def test_with_multi_bar_multi_indicator_with_tail_start(self):
bar0 = self.app_context.inst_data_mgr.get_series("bar0")
bar1 = self.app_context.inst_data_mgr.get_series("bar1")
bar0.start(self.app_context)
bar1.start(self.app_context)
# sma_2_bar0 = SMA(bar0, "close", 2)
# sma_4_bar0 = SMA(bar0, "close", 4)
# sma_3_bar1 = SMA(bar1, "close", 3)
#
# sma_2_bar0.start(self.app_context)
# sma_4_bar0.start(self.app_context)
# sma_3_bar1.start(self.app_context)
# rank = Rank([sma_2_bar0, sma_3_bar1, sma_4_bar0], input_key=Indicator.VALUE)
rank = Rank([
SMA(bar0, "close", 2),
SMA(bar1, "close", 3),
SMA(bar0, "close", 4)
],
input_key=Indicator.VALUE)
rank.start(self.app_context) # only start at the tail is enough
t = datetime.datetime.now()
bar0.add({"timestamp": t, "close": 80.0, "open": 0})
bar1.add({"timestamp": t, "close": 95.0, "open": 0})
nan_arr = np.empty([1, 3])
nan_arr[:] = np.nan
# self.assertListEqual(nan_arr.tolist(), rank.now()["value"])
self.__np_assert_almost_equal(nan_arr, np.array(rank.now()["value"]))
t = t + datetime.timedelta(0, 3)
bar0.add({"timestamp": t, "close": 85.0, "open": 0})
bar1.add({"timestamp": t, "close": 93.0, "open": 0})
target = nan_arr
target[0, 0] = 0.
self.__np_assert_almost_equal(target, np.array(rank.now()["value"]))
t = t + datetime.timedelta(0, 3)
bar0.add({"timestamp": t, "close": 86.0, "open": 0})
bar1.add({"timestamp": t, "close": 91.0, "open": 0})
target[0, 1] = 0.5
self.__np_assert_almost_equal(target, np.array(rank.now()["value"]))
t = t + datetime.timedelta(0, 3)
bar0.add({"timestamp": t, "close": 90.0, "open": 0})
bar1.add({"timestamp": t, "close": 95.0, "open": 0})
target = np.array([[0.5, 1.0, 0.]])
# self.assertAlmostEqual(target.tolist(), rank.now()["value"])
self.__np_assert_almost_equal(target, np.array(rank.now()["value"]))
def test_with_multi_bar_multi_indicator_with_tail_start(self):
bar0 = self.app_context.inst_data_mgr.get_series("bar0")
bar1 = self.app_context.inst_data_mgr.get_series("bar1")
bar0.start(self.app_context)
bar1.start(self.app_context)
# sma_2_bar0 = SMA(bar0, "close", 2)
# sma_4_bar0 = SMA(bar0, "close", 4)
# sma_3_bar1 = SMA(bar1, "close", 3)
#
# sma_2_bar0.start(self.app_context)
# sma_4_bar0.start(self.app_context)
# sma_3_bar1.start(self.app_context)
# rank = Rank([sma_2_bar0, sma_3_bar1, sma_4_bar0], input_key=Indicator.VALUE)
rank = Rank([SMA(bar0, "close", 2), SMA(bar1, "close", 3), SMA(bar0, "close", 4)], input_key=Indicator.VALUE)
rank.start(self.app_context) # only start at the tail is enough
t = datetime.datetime.now()
bar0.add({"timestamp": t, "close": 80.0, "open": 0})
bar1.add({"timestamp": t, "close": 95.0, "open": 0})
nan_arr = np.empty([1,3])
nan_arr[:] = np.nan
# self.assertListEqual(nan_arr.tolist(), rank.now()["value"])
self.__np_assert_almost_equal(nan_arr, np.array(rank.now()["value"]))
t = t + datetime.timedelta(0, 3)
bar0.add({"timestamp": t, "close": 85.0, "open": 0})
bar1.add({"timestamp": t, "close": 93.0, "open": 0})
target = nan_arr
target[0, 0] = 0.
self.__np_assert_almost_equal(target, np.array(rank.now()["value"]))
t = t + datetime.timedelta(0, 3)
bar0.add({"timestamp": t, "close": 86.0, "open": 0})
bar1.add({"timestamp": t, "close": 91.0, "open": 0})
target[0, 1] = 0.5
self.__np_assert_almost_equal(target, np.array(rank.now()["value"]))
t = t + datetime.timedelta(0, 3)
bar0.add({"timestamp": t, "close": 90.0, "open": 0})
bar1.add({"timestamp": t, "close": 95.0, "open": 0})
target = np.array([[0.5, 1.0, 0.]])
# self.assertAlmostEqual(target.tolist(), rank.now()["value"])
self.__np_assert_almost_equal(target, np.array(rank.now()["value"]))
def test_with_multi_bar_multi_indicator(self):
bar0 = self.app_context.inst_data_mgr.get_series("bar0")
bar1 = self.app_context.inst_data_mgr.get_series("bar1")
bar0.start(self.app_context)
bar1.start(self.app_context)
sma_2_bar0 = SMA(bar0, "close", 2)
sma_4_bar0 = SMA(bar0, "close", 4)
sma_3_bar1 = SMA(bar1, "close", 3)
sma_2_bar0.start(self.app_context)
sma_4_bar0.start(self.app_context)
sma_3_bar1.start(self.app_context)
rank = Rank([sma_2_bar0, sma_3_bar1, sma_4_bar0], input_key=Indicator.VALUE)
rank.start(self.app_context)
t = datetime.datetime.now()
bar0.add({"timestamp": t, "close": 80.0, "open": 0})
bar1.add({"timestamp": t, "close": 95.0, "open": 0})
nan_arr = np.empty([1,3])
nan_arr[:] = np.nan
self.__np_assert_almost_equal(nan_arr, rank.now()["value"])
t = t + datetime.timedelta(0, 3)
bar0.add({"timestamp": t, "close": 85.0, "open": 0})
bar1.add({"timestamp": t, "close": 93.0, "open": 0})
target = nan_arr
target[0, 0] = 0.
self.__np_assert_almost_equal(target, rank.now()["value"])
t = t + datetime.timedelta(0, 3)
bar0.add({"timestamp": t, "close": 86.0, "open": 0})
bar1.add({"timestamp": t, "close": 91.0, "open": 0})
target[0, 1] = 0.5
self.__np_assert_almost_equal(target, rank.now()["value"])
t = t + datetime.timedelta(0, 3)
bar0.add({"timestamp": t, "close": 90.0, "open": 0})
bar1.add({"timestamp": t, "close": 95.0, "open": 0})
target = np.array([[0.5, 1.0, 0.]])
self.__np_assert_almost_equal(target, rank.now()["value"])
def test_with_multi_bar_multi_indicator(self):
bar0 = self.app_context.inst_data_mgr.get_series("bar0")
bar1 = self.app_context.inst_data_mgr.get_series("bar1")
bar0.start(self.app_context)
bar1.start(self.app_context)
sma_2_bar0 = SMA(bar0, "close", 2)
sma_4_bar0 = SMA(bar0, "close", 4)
sma_3_bar1 = SMA(bar1, "close", 3)
sma_2_bar0.start(self.app_context)
sma_4_bar0.start(self.app_context)
sma_3_bar1.start(self.app_context)
rank = Rank([sma_2_bar0, sma_3_bar1, sma_4_bar0], input_key=Indicator.VALUE)
rank.start(self.app_context)
t = datetime.datetime.now()
bar0.add({"timestamp": t, "close": 80.0, "open": 0})
bar1.add({"timestamp": t, "close": 95.0, "open": 0})
nan_arr = np.empty([1, 3])
nan_arr[:] = np.nan
self.__np_assert_almost_equal(nan_arr, rank.now()["value"])
t = t + datetime.timedelta(0, 3)
bar0.add({"timestamp": t, "close": 85.0, "open": 0})
bar1.add({"timestamp": t, "close": 93.0, "open": 0})
target = nan_arr
target[0, 0] = 0.0
self.__np_assert_almost_equal(target, rank.now()["value"])
t = t + datetime.timedelta(0, 3)
bar0.add({"timestamp": t, "close": 86.0, "open": 0})
bar1.add({"timestamp": t, "close": 91.0, "open": 0})
target[0, 1] = 0.5
self.__np_assert_almost_equal(target, rank.now()["value"])
t = t + datetime.timedelta(0, 3)
bar0.add({"timestamp": t, "close": 90.0, "open": 0})
bar1.add({"timestamp": t, "close": 95.0, "open": 0})
target = np.array([[0.5, 1.0, 0.0]])
self.__np_assert_almost_equal(target, rank.now()["value"])
def test_with_multi_bar_multi_indicator(self):
bar0 = self.app_context.inst_data_mgr.get_series("bar0")
bar1 = self.app_context.inst_data_mgr.get_series("bar1")
bar0.start(self.app_context)
bar1.start(self.app_context)
sma_2_bar0 = SMA(inputs=bar0, input_keys="close", length=2)
sma_4_bar0 = SMA(inputs=bar0, input_keys="close", length=4)
sma_3_bar1 = SMA(inputs=bar1, input_keys="close", length=3)
sma_2_bar0.start(self.app_context)
sma_4_bar0.start(self.app_context)
sma_3_bar1.start(self.app_context)
rank = Rank(inputs=[sma_2_bar0, sma_3_bar1, sma_4_bar0],
input_keys=Indicator.VALUE)
rank.start(self.app_context)
t = 1
bar0.add(data={"timestamp": t, "close": 80.0, "open": 0})
bar1.add(data={"timestamp": t, "close": 95.0, "open": 0})
print(rank.now(keys=PipeLine.VALUE))
t = t + 3
bar0.add(data={"timestamp": t, "close": 85.0, "open": 0})
bar1.add(data={"timestamp": t, "close": 93.0, "open": 0})
print(rank.now(keys=PipeLine.VALUE))
t = t + 3
bar0.add(data={"timestamp": t, "close": 86.0, "open": 0})
bar1.add(data={"timestamp": t, "close": 91.0, "open": 0})
print(rank.now(keys=PipeLine.VALUE))
t = t + 3
bar0.add(data={"timestamp": t, "close": 90.0, "open": 0})
bar1.add(data={"timestamp": t, "close": 95.0, "open": 0})
print(rank.now(keys=PipeLine.VALUE))