def setUp(self):
Base.metadata.create_all()
instrument = Instrument()
instrument.ticker = 'MyTicker'
instrument.asset_class = 'MyAssetClass'
instrument.name = 'MyName'
instrument.currency = 'USD'
instrument.type = 'MyType'
instrument.transactions_fees = 0.
instrument.point_value = 1
instrument.exchange = 'MyExchange'
instrument.rolling_month = 'H'
market_data = MarketData()
market_data.instrument = instrument
market_data.type = DataType.CLOSE
market_data.date = datetime(2000,1,3)
market_data.value = 100.
session = Session()
instrument_dao = InstrumentDAO()
instrument_dao.save(session, instrument)
market_data_dao = MarketDataDAO()
market_data_dao.save(session, market_data)
self.instrument_service = InstrumentService()
def testDAO(self):
data = MarketData()
data.type = self.type
data.value = self.value
data.date = self.date
data.instrument = self.instrument
market_data_dao = MarketDataDAO()
# test save
market_data_dao.save(self.session, data)
self.assertNotEqual(data.id, None, 'market data id')
self.assertEqual(data.type, self.type, 'market data type')
self.assertEqual(data.value, self.value, 'market data value')
self.assertEqual(data.date, self.date, 'market data date')
self.assertEqual(data.instrument_id, self.instrument.id, 'market data type')
# test get by instrument
new_data = market_data_dao.get_by_instrument(self.session, self.instrument)
self.assertEqual(new_data[0].id, data.id, 'both ids equals')
last_date = market_data_dao.get_last_date(self.session, self.instrument)
self.assertEqual(last_date, data.date)
# test delete
market_data_dao.delete(self.session, data)
def _fill_market_data(file_name, instrument):
reader = csv.reader(open(file_name, 'r'))
data_list = []
for row in reader:
# set the current_date from string
t = time.strptime(row[0], '%Y%m%d')
current_date = date(t.tm_year, t.tm_mon, t.tm_mday)
# open
open_price = MarketData()
open_price.value = float(row[1])
open_price.instrument = instrument
open_price.type = DataType.OPEN
open_price.date = current_date
data_list.append(open_price)
# high
high = MarketData()
high.value = float(row[2])
high.instrument = instrument
high.type = DataType.HIGH
high.date = current_date
data_list.append(high)
# low
low = MarketData()
low.value = float(row[3])
low.instrument = instrument
low.type = DataType.LOW
low.date = current_date
data_list.append(low)
# adj close
adj_close = MarketData()
adj_close.value = float(row[4])
adj_close.instrument = instrument
adj_close.type = DataType.ADJUSTED_CLOSE
adj_close.date = current_date
data_list.append(adj_close)
# volume
volume = MarketData()
volume.value = float(row[5])
volume.instrument = instrument
volume.type = DataType.VOLUME
volume.date = current_date
data_list.append(volume)
# open interest
open_interest = MarketData()
open_interest.value = float(row[6])
open_interest.instrument = instrument
open_interest.type = DataType.OPEN_INTEREST
open_interest.date = current_date
data_list.append(open_interest)
# reference month
reference_month = MarketData()
reference_month.value = int(row[7])
reference_month.instrument = instrument
reference_month.type = DataType.REFERENCE_MONTH
reference_month.date = current_date
data_list.append(reference_month)
# close
close = MarketData()
close.value = float(row[8])
close.instrument = instrument
close.type = DataType.CLOSE
close.date = current_date
data_list.append(close)
market_data_dao.save_all(session, data_list)