def test_subscribe_bars(self, name, datastore):
start_date = date(2011, 1, 1)
end_date = date(2011, 1, 5)
sub_key = HistDataSubscriptionKey(
inst_id=10,
provider_id=Broker.IB,
subscription_type=BarSubscriptionType(bar_type=BarType.Time,
bar_size=BarSize.D1),
from_date=start_date,
to_date=end_date)
date_val = start_date
expect_val = []
for i in range(1, 5):
persistable = Bar(
timestamp=DateUtils.date_to_unixtimemillis(date_val),
type=BarType.Time,
size=BarSize.D1,
inst_id=10,
open=18 + i,
high=19 + i,
low=17 + i,
close=17.5 + i,
vol=100)
datastore.save_bar(persistable)
expect_val.append(persistable)
date_val = date_val + timedelta(days=1)
actual_val = datastore.load_mktdata(sub_key)
self.assertEqual(expect_val, actual_val)
def test_subscribe_market_depths(self, name, datastore):
start_date = date(2011, 1, 1)
end_date = date(2011, 1, 5)
sub_key = HistDataSubscriptionKey(
inst_id=10,
provider_id=Broker.IB,
subscription_type=MarketDepthSubscriptionType(provider_id='20'),
from_date=start_date,
to_date=end_date)
date_val = start_date
expect_val = []
for i in range(1, 5):
persistable = MarketDepth(
timestamp=DateUtils.date_to_unixtimemillis(date_val),
inst_id=10,
provider_id='20',
position=10 + i,
operation=MDOperation.Insert,
side=MDSide.Ask,
price=10.1 + i,
size=20)
datastore.save_market_depth(persistable)
expect_val.append(persistable)
date_val = date_val + timedelta(days=1)
actual_val = datastore.load_mktdata(sub_key)
self.assertEqual(expect_val, actual_val)
def test_subscribe_trades(self, name, datastore):
start_date = date(2011, 1, 1)
end_date = date(2011, 1, 5)
sub_key = HistDataSubscriptionKey(
inst_id=10,
provider_id=Broker.IB,
subscription_type=TradeSubscriptionType(),
from_date=start_date,
to_date=end_date)
date_val = start_date
expect_val = []
for i in range(1, 5):
persistable = Trade(
timestamp=DateUtils.date_to_unixtimemillis(date_val),
price=20 + i,
size=200 + i,
inst_id=10)
datastore.save_trade(persistable)
expect_val.append(persistable)
date_val = date_val + timedelta(days=1)
actual_val = datastore.load_mktdata(sub_key)
self.assertEqual(expect_val, actual_val)
def sub_hist_data(broker, inst_id, day_ago):
sub_key = HistDataSubscriptionKey(
inst_id=inst_id,
provider_id=Broker.IB,
subscription_type=BarSubscriptionType(data_type=Bar,
bar_size=BarSize.D1),
from_date=(today - timedelta(days=day_ago)),
to_date=today)
broker.subscribe_mktdata(sub_key)
return sub_key
def _subscribe_market_data(self, feed, instruments, subscription_types):
for instrument in instruments:
for subscription_type in subscription_types:
if isinstance(self.app_config, BacktestingConfig):
sub_key = HistDataSubscriptionKey(
inst_id=instrument.inst_id,
provider_id=self.app_config.feed_id,
subscription_type=subscription_type,
from_date=self.app_config.from_date,
to_date=self.app_config.to_date)
else:
sub_key = SubscriptionKey(
inst_id=instrument.inst_id,
provider_id=self.app_config.feed_id,
subscription_type=subscription_type)
self.feed.subscribe_mktdata(sub_key)
exchange_df = pd.DataFrame({
"exch_id": ["NYSE"],
"name": ["New York Stock Exchange"]
})
mgr = MockRefDataManager(inst_df, ccy_df, exchange_df)
feed = PandaH5DataFeed('/Users/jchan/workspace/data/Equity/US/etf.h5',
ref_data_mgr=mgr)
today = date.today()
startDate = date(2011, 1, 1)
sub_key0 = HistDataSubscriptionKey(inst_id=0,
provider_id=PandaH5DataFeed.ID,
subscription_type=BarSubscriptionType(
data_type=Bar, bar_size=BarSize.D1),
from_date=startDate,
to_date=today)
sub_key1 = HistDataSubscriptionKey(inst_id=1,
provider_id=PandaH5DataFeed.ID,
subscription_type=BarSubscriptionType(
data_type=Bar, bar_size=BarSize.D1),
from_date=startDate,
to_date=today)
sub_key2 = HistDataSubscriptionKey(inst_id=2,
provider_id=PandaH5DataFeed.ID,
subscription_type=BarSubscriptionType(
data_type=Bar, bar_size=BarSize.D1),
from_date=startDate,
"Volume": 10000 * np.ones(num_days)
})
df2 = df2.set_index(keys="dates")
df_dict = {'SPY': df0, 'VXX': df1, 'XLV': df2}
feed = PandasMemoryDataFeed(df_dict, ref_data_mgr=mgr)
# today = date.today()
# sub_key = HistDataSubscriptionKey(inst_id=3, provider_id=PandasMemoryDataFeed.ID, data_type=Bar, bar_size=BarSize.D1,
# from_date=datetime(2010, 1, 1), to_date=today)
sub_key0 = HistDataSubscriptionKey(inst_id=0,
provider_id=PandasMemoryDataFeed.ID,
subscription_type=BarSubscriptionType(
data_type=Bar, bar_size=BarSize.D1),
from_date=dates[0],
to_date=dates[-1])
sub_key1 = HistDataSubscriptionKey(inst_id=1,
provider_id=PandasMemoryDataFeed.ID,
subscription_type=BarSubscriptionType(
data_type=Bar, bar_size=BarSize.D1),
from_date=dates[0],
to_date=dates[-1])
sub_key2 = HistDataSubscriptionKey(inst_id=2,
provider_id=PandasMemoryDataFeed.ID,
subscription_type=BarSubscriptionType(
data_type=Bar, bar_size=BarSize.D1),
from_date=dates[0],
def __init__(self):
super(GoogleDataFeed, self).__init__(system='google')
def id(self):
return Feed.Google
def process_row(self, index, row):
inst = self.__ref_data_mgr.get_inst(symbol=row['Symbol'])
return Bar(inst_id=inst.inst_id,
timestamp=DateUtils.datetime_to_unixtimemillis(index),
open=row['Open'],
high=row['High'],
low=row['Low'],
close=row['Close'],
vol=row['Volume'],
size=row['BarSize'])
if __name__ == "__main__":
feed = YahooDataFeed()
today = date.today()
sub_key = HistDataSubscriptionKey(inst_id=3, provider_id=YahooDataFeed.ID,
subscription_type=BarSubscriptionType(data_type=Bar, bar_size=BarSize.D1),
from_date=datetime(2010, 1, 1), to_date=today)
logger.setLevel(logging.DEBUG)
eventLogger = EventLogger()
feed.subscribe_mktdata(sub_key)
def test_multi_subscriptions(self, name, datastore):
start_date = date(2011, 1, 1)
end_date = date(2011, 1, 5)
sub_key1 = HistDataSubscriptionKey(
inst_id=99,
provider_id=Broker.IB,
subscription_type=BarSubscriptionType(bar_type=BarType.Time,
bar_size=BarSize.D1),
from_date=start_date,
to_date=end_date)
sub_key2 = HistDataSubscriptionKey(
inst_id=99,
provider_id=Broker.IB,
subscription_type=QuoteSubscriptionType(),
from_date=start_date,
to_date=end_date)
sub_key3 = HistDataSubscriptionKey(
inst_id=99,
provider_id=Broker.IB,
subscription_type=TradeSubscriptionType(),
from_date=start_date,
to_date=end_date)
expect_val = []
#out of range
persistable = Bar(timestamp=DateUtils.date_to_unixtimemillis(
date(2010, 12, 31)),
type=BarType.Time,
size=BarSize.D1,
inst_id=99,
open=18,
high=19,
low=17,
close=17.5,
vol=100)
datastore.save_bar(persistable)
persistable = Bar(timestamp=DateUtils.date_to_unixtimemillis(
date(2011, 1, 1)),
type=BarType.Time,
size=BarSize.D1,
inst_id=99,
open=28,
high=29,
low=27,
close=27.5,
vol=100)
datastore.save_bar(persistable)
expect_val.append(persistable)
persistable = Trade(timestamp=DateUtils.date_to_unixtimemillis(
date(2011, 1, 2)),
price=20,
size=200,
inst_id=99)
datastore.save_trade(persistable)
expect_val.append(persistable)
persistable = Trade(timestamp=DateUtils.date_to_unixtimemillis(
date(2011, 1, 3)),
price=30,
size=200,
inst_id=99)
datastore.save_trade(persistable)
expect_val.append(persistable)
# not same instrument
persistable = Quote(timestamp=DateUtils.date_to_unixtimemillis(
date(2011, 1, 3)),
bid=18,
ask=19,
bid_size=200,
ask_size=500,
inst_id=11)
datastore.save_quote(persistable)
persistable = Quote(timestamp=DateUtils.date_to_unixtimemillis(
date(2011, 1, 4)),
bid=18,
ask=19,
bid_size=200,
ask_size=500,
inst_id=99)
datastore.save_quote(persistable)
expect_val.append(persistable)
# out of range
persistable = Quote(timestamp=DateUtils.date_to_unixtimemillis(
date(2011, 1, 5)),
bid=28,
ask=29,
bid_size=200,
ask_size=500,
inst_id=99)
datastore.save_quote(persistable)
actual_val = datastore.load_mktdata(sub_key1, sub_key2, sub_key3)
self.assertEqual(expect_val, actual_val)