def __init__(self, period1, period2, time_attr='time', val_attr='bid'):
assert period1 < period2, 'For TWMA crossover, period 1(%s) cannot be ge period 2(%s)' % (
period1, period2)
super(TWMACrossoverStrategy, self).__init__()
self.logger = logging.getLogger(self.__class__.__name__)
self.ticks = []
self.ma1 = None
self.ma2 = None
self.tolerance = 0.00001
self.ma_function1 = TWMA(period1, time_attr, val_attr)
self.ma_function2 = TWMA(period2, time_attr, val_attr)
def test_should_give_ma_for_custom_time_and_value_field(self):
twma = TWMA(2, 'tt', 'ask')
ticks = list()
ticks.append({'ask': 1.0, 'tt': self.now})
ticks.append({'ask': 2.0, 'tt': self.now1})
value = twma(self.now2, ticks)
self.assertEqual(1.5, value)
def test_should_give_ma_for_list_smaller_than_period(self):
twma = TWMA(3, 'time', 'bid')
ticks = list()
ticks.append({'bid': 1, 'time': self.now})
ticks.append({'bid': 4, 'time': self.now1})
value = twma(self.now2, ticks)
self.assertEqual(2.0, value)
def test_should_give_ma_for_2_ticks_and_2s_period(self):
twma = TWMA(2, 'time', 'bid')
ticks = list()
ticks.append({'bid': 1.0, 'time': self.now})
ticks.append({'bid': 2.0, 'time': self.now1})
value = twma(self.now2, ticks)
self.assertEqual(1.5, value)
def test_should_fail_when_ticks_are_empty(self):
twma = TWMA(2, 'time', 'ask')
try:
twma(list())
self.fail('should have failed as ticks are an empty list')
except:
pass
def test_should_fail_when_ticks_not_given(self):
twma = TWMA(2, 'time', 'ask')
try:
twma()
self.fail('should have failed as ticks are not given')
except:
pass
def test_should_give_ma_for_3_ticks_and_3s_period(self):
twma = TWMA(3, 'time', 'bid')
ticks = list()
ticks.append({'bid': 1, 'time': self.now})
ticks.append({'bid': 2, 'time': self.now1})
ticks.append({'bid': 3, 'time': self.now2})
value = twma(self.now3, ticks)
self.assertEqual(2.0, value)
def test_should_give_ma_after_ignoring_subsequent_ticks_with_higher_time(
self):
twma = TWMA(2, 'time', 'bid')
ticks = list()
ticks.append({'bid': 1, 'time': self.now})
ticks.append({'bid': 4, 'time': self.now2})
ticks.append({'bid': 3, 'time': self.now1})
value = twma(self.now2, ticks)
self.assertEqual(2.0, value)
def test_should_give_ma_for_list_bigger_than_period(self):
twma = TWMA(2, 'time', 'bid')
ticks = list()
ticks.append({'bid': 1, 'time': self.now})
ticks.append({'bid': 2, 'time': self.now1})
ticks.append({'bid': 3, 'time': self.now2})
ticks.append({'bid': 4, 'time': self.now3})
value = twma(add_time(self.now3, 1), ticks)
self.assertEqual(3.5, value)
def test_should_fail_when_now_not_given(self):
ticks = list()
ticks.append({'ask': 1, 'time': self.now})
ticks.append({'ask': 3, 'time': self.now1})
twma = TWMA(2, 'time', 'ask')
try:
twma(ticks)
self.fail('should have failed as now is not given')
except:
pass
def test_should_fail_for_list_of_ticks_when_time_attribute_not_present(
self):
twma = TWMA(2, 'tt', 'ask')
ticks = list()
ticks.append({'ask': 1, 'time': self.now})
ticks.append({'ask': 3, 'time': self.now1})
try:
twma(self.now3, ticks)
self.fail(
'should have failed as "tt" field is not present in the data')
except:
pass
def test_should_fail_when_value_attr_not_given(self):
try:
TWMA(2, 'tt')
self.fail('should have failed as value attribute not given')
except:
pass
def test_should_fail_when_time_attr_not_given(self):
try:
TWMA(2)
self.fail('should have failed as time attribute not given')
except:
pass
def test_should_fail_when_time_period_not_given(self):
try:
TWMA()
self.fail('should have failed as time period not given')
except:
pass