def testGetNPreviousDate(self):
calendar_util = CalendarUtil()
today = date(2011,6,17)
tomorow = calendar_util.get_n_previous_business_date(today, 2)
self.assertEqual(tomorow.day, 15, 'push two days')
tomorow = calendar_util.get_n_previous_business_date(today, 5)
self.assertEqual(tomorow.day, 10, 'push two days')
def testIsEndOfQuarter(self):
calendar_util = CalendarUtil()
day = date(2011,6,30)
response = calendar_util.is_end_of_quarter(day)
self.assertEqual(response, True, 'is end of quarter')
day = date(2011,7,29)
response = calendar_util.is_end_of_quarter(day)
self.assertEqual(response, False, 'not end of quarter')
def testIsEndOfMonth(self):
calendar_util = CalendarUtil()
day = date(2011,6,30)
response = calendar_util.is_end_of_month(day)
self.assertEqual(response, True, 'is end of month')
day = date(2011,7,29)
response = calendar_util.is_end_of_month(day)
self.assertEqual(response, True, 'is end of month only business')
def testGetNNextBusinessDate(self):
calendar_util = CalendarUtil()
today = date(2011,6,22)
tomorow = calendar_util.get_n_next_business_date(today, 2)
self.assertEqual(tomorow.day, 24, 'push two days')
today = date(2011,6,17)
tomorow = calendar_util.get_n_next_business_date(today, 5)
self.assertEqual(tomorow.day, 24, 'push 5 days')
def testGetPreviousDate(self):
calendar_util = CalendarUtil()
today = date(2011,6,17)
tomorow = calendar_util.get_previous_business_date(today)
self.assertEqual(tomorow.day, 16, 'push one day')
today = date(2011,6,20)
tomorow = calendar_util.get_previous_business_date(today)
self.assertEqual(tomorow.day, 17, 'push monday to driday')
def testGetNextBusinessDate(self):
calendar_util = CalendarUtil()
today = date(2011,6,23)
tomorow = calendar_util.get_next_business_date(today)
self.assertEqual(tomorow.day, 24, 'push one day')
today = date(2011,6,17)
tomorow = calendar_util.get_next_business_date(today)
self.assertEqual(tomorow.day, 20, 'push friday to monday')
def __init__(self, name):
self.name = name
# strategy data
self.first_date = None
self.last_date = None
self.portfolio = None
# map ticker and instrument
self.instruments = {}
# map ID and indicator
self.indicators = {}
# map ID and quantity computer
self.quantity_computers = {}
# map instrument and list of trading blocks
self.trading_blocks = {}
# map blocks and last state
self.trading_blocks_state = {}
# map currency and financial instrument (interest rate)
self.interest_rates = {}
self.rolling = None
# track record map date and portfolio value
self.track_record = {}
# other objects
self.event_dispatcher = EventDispatcher()
self.calendar_util = CalendarUtil()
# setup the event dispatcher
self.event_dispatcher.add_event_listener(Event.TRADING_TIME_EVENT, TradingTimeListener(self))
self.event_dispatcher.add_event_listener(Event.ROLLING_EVENT, RollingListener(self))
self.event_dispatcher.add_event_listener(Event.TRADE_EVENT, TradingListener(self))
self.event_dispatcher.add_event_listener(Event.SIGNALS_EVENT, SignalsListener(self))
self.event_dispatcher.add_event_listener(Event.VALORIZATION_EVENT, ValorizationListener(self))
class Strategy(object):
logger = logging.getLogger('Strategy')
def __init__(self, name):
self.name = name
# strategy data
self.first_date = None
self.last_date = None
self.portfolio = None
# map ticker and instrument
self.instruments = {}
# map ID and indicator
self.indicators = {}
# map ID and quantity computer
self.quantity_computers = {}
# map instrument and list of trading blocks
self.trading_blocks = {}
# map blocks and last state
self.trading_blocks_state = {}
# map currency and financial instrument (interest rate)
self.interest_rates = {}
self.rolling = None
# track record map date and portfolio value
self.track_record = {}
# other objects
self.event_dispatcher = EventDispatcher()
self.calendar_util = CalendarUtil()
# setup the event dispatcher
self.event_dispatcher.add_event_listener(Event.TRADING_TIME_EVENT, TradingTimeListener(self))
self.event_dispatcher.add_event_listener(Event.ROLLING_EVENT, RollingListener(self))
self.event_dispatcher.add_event_listener(Event.TRADE_EVENT, TradingListener(self))
self.event_dispatcher.add_event_listener(Event.SIGNALS_EVENT, SignalsListener(self))
self.event_dispatcher.add_event_listener(Event.VALORIZATION_EVENT, ValorizationListener(self))
def add_instrument(self, instrument):
'''
Add instrument to stategy instrument map
@param instrument: the financial instrument
'''
if instrument.get_ticker() not in self.instruments:
self.instruments[instrument.get_ticker()] = instrument
def add_indicator(self, indicator):
'''
Add indicator to strategy indicator map
@param indicator: the indicator
'''
if indicator.id not in self.indicators:
self.indicators[indicator.id] = indicator
def add_quantity_computer(self, quantity_computer):
'''
Add a quantity computer to strategy quantity computer map
@param quantity_computer: the quantity computer
'''
if quantity_computer.id not in self.quantity_computers:
self.quantity_computers[quantity_computer.id] = quantity_computer
def add_trading_block(self, trading_block):
'''
Add trading block to strategy trading block map and by default set last state to false
@param trading_block: the trading block
'''
# add calendar util to trading block
trading_block.calendar_util = self.calendar_util
# map instrument's block and block
if trading_block.instrument in self.trading_blocks:
self.trading_blocks[trading_block.instrument].append(trading_block)
else:
self.trading_blocks[trading_block.instrument] = [trading_block]
if trading_block not in self.trading_blocks_state:
self.trading_blocks_state[trading_block] = False
def add_condition_bundle_to_trading_block(self, trading_block, regime, indicator):
'''
Add a condition bundle to a trading block
@param trading_block_id: the trading block
@param regime: the regime
@param indicator_id: the indicator
'''
if trading_block in self.trading_blocks_state:
if indicator.id in self.indicators:
condition_bundle = ConditionBundle()
condition_bundle.regime = regime
condition_bundle.indicator = indicator
trading_block.conditions.append(condition_bundle)
def add_quantity_computer_to_trading_block(self, trading_block, computer, raw_quantity):
'''
Add a quantity computer to a trading block
@param trading_block_id: the trading block
@param computer_id: the computer
@param raw_quantity: the raw quantity
'''
if trading_block in self.trading_blocks_state:
if computer.id in self.quantity_computers:
trading_block.quantity_computer = computer
trading_block.raw_quantity = raw_quantity
def add_interest_rate(self, currency, financial_instrument):
'''
Add an interest rate to strategy for a given currency
@param currency: the currency
@param financial_instrument: the financial_instrument
@raise CoreError: if financial instrument quotes in a different currency
'''
if currency == financial_instrument.get_currency():
self.interest_rates[currency] = financial_instrument
else:
raise CoreError('financial instrument currency quotes in %s for currency %s'%(financial_instrument.get_currency(),currency))
def compute(self):
'''
compute the strategy
@raise CoreError:
'''
compute_date = self.first_date
while compute_date <= self.last_date:
# check if it is instrument trading day
for instrument in self.instruments.values():
value = instrument.get_close_value(compute_date)
# if there is a value then send trading time event
if value:
trading_time_event = Event(Event.TRADING_TIME_EVENT)
trading_time_event.datas['date'] = compute_date
trading_time_event.datas['instrument'] = instrument
if self.logger.isEnabledFor(logging.DEBUG):
self.logger.debug('%s: send event %s'%(compute_date,trading_time_event.type))
self.event_dispatcher.dispatch_event(trading_time_event)
# build valorization event and send it
valo_event = Event(Event.VALORIZATION_EVENT)
valo_event.datas['date'] = compute_date
self.event_dispatcher.dispatch_event(valo_event)
compute_date = self.calendar_util.get_next_business_date(compute_date)
def __str__(self):
return self.name
def testIsEndOfWeek(self):
calendar_util = CalendarUtil()
day = date(2011,6,17)
response = calendar_util.is_end_of_week(day)
self.assertEqual(response, True, 'is friday')
def testGetPreviousQuoteDate(self):
calendar_util = CalendarUtil()
today = date(2011,8,10)
last_date = calendar_util.get_previous_quote_date(today, MockInstrument())
self.assertEqual(last_date, date(2011,7,29), 'good last quote date')