from loguru import logger
from ta_scanner.data.data import load_and_cache
from ta_scanner.data.ib import IbDataFetcher
import datetime
ib_data_fetcher = IbDataFetcher()
# symbols = ["/MES", "/MNQ", "/MGC"]
symbols = ["/MES"]
get_last_n_days = 5
sd = datetime.date.today() - datetime.timedelta(days=get_last_n_days)
ed = datetime.date.today() - datetime.timedelta(days=1)
for symbol in symbols:
params = dict(start_date=sd, end_date=ed, use_rth=False, groupby_minutes=1,)
df = load_and_cache(symbol, ib_data_fetcher, **params)
logger.info("Done")
def fetch_data():
sd = datetime.date(2020, 7, 1)
ed = datetime.date(2020, 8, 15)
load_and_cache(instrument_symbol, ib_data_fetcher, **gen_params(sd, ed))
from datetime import date
from loguru import logger
from ta_scanner.data.data import load_and_cache
from ta_scanner.data.ib import IbDataFetcher
ib_data_fetcher = IbDataFetcher()
symbols = ["SPY", "QQQ", "AAPL"]
for symbol in symbols:
df = load_and_cache(
symbol,
ib_data_fetcher,
start_date=date(2020, 6, 1),
end_date=date(2020, 6, 4),
use_rth=False,
groupby_minutes=15,
)
logger.info(f"{symbol} - {len(df.index)}")
from ta_scanner.signals import Signal
from ta_scanner.filters import FilterCumsum, FilterOptions, FilterNames
from ta_scanner.reports import BasicReport
from ta_scanner.models import gen_engine
# mute the noisy data debug statements
logger.remove()
logger.add(sys.stderr, level="INFO")
ib_data_fetcher = IbDataFetcher()
symbol = "/MGC"
df_original = load_and_cache(
symbol,
ib_data_fetcher,
start_date=datetime.date(2020, 8, 1),
end_date=datetime.date(2020, 8, 23),
)
def query_data(engine, symbol, sd, ed, groupby_minutes):
df = db_data_fetch_between(engine, symbol, sd, ed)
df.set_index("ts", inplace=True)
df = aggregate_bars(df, groupby_minutes=groupby_minutes)
df["ts"] = df.index
return df
engine = gen_engine()
sd, ed = datetime.date(2020, 8, 1), datetime.date(2020, 8, 23)
interval = 1
from datetime import datetime, date
from loguru import logger
from ta_scanner.data.data import load_and_cache
from ta_scanner.data.ib import IbDataFetcher
from ta_scanner.indicators import IndicatorSmaCrossover, IndicatorParams
from ta_scanner.signals import Signal
from ta_scanner.filters import FilterCumsum, FilterOptions, FilterNames
from ta_scanner.reports import BasicReport
ib_data_fetcher = IbDataFetcher()
df = load_and_cache(
"/MES",
ib_data_fetcher,
start_date=date(2020, 7, 10),
end_date=date(2020, 7, 20),
use_rth=True,
)
# store signals in this field
field_name = "moving_avg_cross"
# Moving Average Crossover, 20 vs 50
indicator_params = {
IndicatorParams.fast_sma: 30,
IndicatorParams.slow_sma: 60,
}
# init
indicator_sma_cross = IndicatorSmaCrossover(
from ta_scanner.data.ib import IbDataFetcher
from ta_scanner.indicators import IndicatorSmaCrossover, IndicatorParams
from ta_scanner.signals import Signal
from ta_scanner.filters import FilterCumsum, FilterOptions, FilterNames
from ta_scanner.reports import BasicReport
# mute the noisy data debug statements
logger.remove()
logger.add(sys.stderr, level="INFO")
# get SPY data
ib_data_fetcher = IbDataFetcher()
df_original = load_and_cache(
"SPY",
ib_data_fetcher,
start_date=date(2020, 7, 1),
end_date=date(2020, 7, 20),
use_rth=True,
)
# store signals in this field
field_name = "moving_avg_cross"
result_field_name = f"{field_name}_pnl"
def run_cross(fast_sma: int, slow_sma: int):
df = df_original.copy()
indicator_sma_cross = IndicatorSmaCrossover(
field_name=field_name,
params={