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 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 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 new_app_context(self):
name = "test"
create_at_start = True
delete_at_stop = False
app_config = ApplicationConfig("app", None, Clock.Simulation, PersistenceConfig(
ref_ds_id=DataStore.InMemoryDB, ref_persist_mode=PersistenceMode.RealTime,
trade_ds_id=DataStore.InMemoryDB, trade_persist_mode=PersistenceMode.RealTime,
ts_ds_id=DataStore.InMemoryDB, ts_persist_mode=PersistenceMode.RealTime,
seq_ds_id=DataStore.InMemoryDB, seq_persist_mode=PersistenceMode.RealTime),
InMemoryStoreConfig(file="%s_db.p" % name,
create_at_start=create_at_start,
delete_at_stop=delete_at_stop))
app_context = ApplicationContext(app_config=app_config)
app_context.start()
return app_context
def __init__(self, id=None,
ref_data_mgr_type=RefDataManager.InMemory,
clock_type=Clock.Simulation,
persistence_config=None,
provider_configs=None):
super(ApplicationConfig, self).__init__(id)
self.ref_data_mgr_type = ref_data_mgr_type
self.clock_type = clock_type
self.persistence_config = persistence_config if persistence_config else PersistenceConfig()
self.provider_configs = {}
if provider_configs:
if not isinstance(provider_configs, (list, tuple)):
self.provider_configs[provider_configs.__class__] = provider_configs
else:
for provider_config in provider_configs:
self.provider_configs[provider_config.__class__] = provider_config
def setUp(self):
persistence_config = PersistenceConfig(
None, DataStore.InMemoryDB, PersistenceMode.Batch,
DataStore.InMemoryDB, PersistenceMode.Batch, DataStore.InMemoryDB,
PersistenceMode.Batch, DataStore.InMemoryDB, PersistenceMode.Batch)
name = "test"
create_at_start = True
delete_at_stop = False
app_config = ApplicationConfig(
None, None, Clock.RealTime, persistence_config,
InMemoryStoreConfig(file="%s_db.p" % name,
create_at_start=create_at_start,
delete_at_stop=delete_at_stop))
self.context = ApplicationContext(app_config=app_config)
self.db = InMemoryDataStore()
self.db.start(self.context)
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)
def main():
broker_config = IBConfig(client_id=2)
live_trading_config = LiveTradingConfig(
id=None,
stg_id="down2%",
stg_cls='algotrader.strategy.down_2pct_strategy.Down2PctStrategy',
portfolio_id='test',
instrument_ids=[4],
subscription_types=[
BarSubscriptionType(bar_type=BarType.Time, bar_size=BarSize.M1)
],
feed_id=Broker.IB,
broker_id=Broker.IB,
ref_data_mgr_type=RefDataManager.DB,
clock_type=Clock.RealTime,
persistence_config=PersistenceConfig(),
configs=[broker_config])
app_context = ApplicationContext(app_config=live_trading_config)
ATSRunner().start(app_context)
limit_price=limit_price * 1.2)
broker.on_ord_replace_req(order)
time.sleep(5)
print "### testing order cancel"
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)
from algotrader.trading.clock import Clock
from algotrader.trading.context import ApplicationContext
from algotrader.trading.order import Order
from algotrader.trading.ref_data import Instrument, Exchange, Currency
from algotrader.trading.subscription import BarSubscriptionType
from algotrader.trading.subscription import HistDataSubscriptionKey, QuoteSubscriptionType, TradeSubscriptionType, \
MarketDepthSubscriptionType
from algotrader.utils.date import date_to_unixtimemillis
from poc.ser_deser import MapSerializer
print
Cluster.port
persistence_config = PersistenceConfig(None, DataStore.Mongo,
PersistenceMode.Batch, DataStore.Mongo,
PersistenceMode.Batch, DataStore.Mongo,
PersistenceMode.Batch, DataStore.Mongo,
PersistenceMode.Batch)
# 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,
from algotrader.utils.clock import Clock
from algotrader.provider.broker import Broker
from algotrader.config.feed import CSVFeedConfig
from algotrader.config.feed import PandasMemoryDataFeedConfig
from algotrader.strategy.alpha_formula import AlphaFormula3
from algotrader.strategy.vix_future import VIXFuture
from algotrader.provider.persistence import PersistenceMode
from algotrader.provider.persistence.data_store import DataStore
from algotrader.app.backtest_runner import BacktestRunner
from algotrader.config.builder import *
from algotrader.utils import logger
persistence_config = PersistenceConfig(None,
DataStore.Mongo, PersistenceMode.RealTime,
DataStore.Mongo, PersistenceMode.RealTime,
DataStore.Mongo, PersistenceMode.RealTime,
DataStore.Mongo, PersistenceMode.RealTime)
def test_vix():
logger.setLevel(logging.DEBUG)
symbols = ["VXF2015", "VXG2015", "VXH2015", "VXJ2015"]
vix_data = {}
with pd.HDFStore('/Users/jchan/workspace/data/temp/VX.h5') as store:
for s in store.keys():
sym = re.sub('/', '', s)
df = store[s]
df = df.reset_index()
df['DateTime'] = df['Trade Date']
def test(self):
backtest_config0 = 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=[4],
subscription_types=[
BarSubscriptionType(bar_type=BarType.Time, bar_size=BarSize.D1)
],
from_date=date(1993, 1, 1),
to_date=date(2017, 1, 1),
broker_id=Broker.Simulator,
feed_id=Feed.CSV,
stg_configs={'qty': 1000},
ref_data_mgr_type=RefDataManager.InMemory,
persistence_config=PersistenceConfig(),
provider_configs=CSVFeedConfig(path='data/tradedata'))
app_context0 = ApplicationContext(app_config=backtest_config0)
runner = BacktestRunner(isplot=False)
runner.start(app_context0)
total_begin_result = runner.initial_result
total_end_result = runner.portfolio.get_result()
backtest_config1 = BacktestingConfig(
id="down2%-test-config_1",
stg_id="down2%_1",
stg_cls='algotrader.strategy.down_2pct_strategy.Down2PctStrategy',
portfolio_id='test_1',
portfolio_initial_cash=100000,
instrument_ids=[4],
subscription_types=[
BarSubscriptionType(bar_type=BarType.Time, bar_size=BarSize.D1)
],
from_date=date(1993, 1, 1),
to_date=date(2008, 1, 1),
broker_id=Broker.Simulator,
feed_id=Feed.CSV,
stg_configs={'qty': 1000},
ref_data_mgr_type=RefDataManager.InMemory,
persistence_config=PersistenceConfig(
seq_ds_id=DataStore.InMemoryDB,
seq_persist_mode=PersistenceMode.Batch,
ts_ds_id=DataStore.InMemoryDB,
ts_persist_mode=PersistenceMode.Batch,
trade_ds_id=DataStore.InMemoryDB,
trade_persist_mode=PersistenceMode.Batch),
provider_configs=CSVFeedConfig(path='data/tradedata'))
app_context1 = ApplicationContext(app_config=backtest_config1)
runner1 = BacktestRunner(isplot=False)
runner1.start(app_context1)
part1_begin_result = runner1.initial_result
part1_end_result = runner1.portfolio.get_result()
backtest_config2 = BacktestingConfig(
id="down2%-test-config_1",
stg_id="down2%_1",
stg_cls='algotrader.strategy.down_2pct_strategy.Down2PctStrategy',
portfolio_id='test_1',
portfolio_initial_cash=100000,
instrument_ids=[4],
subscription_types=[
BarSubscriptionType(bar_type=BarType.Time, bar_size=BarSize.D1)
],
from_date=date(2008, 1, 1),
to_date=date(2017, 1, 1),
broker_id=Broker.Simulator,
feed_id=Feed.CSV,
stg_configs={'qty': 1000},
ref_data_mgr_type=RefDataManager.InMemory,
persistence_config=PersistenceConfig(
seq_ds_id=DataStore.InMemoryDB,
seq_persist_mode=PersistenceMode.Batch,
ts_ds_id=DataStore.InMemoryDB,
ts_persist_mode=PersistenceMode.Batch,
trade_ds_id=DataStore.InMemoryDB,
trade_persist_mode=PersistenceMode.Batch),
provider_configs=CSVFeedConfig(path='data/tradedata'))
app_context2 = ApplicationContext(app_config=backtest_config2)
app_context2.start()
db = app_context2.get_seq_data_store()
runner2 = BacktestRunner(isplot=False)
runner2.start(app_context2)
part2_begin_result = runner2.initial_result
part2_end_result = runner2.portfolio.get_result()
self.assertEqual(total_begin_result, part1_begin_result)
self.assertEqual(part1_end_result, part2_begin_result)
self.assertEqual(total_end_result, part2_end_result)
print "total begin = %s" % total_begin_result
print "total end = %s" % total_end_result
print "part1 begin = %s" % part1_begin_result
print "part1 end = %s" % part1_end_result
print "part2 begin = %s" % part2_begin_result
print "part2 end = %s" % part2_end_result
db.remove_database()