def main():
backtest_config = BacktestingConfig(
id="down2%-test-config",
stg_id="down2%",
stg_cls='algotrader.strategy.down_2pct_strategy.Down2PctStrategy',
portfolio_id='test',
portfolio_initial_cash=100000,
instrument_ids=[1],
subscription_types=[
BarSubscriptionType(bar_type=BarType.Time, bar_size=BarSize.D1)
],
from_date=date(2010, 1, 1),
to_date=date.today(),
broker_id=Broker.Simulator,
feed_id=Feed.CSV,
stg_configs={'qty': 1000},
ref_data_mgr_type=RefDataManager.DB,
persistence_config=backtest_mongo_persistance_config(),
provider_configs=[
MongoDBConfig(),
CSVFeedConfig(path='../../data/tradedata')
])
app_context = ApplicationContext(app_config=backtest_config)
BacktestRunner(True).start(app_context)
def get_default_app_context():
config = MongoDBConfig()
persistence_config = PersistenceConfig(
None, DataStore.Mongo, PersistenceMode.Batch, DataStore.Mongo,
PersistenceMode.Batch, DataStore.Mongo, PersistenceMode.Batch,
DataStore.Mongo, PersistenceMode.Batch)
app_config = ApplicationConfig(None, None, None, persistence_config,
config)
return ApplicationContext(app_config=app_config)
def app_context():
persistence_config = PersistenceConfig(None,
DataStore.Mongo, PersistenceMode.RealTime,
DataStore.Mongo, PersistenceMode.RealTime,
DataStore.Mongo, PersistenceMode.RealTime,
DataStore.Mongo, PersistenceMode.RealTime)
app_config = ApplicationConfig(id=None, ref_data_mgr_type=RefDataManager.DB, clock_type=Clock.RealTime,
persistence_config=persistence_config,
provider_configs=[MongoDBConfig(), IBConfig(client_id=2, use_gevent=True)])
app_context = ApplicationContext(app_config=app_config)
return app_context
def get_default_app_context():
config = MongoDBConfig()
persistence_config = PersistenceConfig(
None, DataStore.Mongo, PersistenceMode.RealTime, DataStore.Mongo,
PersistenceMode.RealTime, DataStore.Mongo, PersistenceMode.RealTime,
DataStore.Mongo, PersistenceMode.RealTime)
app_config = ApplicationConfig("InstrumentImport", RefDataManager.DB,
Clock.Simulation, persistence_config,
config)
return ApplicationContext(app_config=app_config)
def test_bar():
config = MongoDBConfig()
store = MongoDBDataStore(config)
store.start()
for x in range(0, 10):
data = sorted([random.randint(0, 100) for i in range(0, 4)])
bar = Bar(inst_id=3,
open=data[1],
high=data[3],
low=data[0],
close=data[2],
vol=random.randint(100, 1000))
store.save(bar)
print bar
time.sleep(1)
def main():
persistence_config = PersistenceConfig(
None, DataStore.Mongo, PersistenceMode.RealTime, DataStore.Mongo,
PersistenceMode.RealTime, DataStore.Mongo, PersistenceMode.RealTime,
DataStore.Mongo, PersistenceMode.RealTime)
app_config = RealtimeMarketDataImporterConfig(
None,
feed_id=Broker.IB,
instrument_ids=[3],
subscription_types=[
BarSubscriptionType(bar_type=BarType.Time, bar_size=BarSize.D1)
],
ref_data_mgr_type=RefDataManager.InMemory,
clock_type=Clock.RealTime,
persistence_config=persistence_config,
provider_configs=[MongoDBConfig(),
IBConfig(client_id=2)])
app_context = ApplicationContext(app_config=app_config)
MktDataImporter().start(app_context)
broker.on_ord_cancel_req(order)
time.sleep(5)
if __name__ == "__main__":
logger.setLevel(logging.DEBUG)
persistence_config = PersistenceConfig(
None, DataStore.InMemoryDB, PersistenceMode.RealTime,
DataStore.InMemoryDB, PersistenceMode.RealTime, DataStore.InMemoryDB,
PersistenceMode.RealTime, DataStore.InMemoryDB,
PersistenceMode.RealTime)
app_config = RealtimeMarketDataImporterConfig(
None, RefDataManager.InMemory, Clock.RealTime, Broker.IB, [3],
[BarSubscriptionType(bar_type=BarType.Time, bar_size=BarSize.D1)],
persistence_config, MongoDBConfig(),
IBConfig(client_id=2, use_gevent=True))
app_context = ApplicationContext(app_config=app_config)
app_context.start()
broker = app_context.provider_mgr.get(Broker.IB)
broker.start(app_context)
# test_sub_hist_bar(broker)
test_sub_realtime_bar(broker)
time.sleep(1000)
# test_sub_realtime_trade(broker)
# test_sub_realtime_quote(broker)
# name = "test_%s" % int(time.time() * 1000)
name = "test"
create_at_start = True
cass_delete_at_stop = False
mongo_delete_at_stop = True
im_memory_delete_at_stop = True
app_config = ApplicationConfig(
None,
None,
Clock.RealTime,
persistence_config,
provider_configs=[
MongoDBConfig(dbname=name,
create_at_start=create_at_start,
delete_at_stop=mongo_delete_at_stop),
CassandraConfig(contact_points=['127.0.0.1'],
keyspace=name,
create_at_start=create_at_start,
delete_at_stop=cass_delete_at_stop),
InMemoryStoreConfig(file="%s_db.p" % name,
create_at_start=create_at_start,
delete_at_stop=im_memory_delete_at_stop)
])
context = ApplicationContext(app_config=app_config)
clock = context.clock
mongo = context.provider_mgr.get(DataStore.Mongo)
cassandra = context.provider_mgr.get(DataStore.Cassandra)
inmemory = context.provider_mgr.get(DataStore.InMemory)
broker.on_ord_cancel_req(order)
time.sleep(5)
if __name__ == "__main__":
logger.setLevel(logging.DEBUG)
persistence_config = PersistenceConfig(None,
DataStore.InMemory, PersistenceMode.RealTime,
DataStore.InMemory, PersistenceMode.RealTime,
DataStore.InMemory, PersistenceMode.RealTime,
DataStore.InMemory, PersistenceMode.RealTime)
app_config = RealtimeMarketDataImporterConfig(None, RefDataManager.InMemory, Clock.RealTime,
Broker.IB, [3],
[BarSubscriptionType(bar_type=BarType.Time, bar_size=BarSize.D1)],
persistence_config,
MongoDBConfig(), IBConfig(client_id=2, use_gevent=True))
app_context = ApplicationContext(app_config=app_config)
app_context.start()
broker = app_context.provider_mgr.get(Broker.IB)
broker.start(app_context)
# test_sub_hist_bar(broker)
test_sub_realtime_bar(broker)
time.sleep(1000)
# test_sub_realtime_trade(broker)
# test_sub_realtime_quote(broker)