def start():
"""start"""
back_a_few_days = (datetime.datetime.now() - datetime.timedelta(days=3))
start_date = back_a_few_days.strftime(ae_consts.COMMON_DATE_FORMAT)
ticker = 'SPY'
s3_bucket = 'perftests'
s3_key = (f'{ticker}_{start_date}')
algo_config = (f'./cfg/default_algo.json')
history_loc = (f's3://{s3_bucket}/{s3_key}')
log.info(f'building {ticker} trade history '
f'start_date={start_date} '
f'config={algo_config} '
f'history_loc={history_loc}')
runner = algo_runner.AlgoRunner(ticker=ticker,
start_date=start_date,
history_loc=history_loc,
algo_config=algo_config,
verbose_algo=False,
verbose_processor=False,
verbose_indicators=False)
runner.start()
def test_latest(self):
"""test_latest"""
if ae_consts.ev('INT_TESTS', '0') == '0':
return
ticker = 'SPY'
start_date = ae_utils.get_last_close_str()
# build dataset cache dictionary
runner = algo_runner.AlgoRunner(ticker=ticker,
start_date=start_date,
end_date=None,
history_loc=self.algo_history_loc,
algo_config=self.algo_config,
verbose_algo=True,
verbose_processor=False,
verbose_indicators=False)
req = {'ticker': ticker, 'date_str': start_date, 'start_row': -200}
df = runner.latest(**req)
self.assertEqual(len(df.index), len(runner.get_history().index))
def backtest_with_runner():
"""backtest_with_runner
build and publish a trading history from an algorithm config.
::
backtest_with_runner.py -t TICKER -c ALGO_CONFIG -s START_DATE
-k S3_KEY -b S3_BUCKET -l
"""
parser = argparse.ArgumentParser(
description=('backtest an algorithm and publish '
'the trading history'))
parser.add_argument('-t',
help=('ticker symbol'),
required=False,
dest='ticker')
parser.add_argument('-k', help=('s3_key'), required=False, dest='s3_key')
parser.add_argument('-b',
help=('s3_bucket'),
required=False,
dest='s3_bucket')
parser.add_argument('-s',
help=('start date format YYYY-MM-DD'),
required=False,
dest='start_date')
parser.add_argument('-c',
help=('algo config file'),
required=False,
dest='algo_config')
parser.add_argument('-l',
help=('run a backtest with the latest '
'pricing data'),
required=False,
dest='latest',
action='store_true')
parser.add_argument('-d',
help='debug',
required=False,
dest='debug',
action='store_true')
args = parser.parse_args()
ticker = 'SPY'
s3_bucket = (f'algohistory')
s3_key = (f'trade_history_{ticker}')
start_date = (f'2019-01-01')
algo_config = (f'/opt/sa/cfg/default_algo.json')
latest = False
show_plot = True
debug = False
if args.ticker:
ticker = args.ticker.upper()
if args.s3_key:
s3_key = args.s3_key
if args.s3_bucket:
s3_bucket = args.s3_bucket
if args.start_date:
start_date = args.start_date
if args.algo_config:
algo_config = args.algo_config
if args.latest:
latest = True
start_date = ae_utils.get_last_close_str()
if args.debug:
debug = True
history_loc = (f's3://{s3_bucket}/{s3_key}')
log.info(f'building {ticker} trade history '
f'start_date={start_date} '
f'config={algo_config} '
f'history_loc={history_loc}')
runner = algo_runner.AlgoRunner(ticker=ticker,
start_date=start_date,
history_loc=history_loc,
algo_config=algo_config,
verbose_algo=debug,
verbose_processor=False,
verbose_indicators=False)
trading_history_df = None
if latest:
trading_history_df = runner.latest()
log.info(f'{ticker} latest:')
print(trading_history_df[['minute', 'close']].tail(5))
log.info(f'Other available columns to plot:')
print(trading_history_df.columns.values)
if show_plot:
plot.plot_trading_history(
title=(f'{ticker} at '
f'${trading_history_df["close"].iloc[-1]} '
f'at: '
f'{trading_history_df["minute"].iloc[-1]}'),
df=trading_history_df,
red='high',
blue='close')
else:
runner.start()
sys.exit(0)