def showTicker(self, symbol):
try:
ticker = self.rebuiltTickers[symbol]
if not ticker:
return
except (KeyError, ):
try:
secs, count, ticker = \
tools.timed_ticker_rebuild(self.tickers[symbol],
self.strategyName, ltrim=50)
self.rebuiltTickers[symbol] = ticker
print 'rebuilt ticker in %s seconds' % (secs, )
except (Exception, ), ex:
print 'Exception rebuilding ticker: %r, %s' % (ex, ex, )
import traceback
traceback.print_exc()
ticker = None
def showTicker(self, symbol):
try:
ticker = self.rebuiltTickers[symbol]
if not ticker:
return
except (KeyError, ):
try:
secs, count, ticker = \
tools.timed_ticker_rebuild(self.tickers[symbol],
self.strategyName, ltrim=50)
self.rebuiltTickers[symbol] = ticker
print 'rebuilt ticker in %s seconds' % (secs, )
except (Exception, ), ex:
print 'Exception rebuilding ticker: %r, %s' % (
ex,
ex,
)
import traceback
traceback.print_exc()
ticker = None
def strategy_report(strategy, supervisors, fh=None, print_headfoot=True,
print_subtotal=True, print_grandtotal=True):
start = time.time()
total_profit = 0
total_trades = 0
report = {}
if print_headfoot:
print >> fh, 'Strategy coverage run started at %s' % (time.ctime(), )
print >> fh, altsep
print >> fh, 'Using strategy name %s' % (strategy, )
print >> fh
for file_name, source_tickers in supervisors:
source_tickers.sort(lambda a, b: cmp(a.symbol, b.symbol))
file_profit = 0
file_trades = 0
file_report = report[file_name] = {}
print >> fh, 'File %s' % (file_name, )
print >> fh, 'Symbol\tTrades\t Profit\tEffective'
print >> fh, sep
for source_ticker in source_tickers:
symbol = source_ticker.symbol
secs, count, rebuilt_ticker = \
tools.timed_ticker_rebuild(source_ticker, strategy)
strat_objs = [rebuilt_ticker.series[key].strategy
for key in rebuilt_ticker.strategy_keys]
try:
strat_obj = strat_objs[0]
except (IndexError, ):
pass
tick_results = list(strat_obj.gauge())
tick_trades = len(tick_results)
tick_profit = 0.0
tick_effective = 0.0
if tick_trades:
last_trade = tick_results[-1]
if last_trade[1][1]:
tick_profit = profit_on_close(strat_obj, tick_results)
else:
tick_profit = last_trade[1][0]
if tick_profit:
tick_effective = tick_profit / tick_trades
file_trades += tick_trades
file_profit += tick_profit
tick_record = (symbol, tick_trades, tick_profit, tick_effective)
print >> fh, '%4s\t%6s\t%8.2f\t%8.2f' % tick_record
file_report[symbol] = (tick_trades, tick_profit)
if file_trades:
rpt = (file_trades, file_profit, file_profit/file_trades)
else:
rpt = (file_trades, file_profit, 0)
total_trades += file_trades
total_profit += file_profit
if print_subtotal:
print >> fh, 'Sub Total'
print >> fh, '\t%6s\t%8.2f\t%8.2f' % rpt
print
if total_trades:
rpt = (total_trades, total_profit, total_profit/total_trades)
else:
rpt = (total_trades, total_profit, 0)
if print_grandtotal:
print >> fh, 'Grand Total'
print >> fh, sep
print >> fh, '\t%6s\t%8.2f\t%8.2f' % rpt
print >> fh
if print_headfoot:
print >> fh, altsep
rpt = 'Strategy coverage run completed in %2.2f seconds'
print >> fh, rpt % (time.time() - start, )
return (strategy, report)
def strategy_report(strategy,
supervisors,
fh=None,
print_headfoot=True,
print_subtotal=True,
print_grandtotal=True):
start = time.time()
total_profit = 0
total_trades = 0
report = {}
if print_headfoot:
print >> fh, 'Strategy coverage run started at %s' % (time.ctime(), )
print >> fh, altsep
print >> fh, 'Using strategy name %s' % (strategy, )
print >> fh
for file_name, source_tickers in supervisors:
source_tickers.sort(lambda a, b: cmp(a.symbol, b.symbol))
file_profit = 0
file_trades = 0
file_report = report[file_name] = {}
print >> fh, 'File %s' % (file_name, )
print >> fh, 'Symbol\tTrades\t Profit\tEffective'
print >> fh, sep
for source_ticker in source_tickers:
symbol = source_ticker.symbol
secs, count, rebuilt_ticker = \
tools.timed_ticker_rebuild(source_ticker, strategy)
strat_objs = [
rebuilt_ticker.series[key].strategy
for key in rebuilt_ticker.strategy_keys
]
try:
strat_obj = strat_objs[0]
except (IndexError, ):
pass
tick_results = list(strat_obj.gauge())
tick_trades = len(tick_results)
tick_profit = 0.0
tick_effective = 0.0
if tick_trades:
last_trade = tick_results[-1]
if last_trade[1][1]:
tick_profit = profit_on_close(strat_obj, tick_results)
else:
tick_profit = last_trade[1][0]
if tick_profit:
tick_effective = tick_profit / tick_trades
file_trades += tick_trades
file_profit += tick_profit
tick_record = (symbol, tick_trades, tick_profit, tick_effective)
print >> fh, '%4s\t%6s\t%8.2f\t%8.2f' % tick_record
file_report[symbol] = (tick_trades, tick_profit)
if file_trades:
rpt = (file_trades, file_profit, file_profit / file_trades)
else:
rpt = (file_trades, file_profit, 0)
total_trades += file_trades
total_profit += file_profit
if print_subtotal:
print >> fh, 'Sub Total'
print >> fh, '\t%6s\t%8.2f\t%8.2f' % rpt
print
if total_trades:
rpt = (total_trades, total_profit, total_profit / total_trades)
else:
rpt = (total_trades, total_profit, 0)
if print_grandtotal:
print >> fh, 'Grand Total'
print >> fh, sep
print >> fh, '\t%6s\t%8.2f\t%8.2f' % rpt
print >> fh
if print_headfoot:
print >> fh, altsep
rpt = 'Strategy coverage run completed in %2.2f seconds'
print >> fh, rpt % (time.time() - start, )
return (strategy, report)