpPath, "quandl-daily-orcl-2010.csv")
quandl.download_daily_bars("WIKI", instrument, 2010, path, authToken=QUANDL_API_KEY)
bf = quandlfeed.Feed()
bf.addBarsFromCSV(instrument, path)
# Need to setUseAdjustedValues(True) after loading the file because we
# can't tell in advance if adjusted values are there or not.
bf.setUseAdjustedValues(True)
bf.loadAll()
self.assertEqual(bf[instrument][-1].getDateTime(), datetime.datetime(2010, 12, 31))
self.assertEqual(bf[instrument][-1].getOpen(), 31.22)
self.assertEqual(bf[instrument][-1].getHigh(), 31.33)
self.assertEqual(bf[instrument][-1].getLow(), 30.93)
self.assertEqual(bf[instrument][-1].getClose(), 31.3)
self.assertEqual(bf[instrument][-1].getVolume(), 11716300)
self.assertEqual(bf[instrument][-1].getPrice(), bf[instrument][-1].getAdjClose())
# Not checking against a specific value since this is going to change
# as time passes by.
self.assertNotEqual(bf[instrument][-1].getAdjClose(), None)
def testDownloadAndParseWeekly(self):
with common.TmpDir() as tmpPath:
instrument = "AAPL"
path = os.path.join(tmpPath, "quandl-aapl-weekly-2010.csv")
quandl.download_weekly_bars("WIKI", instrument, 2010, path, authToken=QUANDL_API_KEY)
bf = quandlfeed.Feed(frequency=bar.Frequency.WEEK)
bf.addBarsFromCSV(instrument, path)
bf.loadAll()
# Quandl used to report 2010-1-3 as the first week of 2010.
self.assertTrue(
bf[instrument][0].getDateTime() in [datetime.datetime(2010, 1, 3), datetime.datetime(2010, 1, 10)]
)
self.assertEqual(bf[instrument][-1].getDateTime(), datetime.datetime(2010, 12, 26))
self.assertEqual(bf[instrument][-1].getOpen(), 325.0)
self.assertEqual(bf[instrument][-1].getHigh(), 325.15)
self.assertEqual(bf[instrument][-1].getLow(), 323.17)
self.assertEqual(bf[instrument][-1].getClose(), 323.6)
self.assertEqual(bf[instrument][-1].getVolume(), 7969900)
self.assertEqual(bf[instrument][-1].getPrice(), 323.6)
# Not checking against a specific value since this is going to change
# as time passes by.
self.assertNotEqual(bf[instrument][-1].getAdjClose(), None)
from quantworks import plotter
from quantworks.barfeed import quandlfeed
from quantworks.stratanalyzer import returns
import sma_crossover
# Load the bar feed from the CSV file
feed = quandlfeed.Feed()
feed.addBarsFromCSV("orcl", "WIKI-ORCL-2000-quandl.csv")
# Evaluate the strategy with the feed's bars.
myStrategy = sma_crossover.SMACrossOver(feed, "orcl", 20)
# Attach a returns analyzers to the strategy.
returnsAnalyzer = returns.Returns()
myStrategy.attachAnalyzer(returnsAnalyzer)
# Attach the plotter to the strategy.
plt = plotter.StrategyPlotter(myStrategy)
# Include the SMA in the instrument's subplot to get it displayed along with the closing prices.
plt.getInstrumentSubplot("orcl").addDataSeries("SMA", myStrategy.getSMA())
# Plot the simple returns on each bar.
plt.getOrCreateSubplot("returns").addDataSeries("Simple returns", returnsAnalyzer.getReturns())
# Run the strategy.
myStrategy.run()
myStrategy.info("Final portfolio value: $%.2f" % myStrategy.getResult())
# Plot the strategy.
plt.plot()
def build_feed(sourceCode, tableCodes, fromYear, toYear, storage, frequency=bar.Frequency.DAY, timezone=None,
skipErrors=False, authToken=None, columnNames={}, forceDownload=False,
skipMalformedBars=False
):
"""Build and load a :class:`quantworks.barfeed.quandlfeed.Feed` using CSV files downloaded from Quandl.
CSV files are downloaded if they haven't been downloaded before.
:param sourceCode: The dataset source code.
:type sourceCode: string.
:param tableCodes: The dataset table codes.
:type tableCodes: list.
:param fromYear: The first year.
:type fromYear: int.
:param toYear: The last year.
:type toYear: int.
:param storage: The path were the files will be loaded from, or downloaded to.
:type storage: string.
:param frequency: The frequency of the bars. Only **quantworks.bar.Frequency.DAY** or **quantworks.bar.Frequency.WEEK**
are supported.
:param timezone: The default timezone to use to localize bars. Check :mod:`quantworks.marketsession`.
:type timezone: A pytz timezone.
:param skipErrors: True to keep on loading/downloading files in case of errors.
:type skipErrors: boolean.
:param authToken: Optional. An authentication token needed if you're doing more than 50 calls per day.
:type authToken: string.
:param columnNames: Optional. A dictionary to map column names. Valid key values are:
* datetime
* open
* high
* low
* close
* volume
* adj_close
:type columnNames: dict.
:param skipMalformedBars: True to skip errors while parsing bars.
:type skipMalformedBars: boolean.
:rtype: :class:`quantworks.barfeed.quandlfeed.Feed`.
"""
logger = quantworks.logger.getLogger("quandl")
ret = quandlfeed.Feed(frequency, timezone)
# Additional column names.
for col, name in six.iteritems(columnNames):
ret.setColumnName(col, name)
if not os.path.exists(storage):
logger.info("Creating %s directory" % (storage))
os.mkdir(storage)
for year in range(fromYear, toYear+1):
for tableCode in tableCodes:
fileName = os.path.join(storage, "%s-%s-%d-quandl.csv" % (sourceCode, tableCode, year))
if not os.path.exists(fileName) or forceDownload:
logger.info("Downloading %s %d to %s" % (tableCode, year, fileName))
try:
if frequency == bar.Frequency.DAY:
download_daily_bars(sourceCode, tableCode, year, fileName, authToken)
else:
assert frequency == bar.Frequency.WEEK, "Invalid frequency"
download_weekly_bars(sourceCode, tableCode, year, fileName, authToken)
except Exception as e:
if skipErrors:
logger.error(str(e))
continue
else:
raise e
ret.addBarsFromCSV(tableCode, fileName, skipMalformedBars=skipMalformedBars)
return ret
def testInvalidFrequency(self):
with self.assertRaisesRegex(Exception, "Invalid frequency.*"):
quandlfeed.Feed(frequency=bar.Frequency.MINUTE)