def test_read(self):
"""
Test most important part in class
"""
keys = [
'working_order', 'filled_order', 'cancelled_order',
'rolling_strategy'
]
for fname in self.fnames:
data = open(fname).read()
print 'fname: %s' % fname
open_acc = OpenTA(data=data)
result = open_acc.read()
self.assertEqual(type(result), dict)
self.assertEqual(len(result), 4)
pprint(result, width=200)
for key in result.keys():
if key == 'summary':
self.assertEqual(type(result[key]), dict)
else:
self.assertEqual(type(result[key]), list)
self.assertIn(key, keys)
print '\n' + '-' * 100 + '\n'
def test_read(self):
"""
Test most important part in class
"""
keys = ['working_order', 'filled_order', 'cancelled_order', 'rolling_strategy']
for fname in self.fnames:
data = open(fname).read()
print 'fname: %s' % fname
open_acc = OpenTA(data=data)
result = open_acc.read()
self.assertEqual(type(result), dict)
self.assertEqual(len(result), 4)
pprint(result, width=200)
for key in result.keys():
if key == 'summary':
self.assertEqual(type(result[key]), dict)
else:
self.assertEqual(type(result[key]), list)
self.assertIn(key, keys)
print '\n' + '-' * 100 + '\n'
def test_ready(self):
"""
Test ready file then return data
"""
keys = [
'working_order', 'filled_order', 'cancelled_order',
'rolling_strategy'
]
for fname in self.fnames:
data = open(fname).read()
print 'fname: %s' % fname
open_ta = OpenTA(data=data)
result = open_ta.read()
self.assertEqual(type(result), dict)
self.assertEqual(len(result), 4)
pprint(result, width=400)
for key in result.keys():
self.assertEqual(type(result[key]), list)
self.assertIn(key, keys)
print '\n' + '-' * 100 + '\n'
def test_ready(self):
"""
Test ready file then return data
"""
keys = ['working_order', 'filled_order',
'cancelled_order', 'rolling_strategy']
for fname in self.fnames:
data = open(fname).read()
print 'fname: %s' % fname
open_ta = OpenTA(data=data)
result = open_ta.read()
self.assertEqual(type(result), dict)
self.assertEqual(len(result), 4)
pprint(result, width=400)
for key in result.keys():
self.assertEqual(type(result[key]), list)
self.assertIn(key, keys)
print '\n' + '-' * 100 + '\n'
def test_read_save(self):
"""
Open TA file data then save all fields into db
"""
for key, ta_file in enumerate(self.ta_files, start=1):
print '%d. run filename: %s' % (key, ta_file)
print 'starting...\n'
date = os.path.basename(ta_file)[0:10]
data = open(ta_file).read()
statement = models.Statement(
date=date,
account_statement='None',
position_statement='None',
trade_activity=data,
)
statement.save()
trade_activity = models.TradeSummary(statement=statement,
date=date)
trade_activity.save()
print 'statement id: %d' % statement.id
print 'trade_activity id: %d' % trade_activity.id
print 'using open_ta to make dict data...'
ta_data = OpenTA(data=data).read()
print 'keys: %s\n' % ta_data.keys()
self.insert_db(no=key,
trade_activity=trade_activity,
test_model=models.FilledOrder,
data_list=ta_data['filled_order'])
self.insert_db(no=key,
trade_activity=trade_activity,
test_model=models.CancelledOrder,
data_list=ta_data['cancelled_order'])
self.insert_db(no=key,
trade_activity=trade_activity,
test_model=models.WorkingOrder,
data_list=ta_data['working_order'])
self.insert_db(no=key,
trade_activity=trade_activity,
test_model=models.RollingStrategy,
data_list=ta_data['rolling_strategy'])
print '\n' + '-' * 100
def setUp(self):
TestSetUp.setUp(self)
self.fnames = glob(os.path.join(test_ta_path, '/*.csv')) + [
os.path.join(test_path, '2014-10-31',
'2014-10-31-TradeActivity.csv'),
os.path.join(test_path, '2014-11-01',
'2014-11-01-TradeActivity.csv')
]
self.test_file = self.fnames[0]
self.test_data = open(self.test_file).read()
self.open_ta = OpenTA(data=self.test_data)
def setUp(self):
TestSetUp.setUp(self)
self.fnames = glob(os.path.join(test_ta_path, '/*.csv')) + [
os.path.join(test_path, '2014-10-31', '2014-10-31-TradeActivity.csv'),
os.path.join(test_path, '2014-11-01', '2014-11-01-TradeActivity.csv')
]
self.test_file = self.fnames[0]
self.test_data = open(self.test_file).read()
self.open_ta = OpenTA(data=self.test_data)
def __init__(self, date, statement, file_data):
"""
:param date: str
:param statement: Statement
:param file_data: str, raw file read
"""
SaveAppModel.__init__(self, date, statement, file_data)
ta_data = OpenTA(data=self.file_data).read()
self.working_order = ta_data['working_order']
self.filled_order = ta_data['filled_order']
self.cancelled_order = ta_data['cancelled_order']
self.rolling_strategy = ta_data['rolling_strategy']
self.trade_activity = None
class TestOpenTA(TestSetUp):
def setUp(self):
TestSetUp.setUp(self)
self.fnames = glob(os.path.join(test_ta_path, '/*.csv')) + [
os.path.join(test_path, '2014-10-31',
'2014-10-31-TradeActivity.csv'),
os.path.join(test_path, '2014-11-01',
'2014-11-01-TradeActivity.csv')
]
self.test_file = self.fnames[0]
self.test_data = open(self.test_file).read()
self.open_ta = OpenTA(data=self.test_data)
def set_sections(self, method, prop, length, keys):
"""
Test set section into class property
"""
getattr(self.open_ta, method)()
order_history = getattr(self.open_ta, prop)
print 'property: %s' % prop
print 'method: %s' % method
print 'item length: %d' % length
print 'prop length: %s' % len(order_history)
print 'keys: %s\n' % keys
self.assertEqual(type(order_history), list)
self.assertGreaterEqual(len(order_history), 0)
for o in order_history:
print o
self.assertEqual(len(o), length)
self.assertEqual(type(o), dict)
for key in o.keys():
self.assertIn(key, keys)
def test_convert_hour_minute(self):
"""
Test convert hour minute from string
"""
samples = ['08:45', '09:00', '11:00', '14:45', '10:35']
expects = ['08:45:00', '09:00:00', '11:00:00', '14:45:00', '10:35:00']
for sample, expect in zip(samples, expects):
print 'sample: %s' % sample
print 'expect: %s' % expect
result = self.open_ta.convert_hour_minute(sample)
print 'result: %s\n' % result
self.assertEqual(result, expect)
def test_remove_working_order_rows(self):
"""
Test remove empty quantity row in working order
"""
self.open_ta.set_values(start_phrase='Working Orders',
end_phrase=None,
start_with=2,
end_until=-1,
prop_keys=self.open_ta.working_order_keys,
prop_name='working_order')
before_rows = len(self.open_ta.working_order)
print 'before, working order row: %d' % before_rows
self.assertGreaterEqual(before_rows, 0)
print 'run remove empty quantity working order...\n'
self.open_ta.remove_working_order_rows()
for key, working_order in enumerate(self.open_ta.working_order):
print 'row: %d, working order: %d' % (key,
working_order['quantity'])
self.assertTrue(working_order['quantity'])
after_rows = len(self.open_ta.working_order)
print '\n' + 'after, working order row: %d' % after_rows
self.assertGreaterEqual(after_rows, before_rows)
def test_set_working_order(self):
"""
Test set working_order
"""
self.set_sections(method='set_working_order',
prop='working_order',
length=14,
keys=self.open_ta.working_order_keys)
# correct data type
for working_order in self.open_ta.working_order:
self.assertEqual(type(working_order['quantity']), int)
self.assertEqual(type(working_order['strike']), float)
self.assertEqual(type(working_order['price']), float)
self.assertIn(type(working_order['time_placed']),
(datetime, type(None)))
def test_set_filled_orders(self):
"""
Test set filled_orders
"""
self.set_sections(method='set_filled_order',
prop='filled_order',
length=12,
keys=self.open_ta.filled_order_keys)
# correct data type
for filled_order in self.open_ta.filled_order:
self.assertEqual(type(filled_order['quantity']), int)
self.assertEqual(type(filled_order['strike']), float)
self.assertEqual(type(filled_order['price']), float)
self.assertEqual(type(filled_order['net_price']), float)
self.assertEqual(type(filled_order['expire_date']), str)
self.assertIn(type(filled_order['exec_time']),
(datetime, type(None)))
def test_set_cancelled_orders(self):
"""
Test set cancelled_orders
"""
self.set_sections(method='set_cancelled_order',
prop='cancelled_order',
length=13,
keys=self.open_ta.cancelled_order_keys)
# correct data type
for cancelled_order in self.open_ta.cancelled_order:
self.assertEqual(type(cancelled_order['quantity']), int)
self.assertEqual(type(cancelled_order['strike']), float)
self.assertEqual(type(cancelled_order['price']), float)
self.assertEqual(type(cancelled_order['expire_date']), str)
self.assertIn(type(cancelled_order['time_cancelled']),
(datetime, type(None)))
def sub_format_rolling_strategy(self, cls_name, keys_length, keys_list,
not_in_key):
"""
Test format rolling strategy options
"""
self.open_ta.set_values(start_phrase='Rolling Strategies',
end_phrase=None,
start_with=2,
end_until=None,
prop_keys=self.open_ta.rolling_strategy_keys,
prop_name='rolling_strategy')
before_keys_length = len(self.open_ta.rolling_strategy[0].keys())
print 'rolling strategy length: %d' % len(
self.open_ta.rolling_strategy)
print 'rolling strategy columns: %d' % before_keys_length
print 'rolling strategy: '
pprint(self.open_ta.rolling_strategy, width=300)
test_cls = getattr(self.open_ta, cls_name)
test_cls()
after_keys_length = len(self.open_ta.rolling_strategy[0].keys())
print '\n' + 'rolling strategy length: %d' % len(
self.open_ta.rolling_strategy)
print 'rolling strategy columns: %d' % after_keys_length
print 'rolling strategy: '
pprint(self.open_ta.rolling_strategy, width=400)
self.assertNotEqual(before_keys_length, after_keys_length)
self.assertEqual(after_keys_length, keys_length)
for x in keys_list:
self.assertIn(x, self.open_ta.rolling_strategy[0].keys())
self.assertNotIn(not_in_key, self.open_ta.rolling_strategy[0].keys())
def test_format_rolling_strategy_options(self):
"""
Test format rolling strategy options
"""
self.sub_format_rolling_strategy('format_rolling_strategy_options', 14,
self.open_ta.rolling_strategy_options,
'position')
def test_format_rolling_strategy_market_time(self):
"""
Test format_rolling_strategy_market_time
"""
self.sub_format_rolling_strategy(
'format_rolling_strategy_market_time', 9,
['move_to_market_time_start', 'move_to_market_time_end'],
'move_to_market_time')
def test_format_rolling_strategy_active_time(self):
"""
Test format_rolling_strategy_active_time
"""
self.sub_format_rolling_strategy(
'format_rolling_strategy_active_time', 9,
['active_time_start', 'active_time_end'], 'active_time')
def test_set_rolling_strategy(self):
"""
Test set rolling_strategy
"""
result_keys = [
'status', 'move_to_market_time_end', 'right', 'strike',
'days_begin', 'new_expire_date', 'symbol', 'ex_month', 'call_by',
'contract', 'order_price', 'ex_year', 'move_to_market_time_start',
'active_time_start', 'side', 'active_time_end'
]
self.set_sections(method='set_rolling_strategy',
prop='rolling_strategy',
length=16,
keys=result_keys)
# correct format
for rolling_strategy in self.open_ta.rolling_strategy:
self.assertEqual(type(rolling_strategy['side']), int)
self.assertEqual(type(rolling_strategy['right']), int)
self.assertEqual(type(rolling_strategy['side']), int)
self.assertEqual(type(rolling_strategy['strike']), float)
self.assertTrue(
datetime.strptime(rolling_strategy['active_time_start'],
'%H:%M:%S'))
self.assertTrue(
datetime.strptime(rolling_strategy['active_time_end'],
'%H:%M:%S'))
self.assertTrue(
datetime.strptime(
rolling_strategy['move_to_market_time_start'], '%H:%M:%S'))
self.assertTrue(
datetime.strptime(rolling_strategy['move_to_market_time_end'],
'%H:%M:%S'))
def test_ready(self):
"""
Test ready file then return data
"""
keys = [
'working_order', 'filled_order', 'cancelled_order',
'rolling_strategy'
]
for fname in self.fnames:
data = open(fname).read()
print 'fname: %s' % fname
open_ta = OpenTA(data=data)
result = open_ta.read()
self.assertEqual(type(result), dict)
self.assertEqual(len(result), 4)
pprint(result, width=400)
for key in result.keys():
self.assertEqual(type(result[key]), list)
self.assertIn(key, keys)
print '\n' + '-' * 100 + '\n'
def test_read(self):
"""
Test most important part in class
"""
keys = [
'working_order', 'filled_order', 'cancelled_order',
'rolling_strategy'
]
for fname in self.fnames:
data = open(fname).read()
print 'fname: %s' % fname
open_acc = OpenTA(data=data)
result = open_acc.read()
self.assertEqual(type(result), dict)
self.assertEqual(len(result), 4)
pprint(result, width=200)
for key in result.keys():
if key == 'summary':
self.assertEqual(type(result[key]), dict)
else:
self.assertEqual(type(result[key]), list)
self.assertIn(key, keys)
print '\n' + '-' * 100 + '\n'
class TestOpenTA(TestSetUp):
def setUp(self):
TestSetUp.setUp(self)
self.fnames = glob(os.path.join(test_ta_path, '/*.csv')) + [
os.path.join(test_path, '2014-10-31', '2014-10-31-TradeActivity.csv'),
os.path.join(test_path, '2014-11-01', '2014-11-01-TradeActivity.csv')
]
self.test_file = self.fnames[0]
self.test_data = open(self.test_file).read()
self.open_ta = OpenTA(data=self.test_data)
def set_sections(self, method, prop, length, keys):
"""
Test set section into class property
"""
getattr(self.open_ta, method)()
order_history = getattr(self.open_ta, prop)
print 'property: %s' % prop
print 'method: %s' % method
print 'item length: %d' % length
print 'prop length: %s' % len(order_history)
print 'keys: %s\n' % keys
self.assertEqual(type(order_history), list)
self.assertGreaterEqual(len(order_history), 0)
for o in order_history:
print o
self.assertEqual(len(o), length)
self.assertEqual(type(o), dict)
for key in o.keys():
self.assertIn(key, keys)
def test_convert_hour_minute(self):
"""
Test convert hour minute from string
"""
samples = ['08:45', '09:00', '11:00', '14:45', '10:35']
expects = ['08:45:00', '09:00:00', '11:00:00', '14:45:00', '10:35:00']
for sample, expect in zip(samples, expects):
print 'sample: %s' % sample
print 'expect: %s' % expect
result = self.open_ta.convert_hour_minute(sample)
print 'result: %s\n' % result
self.assertEqual(result, expect)
def test_remove_working_order_rows(self):
"""
Test remove empty quantity row in working order
"""
self.open_ta.set_values(
start_phrase='Working Orders',
end_phrase=None,
start_with=2,
end_until=-1,
prop_keys=self.open_ta.working_order_keys,
prop_name='working_order'
)
before_rows = len(self.open_ta.working_order)
print 'before, working order row: %d' % before_rows
self.assertGreaterEqual(before_rows, 0)
print 'run remove empty quantity working order...\n'
self.open_ta.remove_working_order_rows()
for key, working_order in enumerate(self.open_ta.working_order):
print 'row: %d, working order: %d' % (key, working_order['quantity'])
self.assertTrue(working_order['quantity'])
after_rows = len(self.open_ta.working_order)
print '\n' + 'after, working order row: %d' % after_rows
self.assertGreaterEqual(after_rows, before_rows)
def test_set_working_order(self):
"""
Test set working_order
"""
self.set_sections(
method='set_working_order',
prop='working_order',
length=14,
keys=self.open_ta.working_order_keys
)
# correct data type
for working_order in self.open_ta.working_order:
self.assertEqual(type(working_order['quantity']), int)
self.assertEqual(type(working_order['strike']), float)
self.assertEqual(type(working_order['price']), float)
self.assertIn(type(working_order['time_placed']), (datetime, type(None)))
def test_set_filled_orders(self):
"""
Test set filled_orders
"""
self.set_sections(
method='set_filled_order',
prop='filled_order',
length=12,
keys=self.open_ta.filled_order_keys
)
# correct data type
for filled_order in self.open_ta.filled_order:
self.assertEqual(type(filled_order['quantity']), int)
self.assertEqual(type(filled_order['strike']), float)
self.assertEqual(type(filled_order['price']), float)
self.assertEqual(type(filled_order['net_price']), float)
self.assertEqual(type(filled_order['expire_date']), str)
self.assertIn(type(filled_order['exec_time']), (datetime, type(None)))
def test_set_cancelled_orders(self):
"""
Test set cancelled_orders
"""
self.set_sections(
method='set_cancelled_order',
prop='cancelled_order',
length=13,
keys=self.open_ta.cancelled_order_keys
)
# correct data type
for cancelled_order in self.open_ta.cancelled_order:
self.assertEqual(type(cancelled_order['quantity']), int)
self.assertEqual(type(cancelled_order['strike']), float)
self.assertEqual(type(cancelled_order['price']), float)
self.assertEqual(type(cancelled_order['expire_date']), str)
self.assertIn(type(cancelled_order['time_cancelled']), (datetime, type(None)))
def sub_format_rolling_strategy(self, cls_name, keys_length, keys_list, not_in_key):
"""
Test format rolling strategy options
"""
self.open_ta.set_values(
start_phrase='Rolling Strategies',
end_phrase=None,
start_with=2,
end_until=None,
prop_keys=self.open_ta.rolling_strategy_keys,
prop_name='rolling_strategy'
)
before_keys_length = len(self.open_ta.rolling_strategy[0].keys())
print 'rolling strategy length: %d' % len(self.open_ta.rolling_strategy)
print 'rolling strategy columns: %d' % before_keys_length
print 'rolling strategy: '
pprint(self.open_ta.rolling_strategy, width=300)
test_cls = getattr(self.open_ta, cls_name)
test_cls()
after_keys_length = len(self.open_ta.rolling_strategy[0].keys())
print '\n' + 'rolling strategy length: %d' % len(self.open_ta.rolling_strategy)
print 'rolling strategy columns: %d' % after_keys_length
print 'rolling strategy: '
pprint(self.open_ta.rolling_strategy, width=400)
self.assertNotEqual(before_keys_length, after_keys_length)
self.assertEqual(after_keys_length, keys_length)
for x in keys_list:
self.assertIn(x, self.open_ta.rolling_strategy[0].keys())
self.assertNotIn(not_in_key, self.open_ta.rolling_strategy[0].keys())
def test_format_rolling_strategy_options(self):
"""
Test format rolling strategy options
"""
self.sub_format_rolling_strategy(
'format_rolling_strategy_options',
14,
self.open_ta.rolling_strategy_options,
'position'
)
def test_format_rolling_strategy_market_time(self):
"""
Test format_rolling_strategy_market_time
"""
self.sub_format_rolling_strategy(
'format_rolling_strategy_market_time',
9,
['move_to_market_time_start', 'move_to_market_time_end'],
'move_to_market_time'
)
def test_format_rolling_strategy_active_time(self):
"""
Test format_rolling_strategy_active_time
"""
self.sub_format_rolling_strategy(
'format_rolling_strategy_active_time',
9,
['active_time_start', 'active_time_end'],
'active_time'
)
def test_set_rolling_strategy(self):
"""
Test set rolling_strategy
"""
result_keys = [
'status', 'move_to_market_time_end', 'right', 'strike', 'days_begin',
'new_expire_date', 'symbol', 'ex_month', 'call_by', 'contract', 'order_price',
'ex_year', 'move_to_market_time_start', 'active_time_start', 'side',
'active_time_end'
]
self.set_sections(
method='set_rolling_strategy',
prop='rolling_strategy',
length=16,
keys=result_keys
)
# correct format
for rolling_strategy in self.open_ta.rolling_strategy:
self.assertEqual(type(rolling_strategy['side']), int)
self.assertEqual(type(rolling_strategy['right']), int)
self.assertEqual(type(rolling_strategy['side']), int)
self.assertEqual(type(rolling_strategy['strike']), float)
self.assertTrue(datetime.strptime(rolling_strategy['active_time_start'], '%H:%M:%S'))
self.assertTrue(datetime.strptime(rolling_strategy['active_time_end'], '%H:%M:%S'))
self.assertTrue(datetime.strptime(rolling_strategy['move_to_market_time_start'], '%H:%M:%S'))
self.assertTrue(datetime.strptime(rolling_strategy['move_to_market_time_end'], '%H:%M:%S'))
def test_ready(self):
"""
Test ready file then return data
"""
keys = ['working_order', 'filled_order',
'cancelled_order', 'rolling_strategy']
for fname in self.fnames:
data = open(fname).read()
print 'fname: %s' % fname
open_ta = OpenTA(data=data)
result = open_ta.read()
self.assertEqual(type(result), dict)
self.assertEqual(len(result), 4)
pprint(result, width=400)
for key in result.keys():
self.assertEqual(type(result[key]), list)
self.assertIn(key, keys)
print '\n' + '-' * 100 + '\n'
def test_read(self):
"""
Test most important part in class
"""
keys = ['working_order', 'filled_order', 'cancelled_order', 'rolling_strategy']
for fname in self.fnames:
data = open(fname).read()
print 'fname: %s' % fname
open_acc = OpenTA(data=data)
result = open_acc.read()
self.assertEqual(type(result), dict)
self.assertEqual(len(result), 4)
pprint(result, width=200)
for key in result.keys():
if key == 'summary':
self.assertEqual(type(result[key]), dict)
else:
self.assertEqual(type(result[key]), list)
self.assertIn(key, keys)
print '\n' + '-' * 100 + '\n'
def test_read_save(self):
"""
Open TA file data then save all fields into db
"""
for key, ta_file in enumerate(self.ta_files, start=1):
print '%d. run filename: %s' % (key, ta_file)
print 'starting...\n'
date = os.path.basename(ta_file)[0:10]
data = open(ta_file).read()
statement = models.Statement(
date=date,
account_statement='None',
position_statement='None',
trade_activity=data,
)
statement.save()
trade_activity = models.TradeSummary(
statement=statement,
date=date
)
trade_activity.save()
print 'statement id: %d' % statement.id
print 'trade_activity id: %d' % trade_activity.id
print 'using open_ta to make dict data...'
ta_data = OpenTA(data=data).read()
print 'keys: %s\n' % ta_data.keys()
self.insert_db(
no=key,
trade_activity=trade_activity,
test_model=models.FilledOrder,
data_list=ta_data['filled_order']
)
self.insert_db(
no=key,
trade_activity=trade_activity,
test_model=models.CancelledOrder,
data_list=ta_data['cancelled_order']
)
self.insert_db(
no=key,
trade_activity=trade_activity,
test_model=models.WorkingOrder,
data_list=ta_data['working_order']
)
self.insert_db(
no=key,
trade_activity=trade_activity,
test_model=models.RollingStrategy,
data_list=ta_data['rolling_strategy']
)
print '\n' + '-' * 100
