コード例 #1
0
def doDesires(step, startKey=None, stopKey=None):
    global cvalDict
    if stopKey is None and startKey is None:
        startKey = 1
        stopKey = int(meSchema.tradeCue.all(keys_only=True).order('-__key__').get().name())
    elif stopKey is None or startKey is None:
        raise(BaseException('Must define both startKey and stopKey, or both must be None!'))
        
    # Check cachepy clock and sync with memcache if necessary.
    syncProcessCache(step,startKey,stopKey)
    # Construct cvalDict for this step.
    for stckID in [1,2,3,4]:
        deltakey = str(stckID) + "_" + str(step)
        cvalDict[deltakey] = calculateDeltas(stckID, step)
        
    medesires = []
    count = 0
    for i in range(startKey, stopKey + 1):
        cuekey = meTools.buildTradeCueKey(i)
        desires = doDesire(step, cuekey)
        if len(desires) != 0:
            medesires.extend(desires)
    meTools.batchPut(medesires)
    # Remove from global cvalDict since not sure how that will act with same running process.
    for stckID in [1,2,3,4]:
        del cvalDict[str(stckID) + '_' + str(step)]
コード例 #2
0
def persistBackTestReturns(backTestReturns):
    putList = []
    for algKey in backTestReturns:
        for startMonth in backTestReturns[algKey]['returns']:
            currentResult = backTestReturns[algKey]['returns'][startMonth]
            resultKey = algKey + "_" + str(startMonth).rjust(7,'0') + "_" + str(currentResult['stopStep']).rjust(7,'0')
            backTestResult = meSchema.backTestResult(key_name      = resultKey,
                                                     algKey        = algKey,
                                                     startStep     = startMonth,
                                                     stopStep      = currentResult['stopStep'],
                                                     percentReturn = currentResult['return'],
                                                     lastBuy       = currentResult['lastBuy'],
                                                     lastSell      = currentResult['lastSell'],
                                                     numTrades     = currentResult['numTrades'],
                                                     PandL         = currentResult['PandL'],
                                                     PosVal        = currentResult['PosVal'],
                                                     CashDelta     = currentResult['CashDelta'],
                                                     Positions     = currentResult['Positions'])
            putList.append(backTestResult)
    meTools.batchPut(putList)
コード例 #3
0
def doCompounds(stopStep, startStep, entities):
    putList = []
    memKeys = []
    model = type(entities[0])
    if model == meSchema.backTestResult:
        idProp = 'algKey'
        prefix = 'BTR-'
    elif model == meSchema.liveAlg:
        idProp = 'technique'
        prefix = 'LAR-'
    else:
        raise BaseException('Model must be backTestResult or liveAlg!')
    maxR = getMaxRnum(model)
    stepBacks = [week for week in range(1,maxR)]
    for entity in entities:
        identifier = getattr(entity, idProp)
        for stepback in stepBacks:
            newStop = stopStep - 400*stepback
            newStart = startStep - 400*stepback
            memkey = buildMemKey(newStop, newStart, identifier, prefix)
            memKeys.append(memkey)
    prevReturns = memGetPercentReturns(memKeys, prefix)
    for entity in entities:
        Rdict = {1: (1.0 + entity.percentReturn)}
        for Rnum in range(2, maxR + 1):
            identifier = getattr(entity,idProp)
            lastPercentReturn = getRReturn(stopStep, startStep, identifier, Rnum-1, prevReturns, prefix)
            if lastPercentReturn is not None:
                try:
                    Rdict[Rnum] = Rdict[Rnum-1]*(1.0 + lastPercentReturn)
                except TypeError:
                    memkey = buildMemKey(stopStep, startStep, identifier, prefix)
                    message = 'Rnum: %s, memkey: %s, entity.key().name(): %s - V2' % (Rnum, memkey, entity.key().name())
                    raise(BaseException(message))
            else:
                Rdict[Rnum] = None
            setattr(entity, 'R' + str(Rnum), Rdict[Rnum])
        putList.append(entity)
    meTools.batchPut(putList)