def testBounded(self):
tmpFeed = TemporarySQLiteFeed(SQLiteFeedTestCase.dbName, bar.Frequency.DAY, maxLen=2)
with tmpFeed:
# Load bars using a Yahoo! feed.
yahooFeed = yahoofeed.Feed(maxLen=1)
yahooFeed.addBarsFromCSV("orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"), marketsession.USEquities.timezone)
yahooFeed.addBarsFromCSV("orcl", common.get_data_file_path("orcl-2001-yahoofinance.csv"), marketsession.USEquities.timezone)
# Fill the database using the bars from the Yahoo! feed.
sqliteFeed = tmpFeed.getFeed()
sqliteFeed.getDatabase().addBarsFromFeed(yahooFeed)
# Load the SQLite feed and process all bars.
sqliteFeed.loadBars("orcl")
for bars in sqliteFeed:
pass
barDS = sqliteFeed["orcl"]
self.assertEqual(len(barDS), 2)
self.assertEqual(len(barDS.getDateTimes()), 2)
self.assertEqual(len(barDS.getCloseDataSeries()), 2)
self.assertEqual(len(barDS.getCloseDataSeries().getDateTimes()), 2)
self.assertEqual(len(barDS.getOpenDataSeries()), 2)
self.assertEqual(len(barDS.getHighDataSeries()), 2)
self.assertEqual(len(barDS.getLowDataSeries()), 2)
self.assertEqual(len(barDS.getAdjCloseDataSeries()), 2)
def testSharpeRatioIGE_SPY_Broker(self):
initialCash = 42.09
# This testcase is based on an example from Ernie Chan's book:
# 'Quantitative Trading: How to Build Your Own Algorithmic Trading Business'
bar_feed = yahoofeed.Feed()
bar_feed.add_bars_from_csv("ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
bar_feed.add_bars_from_csv("spy", common.get_data_file_path("sharpe-ratio-test-spy.csv"))
strat = strategy_test.TestStrategy(bar_feed, initialCash)
strat.get_broker().set_use_adj_values(True)
strat.setBrokerOrdersGTC(True)
stratAnalyzer = sharpe.SharpeRatio()
strat.attach_analyzer(stratAnalyzer)
# Manually place IGE order to get it filled on the first bar.
order = strat.get_broker().create_market_order(broker.Order.Action.BUY, "ige", 1, True) # Adj. Close: 42.09
order.set_good_until_canceled(True)
strat.get_broker().place_order(order)
# Manually place SPY order to get it filled on the first bar.
order = strat.get_broker().create_market_order(broker.Order.Action.SELL_SHORT, "spy", 1, True) # Adj. Close: 105.52
order.set_good_until_canceled(True)
strat.get_broker().place_order(order)
strat.addOrder(strategy_test.datetime_from_date(2007, 11, 13), strat.get_broker().create_market_order, broker.Order.Action.SELL, "ige", 1, True) # Adj. Close: 127.64
strat.addOrder(strategy_test.datetime_from_date(2007, 11, 13), strat.get_broker().create_market_order, broker.Order.Action.BUY_TO_COVER, "spy", 1, True) # Adj. Close: 147.67
strat.run()
self.assertTrue(strat.get_order_updated_events() == 4)
self.assertTrue(round(strat.get_broker().get_cash(), 2) == round(initialCash + (127.64 - 42.09) + (105.52 - 147.67), 2))
def testDrawDownIGE_SPY_Broker(self):
# This testcase is based on an example from Ernie Chan's book:
# 'Quantitative Trading: How to Build Your Own Algorithmic Trading Business'
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV("ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
barFeed.addBarsFromCSV("spy", common.get_data_file_path("sharpe-ratio-test-spy.csv"))
strat = strategy_test.TestStrategy(barFeed, 1000)
strat.getBroker().setUseAdjustedValues(True)
strat.setBrokerOrdersGTC(True)
stratAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(stratAnalyzer)
# Manually place IGE order to get it filled on the first bar.
order = strat.getBroker().createMarketOrder(broker.Order.Action.BUY, "ige", 1, True) # Adj. Close: 42.09
order.setGoodTillCanceled(True)
strat.getBroker().placeOrder(order)
strat.addOrder(strategy_test.datetime_from_date(2007, 11, 13), strat.getBroker().createMarketOrder, broker.Order.Action.SELL, "ige", 1, True) # Adj. Close: 127.64
# Manually place SPY order to get it filled on the first bar.
order = strat.getBroker().createMarketOrder(broker.Order.Action.SELL_SHORT, "spy", 1, True) # Adj. Close: 105.52
order.setGoodTillCanceled(True)
strat.getBroker().placeOrder(order)
strat.addOrder(strategy_test.datetime_from_date(2007, 11, 13), strat.getBroker().createMarketOrder, broker.Order.Action.BUY_TO_COVER, "spy", 1, True) # Adj. Close: 147.67
strat.run()
self.assertTrue(round(strat.getBroker().getCash(), 2) == round(1000 + (127.64 - 42.09) + (105.52 - 147.67), 2))
self.assertTrue(strat.getOrderUpdatedEvents() == 4)
self.assertTrue(round(stratAnalyzer.getMaxDrawDown(), 5) == 0.09448)
self.assertTrue(stratAnalyzer.getMaxDrawDownDuration()== 229)
def testWithPerFileTimezone(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"), marketsession.USEquities.getTimezone())
barFeed.addBarsFromCSV(FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv"), marketsession.USEquities.getTimezone())
for dateTime, bars in barFeed:
bar = bars.getBar(FeedTestCase.TestInstrument)
self.assertFalse(dt.datetime_is_naive(bar.getDateTime()))
def testWithoutTimezone(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv"))
for dateTime, bars in barFeed:
bar = bars.getBar(YahooTestCase.TestInstrument)
self.assertTrue(dt.datetime_is_naive(bar.getDateTime()))
def testLoadDailyBars(self):
tmpFeed = TemporarySQLiteFeed(SQLiteFeedTestCase.dbName, barfeed.Frequency.DAY)
with tmpFeed:
# Load bars using a Yahoo! feed.
yahooFeed = yahoofeed.Feed()
yahooFeed.addBarsFromCSV("orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"), marketsession.USEquities.timezone)
yahooFeed.addBarsFromCSV("orcl", common.get_data_file_path("orcl-2001-yahoofinance.csv"), marketsession.USEquities.timezone)
# Fill the database using the bars from the Yahoo! feed.
sqliteFeed = tmpFeed.getFeed()
sqliteFeed.getDatabase().addBarsFromFeed(yahooFeed)
# Load the SQLite feed and process all bars.
sqliteFeed.loadBars("orcl")
sqliteFeed.start()
for bars in sqliteFeed:
pass
sqliteFeed.stop()
sqliteFeed.join()
# Check that both dataseries have the same bars.
yahooDS = yahooFeed["orcl"]
sqliteDS = sqliteFeed["orcl"]
self.assertEqual(len(yahooDS), len(sqliteDS))
for i in xrange(len(yahooDS)):
self.assertEqual(yahooDS[i].getDateTime(), sqliteDS[i].getDateTime())
self.assertEqual(yahooDS[i].getOpen(), sqliteDS[i].getOpen())
self.assertEqual(yahooDS[i].getHigh(), sqliteDS[i].getHigh())
self.assertEqual(yahooDS[i].getLow(), sqliteDS[i].getLow())
self.assertEqual(yahooDS[i].getClose(), sqliteDS[i].getClose())
self.assertEqual(yahooDS[i].getAdjClose(), sqliteDS[i].getAdjClose())
self.assertEqual(yahooDS[i].getBarsTillSessionClose(), sqliteDS[i].getBarsTillSessionClose())
self.assertEqual(yahooDS[i].getSessionClose(), sqliteDS[i].getSessionClose())
def testWithPerFileTimezone(self):
bar_feed = yahoofeed.Feed()
bar_feed.add_bars_from_csv(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"), marketsession.USEquities.getTimezone())
bar_feed.add_bars_from_csv(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv"), marketsession.USEquities.getTimezone())
bar_feed.start()
for bars in bar_feed:
bar = bars.get_bar(YahooTestCase.TestInstrument)
self.assertFalse(dt.datetime_is_naive(bar.get_date_time()))
bar_feed.stop()
bar_feed.join()
def testWithDefaultTimezone(self):
barFeed = yahoofeed.Feed(marketsession.USEquities.getTimezone())
barFeed.addBarsFromCSV(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv"))
barFeed.start()
for bars in barFeed:
bar = bars.getBar(YahooTestCase.TestInstrument)
self.assertFalse(dt.datetime_is_naive(bar.getDateTime()))
barFeed.stop()
barFeed.join()
def testDifferentTimezones(self):
# Market times in UTC:
# - TSE: 0hs ~ 6hs
# - US: 14:30hs ~ 21hs
feed = yahoofeed.Feed()
for year in [2010, 2011]:
feed.add_bars_from_csv("^n225", common.get_data_file_path("nikkei-%d-yahoofinance.csv" % year), marketsession.TSE.getTimezone())
feed.add_bars_from_csv("spy", common.get_data_file_path("spy-%d-yahoofinance.csv" % year), marketsession.USEquities.getTimezone())
self.__testDifferentTimezonesImpl(feed)
def __testFilteredRangeImpl(self, fromDate, toDate, year):
barFeed = csvfeed.YahooFeed()
barFeed.setBarFilter(csvfeed.DateRangeFilter(fromDate, toDate))
barFeed.addBarsFromCSV(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv"))
count = 0
for bars in barFeed:
count += 1
self.assertTrue(bars.getBar(YahooTestCase.TestInstrument).getDateTime().year == year)
self.assertTrue(count > 0)
def testCSVFeedLoadOrder(self):
barFeed = ibfeed.CSVFeed()
barFeed.addBarsFromCSV(IBTestCase.TestInstrument, common.get_data_file_path("ib-spy-5min-20120627.csv"))
barFeed.addBarsFromCSV(IBTestCase.TestInstrument, common.get_data_file_path("ib-spy-5min-20120628.csv"))
barFeed.addBarsFromCSV(IBTestCase.TestInstrument, common.get_data_file_path("ib-spy-5min-20120629.csv"))
handler = BarFeedEventHandler_TestLoadOrder(self, barFeed, IBTestCase.TestInstrument)
barFeed.getNewBarsEvent().subscribe(handler.onBars)
while not barFeed.stopDispatching():
barFeed.dispatch()
self.assertTrue(handler.getEventCount() > 0)
def testCSVFeedLoadOrder(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv"))
# Dispatch and handle events.
handler = BarFeedEventHandler_TestLoadOrder(self, barFeed, FeedTestCase.TestInstrument)
barFeed.getNewBarsEvent().subscribe(handler.onBars)
while not barFeed.eof():
barFeed.dispatch()
self.assertTrue(handler.getEventCount() > 0)
def testCSVFeedLoadOrder(self):
bar_feed = csvfeed.YahooFeed()
bar_feed.add_bars_from_csv(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"))
bar_feed.add_bars_from_csv(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv"))
# Dispatch and handle events.
handler = BarFeedEventHandler_TestLoadOrder(self, bar_feed, YahooTestCase.TestInstrument)
bar_feed.get_new_bars_event().subscribe(handler.on_bars)
while not bar_feed.stop_dispatching():
bar_feed.dispatch()
self.assertTrue(handler.get_eventCount() > 0)
def __testFilteredRangeImpl(self, fromDate, toDate):
barFeed = yahoofeed.Feed()
barFeed.setBarFilter(csvfeed.DateRangeFilter(fromDate, toDate))
barFeed.addBarsFromCSV(FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv"))
# Dispatch and handle events.
handler = BarFeedEventHandler_TestFilterRange(self, FeedTestCase.TestInstrument, fromDate, toDate)
barFeed.getNewBarsEvent().subscribe(handler.onBars)
while not barFeed.eof():
barFeed.dispatch()
self.assertTrue(handler.getEventCount() > 0)
def __testFilteredRangeImpl(self, from_date, toDate):
bar_feed = csvfeed.YahooFeed()
bar_feed.set_bar_filter(csvfeed.DateRangeFilter(from_date, toDate))
bar_feed.add_bars_from_csv(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"))
bar_feed.add_bars_from_csv(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv"))
# Dispatch and handle events.
handler = BarFeedEventHandler_TestFilterRange(self, YahooTestCase.TestInstrument, from_date, toDate)
bar_feed.get_new_bars_event().subscribe(handler.on_bars)
while not bar_feed.stop_dispatching():
bar_feed.dispatch()
self.assertTrue(handler.get_eventCount() > 0)
def testDifferentTimezones(self):
# Market times in UTC:
# - TSE: 0hs ~ 6hs
# - US: 14:30hs ~ 21hs
feed = yahoofeed.Feed()
for year in [2010, 2011]:
feed.addBarsFromCSV("nikkei", common.get_data_file_path("nikkei-%d-yahoofinance.csv" % year), marketsession.TSE.getTimezone())
feed.addBarsFromCSV("spy", common.get_data_file_path("spy-%d-yahoofinance.csv" % year), marketsession.USEquities.getTimezone())
strat = NikkeiSpyStrategy(feed, 34)
strat.run()
assert(round(strat.getResult(), 2) == 1125558.12)
def testDefaultTimezoneIsUTC(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"),
timezone=None)
barFeed.addBarsFromCSV(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv"),
timezone=None)
barFeed.start()
for bars in barFeed:
bar = bars.getBar(YahooTestCase.TestInstrument)
assert bar.getDateTime().tzinfo == pytz.utc
barFeed.stop()
barFeed.join()
def __testFilteredRangeImpl(self, fromDate, toDate):
barFeed = ibfeed.CSVFeed()
barFeed.setBarFilter(csvfeed.DateRangeFilter(fromDate, toDate))
barFeed.addBarsFromCSV(IBTestCase.TestInstrument, common.get_data_file_path("ib-spy-5min-20120627.csv"))
barFeed.addBarsFromCSV(IBTestCase.TestInstrument, common.get_data_file_path("ib-spy-5min-20120628.csv"))
barFeed.addBarsFromCSV(IBTestCase.TestInstrument, common.get_data_file_path("ib-spy-5min-20120629.csv"))
# Dispatch and handle events.
handler = BarFeedEventHandler_TestFilterRange(self, IBTestCase.TestInstrument, fromDate, toDate)
barFeed.getNewBarsEvent().subscribe(handler.onBars)
while not barFeed.stopDispatching():
barFeed.dispatch()
self.assertTrue(handler.getEventCount() > 0)
def testMultipleInstrumentsInterleaved(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV("spy", common.get_data_file_path("spy-2010-yahoofinance.csv"), marketsession.NYSE.getTimezone())
barFeed.addBarsFromCSV("nikkei", common.get_data_file_path("nikkei-2010-yahoofinance.csv"), marketsession.TSE.getTimezone())
strat = strategy_test.TestStrategy(barFeed, 1000)
stratAnalyzer = returns.Returns()
strat.attachAnalyzer(stratAnalyzer)
strat.marketOrder("spy", 1)
strat.run()
# The cumulative return should be the same if we load nikkei or not.
self.assertEqual(round(stratAnalyzer.getCumulativeReturns()[-1], 5), 0.01338)
def testWithoutTimezone(self):
# At the moment we need to set both the Feed's constructor and addBarsFromCSV to None in order to get a naive
# datetime
barFeed = yahoofeed.Feed(timezone=None)
barFeed.addBarsFromCSV(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"),
timezone=None)
barFeed.addBarsFromCSV(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv"),
timezone=None)
barFeed.start()
for bars in barFeed:
bar = bars.getBar(YahooTestCase.TestInstrument)
assert dt.datetime_is_naive(bar.getDateTime())
barFeed.stop()
barFeed.join()
def testBaseFeedInterface(self):
tmpFeed = TemporarySQLiteFeed(SQLiteFeedTestCase.dbName, bar.Frequency.DAY)
with tmpFeed:
# Load bars using a Yahoo! feed.
yahooFeed = yahoofeed.Feed()
yahooFeed.addBarsFromCSV("orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"), marketsession.USEquities.timezone)
yahooFeed.addBarsFromCSV("orcl", common.get_data_file_path("orcl-2001-yahoofinance.csv"), marketsession.USEquities.timezone)
# Fill the database using the bars from the Yahoo! feed.
sqliteFeed = tmpFeed.getFeed()
sqliteFeed.getDatabase().addBarsFromFeed(yahooFeed)
# Load the SQLite feed and process all bars.
sqliteFeed.loadBars("orcl")
feed_test.tstBaseFeedInterface(self, sqliteFeed)
def testNoTrades(self):
bar_feed = yahoofeed.Feed()
bar_feed.add_bars_from_csv("ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
bar_feed.add_bars_from_csv("spy", common.get_data_file_path("sharpe-ratio-test-spy.csv"))
strat = strategy_test.TestStrategy(bar_feed, 1000)
strat.setBrokerOrdersGTC(True)
strat.get_broker().set_use_adj_values(True)
stratAnalyzer = drawdown.DrawDown()
strat.attach_analyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.get_broker().get_cash() == 1000)
self.assertTrue(strat.get_order_updated_events() == 0)
self.assertTrue(stratAnalyzer.get_max_draw_down() == 0)
self.assertTrue(stratAnalyzer.get_longest_draw_down_duration()== 0)
def testNoTrades(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV("ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
barFeed.addBarsFromCSV("spy", common.get_data_file_path("sharpe-ratio-test-spy.csv"))
strat = strategy_test.TestStrategy(barFeed, 1000)
strat.setBrokerOrdersGTC(True)
strat.setUseAdjustedValues(True)
stratAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.getBroker().getCash() == 1000)
self.assertEqual(strat.orderUpdatedCalls, 0)
self.assertTrue(stratAnalyzer.getMaxDrawDown() == 0)
self.assertTrue(stratAnalyzer.getLongestDrawDownDuration() == datetime.timedelta())
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 = plt.buildFigure()
fig.set_size_inches(10, 8)
png = os.path.join(tmpPath, "plotter_test.png")
fig.savefig(png)
self.assertEquals(open(common.get_data_file_path("plotter_test.png"), "r").read(), open(png, "r").read())
def testNoTrades(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV("ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
barFeed.addBarsFromCSV("spy", common.get_data_file_path("sharpe-ratio-test-spy.csv"))
strat = strategy_test.DummyStrategy(barFeed, 1000)
strat.setBrokerOrdersGTC(True)
strat.getBroker().setUseAdjustedValues(True)
stratAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
assert strat.getBroker().getCash() == 1000
assert strat.getOrderUpdatedEvents() == 0
assert stratAnalyzer.getMaxDrawDown() == 0
assert stratAnalyzer.getLongestDrawDownDuration()== 0
def __testIGE_BrokerImpl(self, quantity):
initialCash = 42.09*quantity
# This testcase is based on an example from Ernie Chan's book:
# 'Quantitative Trading: How to Build Your Own Algorithmic Trading Business'
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV("ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
strat = strategy_test.TestStrategy(barFeed, initialCash)
strat.setUseAdjustedValues(True)
strat.setBrokerOrdersGTC(True)
stratAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(stratAnalyzer)
# Disable volume checks to match book results.
strat.getBroker().getFillStrategy().setVolumeLimit(None)
# Manually place the order to get it filled on the first bar.
order = strat.getBroker().createMarketOrder(broker.Order.Action.BUY, "ige", quantity, True) # Adj. Close: 42.09
order.setGoodTillCanceled(True)
strat.getBroker().placeOrder(order)
strat.addOrder(datetime.datetime(2007, 11, 13), strat.getBroker().createMarketOrder, broker.Order.Action.SELL, "ige", quantity, True) # Adj. Close: 127.64
strat.run()
self.assertTrue(round(strat.getBroker().getCash(), 2) == initialCash + (127.64 - 42.09) * quantity)
self.assertEqual(strat.orderUpdatedCalls, 4)
self.assertTrue(round(stratAnalyzer.getMaxDrawDown(), 5) == 0.31178)
self.assertTrue(stratAnalyzer.getLongestDrawDownDuration() == datetime.timedelta(days=623))
def __test(self, strategyClass, finalValue):
feed = yahoofeed.Feed()
feed.addBarsFromCSV("orcl", common.get_data_file_path("orcl-2001-yahoofinance.csv"))
myStrategy = strategyClass(feed, 10, 25)
myStrategy.run()
myStrategy.printDebug("Final result:", round(myStrategy.getFinalValue(), 2))
self.assertTrue(round(myStrategy.getFinalValue(), 2) == finalValue)
def testResampleNinjaTraderHour(self):
# Resample.
feed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
feed.addBarsFromCSV("spy", common.get_data_file_path("nt-spy-minute-2011.csv"))
resampledBarDS = resampled.ResampledBarDataSeries(feed["spy"], barfeed.Frequency.HOUR)
resampledFile = os.path.join(common.get_temp_path(), "hour-nt-spy-minute-2011.csv")
resample.resample_to_csv(feed, barfeed.Frequency.HOUR, resampledFile)
resampledBarDS.pushLast() # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(barfeed.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 testIGE_BrokerWithCommission(self):
commision = 0.5
initialCash = 42.09 + commision
# This testcase is based on an example from Ernie Chan's book:
# 'Quantitative Trading: How to Build Your Own Algorithmic Trading Business'
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV("ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
strat = strategy_test.TestStrategy(barFeed, initialCash)
strat.getBroker().setCommission(backtesting.FixedPerTrade(commision))
strat.setUseAdjustedValues(True)
strat.setBrokerOrdersGTC(True)
stratAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(stratAnalyzer)
# Disable volume checks to match book results.
strat.getBroker().getFillStrategy().setVolumeLimit(None)
# Manually place the order to get it filled on the first bar.
order = strat.getBroker().createMarketOrder(broker.Order.Action.BUY, "ige", 1, True) # Adj. Close: 42.09
order.setGoodTillCanceled(True)
strat.getBroker().placeOrder(order)
strat.addOrder(strategy_test.datetime_from_date(2007, 11, 13), strat.getBroker().createMarketOrder, broker.Order.Action.SELL, "ige", 1, True) # Adj. Close: 127.64
strat.run()
self.assertTrue(round(strat.getBroker().getCash(), 2) == initialCash + (127.64 - 42.09 - commision*2))
self.assertTrue(strat.getOrderUpdatedEvents() == 4)
# The results are slightly different only because I'm taking into account the first bar as well,
# and I'm also adding commissions.
self.assertEqual(round(stratAnalyzer.getSharpeRatio(0.04, True), 6), 0.776443)
def testResampleMtGoxDay(self):
# Resample.
feed = mtgoxfeed.CSVTradeFeed()
feed.addBarsFromCSV(common.get_data_file_path("trades-mgtox-usd-2013-01-01.csv"))
resampledBarDS = resampled.ResampledBarDataSeries(feed["BTC"], barfeed.Frequency.DAY)
resampledFile = os.path.join(common.get_temp_path(), "day-mgtox-usd-2013-01-01.csv")
resample.resample_to_csv(feed, barfeed.Frequency.DAY, resampledFile)
resampledBarDS.pushLast() # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(barfeed.Frequency.DAY)
feed.addBarsFromCSV("BTC", resampledFile)
feed.loadAll()
self.assertEqual(len(feed["BTC"]), 1)
self.assertEqual(feed["BTC"][0].getDateTime(), datetime.datetime(2013, 1, 1))
self.assertEqual(feed["BTC"][0].getOpen(), 13.51001)
self.assertEqual(feed["BTC"][0].getHigh(), 13.56)
self.assertEqual(feed["BTC"][0].getLow(), 13.16123)
self.assertEqual(feed["BTC"][0].getClose(), 13.30413)
self.assertEqual(feed["BTC"][0].getVolume(), 28168.9114596)
self.assertEqual(feed["BTC"][0].getAdjClose(), 13.30413)
self.assertEqual(len(resampledBarDS), len(feed["BTC"]))
self.assertEqual(resampledBarDS[0].getDateTime(), dt.as_utc(feed["BTC"][0].getDateTime()))
self.assertEqual(resampledBarDS[-1].getDateTime(), dt.as_utc(feed["BTC"][-1].getDateTime()))
self.assertEqual(resampledBarDS[0].getOpen(), feed["BTC"][0].getOpen())
self.assertEqual(resampledBarDS[0].getHigh(), feed["BTC"][0].getHigh())
self.assertEqual(resampledBarDS[0].getLow(), feed["BTC"][0].getLow())
self.assertEqual(resampledBarDS[0].getClose(), feed["BTC"][0].getClose())
self.assertEqual(round(resampledBarDS[0].getVolume(), 5), round(feed["BTC"][0].getVolume(), 5))
self.assertEqual(resampledBarDS[0].getAdjClose(), feed["BTC"][0].getAdjClose())
def testNoTrades(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
"ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
barFeed.addBarsFromCSV(
"spy", common.get_data_file_path("sharpe-ratio-test-spy.csv"))
strat = strategy_test.TestStrategy(barFeed, 1000)
strat.setBrokerOrdersGTC(True)
strat.getBroker().setUseAdjustedValues(True)
stratAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.getBroker().getCash() == 1000)
self.assertTrue(strat.getOrderUpdatedEvents() == 0)
self.assertTrue(stratAnalyzer.getMaxDrawDown() == 0)
self.assertTrue(stratAnalyzer.getMaxDrawDownDuration() == 0)
def testDifferentTimezones(self):
# Market times in UTC:
# - TSE: 0hs ~ 6hs
# - US: 14:30hs ~ 21hs
feed = googlefeed.Feed()
for year in [2010, 2011]:
feed.addBarsFromCSV(
"^n225",
common.get_data_file_path(
"nikkei-%d-googlefinance.csv" % year),
marketsession.TSE.getTimezone())
feed.addBarsFromCSV(
"spy",
common.get_data_file_path("spy-%d-googlefinance.csv" % year),
marketsession.USEquities.getTimezone())
self.__testDifferentTimezonesImpl(feed)
def testDefaultInstrument(self):
barFeed = yahoofeed.Feed()
self.assertEquals(barFeed.getDefaultInstrument(), None)
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
self.assertEquals(barFeed.getDefaultInstrument(),
FeedTestCase.TestInstrument)
def __testFilteredRangeImpl(self, fromDate, toDate):
barFeed = yahoofeed.Feed()
barFeed.setBarFilter(csvfeed.DateRangeFilter(fromDate, toDate))
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
# Dispatch and handle events.
handler = BarFeedEventHandler_TestFilterRange(
self, FeedTestCase.TestInstrument, fromDate, toDate)
barFeed.getNewValuesEvent().subscribe(handler.onBars)
while not barFeed.eof():
barFeed.dispatch()
self.assertTrue(handler.getEventCount() > 0)
def __createStrategy(self):
bar_feed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
bar_filter = csvfeed.USEquitiesRTH()
bar_feed.set_bar_filter(bar_filter)
bar_feed.add_bars_from_csv(
TradesAnalyzerTestCase.TestInstrument,
common.get_data_file_path("nt-spy-minute-2011.csv"))
return strategy_test.TestStrategy(bar_feed, 1000)
def testLoadDailyBars(self):
tmpFeed = TemporarySQLiteFeed(SQLiteFeedTestCase.dbName,
bar.Frequency.DAY)
with tmpFeed:
# Load bars using a Yahoo! feed.
yahooFeed = yahoofeed.Feed()
yahooFeed.add_bars_from_csv(
"orcl",
common.get_data_file_path("orcl-2000-yahoofinance.csv"),
marketsession.USEquities.timezone)
yahooFeed.add_bars_from_csv(
"orcl",
common.get_data_file_path("orcl-2001-yahoofinance.csv"),
marketsession.USEquities.timezone)
# Fill the database using the bars from the Yahoo! feed.
sqliteFeed = tmpFeed.get_feed()
sqliteFeed.get_database().add_bars_from_feed(yahooFeed)
# Load the SQLite feed and process all bars.
sqliteFeed.load_bars("orcl")
sqliteFeed.start()
for bars in sqliteFeed:
pass
sqliteFeed.stop()
sqliteFeed.join()
# Check that both dataseries have the same bars.
yahooDS = yahooFeed["orcl"]
sqliteDS = sqliteFeed["orcl"]
self.assertEqual(len(yahooDS), len(sqliteDS))
for i in xrange(len(yahooDS)):
self.assertEqual(yahooDS[i].get_date_time(),
sqliteDS[i].get_date_time())
self.assertEqual(yahooDS[i].get_open(), sqliteDS[i].get_open())
self.assertEqual(yahooDS[i].get_high(), sqliteDS[i].get_high())
self.assertEqual(yahooDS[i].get_low(), sqliteDS[i].get_low())
self.assertEqual(yahooDS[i].get_close(),
sqliteDS[i].get_close())
self.assertEqual(yahooDS[i].get_adj_close(),
sqliteDS[i].get_adj_close())
self.assertEqual(yahooDS[i].get_bars_until_session_close(),
sqliteDS[i].get_bars_until_session_close())
self.assertEqual(yahooDS[i].get_session_close(),
sqliteDS[i].get_session_close())
def testLocal(self):
barFeed = yahoofeed.Feed()
instrument = "orcl"
barFeed.addBarsFromCSV(instrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"))
res = local.run(
sma_crossover.SMACrossOver, barFeed, parameters_generator(instrument, 5, 100), logLevel=logging.DEBUG
)
self.assertEquals(round(res.getResult(), 2), 1295462.6)
self.assertEquals(res.getParameters()[1], 20)
def testMapTypeOperations(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"), marketsession.USEquities.getTimezone())
for dateTime, bars in barFeed:
self.assertTrue(FeedTestCase.TestInstrument in bars)
self.assertFalse(FeedTestCase.TestInstrument not in bars)
bars[FeedTestCase.TestInstrument]
with self.assertRaises(KeyError):
bars["pirulo"]
def __loadIntradayBarFeed(self):
ret = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
ret.addBarsFromCSV("spy", common.get_data_file_path("nt-spy-minute-2011.csv"))
# This is need to get session close attributes set. Strategy class is responsible for calling this.
ret.start()
# Process all events to get the dataseries fully loaded.
while not ret.stopDispatching():
ret.dispatch()
return ret
def __test(self, strategy_class, finalValue):
feed = yahoofeed.Feed()
feed.add_bars_from_csv(
"orcl", common.get_data_file_path("orcl-2001-yahoofinance.csv"))
myStrategy = strategy_class(feed, 10, 25)
myStrategy.run()
myStrategy.printDebug("Final result:",
round(myStrategy.getFinalValue(), 2))
self.assertTrue(round(myStrategy.getFinalValue(), 2) == finalValue)
def testFailingStrategy(self):
barFeed = yahoofeed.Feed()
instrument = "orcl"
barFeed.addBarsFromCSV(
instrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
res = local.run(FailingStrategy, barFeed,
parameters_generator(instrument, 5, 100))
self.assertIsNone(res)
def testNoEvents(self):
feed = yahoofeed.Feed()
feed.addBarsFromCSV(
"orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"))
predicate = Predicate([])
eventProfiler = eventprofiler.Profiler(predicate, 5, 5)
eventProfiler.run(feed, True)
self.assertEqual(eventProfiler.getResults().getEventCount(), 0)
def __test(self, strategyClass, finalValue):
feed = googlefeed.Feed()
feed.addBarsFromCSV(
"orcl", common.get_data_file_path("orcl-2001-googlefinance.csv"))
myStrategy = strategyClass(feed, 10, 25)
myStrategy.run()
myStrategy.printDebug("Final result:",
round(myStrategy.getFinalValue(), 2))
self.assertTrue(round(myStrategy.getFinalValue(), 2) == finalValue)
def testDrawDownIGE_SPY_Broker(self):
# This testcase is based on an example from Ernie Chan's book:
# 'Quantitative Trading: How to Build Your Own Algorithmic Trading Business'
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
"ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
barFeed.addBarsFromCSV(
"spy", common.get_data_file_path("sharpe-ratio-test-spy.csv"))
strat = strategy_test.TestStrategy(barFeed, 1000)
strat.getBroker().setUseAdjustedValues(True)
strat.setBrokerOrdersGTC(True)
stratAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(stratAnalyzer)
# Manually place IGE order to get it filled on the first bar.
order = strat.getBroker().createMarketOrder(broker.Order.Action.BUY,
"ige", 1,
True) # Adj. Close: 42.09
order.setGoodTillCanceled(True)
strat.getBroker().placeOrder(order)
strat.addOrder(strategy_test.datetime_from_date(2007, 11, 13),
strat.getBroker().createMarketOrder,
broker.Order.Action.SELL, "ige", 1,
True) # Adj. Close: 127.64
# Manually place SPY order to get it filled on the first bar.
order = strat.getBroker().createMarketOrder(
broker.Order.Action.SELL_SHORT, "spy", 1,
True) # Adj. Close: 105.52
order.setGoodTillCanceled(True)
strat.getBroker().placeOrder(order)
strat.addOrder(strategy_test.datetime_from_date(2007, 11, 13),
strat.getBroker().createMarketOrder,
broker.Order.Action.BUY_TO_COVER, "spy", 1,
True) # Adj. Close: 147.67
strat.run()
self.assertTrue(
round(strat.getBroker().getCash(), 2) == round(
1000 + (127.64 - 42.09) + (105.52 - 147.67), 2))
self.assertTrue(strat.getOrderUpdatedEvents() == 4)
self.assertTrue(round(stratAnalyzer.getMaxDrawDown(), 5) == 0.09448)
self.assertTrue(stratAnalyzer.getMaxDrawDownDuration() == 229)
def testMaxRecursion(self):
barFeed = ninjatraderfeed.Feed(bar.Frequency.MINUTE)
barFeed.addBarsFromCSV(
"any", common.get_data_file_path("nt-spy-minute-2011.csv"))
ema = ma.EMA(barFeed["any"].getPriceDataSeries(), 10)
# Load all the feed.
barFeed.loadAll()
# Check that the max recursion limit bug is not hit when generating the last value first.
self.assertEqual(round(ema[-1], 2), 128.81)
def loadIntradayBarFeed(self):
fromMonth = 1
toMonth = 1
fromDay = 3
toDay = 3
barFilter = csvfeed.USEquitiesRTH(us_equities_datetime(2011, fromMonth, fromDay, 00, 00), us_equities_datetime(2011, toMonth, toDay, 23, 59))
barFeed = ninjatraderfeed.Feed(barfeed.Frequency.MINUTE)
barFeed.setBarFilter(barFilter)
barFeed.addBarsFromCSV(BaseTestCase.TestInstrument, common.get_data_file_path("nt-spy-minute-2011.csv"))
return barFeed
def testMultipleInstrumentsInterleaved(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
"spy", common.get_data_file_path("spy-2010-yahoofinance.csv"),
marketsession.NYSE.getTimezone())
barFeed.addBarsFromCSV(
"nikkei",
common.get_data_file_path("nikkei-2010-yahoofinance.csv"),
marketsession.TSE.getTimezone())
strat = strategy_test.TestStrategy(barFeed, 1000)
stratAnalyzer = returns.Returns()
strat.attachAnalyzer(stratAnalyzer)
strat.order("spy", 1)
strat.run()
# The cumulative return should be the same if we load nikkei or not.
self.assertEqual(round(stratAnalyzer.getCumulativeReturns()[-1], 5),
0.01338)
def testSharpeRatioIGE_SPY_Broker(self):
initialCash = 42.09
# This testcase is based on an example from Ernie Chan's book:
# 'Quantitative Trading: How to Build Your Own Algorithmic Trading Business'
bar_feed = yahoofeed.Feed()
bar_feed.add_bars_from_csv(
"ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
bar_feed.add_bars_from_csv(
"spy", common.get_data_file_path("sharpe-ratio-test-spy.csv"))
strat = strategy_test.TestStrategy(bar_feed, initialCash)
strat.get_broker().set_use_adj_values(True)
strat.setBrokerOrdersGTC(True)
stratAnalyzer = sharpe.SharpeRatio()
strat.attach_analyzer(stratAnalyzer)
# Manually place IGE order to get it filled on the first bar.
order = strat.get_broker().create_market_order(
broker.Order.Action.BUY, "ige", 1, True) # Adj. Close: 42.09
order.set_good_until_canceled(True)
strat.get_broker().place_order(order)
# Manually place SPY order to get it filled on the first bar.
order = strat.get_broker().create_market_order(
broker.Order.Action.SELL_SHORT, "spy", 1,
True) # Adj. Close: 105.52
order.set_good_until_canceled(True)
strat.get_broker().place_order(order)
strat.addOrder(strategy_test.datetime_from_date(2007, 11, 13),
strat.get_broker().create_market_order,
broker.Order.Action.SELL, "ige", 1,
True) # Adj. Close: 127.64
strat.addOrder(strategy_test.datetime_from_date(2007, 11, 13),
strat.get_broker().create_market_order,
broker.Order.Action.BUY_TO_COVER, "spy", 1,
True) # Adj. Close: 147.67
strat.run()
self.assertTrue(strat.get_order_updated_events() == 4)
self.assertTrue(
round(strat.get_broker().get_cash(), 2) == round(
initialCash + (127.64 - 42.09) + (105.52 - 147.67), 2))
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 = plt.buildFigure()
fig.set_size_inches(10, 8)
png = os.path.join(tmpPath, "plotter_test.png")
fig.savefig(png)
self.assertEquals(
open(common.get_data_file_path("plotter_test.png"),
"r").read(),
open(png, "r").read())
def testResampledBarFeed(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV("spy", common.get_data_file_path("spy-2010-yahoofinance.csv"))
barFeed.addBarsFromCSV("nikkei", common.get_data_file_path("nikkei-2010-yahoofinance.csv"))
resampledBarFeed = resampled_bf.ResampledBarFeed(barFeed, bar.Frequency.MONTH)
disp = dispatcher.Dispatcher()
disp.addSubject(barFeed)
disp.addSubject(resampledBarFeed)
disp.run()
weeklySpyBarDS = resampledBarFeed["spy"]
weeklyNikkeiBarDS = resampledBarFeed["nikkei"]
# Check first bar
self.assertEqual(weeklySpyBarDS[0].getDateTime().date(), datetime.date(2010, 1, 1))
self.assertEqual(weeklyNikkeiBarDS[0].getDateTime().date(), datetime.date(2010, 1, 1))
# Check last bar
self.assertEqual(weeklySpyBarDS[-1].getDateTime().date(), datetime.date(2010, 11, 1))
self.assertEqual(weeklyNikkeiBarDS[-1].getDateTime().date(), datetime.date(2010, 11, 1))
class NinjaTraderTestCase(unittest.TestCase):
def __loadIntradayBarFeed(self, timeZone=None):
ret = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE, timeZone)
ret.addBarsFromCSV("spy",
common.get_data_file_path("nt-spy-minute-2011.csv"))
# This is need to get session close attributes set. Strategy class is responsible for calling this.
ret.start()
# Process all events to get the dataseries fully loaded.
while not ret.stopDispatching():
ret.dispatch()
ret.stop()
ret.join()
return ret
def testWithTimezone(self):
timeZone = marketsession.USEquities.getTimezone()
barFeed = self.__loadIntradayBarFeed(timeZone)
ds = barFeed.getDataSeries()
for i in xrange(ds.getLength()):
currentBar = ds.getValueAbsolute(i)
self.assertFalse(dt.datetime_is_naive(currentBar.getDateTime()))
def testWithoutTimezone(self):
barFeed = self.__loadIntradayBarFeed(None)
ds = barFeed.getDataSeries()
for i in xrange(ds.getLength()):
currentBar = ds.getValueAbsolute(i)
# Datetime must be set to UTC.
self.assertFalse(dt.datetime_is_naive(currentBar.getDateTime()))
def testWithIntegerTimezone(self):
try:
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE,
-3)
self.assertTrue(False, "Exception expected")
except Exception, e:
self.assertTrue(
str(e).find(
"timezone as an int parameter is not supported anymore") ==
0)
try:
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
barFeed.addBarsFromCSV(
"spy", common.get_data_file_path("nt-spy-minute-2011.csv"), -5)
self.assertTrue(False, "Exception expected")
except Exception, e:
self.assertTrue(
str(e).find(
"timezone as an int parameter is not supported anymore") ==
0)
def testOneEvent(self):
feed = yahoofeed.Feed()
feed.addBarsFromCSV(
"orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"))
predicate = Predicate([datetime.date(2000, 1, 11)])
eventProfiler = eventprofiler.Profiler(predicate, 5, 5)
eventProfiler.run(feed, True)
self.assertEqual(eventProfiler.getResults().getEventCount(), 1)
self.assertEqual(eventProfiler.getResults().getValues(0)[0], 1.0)
self.assertEqual(round(eventProfiler.getResults().getValues(5)[0], 5),
round(1.016745541, 5))
def testNoTrades(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV("ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
strat = strategy_test.TestStrategy(barFeed, 1000)
stratAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.getBroker().getCash() == 1000)
self.assertTrue(stratAnalyzer.getSharpeRatio(0.04, True) == 0)
self.assertTrue(stratAnalyzer.getSharpeRatio(0) == 0)
self.assertTrue(stratAnalyzer.getSharpeRatio(0, True) == 0)
class NinjaTraderTestCase(unittest.TestCase):
def __loadIntradayBarFeed(self, timeZone=None):
ret = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE, timeZone)
ret.addBarsFromCSV("spy",
common.get_data_file_path("nt-spy-minute-2011.csv"))
ret.loadAll()
return ret
def testBaseFeedInterface(self):
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
barFeed.addBarsFromCSV(
"spy", common.get_data_file_path("nt-spy-minute-2011.csv"))
feed_test.tstBaseFeedInterface(self, barFeed)
def testWithTimezone(self):
timeZone = marketsession.USEquities.getTimezone()
barFeed = self.__loadIntradayBarFeed(timeZone)
ds = barFeed.getDataSeries()
for i, currentBar in enumerate(ds):
self.assertFalse(dt.datetime_is_naive(currentBar.getDateTime()))
self.assertEqual(ds[i].getDateTime(), ds.getDateTimes()[i])
def testWithoutTimezone(self):
barFeed = self.__loadIntradayBarFeed(None)
ds = barFeed.getDataSeries()
for i, currentBar in enumerate(ds):
# Datetime must be set to UTC.
self.assertFalse(dt.datetime_is_naive(currentBar.getDateTime()))
self.assertEqual(ds[i].getDateTime(), ds.getDateTimes()[i])
def testWithIntegerTimezone(self):
try:
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE,
-3)
self.assertTrue(False, "Exception expected")
except Exception, e:
self.assertTrue(
str(e).find(
"timezone as an int parameter is not supported anymore") ==
0)
try:
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
barFeed.addBarsFromCSV(
"spy", common.get_data_file_path("nt-spy-minute-2011.csv"), -5)
self.assertTrue(False, "Exception expected")
except Exception, e:
self.assertTrue(
str(e).find(
"timezone as an int parameter is not supported anymore") ==
0)
def testMapTypeOperations(self):
bar_feed = yahoofeed.Feed()
bar_feed.add_bars_from_csv(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"), marketsession.USEquities.getTimezone())
bar_feed.start()
for bars in bar_feed:
self.assertTrue(YahooTestCase.TestInstrument in bars)
self.assertFalse(YahooTestCase.TestInstrument not in bars)
bars[YahooTestCase.TestInstrument]
with self.assertRaises(KeyError):
bars["pirulo"]
bar_feed.stop()
bar_feed.join()
def testBaseFeedInterface(self):
tmpFeed = TemporarySQLiteFeed(SQLiteFeedTestCase.dbName,
bar.Frequency.DAY)
with tmpFeed:
# Load bars using a Yahoo! feed.
yahooFeed = yahoofeed.Feed()
yahooFeed.addBarsFromCSV(
"orcl",
common.get_data_file_path("orcl-2000-yahoofinance.csv"),
marketsession.USEquities.timezone)
yahooFeed.addBarsFromCSV(
"orcl",
common.get_data_file_path("orcl-2001-yahoofinance.csv"),
marketsession.USEquities.timezone)
# Fill the database using the bars from the Yahoo! feed.
sqliteFeed = tmpFeed.getFeed()
sqliteFeed.getDatabase().addBarsFromFeed(yahooFeed)
# Load the SQLite feed and process all bars.
sqliteFeed.loadBars("orcl")
feed_test.tstBaseFeedInterface(self, sqliteFeed)
def testFirstBar(self):
initialCash = 1000
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(ReturnsTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = strategy_test.TestStrategy(barFeed, initialCash)
strat.addOrder(datetime.datetime(2001, 01, 02), strat.getBroker().createMarketOrder, broker.Order.Action.BUY, ReturnsTestCase.TestInstrument, 1, False) # 2001-01-03 Open: 25.25 Close: 32.00
stratAnalyzer = returns.Returns()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertEqual(stratAnalyzer.getReturns()[0], 0)
self.assertEqual(stratAnalyzer.getReturns()[1], (32.00 - 25.25) / 1000)
def execute(cls, args: Args):
model_spec = _extract_model_spec(args)
xs_file_path = get_data_file_path(model_spec.name, 'x')
ys_file_path = get_data_file_path(model_spec.name, 'y')
if not os.path.isfile(xs_file_path):
save_tensor(model_spec.xs, xs_file_path)
print(
f'Saved X data for model "{model_spec.name}" to "{xs_file_path}".'
)
else:
print(
f'X data for model `{model_spec.name}` already exists at "{xs_file_path}"'
)
if not os.path.isfile(ys_file_path):
save_tensor(model_spec.ys, ys_file_path)
print(
f'Saved Y data for model "{model_spec.name}" to "{ys_file_path}".'
)
else:
print(
f'Y data for model `{model_spec.name}` already exists at "{ys_file_path}"'
)
def loadIntradayBarFeed(self):
from_month = 1
to_month = 1
from_day = 3
to_day = 3
bar_filter = barfeed.USEquitiesRTH(
us_equities_datetime(2011, from_month, from_day, 00, 00),
us_equities_datetime(2011, to_month, to_day, 23, 59))
bar_feed = ninjatraderfeed.Feed(bar.Frequency.MINUTE)
bar_feed.set_bar_filter(bar_filter)
bar_feed.add_bars_from_csv(
StrategyTestCase.TestInstrument,
common.get_data_file_path("nt-spy-minute-2011.csv"))
return bar_feed
def testBounded(self):
barFeed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE, maxLen=2)
barFeed.addBarsFromCSV("spy", common.get_data_file_path("nt-spy-minute-2011-03.csv"))
barFeed.loadAll()
barDS = barFeed["spy"]
self.assertEqual(len(barDS), 2)
self.assertEqual(len(barDS.getDateTimes()), 2)
self.assertEqual(len(barDS.getCloseDataSeries()), 2)
self.assertEqual(len(barDS.getCloseDataSeries().getDateTimes()), 2)
self.assertEqual(len(barDS.getOpenDataSeries()), 2)
self.assertEqual(len(barDS.getHighDataSeries()), 2)
self.assertEqual(len(barDS.getLowDataSeries()), 2)
self.assertEqual(len(barDS.getAdjCloseDataSeries()), 2)
