def testReset(self):
feed = csvfeed.Feed("Date", "%Y-%m-%d")
feed.addValuesFromCSV(common.get_data_file_path("orcl-2000-yahoofinance.csv"))
disp = dispatcher.Dispatcher()
disp.addSubject(feed)
disp.run()
keys = feed.getKeys()
key = keys[0]
values = feed[key]
feed.reset()
disp = dispatcher.Dispatcher()
disp.addSubject(feed)
disp.run()
reloadedKeys = feed.getKeys()
reloadedValues = feed[key]
self.assertEqual(keys.sort(), reloadedKeys.sort())
self.assertNotEqual(values, reloadedValues)
self.assertEqual(len(values), len(reloadedValues))
for i in range(len(values)):
self.assertEqual(values[i], reloadedValues[i])
def testReset(self):
key = "i"
values = [(datetime.datetime.now() + datetime.timedelta(seconds=i), {
key: i
}) for i in range(100)]
feed = memfeed.MemFeed()
feed.addValues(values)
disp = dispatcher.Dispatcher()
disp.addSubject(feed)
disp.run()
keys = feed.getKeys()
values = feed[key]
feed.reset()
disp = dispatcher.Dispatcher()
disp.addSubject(feed)
disp.run()
reloadedKeys = feed.getKeys()
reloadedValues = feed[key]
self.assertEqual(keys, reloadedKeys)
self.assertNotEqual(values, reloadedValues)
self.assertEqual(len(values), len(reloadedValues))
for i in range(len(values)):
self.assertEqual(values[i], reloadedValues[i])
def __init__(self, barFeed, broker):
assert isinstance(barFeed, pyalgotrade.barfeed.BaseBarFeed
), "barFeed is not a subclass of barfeed.BaseBarFeed"
assert isinstance(broker, pyalgotrade.broker.Broker
), "broker is not a subclass of broker.Broker"
self.__barFeed = barFeed
self.__broker = broker
self.__activePositions = set()
self.__orderToPosition = {}
self.__barsProcessedEvent = observer.Event()
self.__analyzers = []
self.__namedAnalyzers = {}
self.__resampledBarFeeds = []
self.__dispatcher = dispatcher.Dispatcher()
self.__broker.getOrderUpdatedEvent().subscribe(self.__onOrderEvent)
self.__barFeed.getNewValuesEvent().subscribe(self.__onBars)
self.__resultCurrency = "USD"
# onStart will be called once all subjects are started.
self.__dispatcher.getStartEvent().subscribe(self.onStart)
self.__dispatcher.getIdleEvent().subscribe(self.__onIdle)
# It is important to dispatch broker events before feed events, specially if we're backtesting.
self.__dispatcher.addSubject(self.__broker)
self.__dispatcher.addSubject(self.__barFeed)
# Initialize logging.
self.__logger = logger.getLogger(BaseStrategy.LOGGER_NAME)
def testFeedWithQuandl(self):
class RowFilter(csvfeed.RowFilter):
def includeRow(self, dateTime, values):
return dateTime.year == 2013
feed = csvfeed.Feed("Date", "%Y-%m-%d", maxLen=40, timezone=marketsession.USEquities.timezone)
feed.setRowFilter(RowFilter())
feed.setTimeDelta(datetime.timedelta(hours=23, minutes=59, seconds=59))
feed.addValuesFromCSV(os.path.join("samples", "data", "quandl_gold_2.csv"))
for col in ["USD", "GBP", "EUR"]:
self.assertEqual(len(feed[col]), 0)
disp = dispatcher.Dispatcher()
disp.addSubject(feed)
disp.run()
for col in ["USD", "GBP", "EUR"]:
self.assertEqual(len(feed[col]), 39)
self.assertEqual(feed["USD"][-1], 1333.0)
self.assertEqual(feed["GBP"][-1], 831.203)
self.assertEqual(feed["EUR"][-1], 986.75)
self.assertFalse(dt.datetime_is_naive(feed["USD"].getDateTimes()[-1]))
self.assertEqual(
feed["USD"].getDateTimes()[-1],
dt.localize(datetime.datetime(2013, 9, 29, 23, 59, 59), marketsession.USEquities.timezone)
)
def resample_impl(barFeed, frequency, csvFile):
sampler = Sampler(barFeed, frequency, csvFile)
# Process all bars.
disp = dispatcher.Dispatcher()
disp.addSubject(barFeed)
disp.run()
sampler.finish()
def tstBaseFeedInterface(testCase, feed):
# This tests the observer.Subject interface.
disp = dispatcher.Dispatcher()
disp.addSubject(feed)
disp.run()
# This tests the feed.BaseFeed interface.
feed.createDataSeries("any", 10)
feed.getNextValues()
def testFeed(self):
values = [(datetime.datetime.now() + datetime.timedelta(seconds=i), {"i": i}) for i in range(100)]
feed = memfeed.MemFeed()
feed.addValues(values)
# Check that the dataseries are available after adding values.
self.assertTrue("i" in feed)
self.assertEqual(len(feed["i"]), 0)
self.assertFalse("dt" in feed)
disp = dispatcher.Dispatcher()
disp.addSubject(feed)
disp.run()
self.assertTrue("i" in feed)
self.assertFalse("dt" in feed)
self.assertEqual(feed["i"][0], 0)
self.assertEqual(feed["i"][-1], 99)
def testFeedWithBars(self):
feed = csvfeed.Feed("Date", "%Y-%m-%d")
feed.addValuesFromCSV(common.get_data_file_path("orcl-2000-yahoofinance.csv"))
self.assertEqual(len(feed.getKeys()), 6)
for col in ["Open", "High", "Low", "Close", "Volume", "Adj Close"]:
self.assertEqual(len(feed[col]), 0)
disp = dispatcher.Dispatcher()
disp.addSubject(feed)
disp.run()
for col in ["Open", "High", "Low", "Close", "Volume", "Adj Close"]:
self.assertEqual(len(feed[col]), 252)
self.assertEqual(feed["Open"][-1], 30.87)
self.assertEqual(feed["High"][-1], 31.31)
self.assertEqual(feed["Low"][-1], 28.69)
self.assertEqual(feed["Close"][-1], 29.06)
self.assertEqual(feed["Volume"][-1], 31655500)
self.assertEqual(feed["Adj Close"][-1], 28.41)
def __init__(self, barFeed, broker):
self.__feed = barFeed
self.__broker = broker
self.__activePositions = set()
self.__orderToPosition = {}
self.__barsProcessedEvent = observer.Event()
self.__analyzers = []
self.__namedAnalyzers = {}
self.__dispatcher = dispatcher.Dispatcher()
self.__broker.getOrderUpdatedEvent().subscribe(self.__onOrderEvent)
self.__feed.getNewBarsEvent().subscribe(self.__onBars)
self.__dispatcher.getStartEvent().subscribe(self.onStart)
self.__dispatcher.getIdleEvent().subscribe(self.onIdle)
# It is important to dispatch broker events before feed events, specially if we're backtesting.
self.__dispatcher.addSubject(self.__broker)
self.__dispatcher.addSubject(self.__feed)
# Initialize logging.
self.__logger = logger.getLogger(BaseStrategy.LOGGER_NAME)
def __init__(self, barFeed, broker):
self.__barFeed = barFeed #ok
self.__broker = broker #ok
self.__activePositions = set() #用于管理活动的订单，如已经提交的买单
self.__orderToPosition = {} ###
self.__barsProcessedEvent = observer.Event() ###
self.__analyzers = []
self.__namedAnalyzers = {}
self.__resampledBarFeeds = [] #
self.__dispatcher = dispatcher.Dispatcher() #策略的循环触发机制由该dispatch完成
self.__broker.getOrderUpdatedEvent().subscribe(self.__onOrderEvent) #__onOrderEvent作为策略和broker之前的桥梁；当订单有变化的时候会通知到这里
self.__barFeed.getNewValuesEvent().subscribe(self.__onBars) #__onBars作为策略和barfeed之间的桥梁，当bar有变化的时候触发此函数
self.__dispatcher.getStartEvent().subscribe(self.onStart) #全局的dispatch 启动时候需要调用的
self.__dispatcher.getIdleEvent().subscribe(self.__onIdle)
# It is important to dispatch broker events before feed events, specially if we're backtesting.
self.__dispatcher.addSubject(self.__broker) #把broker加入驱动bus
self.__dispatcher.addSubject(self.__barFeed) #把bar加入驱动bus
# Initialize logging.
self.__logger = logger.getLogger(BaseStrategy.LOGGER_NAME)
def __init__(self, tickFeed, broker):
self.__tickFeed = tickFeed
self.__broker = broker
self.__activePositions = set()
self.__orderToPosition = {}
self.__ticksProcessedEvent = observer.Event()
self.__analyzers = []
self.__namedAnalyzers = {}
# self.__resampledTickFeeds = []
self.__dispatcher = dispatcher.Dispatcher()
self.__broker.getOrderUpdatedEvent().subscribe(self.__onOrderEvent)
self.__tickFeed.getNewValuesEvent().subscribe(self.__onTicks)
# onStart will be called once all subjects are started.
self.__dispatcher.getStartEvent().subscribe(self.onStart)
self.__dispatcher.getIdleEvent().subscribe(self.__onIdle)
# It is important to dispatch broker events before feed events, specially if we're backtesting.
self.__dispatcher.addSubject(self.__broker)
self.__dispatcher.addSubject(self.__tickFeed)
# Initialize logging.
self.__logger = logger.getLogger(BaseTickStrategy.LOGGER_NAME)
def testBarFeed(self):
events = {
"on_bars": False,
"on_order_book_updated": False,
"break": False,
"start": datetime.datetime.now()
}
disp = dispatcher.Dispatcher()
barFeed = barfeed.LiveTradeFeed()
disp.addSubject(barFeed)
def on_bars(dateTime, bars):
bars[common.btc_symbol]
events["on_bars"] = True
if events["on_order_book_updated"] is True:
disp.stop()
def on_order_book_updated(orderBookUpdate):
events["on_order_book_updated"] = True
if events["on_bars"] is True:
disp.stop()
def on_idle():
# Stop after 5 minutes.
if (datetime.datetime.now() - events["start"]).seconds > 60 * 5:
disp.stop()
# Subscribe to events.
barFeed.getNewValuesEvent().subscribe(on_bars)
barFeed.getOrderBookUpdateEvent().subscribe(on_order_book_updated)
disp.getIdleEvent().subscribe(on_idle)
disp.run()
# Check that we received both events.
self.assertTrue(events["on_bars"])
self.assertTrue(events["on_order_book_updated"])
