def testAlgoStopEntryOrder(self):
symbol = Symbol.get('TEST')
start_time = datetime.datetime(2015, 7, 7, 12)
# symbol = algo.analysis_symbols()[0]
ticks = []
ticks.append(Tick(start_time.timestamp(), 10.0, 10.1))
start_time = start_time + MarketDataPeriod.MIN_1
ticks.append(Tick(start_time.timestamp(), 11.0, 11.1))
start_time = start_time + MarketDataPeriod.MIN_1
ticks.append(Tick(start_time.timestamp(), 12.0, 12.1))
start_time = start_time + MarketDataPeriod.MIN_1
ticks.append(Tick(start_time.timestamp(), 12.3, 12.4))
start_time = start_time + MarketDataPeriod.MIN_1
ticks.append(Tick(start_time.timestamp(), 12.8, 12.9))
dataProvider = SimulatedDataProvider(symbol, ticks)
order_manager = Broker(dataProvider)
order_manager.subscribeSymbol(symbol)
order = Order(symbol, 1, Entry(Entry.Type.STOP_ENTRY, 11.3), Direction.LONG)
order_creator = OrderCreator(order_manager, symbol, order)
order_manager.addPriceObserver(order_creator.handle_data)
order_manager.start()
self.assertEqual(0, len(order_manager.orders))
self.assertEqual(1, len(order_manager.positions))
self.assertEqual(State.FILLED, order.status)
position = order_manager.positions[0]
self.assertEqual(Position.PositionStatus.OPEN, position.status)
self.assertEqual(12.1, position.entry_price)
def testAlgoExpiredOrder(self):
symbol = Symbol.get('TEST')
start_time = datetime.datetime(2015, 7, 7, 12)
order = Order(symbol, 1, Entry(Entry.Type.STOP_ENTRY, 12.5), Direction.LONG, expire_time=datetime.timedelta(seconds=90), entry_time=start_time)
# symbol = algo.analysis_symbols()[0]
ticks = []
ticks.append(Tick(start_time.timestamp(), 10.0, 10.1))
start_time = start_time + MarketDataPeriod.MIN_1
ticks.append(Tick(start_time.timestamp(), 11.0, 11.1))
start_time = start_time + MarketDataPeriod.MIN_1
ticks.append(Tick(start_time.timestamp(), 12.0, 12.1))
start_time = start_time + MarketDataPeriod.MIN_1
ticks.append(Tick(start_time.timestamp(), 12.3, 12.4))
start_time = start_time + MarketDataPeriod.MIN_1
ticks.append(Tick(start_time.timestamp(), 12.8, 12.9))
dataProvider = SimulatedDataProvider(symbol, ticks)
order_manager = Broker(dataProvider)
order_manager.subscribeSymbol(symbol)
order_creator = OrderCreator(order_manager, symbol, order)
order_manager.addPriceObserver(order_creator.handle_data)
order_manager.start()
self.assertEqual(0, len(order_manager.orders))
self.assertEqual(0, len(order_manager.positions))
self.assertEqual(State.EXPIRED, order.status)
def testTakeProfitMarketOrder(self):
symbol = Symbol.get('TEST')
symbol.lot_size = 1
start_time = datetime.datetime(2015, 7, 7, 12)
# symbol = algo.analysis_symbols()[0]
ticks = []
ticks.append(Tick(start_time.timestamp(), 10.0, 10.1))
start_time = start_time + MarketDataPeriod.MIN_1
ticks.append(Tick(start_time.timestamp(), 11.0, 11.1))
start_time = start_time + MarketDataPeriod.MIN_1
ticks.append(Tick(start_time.timestamp(), 13.0, 13.1))
dataProvider = SimulatedDataProvider(symbol, ticks)
order_manager = Broker(dataProvider)
order_manager.subscribeSymbol(symbol)
order = Order(symbol, 1, Entry(Entry.Type.MARKET), Direction.LONG, take_profit=2)
order_creator = OrderCreator(order_manager, symbol, order)
order_manager.addPriceObserver(order_creator.handle_data)
order_manager.addPositionObserver(lambda position, state: self.setPosition(position))
order_manager.start()
self.assertEqual(0, len(order_manager.orders))
self.assertEqual(0, len(order_manager.positions))
self.assertEqual(State.FILLED, order.status)
self.assertIsNotNone(self.position)
self.assertEqual(Position.PositionStatus.TAKE_PROFIT, self.position.status)
self.assertEqual(12.1, self.position.exit_price)
self.assertAlmostEquals(2.0, self.position.points_delta())
def evaluate_quote_update(self, context, quote):
"""
This method is called for every market data tick update on the requested symbols.
"""
symbol_contexts = context.symbol_contexts[quote.symbol]
# logging.debug("I'm evaluating the data for %s" % (quote, ))
if len(symbol_contexts.quotes) > 25: # i.e. we have enough data
quoteTimes = [
time.mktime(o.start_time.timetuple())
for o in symbol_contexts.quotes
]
closePrices = asarray(symbol_contexts.closes)
ema_10 = financial.ema(closePrices[-10:], 10)
ema_25 = financial.ema(closePrices[-15:], 15)
symbolContext.ema_10.append(ema_10)
symbolContext.ema_25.append(ema_25)
if ema_10 > ema_25:
if context.symbolContexts[quote.symbol].position is False:
# create a LONG position
logging.debug("Opening position on quote: %s" % (quote, ))
context.place_order(
Order(quote.symbol,
1,
Entry(Entry.Type.MARKET),
Direction.LONG,
stoploss=StopLoss(StopLoss.Type.FIXED, 20),
take_profit=25))
context.symbol_contexts[quote.symbol].position = True
else:
if context.symbol_contexts[quote.symbol].position is True:
context.symbol_contexts[quote.symbol].position = False
def evaluate_quote_update(self, context, quote):
"""
This method is called for every market data tick update on the requested symbols.
"""
symbol_context = context.get_quote_context(quote)
if len(symbol_context.quotes) > self.space_to_left: # i.e. we have enough data
# if quote.start_time.time() > datetime.time(21, 0) or quote.start_time.time() < datetime.time(7, 0):
# # not normal EURUSD active period
# return
# if quote.start_time.weekday() >= 5:
# # it's a weekend
# return
# if quote.start_time.weekday() == 4 and quote.start_time.time() > datetime.time(16, 0):
# # no positions after 16:00 on Friday
# return
previous_quote = symbol_context.quotes[-1]
# have we changed direction?
if self.is_opposite(quote, previous_quote):
# check if this candle engulfs the previous
if self.is_body_engulfing(quote, previous_quote):
historic_periods = list(symbol_context.quotes)[:-1]
if self.is_largest(quote, historic_periods[-self.largest_body_count:]):
# are we thinking about long or short?
if quote.close < quote.open: # go short
if self.is_strong_candle(quote, Direction.SHORT):
if self.has_space_to_left_of_high(quote, previous_quote, historic_periods[-self.space_to_left:-1]):
stop_points = (abs(quote.close - quote.high) * (quote.symbol.lot_size + 1)) + 5
stop_loss = StopLoss(StopLoss.Type.FIXED, stop_points)
qty = self.calculate_position_size(context, stop_points)
if qty > 0:
context.place_order(Order(quote.symbol, qty, Entry(Entry.Type.LIMIT, quote.low - 5), Direction.SHORT, stoploss=stop_loss, take_profit=self.take_profit, expire_time=self.time_period))
else: # go long
if self.is_strong_candle(quote, Direction.LONG):
if self.has_space_to_left_of_low(quote, previous_quote, historic_periods[-self.space_to_left:-1]):
stop_points = (abs(quote.close - quote.low) * (quote.symbol.lot_size + 1)) + 5
stop_loss = StopLoss(StopLoss.Type.FIXED, stop_points)
qty = self.calculate_position_size(context, stop_points)
if qty > 0:
context.place_order(Order(quote.symbol, qty, Entry(Entry.Type.LIMIT, quote.high + 5), Direction.LONG, stoploss=stop_loss, take_profit=self.take_profit, expire_time=self.time_period))
def testShortLoss(self):
s1 = Symbol.get("TEST")
s1.lot_size = 10000
# LONG
order = Order(s1, 1, Entry(Entry.Type.MARKET), Direction.SHORT)
tick = Tick(datetime.utcnow(), 1.12239, 1.12245) # spread of 0.6
position = Position(order, tick)
tick = Tick(datetime.utcnow(), 1.12259, 1.12265)
position.close(tick)
self.assertAlmostEquals(-2, position.points_delta())
def testModifiedStopLoss(self):
s1 = Symbol.get("TEST")
s1.lot_size = 10000
# LONG
order = Order(s1, 1, Entry(Entry.Type.MARKET), Direction.SHORT)
tick = Tick(datetime.utcnow(), 1.12239, 1.12245) # spread of 0.6
position = Position(order, tick)
self.assertIsNone(position.stop_price)
position.update(stop_loss=StopLoss(StopLoss.Type.FIXED, 2))
self.assertIsNotNone(position.stop_price)
self.assertEqual(1.12265, position.stop_price)
def evaluate_quote_update(self, context, quote):
"""
This method is called for every market data tick update on the requested symbols.
"""
symbolContext = context.symbol_contexts[quote.symbol]
# logging.debug("I'm evaluating the data for %s" % (quote, ))
if len(symbolContext.quotes
) > self.emaPeriod: # i.e. we have enough data
space = 5
if quote.start_time.time() > datetime.time(
21, 0) or quote.start_time.time() < datetime.time(7, 0):
# not normal EURUSD active period
return
if quote.start_time.weekday() >= 5:
# it's a weekend
return
if quote.start_time.weekday(
) == 4 and quote.start_time.time() > datetime.time(12, 0):
# no positions after 12 on Friday
return
closePrices = asarray(symbolContext.closes)
ema = financial.ema(closePrices[-self.emaPeriod:], self.emaPeriod)
bar_height = symbolContext.high - symbolContext.low
# bar_is_largest = bar_height > (symbolContext.highs[-1] - symbolContext.lows[-1])
bar_is_lowest = symbolContext.low < min(
list(symbolContext.lows)[-space:-1])
bar_is_highest = symbolContext.high > max(
list(symbolContext.highs)[-space:-1])
buy_signal = bar_is_lowest and (
(min(symbolContext.open, symbolContext.close) -
symbolContext.low) * 1.5) >= (symbolContext.high -
symbolContext.low)
sell_signal = bar_is_highest and (
(symbolContext.high -
max(symbolContext.open, symbolContext.close)) *
1.5) >= (symbolContext.high - symbolContext.low)
open_positions = list(context.open_positions())
if quote.close > ema and sell_signal:
# if context.quote_contexts[quote.symbol].position is False:
# create a LONG position
if len(open_positions) != 0:
position = open_positions[0]
if position.order.direction is Direction.SHORT:
context.close_position(position)
else:
logging.debug("Opening position on quote: %s" % (quote, ))
context.place_order(
Order(quote.symbol,
50,
Entry(Entry.Type.MARKET),
Direction.SHORT,
stoploss=self.stopLoss,
take_profit=self.takeProfit))
# context.quote_contexts[quote.symbol].position = True
elif quote.close < ema and buy_signal:
if len(open_positions) != 0:
position = open_positions[0]
if position.order.direction is Direction.LONG:
context.close_position(position)
else:
logging.debug("Opening position on quote: %s" % (quote, ))
context.place_order(
Order(quote.symbol,
50,
Entry(Entry.Type.MARKET),
Direction.SHORT,
stoploss=self.stopLoss,
take_profit=self.takeProfit))