def setUp(self):
self.now = datetime.datetime.now()
self.stream = Stream()
self.stream_file = tempfile.mkstemp()[1]
self.stream.begin(self.stream_file)
self.stream.add_event(
EventStreamNew(
self.now,
OrderBuy(
"CIA", 10, 21.34,
datetime.datetime.strptime(
"%s %s" % ("2012-11-24", "09:39:01"),
"%Y-%m-%d %H:%M:%S"))))
self.stream.add_event(
EventStreamNew(
self.now,
OrderSell(
"CIA", 10, 21.34,
datetime.datetime.strptime(
"%s %s" % ("2012-11-24", "09:39:01"),
"%Y-%m-%d %H:%M:%S"))))
self.stream.end()
self.xml1 = XML1 % self.stream_file
def build_stream(self, dirname_in, filename_out):
self.stream = Stream()
self.stream.begin(filename_out)
self.__process_companies(dirname_in)
self.stream.end()
def main(stream_path):
print "hello"
tv = TimeValidator()
for event in Stream.next_event(stream_path):
tv.process(event)
print "All done, seems correct"
def main(stream_path):
print "hello"
tv = TimeValidator()
for event in Stream.next_event(stream_path):
tv.process(event)
print "All done, seems correct"
def main(filename, plotter_str):
plotter_class = Visualizer.__import_plotter(plotter_str)
plotter = plotter_class()
for event in Stream.next_event(filename):
plotter.process(event)
fig = plt.figure()
plotter.draw_plot(fig)
plt.show()
def create_from_config(stock_tree):
stock = Stock()
stock.stream_file = stock_tree.getElementsByTagName("stream_path")[0].firstChild.nodeValue
# init clock
Clock.start_from(Stream.next_event(stock.stream_file).next().timestamp)
for sb_tree in stock_tree.getElementsByTagName("Stockbroker"):
sb = Stockbroker.create_from_config(stock, sb_tree)
stock.stockbrokers.append(sb)
return stock
class StockTestCase(unittest.TestCase):
def setUp(self):
self.now = datetime.datetime.now()
self.stream = Stream()
self.stream_file = tempfile.mkstemp()[1]
self.stream.begin(self.stream_file)
self.stream.add_event(
EventStreamNew(
self.now,
OrderBuy(
"CIA", 10, 21.34,
datetime.datetime.strptime(
"%s %s" % ("2012-11-24", "09:39:01"),
"%Y-%m-%d %H:%M:%S"))))
self.stream.add_event(
EventStreamNew(
self.now,
OrderSell(
"CIA", 10, 21.34,
datetime.datetime.strptime(
"%s %s" % ("2012-11-24", "09:39:01"),
"%Y-%m-%d %H:%M:%S"))))
self.stream.end()
self.xml1 = XML1 % self.stream_file
def tearDown(self):
#os.remove(self.stream_file)
pass
def test_create_from_config(self):
tree = minidom.parseString(self.xml1)
stock_tree = tree.getElementsByTagName("Stock")[0]
stock = None
stock = Stock.create_from_config(stock_tree)
self.assertIsNotNone(stock)
self.assertIsNotNone(stock.stream_file)
self.assertEqual(len(stock.stockbrokers), 1)
self.assertIsNotNone(stock.stockbrokers[0])
self.assertEqual(len(stock.stockbrokers[0].investors), 1)
self.assertEqual(stock.stockbrokers[0].stock, stock)
self.assertIsInstance(stock.stockbrokers[0], Stockbroker)
self.assertIsNotNone(stock.stockbrokers[0].investors[0])
self.assertIsInstance(stock.stockbrokers[0].investors[0],
DummyInvestor)
self.assertEqual(stock.stockbrokers[0].investors[0].cash, 1000)
class InvestorReport(Report):
__stream = None
def __init__(self, filename):
self.__stream = Stream()
self.__stream.begin(filename)
def order_placed(self, order):
self.__stream.add_event(EventInvestorReportOrderPlaced(self.__now(), order))
def order_realized(self, order):
self.__stream.add_event(EventInvestorReportOrderRealized(self.__now(), order))
def cash_transferred(self, cash):
self.__stream.add_event(EventInvestorReportCashTransferred(self.__now(), cash))
def __now(self):
return Clock.now()
def simulate(self):
for event in Stream.next_event(self.stream_file):
Clock.set_now(event.timestamp)
self.stats['events'] += 1
if isinstance(event, (EventStockOpen, EventStockClose)):
for sb in self.stockbrokers:
sb.process(event)
elif isinstance(event, (EventStreamNew, )):
order = event.order
order.owner = None
self.new_order(order, None)
for sb in self.stockbrokers:
sb.process(EventStockOrderNew(event.timestamp, order))
self.match_orders()
def __init__(self, filename):
self.__stream = Stream()
self.__stream.begin(filename)
class Processor(object):
def build_stream(self, dirname_in, filename_out):
self.stream = Stream()
self.stream.begin(filename_out)
self.__process_companies(dirname_in)
self.stream.end()
def __process_companies(self, dirname):
companies = []
for company in os.walk(dirname).next()[1]:
companies.append(CompanyProcessor(dirname, company))
dates_set = set()
for company in companies:
dates_set.update(company.get_dates())
dates_ordered = sorted(
dates_set,
key=lambda date: datetime.datetime.strptime(date, "%Y-%m-%d"))
for date in dates_ordered:
self.__process_date(date, companies)
def __process_date(self, date, companies):
rows = []
correct_generators = []
correct_day = False
generators = [company.get_row(date) for company in companies]
for generator in generators:
try:
row, company_id = generator.next()
row = (company_id, row, generator)
rows.append(row)
correct_generators.append(generator)
except StopIteration as e:
pass
if correct_generators:
# correct day (have transactions)
correct_day = True
if correct_day:
self.stream.add_event(
EventStockOpen(
datetime.datetime.combine(
datetime.datetime.strptime(date, "%Y-%m-%d"),
datetime.time(9, 0))))
# main loop, multiplexing rows
while correct_generators:
row_data = min(rows,
key=lambda row: datetime.datetime.strptime(
row[1][0], "%H:%M:%S"))
rows.remove(row_data)
company_id, row, generator = row_data
self.__process_row(row, date, company_id)
try:
row, company_id = generator.next()
row = (company_id, row, generator)
rows.append(row)
except StopIteration as e:
correct_generators.remove(generator)
if correct_day:
self.stream.add_event(
EventStockClose(
datetime.datetime.combine(
datetime.datetime.strptime(date, "%Y-%m-%d"),
datetime.time(18, 0))))
def __process_row(self, row, date, company_id):
amount = int(row[3])
limit_price = decimal.Decimal(row[1].replace(',', '.'))
timestamp = datetime.datetime.strptime("%s %s" % (date, row[0]),
"%Y-%m-%d %H:%M:%S")
expiration_date = timestamp + datetime.timedelta(days=1)
self.stream.add_event(
EventStreamNew(
timestamp,
OrderBuy(company_id, amount, limit_price, expiration_date)))
self.stream.add_event(
EventStreamNew(
timestamp,
OrderSell(company_id, amount, limit_price, expiration_date)))