def setUp(self):
self.app_context = ApplicationContext()
# self.app_context.inst_data_mgr.clear()
self.exec_handler = SimulatorTest.ExecHandler()
self.app_context.order_mgr = self.exec_handler
self.simulator = Simulator()
self.simulator.start(app_context=self.app_context)
def setUp(self):
self.app_context = ApplicationContext()
#self.app_context.inst_data_mgr.clear()
self.exec_handler = SimulatorTest.ExecHandler()
self.app_context.order_mgr = self.exec_handler
self.simulator = Simulator()
self.simulator.start(app_context=self.app_context)
def __init__(self):
super(ProviderManager, self).__init__()
self.add(Simulator())
self.add(IBBroker())
self.add(MongoDBDataStore())
self.add(InMemoryDataStore())
self.add(CSVDataFeed())
self.add(PandasWebDataFeed())
self.add(PandasMemoryDataFeed())
def __init__(self):
super(ProviderManager, self).__init__()
self.add(Simulator())
self.add(IBBroker())
self.add(CassandraDataStore())
self.add(InfluxDataStore())
self.add(KDBDataStore())
self.add(MongoDBDataStore())
self.add(InMemoryDataStore())
self.add(CSVDataFeed())
self.add(PandasMemoryDataFeed())
self.add(GoogleDataFeed())
self.add(YahooDataFeed())
class SimulatorTest(TestCase):
class ExecHandler(ExecutionEventHandler):
def __init__(self):
self.ord_upds = list()
self.exec_reports = list()
def on_ord_upd(self, ord_upd):
self.ord_upds.append(ord_upd)
def on_exec_report(self, exec_report):
self.exec_reports.append(exec_report)
def reset(self):
self.ord_upds = list()
self.exec_reports = list()
def id(self):
return "ExecHandler"
def setUp(self):
self.app_context = ApplicationContext()
# self.app_context.inst_data_mgr.clear()
self.exec_handler = SimulatorTest.ExecHandler()
self.app_context.order_mgr = self.exec_handler
self.simulator = Simulator()
self.simulator.start(app_context=self.app_context)
def test_on_limit_order_fill_with_new_data(self):
orders = self.simulator._get_orders()
self.assertEqual(0, len(orders))
nos = ModelFactory.build_new_order_request(timestamp=0,
cl_id='TestClient',
cl_ord_id="TestClientOrder",
portf_id="TestPortf",
broker_id="TestBroker",
inst_id="HSI@SEHK",
action=Buy,
type=Limit,
qty=1000,
limit_price=18.5)
self.simulator.on_new_ord_req(nos)
cl_ord_id = ModelFactory.build_cl_ord_id(nos.cl_id, nos.cl_ord_id)
orders = self.simulator._get_orders()
self.assertEqual(1, len(orders))
self.assertEqual(1, len(orders[nos.inst_id]))
self.assertIsNotNone(orders[nos.inst_id][cl_ord_id])
self.assertEqual(1, len(self.exec_handler.exec_reports))
exec_report = self.exec_handler.exec_reports[0]
self.assert_exec_report(exec_report, nos.cl_id, nos.cl_ord_id, 0, 0,
Submitted)
bar1 = ModelFactory.build_bar(timestamp=0,
inst_id="HSI@SEHK",
open=20,
high=21,
low=19,
close=20.5,
vol=1000)
bar2 = ModelFactory.build_bar(timestamp=1,
inst_id="HSI@SEHK",
open=16,
high=18,
low=15,
close=17,
vol=1000)
self.exec_handler.reset()
self.simulator.on_bar(bar1)
self.assertEqual(0, len(self.exec_handler.exec_reports))
self.exec_handler.reset()
self.simulator.on_bar(bar2)
self.assertEqual(1, len(self.exec_handler.exec_reports))
exec_report = self.exec_handler.exec_reports[0]
self.assert_exec_report(exec_report, nos.cl_id, nos.cl_ord_id, 1000,
18.5, Filled)
def test_on_limit_order_immediate_fill(self):
# bar1 = Bar(inst_id=1, open=20, high=21, low=19, close=20.5, vol=1000)
bar2 = ModelFactory.build_bar(timestamp=1,
inst_id="HSI@SEHK",
open=16,
high=18,
low=15,
close=17,
vol=1000)
self.app_context.inst_data_mgr.on_bar(bar2)
orders = self.simulator._get_orders()
self.assertEqual(0, len(orders))
nos = ModelFactory.build_new_order_request(timestamp=0,
cl_id='TestClient',
cl_ord_id="TestClientOrder",
portf_id="TestPortf",
broker_id="TestBroker",
inst_id="HSI@SEHK",
action=Buy,
type=Limit,
qty=1000,
limit_price=18.5)
self.simulator.on_new_ord_req(nos)
cl_ord_id = ModelFactory.build_cl_ord_id(nos.cl_id, nos.cl_ord_id)
orders = self.simulator._get_orders()
self.assertEqual(1, len(orders))
self.assertEqual(0, len(orders[nos.inst_id]))
self.assertEqual(2, len(self.exec_handler.exec_reports))
exec_report = self.exec_handler.exec_reports[0]
self.assert_exec_report(exec_report, nos.cl_id, nos.cl_ord_id, 0, 0,
Submitted)
exec_report = self.exec_handler.exec_reports[1]
self.assert_exec_report(exec_report, nos.cl_id, nos.cl_ord_id, 1000,
18.5, Filled)
def assert_exec_report(self, exec_report, cl_id, cl_ord_id, last_qty,
last_price, status):
self.assertEqual(cl_id, exec_report.cl_id)
self.assertEqual(cl_ord_id, exec_report.cl_ord_id)
self.assertEqual(last_qty, exec_report.last_qty)
self.assertEqual(last_price, exec_report.last_price)
self.assertEqual(status, exec_report.status)
def oldmain():
symbols = ['SPY', 'VXX', 'XLV', 'XIV']
inst_df = build_inst_dataframe_from_list(symbols)
ccy_df = pd.DataFrame({
"ccy_id": ["USD", "HKD"],
"name": ["US Dollar", "HK Dollar"]
})
exchange_df = pd.DataFrame({
"exch_id": ["NYSE"],
"name": ["New York Stock Exchange"]
})
# mgr = MockRefDataManager(inst_df=inst_df, ccy_df=ccy_df, exch_df=exchange_df)
#
# portfolio = Portfolio(portf_id='test', cash=100000)
start_date = datetime(2000, 1, 1)
num_days = 3000
dates = [start_date + timedelta(days=i) for i in range(num_days)]
sigma = 0.3
x0 = 100
dt = 1. / 252
dW = np.random.normal(0, math.sqrt(dt), num_days)
asset = []
asset.append(x0)
for i in xrange(1, num_days):
xprev = asset[-1]
x = xprev + xprev * 0.02 * dt + sigma * xprev * dW[i]
asset.append(x)
df = pd.DataFrame({
"dates": dates,
"Open": asset,
"High": asset,
"Low": asset,
"Close": asset,
"Adj Close": asset,
"Volume": 10000 * np.ones(num_days)
})
df = df.set_index(keys="dates")
dict_df = {'SPY': df, 'VXX': df, 'XLV': df, 'XIV': df}
# feed = PandasMemoryDataFeed(dict_df, ref_data_mgr=mgr)
# feed = PandasMemoryDataFeed()
broker = Simulator()
instruments = [3348]
backtest_config = BacktestingConfig(
id="sma",
stg_id='test',
# stg_cls='algotrader.strategy.sma_strategy.SMAStrategy',
stg_cls='algotrader.strategy.down_2pct_strategy.Down2PctStrategy',
portfolio_id='test1',
portfolio_initial_cash=100000,
instrument_ids=instruments,
subscription_types=[
BarSubscriptionType(bar_type=BarType.Time, bar_size=BarSize.D1)
],
from_date=dates[0],
to_date=dates[-1],
broker_id=Broker.Simulator,
feed_id=Feed.PandasMemory,
stg_configs={'qty': 1000},
ref_data_mgr_type=RefDataManager.DB,
persistence_config=backtest_mongo_persistance_config(),
provider_configs=PandasMemoryDataFeedConfig(dict_df=dict_df))
app_context = ApplicationContext(app_config=backtest_config)
BacktestRunner(True).start(app_context)
def main():
symbols = ['SPY', 'VXX', 'XLV', 'XIV']
inst_df = build_inst_dataframe_from_list(symbols)
ccy_df = pd.DataFrame({
"ccy_id": ["USD", "HKD"],
"name": ["US Dollar", "HK Dollar"]
})
exchange_df = pd.DataFrame({
"exch_id": ["NYSE"],
"name": ["New York Stock Exchange"]
})
mgr = MockRefDataManager(inst_df=inst_df,
ccy_df=ccy_df,
exch_df=exchange_df)
portfolio = Portfolio(portf_id='test', cash=100000)
start_date = datetime(2000, 1, 1)
num_days = 3000
dates = [start_date + timedelta(days=i) for i in range(num_days)]
sigma = 0.3
x0 = 100
dt = 1. / 252
dW = np.random.normal(0, math.sqrt(dt), num_days)
asset = []
asset.append(x0)
for i in xrange(1, num_days):
xprev = asset[-1]
x = xprev + xprev * 0.02 * dt + sigma * xprev * dW[i]
asset.append(x)
df = pd.DataFrame({
"dates": dates,
"Open": asset,
"High": asset,
"Low": asset,
"Close": asset,
"Volume": 10000 * np.ones(num_days)
})
df = df.set_index(keys="dates")
dict_df = {'SPY': df, 'VXX': df, 'XLV': df, 'XIV': df}
feed = PandasMemoryDataFeed(dict_df, ref_data_mgr=mgr)
broker = Simulator()
instrument = 0
config = BacktestingConfig(stg_id="sma",
portfolio_id='test',
instrument_ids=[instrument],
subscription_types=[
BarSubscriptionType(bar_type=BarType.Time,
bar_size=BarSize.D1)
],
from_date=dates[0],
to_date=dates[-1],
broker_id=Simulator.ID,
feed_id=PandasMemoryDataFeed.ID)
close = inst_data_mgr.get_series("Bar.%s.Time.86400" % instrument)
mgr.get_insts([instrument])
mgr.get_inst(instrument)
# strategy = Down2PctStrategy("down2%", portfolio,
# instrument=0, qty=1000, trading_config=config, ref_data_mgr=mgr)
strategy = SMAStrategy("sma", stg_configs={'qty': 1})
runner = BacktestRunner(strategy)
runner.start()
print portfolio.get_result()
# pyfolio
rets = strategy.get_portfolio().get_return()
# import pyfolio as pf
# pf.create_returns_tear_sheet(rets)
# pf.create_full_tear_sheet(rets)
# build in plot
plotter = StrategyPlotter(strategy)
plotter.plot(instrument=0)
# import matplotlib.pyplot as plt
# plt.show()
import talib
sma10 = talib.SMA(df.Close.values, 10)
sma25 = talib.SMA(df.Close.values, 25)
# signal = pd.Series(1*(sma10 > sma25),index=df.index.tz_localize("UTC"))
signal = pd.Series(1 * (sma10 > sma25), index=df.index)
target_rets = df["Close"].pct_change() * signal.shift(1)
target_rets.index = target_rets.index.tz_localize("UTC")
print target_rets.values[1:] - rets.values
def main():
symbols = ['XXX', 'YYY']
inst_df = build_inst_dataframe_from_list(symbols)
ccy_df = pd.DataFrame({
"ccy_id": ["USD", "HKD"],
"name": ["US Dollar", "HK Dollar"]
})
exchange_df = pd.DataFrame({
"exch_id": ["NYSE"],
"name": ["New York Stock Exchange"]
})
mgr = MockRefDataManager(inst_df=inst_df,
ccy_df=ccy_df,
exch_df=exchange_df)
portfolio = Portfolio(cash=100000)
start_date = datetime(2000, 1, 1)
num_days = 300
dates = [start_date + timedelta(days=i) for i in range(num_days)]
drift = lambda x, t: 0.02 * x
diffusion = lambda x, t: 0.3 * x
ou_k = 2.0
ou_theta = 0.25
ou_eta = 0.08
ou_drift = lambda x, t: ou_k * (ou_theta - x)
ou_diffusion = lambda x, t: ou_eta * x
sim_asset_paths = euler(drift, diffusion, 100.0, 1.0, num_days, 10)
sim_spread_paths = euler(ou_drift, ou_diffusion, 0.1, 1.0, num_days, 10)
asset_x = sim_asset_paths[1, :]
spread = sim_spread_paths[1, :]
asset_y = np.exp(np.log(asset_x) + spread)
asset_x_df = pd.DataFrame({
"dates": dates,
"Open": asset_x,
"High": asset_x,
"Low": asset_x,
"Close": asset_x,
"Volume": 10000 * np.ones(num_days)
})
asset_y_df = pd.DataFrame({
"dates": dates,
"Open": asset_y,
"High": asset_y,
"Low": asset_y,
"Close": asset_y,
"Volume": 10000 * np.ones(num_days)
})
asset_x_df = asset_x_df.set_index(keys="dates")
asset_y_df = asset_y_df.set_index(keys="dates")
dict_df = {'XXX': asset_x_df, 'YYY': asset_y_df}
feed = PandasMemoryDataFeed(dict_df, ref_data_mgr=mgr)
broker = Simulator()
config = BacktestingConfig(stg_id="pairou",
portfolio_id='test',
instrument_ids=[0, 1],
subscription_types=[
BarSubscriptionType(bar_type=BarType.Time,
bar_size=BarSize.D1)
],
from_date=dates[0],
to_date=dates[-1],
broker_id=Simulator.ID,
feed_id=PandasMemoryDataFeed.ID)
ou_params = {"k": ou_k, "theta": ou_theta, "eta": ou_eta}
strategy = PairTradingWithOUSpread("pairou",
ou_params=ou_params,
gamma=1.0,
trading_config=config,
ref_data_mgr=mgr)
runner = BacktestRunner(strategy)
runner.start()
print portfolio.get_result()
# pyfolio
rets = strategy.get_portfolio().get_return()
# import pyfolio as pf
# pf.create_returns_tear_sheet(rets)
# pf.create_full_tear_sheet(rets)
# build in plot
plotter = StrategyPlotter(strategy)
plotter.plot(instrument=0)
class SimulatorTest(TestCase):
class ExecHandler(ExecutionEventHandler):
def __init__(self):
self.ord_upds = list()
self.exec_reports = list()
def on_ord_upd(self, ord_upd):
self.ord_upds.append(ord_upd)
def on_exec_report(self, exec_report):
self.exec_reports.append(exec_report)
def reset(self):
self.ord_upds = list()
self.exec_reports = list()
def id(self):
return "ExecHandler"
def setUp(self):
self.app_context = ApplicationContext()
#self.app_context.inst_data_mgr.clear()
self.exec_handler = SimulatorTest.ExecHandler()
self.app_context.order_mgr = self.exec_handler
self.simulator = Simulator()
self.simulator.start(app_context=self.app_context)
def test_on_limit_order_fill_with_new_data(self):
orders = self.simulator._get_orders()
self.assertEqual(0, len(orders))
order1 = NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5)
self.simulator.on_new_ord_req(order1)
orders = self.simulator._get_orders()
self.assertEqual(1, len(orders))
self.assertEqual(1, len(orders[order1.inst_id]))
self.assertEqual(1, len(orders[order1.inst_id][order1.cl_id]))
self.assertIsNotNone(
orders[order1.inst_id][order1.cl_id][order1.cl_ord_id])
self.assertEqual(1, len(self.exec_handler.exec_reports))
exec_report = self.exec_handler.exec_reports[0]
self.assert_exec_report(exec_report, order1.cl_id, order1.cl_ord_id, 0,
0, OrdStatus.SUBMITTED)
bar1 = Bar(inst_id=1, open=20, high=21, low=19, close=20.5, vol=1000)
bar2 = Bar(inst_id=1, open=16, high=18, low=15, close=17, vol=1000)
self.exec_handler.reset()
self.simulator.on_bar(bar1)
self.assertEqual(0, len(self.exec_handler.exec_reports))
self.exec_handler.reset()
self.simulator.on_bar(bar2)
self.assertEqual(1, len(self.exec_handler.exec_reports))
exec_report = self.exec_handler.exec_reports[0]
self.assert_exec_report(exec_report, order1.cl_id, order1.cl_ord_id,
1000, 18.5, OrdStatus.FILLED)
def test_on_limit_order_immediate_fill(self):
bar1 = Bar(inst_id=1, open=20, high=21, low=19, close=20.5, vol=1000)
bar2 = Bar(inst_id=1, open=16, high=18, low=15, close=17, vol=1000)
self.app_context.inst_data_mgr.on_bar(bar2)
orders = self.simulator._get_orders()
self.assertEqual(0, len(orders))
order1 = NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5)
self.simulator.on_new_ord_req(order1)
orders = self.simulator._get_orders()
self.assertEqual(1, len(orders))
self.assertEqual(1, len(orders[order1.inst_id]))
self.assertEqual(0, len(orders[order1.inst_id][order1.cl_id]))
self.assertEqual(2, len(self.exec_handler.exec_reports))
exec_report = self.exec_handler.exec_reports[0]
self.assert_exec_report(exec_report, order1.cl_id, order1.cl_ord_id, 0,
0, OrdStatus.SUBMITTED)
exec_report = self.exec_handler.exec_reports[1]
self.assert_exec_report(exec_report, order1.cl_id, order1.cl_ord_id,
1000, 18.5, OrdStatus.FILLED)
def assert_exec_report(self, exec_report, cl_id, cl_ord_id, last_qty,
last_price, status):
self.assertEqual(cl_id, exec_report.cl_id)
self.assertEqual(cl_ord_id, exec_report.cl_ord_id)
self.assertEqual(last_qty, exec_report.last_qty)
self.assertEqual(last_price, exec_report.last_price)
self.assertEqual(status, exec_report.status)
class SimulatorTest(TestCase):
class ExecHandler(ExecutionEventHandler):
def __init__(self):
self.ord_upds = list()
self.exec_reports = list()
def on_ord_upd(self, ord_upd):
self.ord_upds.append(ord_upd)
def on_exec_report(self, exec_report):
self.exec_reports.append(exec_report)
def reset(self):
self.ord_upds = list()
self.exec_reports = list()
def id(self):
return "ExecHandler"
def setUp(self):
self.app_context = ApplicationContext()
#self.app_context.inst_data_mgr.clear()
self.exec_handler = SimulatorTest.ExecHandler()
self.app_context.order_mgr = self.exec_handler
self.simulator = Simulator()
self.simulator.start(app_context=self.app_context)
def test_on_limit_order_fill_with_new_data(self):
orders = self.simulator._get_orders()
self.assertEqual(0, len(orders))
order1 = NewOrderRequest(cl_id='test', cl_ord_id=1, inst_id=1, action=OrdAction.BUY, type=OrdType.LIMIT,
qty=1000, limit_price=18.5)
self.simulator.on_new_ord_req(order1)
orders = self.simulator._get_orders()
self.assertEqual(1, len(orders))
self.assertEqual(1, len(orders[order1.inst_id]))
self.assertEqual(1, len(orders[order1.inst_id][order1.cl_id]))
self.assertIsNotNone(orders[order1.inst_id][order1.cl_id][order1.cl_ord_id])
self.assertEqual(1, len(self.exec_handler.exec_reports))
exec_report = self.exec_handler.exec_reports[0]
self.assert_exec_report(exec_report, order1.cl_id, order1.cl_ord_id, 0, 0, OrdStatus.SUBMITTED)
bar1 = Bar(inst_id=1, open=20, high=21, low=19, close=20.5, vol=1000)
bar2 = Bar(inst_id=1, open=16, high=18, low=15, close=17, vol=1000)
self.exec_handler.reset()
self.simulator.on_bar(bar1)
self.assertEqual(0, len(self.exec_handler.exec_reports))
self.exec_handler.reset()
self.simulator.on_bar(bar2)
self.assertEqual(1, len(self.exec_handler.exec_reports))
exec_report = self.exec_handler.exec_reports[0]
self.assert_exec_report(exec_report, order1.cl_id, order1.cl_ord_id, 1000, 18.5, OrdStatus.FILLED)
def test_on_limit_order_immediate_fill(self):
bar1 = Bar(inst_id=1, open=20, high=21, low=19, close=20.5, vol=1000)
bar2 = Bar(inst_id=1, open=16, high=18, low=15, close=17, vol=1000)
self.app_context.inst_data_mgr.on_bar(bar2)
orders = self.simulator._get_orders()
self.assertEqual(0, len(orders))
order1 = NewOrderRequest(cl_id='test', cl_ord_id=1, inst_id=1, action=OrdAction.BUY, type=OrdType.LIMIT,
qty=1000, limit_price=18.5)
self.simulator.on_new_ord_req(order1)
orders = self.simulator._get_orders()
self.assertEqual(1, len(orders))
self.assertEqual(1, len(orders[order1.inst_id]))
self.assertEqual(0, len(orders[order1.inst_id][order1.cl_id]))
self.assertEqual(2, len(self.exec_handler.exec_reports))
exec_report = self.exec_handler.exec_reports[0]
self.assert_exec_report(exec_report, order1.cl_id, order1.cl_ord_id, 0, 0, OrdStatus.SUBMITTED)
exec_report = self.exec_handler.exec_reports[1]
self.assert_exec_report(exec_report, order1.cl_id, order1.cl_ord_id, 1000, 18.5, OrdStatus.FILLED)
def assert_exec_report(self, exec_report, cl_id, cl_ord_id, last_qty, last_price, status):
self.assertEqual(cl_id, exec_report.cl_id)
self.assertEqual(cl_ord_id, exec_report.cl_ord_id)
self.assertEqual(last_qty, exec_report.last_qty)
self.assertEqual(last_price, exec_report.last_price)
self.assertEqual(status, exec_report.status)
