def load_data(self, assets):
contlist = {}
exp_dates = {}
dbconfig = self.config.get('dbconfig', dbaccess.hist_dbconfig)
cnx = dbaccess.connect(**dbconfig)
for i, prod in enumerate(assets):
cont_mth, exch = dbaccess.prod_main_cont_exch(prod)
self.contlist[prod], _ = misc.contract_range(prod, exch, cont_mth, self.start_date, self.end_date)
self.exp_dates[prod] = [misc.contract_expiry(cont) for cont in contlist[prod]]
edates = [ misc.day_shift(d, self.config['rollrule']) for d in exp_dates[prod] ]
sdates = [ misc.day_shift(d, self.sim_period) for d in exp_dates[prod] ]
self.data_store[prod] = {}
for cont, sd, ed in zip(contlist[prod], sdates, edates):
if self.sim_freq == 'd':
tmp_df = dbaccess.load_daily_data_to_df(cnx, 'fut_min', cont, sd, ed)
else:
minid_start = 1500
minid_end = 2114
if prod in misc.night_session_markets:
minid_start = 300
tmp_df = dbaccess.load_min_data_to_df(cnx, 'fut_min', cont, sd, ed, minid_start, minid_end)
misc.cleanup_mindata(tmp_df, prod)
tmp_df['contract'] = cont
self.data_store[prod][cont] = tmp_df
cnx.close()
def load_data(self, assets):
contlist = {}
exp_dates = {}
dbconfig = self.config.get('dbconfig', dbaccess.hist_dbconfig)
cnx = dbaccess.connect(**dbconfig)
for i, prod in enumerate(assets):
cont_mth, exch = dbaccess.prod_main_cont_exch(prod)
self.contlist[prod], _ = misc.contract_range(
prod, exch, cont_mth, self.start_date, self.end_date)
self.exp_dates[prod] = [
misc.contract_expiry(cont) for cont in contlist[prod]
]
edates = [
misc.day_shift(d, self.config['rollrule'])
for d in exp_dates[prod]
]
sdates = [
misc.day_shift(d, self.sim_period) for d in exp_dates[prod]
]
self.data_store[prod] = {}
for cont, sd, ed in zip(contlist[prod], sdates, edates):
if self.sim_freq == 'd':
tmp_df = dbaccess.load_daily_data_to_df(
cnx, 'fut_min', cont, sd, ed)
else:
minid_start = 1500
minid_end = 2114
if prod in misc.night_session_markets:
minid_start = 300
tmp_df = dbaccess.load_min_data_to_df(
cnx, 'fut_min', cont, sd, ed, minid_start, minid_end)
misc.cleanup_mindata(tmp_df, prod)
tmp_df['contract'] = cont
self.data_store[prod][cont] = tmp_df
cnx.close()
def r_breaker( asset, start_date, end_date, scenarios, freqs, config):
nearby = config['nearby']
rollrule = config['rollrule']
start_d = misc.day_shift(start_date, '-1b')
file_prefix = config['file_prefix'] + '_' + asset + '_'
ddf = misc.nearby(asset, nearby, start_date, end_date, rollrule, 'd', need_shift=True)
mdf = misc.nearby(asset, nearby, start_date, end_date, rollrule, 'm', need_shift=True)
mdf = backtest.cleanup_mindata(mdf, asset)
#ddf = dh.conv_ohlc_freq(mdf, 'D')
output = {}
for ix, freq in enumerate(freqs):
if freq !='1min':
df = dh.conv_ohlc_freq(mdf, freq)
else:
df = mdf
for iy, k in enumerate(scenarios):
idx = ix*10+iy
config['k'] = k
(res, closed_trades, ts) = r_breaker_sim( ddf, df, config)
output[idx] = res
print 'saving results for scen = %s' % str(idx)
all_trades = {}
for i, tradepos in enumerate(closed_trades):
all_trades[i] = strat.tradepos2dict(tradepos)
fname = file_prefix + str(idx) + '_trades.csv'
trades = pd.DataFrame.from_dict(all_trades).T
trades.to_csv(fname)
fname = file_prefix + str(idx) + '_dailydata.csv'
ts.to_csv(fname)
fname = file_prefix + 'stats.csv'
res = pd.DataFrame.from_dict(output)
res.to_csv(fname)
return
def dual_thrust( asset, start_date, end_date, scenarios, config):
nearby = config['nearby']
rollrule = config['rollrule']
start_d = misc.day_shift(start_date, '-4b')
file_prefix = config['file_prefix'] + '_' + asset + '_'
ddf = misc.nearby(asset, nearby, start_d, end_date, rollrule, 'd', need_shift=True)
mdf = misc.nearby(asset, nearby, start_d, end_date, rollrule, 'm', need_shift=True)
mdf = backtest.cleanup_mindata(mdf, asset)
#ddf = dh.conv_ohlc_freq(mdf, 'D')
output = {}
for ix, s in enumerate(scenarios):
config['win'] = s[1]
config['k'] = s[0]
config['m'] = s[2]
(res, closed_trades, ts) = dual_thrust_sim( ddf, mdf, config)
output[ix] = res
print 'saving results for scen = %s' % str(ix)
all_trades = {}
for i, tradepos in enumerate(closed_trades):
all_trades[i] = strat.tradepos2dict(tradepos)
fname = file_prefix + str(ix) + '_trades.csv'
trades = pd.DataFrame.from_dict(all_trades).T
trades.to_csv(fname)
fname = file_prefix + str(ix) + '_dailydata.csv'
ts.to_csv(fname)
fname = file_prefix + 'stats.csv'
res = pd.DataFrame.from_dict(output)
res.to_csv(fname)
return
def turtle( asset, start_date, end_date, systems, config):
rollrule = config['rollrule']
nearby = config['nearby']
file_prefix = config['file_prefix'] + '_' + asset + '_'
start_d = misc.day_shift(start_date, '-'+str(max([ max(sys) for sys in systems]))+'b')
ddf = misc.nearby(asset, nearby, start_d, end_date, rollrule, 'd', need_shift=True)
mdf = misc.nearby(asset, nearby, start_date, end_date, rollrule, 'm', need_shift=True)
#ddf = dh.conv_ohlc_freq(mdf, 'D')
output = {}
for ix, sys in enumerate(systems):
config['signals'] = sys[:3]
config['max_loss'] = sys[3]
config['max_pos'] = sys[4]
(res, closed_trades, ts) = turtle_sim( ddf, mdf, config)
output[ix] = res
print 'saving results for scen = %s' % str(ix)
all_trades = {}
for i, tradepos in enumerate(closed_trades):
all_trades[i] = strat.tradepos2dict(tradepos)
fname = file_prefix + str(ix) + '_trades.csv'
trades = pd.DataFrame.from_dict(all_trades).T
trades.to_csv(fname)
fname = file_prefix + str(ix) + '_dailydata.csv'
ts.to_csv(fname)
fname = file_prefix + 'stats.csv'
res = pd.DataFrame.from_dict(output)
res.to_csv(fname)
return
def flat_ir_curve(tday, rate):
tenors = ['1W', '2W', '1M', '3M', '6M', '9M', '1Y', '3Y']
output = []
for ten in tenors:
data = [ten, misc.day_shift(tday, ten.lower()), rate]
output.append(data)
return output
def dual_thrust( asset, start_date, end_date, scenarios, config):
nearby = config['nearby']
rollrule = config['rollrule']
start_d = misc.day_shift(start_date, '-2b')
file_prefix = config['file_prefix'] + '_' + asset + '_'
ddf = misc.nearby(asset, nearby, start_d, end_date, rollrule, 'd', need_shift=True)
mdf = misc.nearby(asset, nearby, start_d, end_date, rollrule, 'm', need_shift=True)
#ddf = dh.conv_ohlc_freq(mdf, 'D')
output = {}
for ix, s in enumerate(scenarios):
config['win'] = s[1]
config['k'] = s[0]
config['m'] = s[2]
(res, closed_trades, ts) = dual_thrust_sim( ddf, mdf, config)
output[ix] = res
print 'saving results for scen = %s' % str(ix)
all_trades = {}
for i, tradepos in enumerate(closed_trades):
all_trades[i] = strat.tradepos2dict(tradepos)
fname = file_prefix + str(ix) + '_trades.csv'
trades = pd.DataFrame.from_dict(all_trades).T
trades.to_csv(fname)
fname = file_prefix + str(ix) + '_dailydata.csv'
ts.to_csv(fname)
fname = file_prefix + 'stats.csv'
res = pd.DataFrame.from_dict(output)
res.to_csv(fname)
return
def dual_thrust(asset, start_date, end_date, scenarios, config):
nearby = config["nearby"]
rollrule = config["rollrule"]
start_d = misc.day_shift(start_date, "-2b")
file_prefix = config["file_prefix"] + "_" + asset + "_"
mdf = misc.nearby(asset, nearby, start_d, end_date, rollrule, "m", need_shift=True)
mdf = backtest.cleanup_mindata(mdf, asset)
output = {}
for ix, s in enumerate(scenarios):
config["win"] = s[1]
config["k"] = s[0]
config["m"] = s[2]
config["f"] = s[3]
(res, closed_trades, ts) = dual_thrust_sim(mdf, config)
output[ix] = res
print "saving results for scen = %s" % str(ix)
all_trades = {}
for i, tradepos in enumerate(closed_trades):
all_trades[i] = strat.tradepos2dict(tradepos)
fname = file_prefix + str(ix) + "_trades.csv"
trades = pd.DataFrame.from_dict(all_trades).T
trades.to_csv(fname)
fname = file_prefix + str(ix) + "_dailydata.csv"
ts.to_csv(fname)
fname = file_prefix + "stats.csv"
res = pd.DataFrame.from_dict(output)
res.to_csv(fname)
return
def load_csv_to_db(edate,
save_loc='C:\\dev\\data\\',
freq='m',
is_replace=False):
cnx = dbaccess.connect(**dbaccess.dbconfig)
cont_list = misc.filter_main_cont(edate, False)
if freq not in ['m', 'd']:
return False
for cont in cont_list:
if freq == 'm':
filename = save_loc + cont + '_min.csv'
else:
filename = save_loc + cont + '_daily.csv'
if not os.path.isfile(filename):
continue
data_reader = csv.reader(file(filename, 'rb'))
mindata_list = []
for idx, line in enumerate(data_reader):
if idx > 0:
if 'nan' in [line[0], line[2], line[3], line[4], line[6]]:
continue
min_data = {}
min_data['volume'] = int(float(line[0]))
if min_data['volume'] <= 0: continue
dtime = datetime.datetime.strptime(line[1],
'%Y-%m-%d %H:%M:%S.%f')
if freq == 'm':
min_data['datetime'] = dtime.replace(microsecond=0)
else:
min_data['date'] = dtime.date()
min_data['high'] = float(line[2])
min_data['low'] = float(line[3])
min_data['close'] = float(line[4])
if line[5] == 'nan':
oi = 0
else:
oi = int(float(line[5]))
min_data['openInterest'] = oi
min_data['open'] = float(line[6])
if freq == 'm':
min_data['min_id'] = get_min_id(dtime)
trading_date = dtime.date()
if min_data['min_id'] < 600:
trading_date = misc.day_shift(trading_date, '1b')
min_data['date'] = trading_date
mindata_list.append(min_data)
else:
print cont
dbaccess.insert_daily_data(cont,
min_data,
is_replace=is_replace,
dbtable='fut_daily')
if freq == 'm':
print cont
dbaccess.bulkinsert_min_data(cont,
mindata_list,
is_replace=is_replace)
return True
def get_pnl_stats(df_list, marginrate, freq, tenors = ['3m', '6m', '1y', '2y', '3y'], start_capital = 10000.0):
sum_pnl = pd.Series(name='pnl')
sum_margin = pd.Series(name='margin')
sum_cost = pd.Series(name='cost')
if freq == 'm':
index_col = ['date', 'min_id']
else:
index_col = ['date']
for df in df_list:
xdf = df.reset_index().set_index(index_col)
if 'traded_price' in xdf.columns:
field = 'traded_price'
else:
field = 'close'
pnl = xdf['pos'].shift(1).fillna(0.0) * (xdf[field] - xdf[field].shift(1)).fillna(0.0)
if 'closeout' in xdf.columns:
pnl = pnl + xdf['closeout']
# pnl = pnl + (xdf['pos'] - xdf['pos'].shift(1).fillna(0.0)) * (xdf['close'] - xdf['traded_price'])
if len(sum_pnl) == 0:
sum_pnl = pd.Series(pnl, name='pnl')
else:
sum_pnl = sum_pnl.add(pnl, fill_value=0)
margin = pd.Series(
pd.concat([xdf.pos * marginrate[0] * xdf.close, -xdf.pos * marginrate[1] * xdf.close], join='outer',
axis=1).max(1), name='margin')
if len(sum_margin) == 0:
sum_margin = margin
else:
sum_margin = sum_margin.add(margin, fill_value=0)
if len(sum_cost) == 0:
sum_cost = xdf['cost']
else:
sum_cost = sum_cost.add(xdf['cost'], fill_value=0)
if freq == 'm':
daily_pnl = pd.Series(sum_pnl.groupby(level=0).sum(), name='daily_pnl')
daily_margin = pd.Series(sum_margin.groupby(level=0).last(), name='daily_margin')
daily_cost = pd.Series(sum_cost.groupby(level=0).sum(), name='daily_cost')
else:
daily_pnl = sum_pnl
daily_margin = sum_margin
daily_cost = sum_cost
daily_pnl.name = 'daily_pnl'
daily_margin.name = 'daily_margin'
daily_cost.name = 'daily_cost'
cum_pnl = pd.Series(daily_pnl.cumsum() + daily_cost.cumsum() + start_capital, name='cum_pnl')
df = pd.concat([cum_pnl, daily_pnl, daily_margin, daily_cost], join='outer', axis=1)
res = {}
for tenor in tenors:
edate = df.index[-1]
sdate = misc.day_shift(edate, '-' + tenor)
pnl_df = df[df.index >= sdate]
res_by_tenor = pnl_stats(pnl_df)
for field in res_by_tenor:
res[field + '_' + tenor] = 0 if np.isnan(res_by_tenor[field]) else res_by_tenor[field]
if sdate < df.index[0]:
break
return res, df
def get_wind_data(inst_list, start_date, end_date, save_loc='C:\\dev\\data\\', freq='m'):
exch_map = {v: k for k, v in wind_exch_map.items()}
for instID in inst_list:
exch = misc.inst2exch(instID)
ex = exch_map[exch]
ticker = instID + '.' + ex
product = misc.inst2product(instID)
sdate = start_date
edate = end_date
stime = datetime.time(9, 0, 0)
etime = datetime.time(15, 0, 0)
if product in ['T', 'TF']:
stime = datetime.time(9, 15, 0)
etime = datetime.time(15, 15, 0)
elif product in misc.night_session_markets:
stime = datetime.time(21, 0, 0)
sdate = misc.day_shift(sdate, '-1b')
smin = datetime.datetime.combine(sdate, stime)
emin = datetime.datetime.combine(edate, etime)
fields = 'open,high,low,close,volume,oi'
try:
if freq == 'm':
outfile = save_loc + instID + '_min.csv'
if os.path.isfile(outfile):
continue
raw_data = w.wsi(ticker, fields, smin, emin)
if len(raw_data.Data) > 1:
output = {'datetime': raw_data.Times,
'open': raw_data.Data[0],
'high': raw_data.Data[1],
'low': raw_data.Data[2],
'close': raw_data.Data[3],
'volume': raw_data.Data[4],
'openInterest': raw_data.Data[5]}
dump2csvfile(output, outfile)
else:
print "no min data obtained for ticker=%s" % ticker
elif freq == 'd':
outfile = save_loc + instID + '_daily.csv'
if os.path.isfile(outfile):
continue
raw_data = w.wsd(ticker, fields, start_date, end_date)
if len(raw_data.Data) > 1:
output = {'datetime': raw_data.Times,
'open': raw_data.Data[0],
'high': raw_data.Data[1],
'low': raw_data.Data[2],
'close': raw_data.Data[3],
'volume': raw_data.Data[4],
'openInterest': raw_data.Data[5]}
dump2csvfile(output, outfile)
else:
print "no daily data obtained for ticker=%s" % ticker
except ValueError:
pass
w.stop()
return True
def process_min_id(df):
df['min_id'] = df['datetime'].apply(lambda x:
((x.hour + 6) % 24) * 100 + x.minute)
flag = df['min_id'] >= 1000
df.loc[flag, 'date'] = df['datetime'][flag].apply(lambda x: x.date())
df['date'] = df['date'].fillna(method='bfill')
flag = pd.isnull(df['date'])
df.loc[flag, 'date'] = df['datetime'][flag].apply(
lambda x: misc.day_shift(x.date(), '1b'))
return df
def fxfwd_db_loader(market_data, fwd_index, dep_tenors = []):
curve_info = cmq_crv_defn.FX_Curve_Map[fwd_index]
mkey = market_data['market_key']
mdate = market_data['market_date']
mkt_db = market_data['market_db']
cnx = dbaccess.connect(**mkt_db)
df = dbaccess.load_fut_curve(cnx, fwd_index, mkey, dbtable = 'fx_daily', field = 'ccy')
if len(df) == 0:
print "FXFwd data is not available for %s on %s" % (fwd_index, mdate)
df['expiry'] = df['tenor'].apply(lambda x: misc.day_shift(mdate, x.lower()))
return df[['tenor', 'expiry', 'rate']].values.tolist()
def prepare_data(self, asset_idx, cont_idx=0):
assets = self.sim_assets[asset_idx]
cont_map = self.cont_maplist[asset_idx]
cont = self.contlist[assets[0]][cont_idx]
edate = misc.day_shift(self.exp_dates[assets[0]][cont_idx],
self.config['rollrule'])
if self.sim_mode == 'OR':
mdf = self.min_data[assets[0]][cont]
mdf = mdf[mdf.date <= edate]
else:
mode_keylist = self.sim_mode.split('-')
smode = mode_keylist[0]
cmode = mode_keylist[1]
all_data = []
if smode == 'TS':
all_data = [
self.min_data[assets[0]][self.contlist[assets[0]][cont_idx
+ i]]
for i in cont_map
]
else:
all_data = [
self.min_data[asset][self.contlist[asset][cont_idx + i]]
for asset, i in zip(assets, cont_map)
]
if cmode == 'Full':
mdf = pd.concat(all_data, axis=1, join='inner')
mdf.columns = [
iter + str(i) for i, x in enumerate(all_data)
for iter in x.columns
]
mdf = mdf[mdf.date0 < edate]
else:
for i, (coeff,
tmpdf) in enumerate(zip(self.calc_coeffs, all_data)):
if i == 0:
xopen = tmpdf['open'] * coeff
xclose = tmpdf['close'] * coeff
else:
xopen = xopen + tmpdf['open'] * coeff
xclose = xclose + tmpdf['close'] * coeff
xopen = xopen.dropna()
xclose = xclose.dropna()
xhigh = pd.concat([xopen, xclose], axis=1).max(axis=1)
xlow = pd.concat([xopen, xclose], axis=1).min(axis=1)
col_list = ['date', 'min_id', 'volume', 'openInterest']
mdf = pd.concat([xopen, xhigh, xlow, xclose] +
[all_data[0][col] for col in col_list],
axis=1,
join='inner')
mdf.columns = ['open', 'high', 'low', 'close'] + col_list
mdf['contract'] = cont
self.config['mdf'] = mdf
def pnl_stats_by_tenor(df, tenors):
res = {}
for tenor in tenors:
edate = df.index[-1]
sdate = misc.day_shift(edate, '-' + tenor)
pnl_df = df[df.index >= sdate]
res_by_tenor = pnl_stats(pnl_df)
for field in res_by_tenor:
res[field + '_' + tenor] = 0 if np.isnan(res_by_tenor[field]) else res_by_tenor[field]
if sdate < df.index[0]:
break
return res
def pnl_stats_by_tenor(df, tenors):
res = {}
for tenor in tenors:
edate = df.index[-1]
sdate = misc.day_shift(edate, '-' + tenor)
pnl_df = df[df.index >= sdate]
res_by_tenor = pnl_stats(pnl_df)
for field in res_by_tenor:
res[field + '_' + tenor] = 0 if np.isnan(
res_by_tenor[field]) else res_by_tenor[field]
if sdate < df.index[0]:
break
return res
def ircurve_db_loader(market_data, fwd_index, dep_tenors = []):
curve_info = cmq_crv_defn.IR_Curve_Map[fwd_index]
ir_idx = curve_info['ir_index']
mdate = market_data['market_date']
mkey = market_data['market_key']
mkt_db = market_data['market_db']
cnx = dbaccess.connect(**mkt_db)
df = dbaccess.load_fut_curve(cnx, ir_idx, mkey, dbtable='ir_daily', field='ir_index')
if len(df) == 0:
print "IRCurve data is not available for %s on %s" % (ir_idx, mkey)
df = df[~df['tenor'].isin(IR_Exclusion_Tenors)]
df['expiry'] = df['tenor'].apply(lambda x: misc.day_shift(mdate, x.lower()))
df['rate'] = df['rate']/100.0
return df[['tenor', 'expiry', 'rate']].values.tolist()
def calc_cov_by_asset(df, asset = None, start_date = None, end_date = None, tenor = None, bias = False):
if asset == None:
columns = df.columns
else:
columns = [ col for col in df.columns if col.startswith(asset + '-')]
xdf = df[columns].fillna(0.0)
if end_date:
xdf = xdf[df.index <= end_date]
end_date = xdf.index[-1]
if tenor:
start_date = misc.day_shift(end_date, tenor)
if start_date:
xdf = xdf[xdf.index >= start_date]
cov = np.cov(xdf.values.T, bias = bias)
avg = np.mean(xdf.values, axis = 0)
weights = np.linalg.inv(cov).dot(avg)
res = {'weight': weights, 'avg': avg, 'cov': cov, 'columns': columns}
return res
def prepare_data(self, asset_idx, cont_idx = 0):
assets = self.sim_assets[asset_idx]
cont_map = self.cont_maplist[asset_idx]
cont = self.contlist[assets[0]][cont_idx]
edate = misc.day_shift(self.exp_dates[assets[0]][cont_idx], self.config['rollrule'])
if self.sim_mode == 'OR':
df = self.data_store[assets[0]][cont]
df = df[df.date <= edate]
else:
mode_keylist = self.sim_mode.split('-')
smode = mode_keylist[0]
cmode = mode_keylist[1]
all_data = []
if smode == 'TS':
all_data = [self.data_store[assets[0]][self.contlist[assets[0]][cont_idx+i]] for i in cont_map]
else:
all_data = [self.data_store[asset][self.contlist[asset][cont_idx+i]] for asset, i in zip(assets, cont_map)]
if cmode == 'Full':
df = pd.concat(all_data, axis = 1, join = 'inner')
df.columns = [iter + str(i) for i, x in enumerate(all_data) for iter in x.columns]
df = df[ df.date0 < edate]
else:
for i, (coeff, tmpdf) in enumerate(zip(self.calc_coeffs, all_data)):
if i == 0:
xopen = tmpdf['open'] * coeff
xclose = tmpdf['close'] * coeff
else:
xopen = xopen + tmpdf['open'] * coeff
xclose = xclose + tmpdf['close'] * coeff
xopen = xopen.dropna()
xclose = xclose.dropna()
xhigh = pd.concat([xopen, xclose], axis = 1).max(axis = 1)
xlow = pd.concat([xopen, xclose], axis = 1).min(axis = 1)
col_list = ['date', 'min_id', 'volume', 'openInterest']
df = pd.concat([ xopen, xhigh, xlow, xclose] + [all_data[0][col] for col in col_list], axis = 1, join = 'inner')
df.columns = ['open', 'high', 'low', 'close'] + col_list
df['contract'] = cont
self.config['df'] = df
def calc_cov_by_asset(df,
asset=None,
start_date=None,
end_date=None,
tenor=None,
bias=False):
if asset == None:
columns = df.columns
else:
columns = [col for col in df.columns if col.startswith(asset + '-')]
xdf = df[columns].fillna(0.0)
if end_date:
xdf = xdf[df.index <= end_date]
end_date = xdf.index[-1]
if tenor:
start_date = misc.day_shift(end_date, tenor)
if start_date:
xdf = xdf[xdf.index >= start_date]
cov = np.cov(xdf.values.T, bias=bias)
avg = np.mean(xdf.values, axis=0)
weights = np.linalg.inv(cov).dot(avg)
res = {'weight': weights, 'avg': avg, 'cov': cov, 'columns': columns}
return res
def simcontract_min(config_file):
sim_config = {}
with open(config_file, 'r') as fp:
sim_config = json.load(fp)
bktest_split = sim_config['sim_func'].split('.')
run_sim = __import__('.'.join(bktest_split[:-1]))
for i in range(1, len(bktest_split)):
run_sim = getattr(run_sim, bktest_split[i])
dir_name = config_file.split('.')[0]
dir_name = dir_name.split(os.path.sep)[-1]
test_folder = get_bktest_folder()
file_prefix = test_folder + dir_name + os.path.sep
if not os.path.exists(file_prefix):
os.makedirs(file_prefix)
sim_list = sim_config['products']
if type(sim_list[0]).__name__ != 'list':
sim_list = [[str(asset)] for asset in sim_list]
sim_mode = sim_config.get('sim_mode', 'OR')
calc_coeffs = sim_config.get('calc_coeffs', [1, -1])
cont_maplist = sim_config.get('cont_maplist', [])
sim_period = sim_config.get('sim_period', '-12m')
need_daily = sim_config.get('need_daily', False)
if len(cont_maplist) == 0:
cont_maplist = [[0]] * len(sim_list)
config = {}
start_date = datetime.datetime.strptime(sim_config['start_date'], '%Y%m%d').date()
config['start_date'] = start_date
end_date = datetime.datetime.strptime(sim_config['end_date'], '%Y%m%d').date()
config['end_date'] = end_date
scen_dim = [ len(sim_config[s]) for s in sim_config['scen_keys']]
outcol_list = ['asset', 'scenario'] + sim_config['scen_keys'] \
+ ['sharp_ratio', 'tot_pnl', 'std_pnl', 'num_days', \
'max_drawdown', 'max_dd_period', 'profit_dd_ratio', \
'all_profit', 'tot_cost', 'win_ratio', 'num_win', 'num_loss', \
'profit_per_win', 'profit_per_loss']
scenarios = [list(s) for s in np.ndindex(tuple(scen_dim))]
config.update(sim_config['config'])
if 'pos_class' in sim_config:
config['pos_class'] = eval(sim_config['pos_class'])
if 'proc_func' in sim_config:
config['proc_func'] = eval(sim_config['proc_func'])
file_prefix = file_prefix + sim_config['sim_name']
if 'close_daily' in config and config['close_daily']:
file_prefix = file_prefix + 'daily_'
config['file_prefix'] = file_prefix
summary_df = pd.DataFrame()
fname = config['file_prefix'] + 'summary.csv'
if os.path.isfile(fname):
summary_df = pd.DataFrame.from_csv(fname)
for assets, cont_map in zip(sim_list, cont_maplist):
file_prefix = config['file_prefix'] + '_' + sim_mode + '_' + '_'.join(assets) + '_'
fname = file_prefix + 'stats.json'
output = {'total': {}, 'cont': {}}
if os.path.isfile(fname):
with open(fname, 'r') as fp:
output = json.load(fp)
#if len(output['total'].keys()) == len(scenarios):
# continue
min_data = {}
day_data = {}
config['tick_base'] = 0
config['marginrate'] = (0, 0)
rollrule = '-50b'
config['exit_min'] = config.get('exit_min', 2057)
config['no_trade_set'] = config.get('no_trade_set', [])
if assets[0] in ['cu', 'al', 'zn']:
rollrule = '-1b'
elif assets[0] in ['IF', 'IH', 'IC']:
rollrule = '-2b'
elif assets[0] in ['au', 'ag']:
rollrule = '-25b'
elif assets[0] in ['TF', 'T']:
rollrule = '-20b'
rollrule = config.get('rollrule', rollrule)
contlist = {}
exp_dates = {}
for i, prod in enumerate(assets):
cont_mth, exch = mysqlaccess.prod_main_cont_exch(prod)
contlist[prod] = misc.contract_range(prod, exch, cont_mth, start_date, end_date)
exp_dates[prod] = [misc.contract_expiry(cont) for cont in contlist[prod]]
edates = [ misc.day_shift(d, rollrule) for d in exp_dates[prod] ]
sdates = [ misc.day_shift(d, sim_period) for d in exp_dates[prod] ]
config['tick_base'] += trade_offset_dict[prod]
config['marginrate'] = ( max(config['marginrate'][0], sim_margin_dict[prod]), max(config['marginrate'][1], sim_margin_dict[prod]))
min_data[prod] = {}
day_data[prod] = {}
for cont, sd, ed in zip(contlist[prod], sdates, edates):
minid_start = 1500
minid_end = 2114
if prod in misc.night_session_markets:
minid_start = 300
tmp_df = mysqlaccess.load_min_data_to_df('fut_min', cont, sd, ed, minid_start, minid_end, database = 'hist_data')
tmp_df['contract'] = cont
min_data[prod][cont] = cleanup_mindata( tmp_df, prod)
if need_daily:
tmp_df = mysqlaccess.load_daily_data_to_df('fut_daily', cont, sd, ed, database = 'hist_data')
day_data[prod][cont] = tmp_df
if 'offset' in sim_config:
config['offset'] = sim_config['offset'] * config['tick_base']
else:
config['offset'] = config['tick_base']
for ix, s in enumerate(scenarios):
fname1 = file_prefix + str(ix) + '_trades.csv'
fname2 = file_prefix + str(ix) + '_dailydata.csv'
if os.path.isfile(fname1) and os.path.isfile(fname2):
continue
for key, seq in zip(sim_config['scen_keys'], s):
config[key] = sim_config[key][seq]
df_list = []
trade_list = []
for idx in range(abs(min(cont_map)), len(contlist[assets[0]]) - max(cont_map)):
cont = contlist[assets[0]][idx]
edate = misc.day_shift(exp_dates[assets[0]][idx], rollrule)
if sim_mode == 'OR':
mdf = min_data[assets[0]][cont]
mdf = mdf[mdf.date <= edate]
if need_daily:
ddf = day_data[assets[0]][cont]
config['ddf'] = ddf[ddf.index <= edate]
if len(config['ddf']) < 10:
continue
else:
mode_keylist = sim_mode.split('-')
smode = mode_keylist[0]
cmode = mode_keylist[1]
all_data = []
if smode == 'TS':
all_data = [min_data[assets[0]][contlist[assets[0]][idx+i]] for i in cont_map]
else:
all_data = [min_data[asset][contlist[asset][idx+i]] for asset, i in zip(assets, cont_map)]
if cmode == 'Full':
mdf = pd.concat(all_data, axis = 1, join = 'inner')
mdf.columns = [iter + str(i) for i, x in enumerate(all_data) for iter in x.columns]
mdf = mdf[ mdf.date0 < edate]
else:
#print all_data[0], all_data[1]
for i, (coeff, tmpdf) in enumerate(zip(calc_coeffs, all_data)):
if i == 0:
xopen = tmpdf['open'] * coeff
xclose = tmpdf['close'] * coeff
else:
xopen = xopen + tmpdf['open'] * coeff
xclose = xclose + tmpdf['close'] * coeff
xopen = xopen.dropna()
xclose = xclose.dropna()
xhigh = pd.concat([xopen, xclose], axis = 1).max(axis = 1)
xlow = pd.concat([xopen, xclose], axis = 1).min(axis = 1)
col_list = ['date', 'min_id', 'volume', 'openInterest']
mdf = pd.concat([ xopen, xhigh, xlow, xclose] + [all_data[0][col] for col in col_list], axis = 1, join = 'inner')
mdf.columns = ['open', 'high', 'low', 'close'] + col_list
mdf['contract'] = cont
#print mdf
if need_daily:
if smode == 'TS':
all_data = [day_data[assets[0]][contlist[assets[0]][idx+i]] for i in cont_map]
else:
all_data = [day_data[asset][contlist[asset]][idx+i] for asset, i in zip(assets, cont_map)]
if cmode == 'Full':
ddf = pd.concat(all_data, axis = 1, join = 'inner')
ddf.columns = [iter + str(i) for i, x in enumerate(all_data) for iter in x.columns]
config['ddf'] = ddf[ddf.index <= edate]
else:
for i, (coeff, tmpdf) in enumerate(zip(calc_coeffs, all_data)):
if i == 0:
xopen = tmpdf['open'] * coeff
xclose = tmpdf['close'] * coeff
else:
xopen = xopen + tmpdf['open'] * coeff
xclose = xclose + tmpdf['close'] * coeff
xhigh = pd.concat([xopen, xclose], axis = 1).max(axis = 1)
xlow = pd.concat([xopen, xclose], axis = 1).min(axis = 1)
col_list = ['volume', 'openInterest']
ddf = pd.concat([ xopen, xhigh, xlow, xclose] + [all_data[0][col] for col in col_list], axis = 1, join = 'inner')
ddf.columns = ['open', 'high', 'low', 'close'] + col_list
ddf['contract'] = cont
config['ddf'] = ddf[ddf.index <= edate]
if len(config['ddf']) < 10:
continue
df = mdf.copy(deep = True)
df, closed_trades = run_sim( df, config)
df_list.append(df)
trade_list = trade_list + closed_trades
(res_pnl, ts) = get_pnl_stats( [df], config['capital'], config['marginrate'], 'm')
res_trade = get_trade_stats( trade_list )
res = dict( res_pnl.items() + res_trade.items())
res.update(dict(zip(sim_config['scen_keys'], s)))
res['asset'] = cont
if cont not in output['cont']:
output['cont'][cont] = {}
output['cont'][cont][ix] = res
(res_pnl, ts) = get_pnl_stats( df_list, config['capital'], config['marginrate'], 'm')
res_trade = get_trade_stats( trade_list )
res = dict( res_pnl.items() + res_trade.items())
res.update(dict(zip(sim_config['scen_keys'], s)))
res['asset'] = '_'.join(assets)
output['total'][ix] = res
print 'saving results for asset = %s, scen = %s' % ('_'.join(assets), str(ix))
all_trades = {}
for i, tradepos in enumerate(trade_list):
all_trades[i] = strat.tradepos2dict(tradepos)
trades = pd.DataFrame.from_dict(all_trades).T
trades.to_csv(fname1)
ts.to_csv(fname2)
fname = file_prefix + 'stats.json'
try:
with open(fname, 'w') as ofile:
json.dump(output, ofile)
except:
continue
cont_df = pd.DataFrame()
for idx in range(abs(min(cont_map)), len(contlist[assets[0]]) - max(cont_map)):
cont = contlist[assets[0]][idx]
if cont not in output['cont']:
continue
res = scen_dict_to_df(output['cont'][cont])
out_res = res[outcol_list]
if len(cont_df) == 0:
cont_df = out_res[:20].copy(deep = True)
else:
cont_df = cont_df.append(out_res[:20])
fname = file_prefix + 'cont_stat.csv'
cont_df.to_csv(fname)
res = scen_dict_to_df(output['total'])
out_res = res[outcol_list]
if len(summary_df) == 0:
summary_df = out_res[:20].copy(deep = True)
else:
summary_df = summary_df.append(out_res[:20])
fname = config['file_prefix'] + 'summary.csv'
summary_df.to_csv(fname)
return
