def testBuildFeedWeekly(self):
with common.TmpDir() as tmpPath:
instrument = "AAPL"
bf = quandl.build_feed("WIKI", [instrument],
2010,
2010,
tmpPath,
bar.Frequency.WEEK,
authToken=auth_token)
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.assertEquals(bf[instrument][-1].getDateTime(),
datetime.datetime(2010, 12, 26))
self.assertEquals(bf[instrument][-1].getOpen(), 325.0)
self.assertEquals(bf[instrument][-1].getHigh(), 325.15)
self.assertEquals(bf[instrument][-1].getLow(), 323.17)
self.assertEquals(bf[instrument][-1].getClose(), 323.6)
self.assertEquals(bf[instrument][-1].getVolume(), 7969900)
self.assertEquals(bf[instrument][-1].getPrice(), 323.6)
# Not checking against a specific value since this is going to change
# as time passes by.
self.assertNotEquals(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,
auth_token)
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.assertEquals(bf[instrument][-1].getDateTime(),
datetime.datetime(2010, 12, 26))
self.assertEquals(bf[instrument][-1].getOpen(), 325.0)
self.assertEquals(bf[instrument][-1].getHigh(), 325.15)
self.assertEquals(bf[instrument][-1].getLow(), 323.17)
self.assertEquals(bf[instrument][-1].getClose(), 323.6)
self.assertEquals(bf[instrument][-1].getVolume(), 7969900)
self.assertEquals(bf[instrument][-1].getPrice(), 323.6)
# Not checking against a specific value since this is going to change
# as time passes by.
self.assertNotEquals(bf[instrument][-1].getAdjClose(), None)
def testResampleNinjaTraderHour(self):
with common.TmpDir() as tmp_path:
# Resample.
feed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
feed.addBarsFromCSV("spy", common.get_data_file_path("nt-spy-minute-2011.csv"))
resampledBarDS = resampled_ds.ResampledBarDataSeries(feed["spy"], bar.Frequency.HOUR)
resampledFile = os.path.join(tmp_path, "hour-nt-spy-minute-2011.csv")
resample.resample_to_csv(feed, bar.Frequency.HOUR, resampledFile)
resampledBarDS.pushLast() # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(bar.Frequency.HOUR, marketsession.USEquities.getTimezone())
feed.addBarsFromCSV("spy", resampledFile)
feed.loadAll()
self.assertEqual(len(feed["spy"]), 340)
self.assertEqual(feed["spy"][0].getDateTime(), dt.localize(datetime.datetime(2011, 1, 3, 9), marketsession.USEquities.getTimezone()))
self.assertEqual(feed["spy"][-1].getDateTime(), dt.localize(datetime.datetime(2011, 2, 1, 1), marketsession.USEquities.getTimezone()))
self.assertEqual(feed["spy"][0].getOpen(), 126.35)
self.assertEqual(feed["spy"][0].getHigh(), 126.45)
self.assertEqual(feed["spy"][0].getLow(), 126.3)
self.assertEqual(feed["spy"][0].getClose(), 126.4)
self.assertEqual(feed["spy"][0].getVolume(), 3397.0)
self.assertEqual(feed["spy"][0].getAdjClose(), None)
self.assertEqual(len(resampledBarDS), len(feed["spy"]))
self.assertEqual(resampledBarDS[0].getDateTime(), dt.as_utc(datetime.datetime(2011, 1, 3, 9)))
self.assertEqual(resampledBarDS[-1].getDateTime(), dt.as_utc(datetime.datetime(2011, 2, 1, 1)))
def testBuildDailyFeed(self):
with common.TmpDir() as tmpPath:
instrument = "orcl"
bf = yahoofinance.build_feed([instrument],
2010,
2010,
storage=tmpPath)
bf.loadAll()
self.assertEqual(round(bf[instrument][-1].getOpen(), 2), 31.22)
self.assertEqual(round(bf[instrument][-1].getClose(), 2), 31.30)
def testDownloadAndParseDaily(self):
instrument = "orcl"
with common.TmpDir() as tmp_path:
path = os.path.join(tmp_path, "orcl-2010.csv")
yahoofinance.download_daily_bars(instrument, 2010, path)
bf = yahoofeed.Feed()
bf.addBarsFromCSV(instrument, path)
bf.loadAll()
self.assertEqual(round(bf[instrument][-1].getOpen(), 2), 31.22)
self.assertEqual(round(bf[instrument][-1].getClose(), 2), 31.30)
def testMapColumnNames(self):
with common.TmpDir() as tmpPath:
bf = quandl.build_feed("YAHOO", ["AAPL"],
2010,
2010,
tmpPath,
columnNames={"adj_close": "Adjusted Close"})
bf.setUseAdjustedValues(True)
bf.loadAll()
self.assertEquals(bf["AAPL"][-1].getClose(), 322.560013)
self.assertIsNotNone(bf["AAPL"][-1].getAdjClose())
self.assertIsNotNone(bf["AAPL"][-1].getPrice())
def testBuildDailyFeed(self):
with common.TmpDir() as tmpPath:
instrument = "orcl"
bf = googlefinance.build_feed([instrument],
2010,
2010,
storage=tmpPath)
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].getClose(), 31.30)
def testExtraColumns(self):
with common.TmpDir() as tmpPath:
columnNames = {"open": "Last", "close": "Last"}
bf = quandl.build_feed("BITSTAMP", ["USD"],
2014,
2014,
tmpPath,
columnNames=columnNames)
bf.loadAll()
self.assertEquals(bf["USD"][-1].getExtraColumns()["Bid"], 319.19)
self.assertEquals(bf["USD"][-1].getExtraColumns()["Ask"], 319.63)
bids = bf["USD"].getExtraDataSeries("Bid")
self.assertEquals(bids[-1], 319.19)
def testInvalidDates(self):
instrument = "orcl"
# Don't skip errors.
with self.assertRaisesRegexp(Exception, "404 Client Error: Not Found"):
with common.TmpDir() as tmpPath:
bf = yahoofinance.build_feed([instrument],
2100,
2101,
storage=tmpPath,
frequency=bar.Frequency.DAY)
# Skip errors.
with common.TmpDir() as tmpPath:
bf = yahoofinance.build_feed([instrument],
2100,
2101,
storage=tmpPath,
frequency=bar.Frequency.DAY,
skipErrors=True)
bf.loadAll()
self.assertNotIn(instrument, bf)
def testInvalidInstrument(self):
instrument = "inexistent"
# Don't skip errors.
with self.assertRaisesRegexp(Exception,
"400 Client Error: Bad Request"):
with common.TmpDir() as tmpPath:
bf = googlefinance.build_feed([instrument],
2100,
2101,
storage=tmpPath,
frequency=bar.Frequency.DAY)
# Skip errors.
with common.TmpDir() as tmpPath:
bf = googlefinance.build_feed([instrument],
2100,
2101,
storage=tmpPath,
frequency=bar.Frequency.DAY,
skipErrors=True)
bf.loadAll()
self.assertNotIn(instrument, bf)
def testInvalidInstrument(self):
instrument = "inexistent"
# Don't skip errors.
with self.assertRaisesRegexp(Exception, "404 Client Error: Not Found"):
with common.TmpDir() as tmpPath:
quandl.build_feed(instrument, [instrument],
2010,
2010,
tmpPath,
bar.Frequency.WEEK,
authToken=auth_token)
# Skip errors.
with common.TmpDir() as tmpPath:
bf = quandl.build_feed(instrument, [instrument],
2010,
2010,
tmpPath,
bar.Frequency.WEEK,
authToken=auth_token,
skipErrors=True)
bf.loadAll()
self.assertNotIn(instrument, bf)
def testBuildWeeklyFeed(self):
with common.TmpDir() as tmpPath:
instrument = "aapl"
bf = yahoofinance.build_feed([instrument],
2013,
2013,
storage=tmpPath,
frequency=bar.Frequency.WEEK)
bf.loadAll()
self.assertEqual(round(bf[instrument][-1].getOpen(), 2), 557.46)
self.assertEqual(round(bf[instrument][-1].getHigh(), 2), 561.28)
self.assertEqual(round(bf[instrument][-1].getLow(), 2), 540.43)
self.assertEqual(round(bf[instrument][-1].getClose(), 2), 540.98)
self.assertTrue(bf[instrument][-1].getVolume() in (9852500,
9855900,
68991600))
def testDownloadAndParseWeekly(self):
instrument = "aapl"
with common.TmpDir() as tmp_path:
path = os.path.join(tmp_path, "aapl-weekly-2013.csv")
yahoofinance.download_weekly_bars(instrument, 2013, path)
bf = yahoofeed.Feed(frequency=bar.Frequency.WEEK)
bf.addBarsFromCSV(instrument, path)
bf.loadAll()
self.assertEqual(round(bf[instrument][-1].getOpen(), 2), 557.46)
self.assertEqual(round(bf[instrument][-1].getHigh(), 2), 561.28)
self.assertEqual(round(bf[instrument][-1].getLow(), 2), 540.43)
self.assertEqual(round(bf[instrument][-1].getClose(), 2), 540.98)
self.assertTrue(bf[instrument][-1].getVolume() in (9852500,
9855900,
68991600))
def testDownloadAndParseDailyNoAdjClose(self):
with common.TmpDir() as tmpPath:
instrument = "ORCL"
path = os.path.join(tmpPath, "quandl-daily-orcl-2013.csv")
quandl.download_daily_bars("GOOG", "NASDAQ_ORCL", 2013, path,
auth_token)
bf = quandlfeed.Feed()
bf.setNoAdjClose()
bf.addBarsFromCSV(instrument, path)
bf.loadAll()
self.assertEquals(bf[instrument][-1].getDateTime(),
datetime.datetime(2013, 12, 31))
self.assertEquals(bf[instrument][-1].getOpen(), 37.94)
self.assertEquals(bf[instrument][-1].getHigh(), 38.34)
self.assertEquals(bf[instrument][-1].getLow(), 37.88)
self.assertEquals(bf[instrument][-1].getClose(), 38.26)
self.assertEquals(bf[instrument][-1].getVolume(), 11747517)
self.assertEquals(bf[instrument][-1].getAdjClose(), None)
self.assertEquals(bf[instrument][-1].getPrice(), 38.26)
def testDownloadAndParseDaily(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,
auth_token)
bf = quandlfeed.Feed()
bf.addBarsFromCSV(instrument, path)
bf.loadAll()
self.assertEquals(bf[instrument][-1].getDateTime(),
datetime.datetime(2010, 12, 31))
self.assertEquals(bf[instrument][-1].getOpen(), 31.22)
self.assertEquals(bf[instrument][-1].getHigh(), 31.33)
self.assertEquals(bf[instrument][-1].getLow(), 30.93)
self.assertEquals(bf[instrument][-1].getClose(), 31.3)
self.assertEquals(bf[instrument][-1].getVolume(), 11716300)
self.assertEquals(bf[instrument][-1].getPrice(), 31.3)
# Not checking against a specific value since this is going to change
# as time passes by.
self.assertNotEquals(bf[instrument][-1].getAdjClose(), None)
def testBuildFeedDaily(self):
with common.TmpDir() as tmpPath:
instrument = "ORCL"
bf = quandl.build_feed("WIKI", [instrument],
2010,
2010,
tmpPath,
authToken=auth_token)
bf.loadAll()
self.assertEquals(bf[instrument][-1].getDateTime(),
datetime.datetime(2010, 12, 31))
self.assertEquals(bf[instrument][-1].getOpen(), 31.22)
self.assertEquals(bf[instrument][-1].getHigh(), 31.33)
self.assertEquals(bf[instrument][-1].getLow(), 30.93)
self.assertEquals(bf[instrument][-1].getClose(), 31.3)
self.assertEquals(bf[instrument][-1].getVolume(), 11716300)
self.assertEquals(bf[instrument][-1].getPrice(), 31.3)
# Not checking against a specific value since this is going to change
# as time passes by.
self.assertNotEquals(bf[instrument][-1].getAdjClose(), None)
def testResampleNinjaTraderDay(self):
with common.TmpDir() as tmp_path:
# Resample.
feed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
feed.addBarsFromCSV("spy", common.get_data_file_path("nt-spy-minute-2011.csv"))
resampledBarDS = resampled_ds.ResampledBarDataSeries(feed["spy"], bar.Frequency.DAY)
resampledFile = os.path.join(tmp_path, "day-nt-spy-minute-2011.csv")
resample.resample_to_csv(feed, bar.Frequency.DAY, resampledFile)
resampledBarDS.pushLast() # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(bar.Frequency.DAY)
feed.addBarsFromCSV("spy", resampledFile, marketsession.USEquities.getTimezone())
feed.loadAll()
self.assertEqual(len(feed["spy"]), 25)
self.assertEqual(feed["spy"][0].getDateTime(), dt.localize(datetime.datetime(2011, 1, 3), marketsession.USEquities.getTimezone()))
self.assertEqual(feed["spy"][-1].getDateTime(), dt.localize(datetime.datetime(2011, 2, 1), marketsession.USEquities.getTimezone()))
self.assertEqual(len(resampledBarDS), len(feed["spy"]))
self.assertEqual(resampledBarDS[0].getDateTime(), dt.as_utc(datetime.datetime(2011, 1, 3)))
self.assertEqual(resampledBarDS[-1].getDateTime(), dt.as_utc(datetime.datetime(2011, 2, 1)))
def testDownloadAndParseDaily(self):
instrument = "orcl"
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
instrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
strat = sma_crossover.SMACrossOver(barFeed, instrument, 20)
plt = plotter.StrategyPlotter(strat, True, True, True)
plt.getInstrumentSubplot(instrument).addDataSeries(
"sma", strat.getSMA())
strat.run()
with common.TmpDir() as tmpPath:
fig, subplots = plt.buildFigureAndSubplots()
self.assertIsNotNone(fig)
self.assertIsNotNone(subplots)
fig = plt.buildFigure()
fig.set_size_inches(10, 8)
png = os.path.join(tmpPath, "plotter_test.png")
fig.savefig(png)
# Check that file size looks ok.
# 118458 on Mac
# 116210 on Linux
self.assertGreater(os.stat(png).st_size, 110000)
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,
auth_token)
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.assertEquals(bf[instrument][-1].getDateTime(),
datetime.datetime(2010, 12, 31))
self.assertEquals(bf[instrument][-1].getOpen(), 31.22)
self.assertEquals(bf[instrument][-1].getHigh(), 31.33)
self.assertEquals(bf[instrument][-1].getLow(), 30.93)
self.assertEquals(bf[instrument][-1].getClose(), 31.3)
self.assertEquals(bf[instrument][-1].getVolume(), 11716300)
self.assertEquals(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.assertNotEquals(bf[instrument][-1].getAdjClose(), None)