def testCliDonchianAlgorithm2014(self):
api = PytradeApi(dbfilepah=self.db)
api.reinitializeUser(username=self.username, cash=self.initialCash)
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(feed, broker, 9, 26, 0.05)
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
days = feed.getAllDays()
for i in range(len(days)):
day = days[i]
cli = PytradeCli(dbfilepah=self.db, date=day, maxlen=self.maxLen, codes=self.codes, tradingAlgorithmGenerator=tradingAlgorithmGenerator)
orders = cli.executeAnalysis()
if i == (len(days) - 1):
continue
nextDay = days[i+1]
for order in orders:
open = cli.getLastValuesForInstrument(order.getInstrument(), nextDay)[1]
if not cli.confirmOrder(orderId=order.getId(), quantity=order.getQuantity(), price=open, commission=10,
date=nextDay):
cli.cancelOrder(order.getId())
cli.save()
maxlen=(datetime.datetime.now() - datetime.datetime(2014, 12, 1)).days
cli = PytradeCli(dbfilepah=self.db, maxlen=maxlen)
self.assertEqual(cli.getAccountInfo()[1], 36922.16)
def testCliDonchianAlgorithmWithSpecificDates(self):
api = PytradeApi(dbfilepah=self.db)
api.reinitializeUser(username=self.username, cash=self.initialCash)
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(feed, broker, 9, 26, 0.05)
utc = pytz.utc
specificdays = [
utc.localize(datetime.datetime(2014, 2, 7)),
utc.localize(datetime.datetime(2014, 2, 11)),
utc.localize(datetime.datetime(2014, 9, 18)),
utc.localize(datetime.datetime(2014, 10, 23)),
utc.localize(datetime.datetime(2014, 10, 28)),
utc.localize(datetime.datetime(2014, 12, 29))]
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
alldays = feed.getAllDays()
for day in specificdays:
cli = PytradeCli(dbfilepah=self.db, date=day, maxlen=self.maxLen, codes=self.codes,
tradingAlgorithmGenerator=tradingAlgorithmGenerator)
orders = cli.executeAnalysis()
nextDay = alldays[alldays.index(day) + 1]
for order in orders:
open = cli.getLastValuesForInstrument(order.getInstrument(), nextDay)[1]
if not cli.confirmOrder(orderId=order.getId(), quantity=order.getQuantity(), price=open, commission=10,
date=nextDay):
cli.cancelOrder(order.getId())
cli.save()
maxlen = (datetime.datetime.now() - datetime.datetime(2014, 12, 1)).days
cli = PytradeCli(dbfilepah=self.db, maxlen=maxlen)
self.assertEqual(cli.getAccountInfo()[1], 36922.16)
def testLiveBrokerDonchianAlgorithmWithSpecificDatesAndSQLiteDataProvider(self):
username = "******"
utc = pytz.utc
days = [
utc.localize(datetime.datetime(2014, 2, 7)),
utc.localize(datetime.datetime(2014, 2, 11)),
utc.localize(datetime.datetime(2014, 9, 18)),
utc.localize(datetime.datetime(2014, 10, 23)),
utc.localize(datetime.datetime(2014, 10, 28)),
utc.localize(datetime.datetime(2014, 12, 31))]
dataProvider = SQLiteDataProvider(self.db)
dataProvider.createSchema()
dataProvider.initializeUser(username, self.initialCash)
for day in days:
fromDate = day - timedelta(days=self.maxLen)
toDate = day + timedelta(days=5)
feed = DynamicFeed(self.db, self.codes, fromDateTime=fromDate, toDateTime=toDate, maxLen=self.maxLen)
feed.positionFeed(day)
broker = PytradeBroker(feed, cash=dataProvider.loadCash(username), orders=dataProvider.loadOrders(username), shares=dataProvider.loadShares(username))
self.runDonchianAlgorithm(broker, feed, self.donchianEntry, self.donchianExit, self.riskFactor)
dataProvider.persistCash(username, broker.getAvailableCash())
dataProvider.persistShares(username, broker.getAllShares())
dataProvider.persistOrders(username, broker.getAllActiveOrders())
self.assertEqual(broker.getEquity(), 36922.16)
def testApiDonchianAlgorithm2014WithSQLiteDataProvider(self):
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
days = feed.getAllDays()
api = PytradeApi(dbfilepah=self.db)
api.reinitializeUser(username=self.username, cash=self.initialCash)
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(feed, broker, self.donchianEntry, self.donchianExit, self.riskFactor)
for i in range(len(days)):
day = days[i]
api = PytradeApi(dbfilepah=self.db, username=self.username, tradingAlgorithmGenerator=tradingAlgorithmGenerator, codes=None, date=day, maxlen=self.maxLen, debugmode=False)
api.executeAnalysis()
api.persistData()
if i == (len(days) - 1):
continue
day = days[i + 1]
api = PytradeApi(dbfilepah=self.db, username=self.username, tradingAlgorithmGenerator=tradingAlgorithmGenerator, codes=None, date=day, maxlen=self.maxLen, debugmode=False)
for order in api.getActiveMarketOrders() + api.getStopOrdersToConfirm():
bar = api.getCurrentBarForInstrument(order.getInstrument())
if bar is None:
continue
if not api.confirmOrder(order, bar.getDateTime(), order.getQuantity(), bar.getOpen(), 10):
api.cancelOrder(order)
api.persistData()
self.assertEqual(api.getEquity(), 36922.16)
def initializeFeed(self):
assert self.__dbFilePath is not None
assert self.__currentDate is not None
assert self.__maxLen is not None
fromDate = self.__currentDate - timedelta(days=self.__maxLen)
toDate = self.__currentDate + timedelta(days=5)
self.__feed = DynamicFeed(self.__dbFilePath,
self.__codes,
fromDateTime=fromDate,
toDateTime=toDate,
maxLen=self.__maxLen)
self.__feed.positionFeed(dt.as_utc(self.__currentDate))
def setUpClass(cls):
rowFilter = lambda row: row["Close"] == "-" or row["Open"] == "-" or row["High"] == "-" or row["Low"] == "-" or \
row["Volume"] == "-"
instruments = ["PETR4", "PETR3"]
googleFeed = googlefinance.build_feed(instruments, 2015, 2015, storage="./googlefinance", skipErrors=True,
rowFilter=rowFilter)
cls.dynamicFeed = DynamicFeed("./sqlitedb", instruments, maxLen=10)
cls.dynamicFeed.getDatabase().addBarsFromFeed(googleFeed)
def testLiveBrokerDonchianAlgorithm2014WithMemoryDataProvider(self):
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
days = feed.getAllDays()
dataProvider = MemoryDataProvider()
dataProvider.persistCash(cash=self.initialCash)
for day in days:
fromDate = day - timedelta(days=self.maxLen)
toDate = day + timedelta(days=5)
feed = DynamicFeed(self.db,
self.codes,
fromDateTime=fromDate,
toDateTime=toDate,
maxLen=self.maxLen)
feed.positionFeed(day)
broker = PytradeBroker(feed,
cash=dataProvider.loadCash(),
orders=dataProvider.loadOrders(),
shares=dataProvider.loadShares())
self.runDonchianAlgorithm(broker, feed, self.donchianEntry,
self.donchianExit, self.riskFactor)
dataProvider.persistCash(cash=broker.getAvailableCash())
dataProvider.persistShares(shares=broker.getAllShares())
dataProvider.persistOrders(orders=broker.getAllActiveOrders())
self.assertEqual(broker.getEquity(), 36922.16)
def testLiveBrokerDonchianAlgorithm2014WithoutDataProvider(self):
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
days = feed.getAllDays()
cash = self.initialCash
shares = {}
orders = {}
for day in days:
fromDate = day - timedelta(days=self.maxLen)
toDate = day + timedelta(days=5)
feed = DynamicFeed(self.db,
self.codes,
fromDateTime=fromDate,
toDateTime=toDate,
maxLen=self.maxLen)
feed.positionFeed(day)
broker = PytradeBroker(feed,
cash=cash,
orders=orders,
shares=shares)
self.runDonchianAlgorithm(broker, feed, self.donchianEntry,
self.donchianExit, self.riskFactor)
cash = broker.getAvailableCash()
shares = broker.getAllShares()
orders = broker.getAllActiveOrders()
self.assertEqual(broker.getEquity(), 36922.16)
def testApiDonchianAlgorithmWithSpecificDatesAndSQLiteDataProvider(self):
utc = pytz.utc
specificdays = [
utc.localize(datetime.datetime(2014, 2, 7)),
utc.localize(datetime.datetime(2014, 2, 11)),
utc.localize(datetime.datetime(2014, 9, 18)),
utc.localize(datetime.datetime(2014, 10, 23)),
utc.localize(datetime.datetime(2014, 10, 28)),
utc.localize(datetime.datetime(2014, 12, 29))]
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
alldays = feed.getAllDays()
api = PytradeApi(dbfilepah=self.db)
api.reinitializeUser(username=self.username, cash=self.initialCash)
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(feed, broker, self.donchianEntry,
self.donchianExit, self.riskFactor)
for day in specificdays:
api = PytradeApi(dbfilepah=self.db, username=self.username, tradingAlgorithmGenerator=tradingAlgorithmGenerator, codes=None, date=day,
maxlen=self.maxLen, debugmode=False)
api.executeAnalysis()
api.persistData()
index = alldays.index(day)
day = alldays[index+1]
api = PytradeApi(dbfilepah=self.db, username=self.username, tradingAlgorithmGenerator=tradingAlgorithmGenerator, codes=None, date=day,
maxlen=self.maxLen, debugmode=False)
for order in api.getActiveMarketOrders() + api.getStopOrdersToConfirm():
bar = api.getCurrentBarForInstrument(order.getInstrument())
if bar is None:
continue
if not api.confirmOrder(order, bar.getDateTime(), order.getQuantity(), bar.getOpen(), 10):
api.cancelOrder(order)
api.persistData()
self.assertEqual(api.getEquity(), 36922.16)
def setUpClass(cls):
feed = DynamicFeed(cls.db, cls.codes)
days = feed.getAllDays()
if len(days) == 247:
return
rowFilter = lambda row: row["Close"] == "-" or row["Open"] == "-" or row["High"] == "-" or row["Low"] == "-" or \
row["Volume"] == "-"
googleFeed = googlefinance.build_feed(cls.codes, 2014, 2014, storage=cls.csvStorage, skipErrors=True,
rowFilter=rowFilter)
feed = DynamicFeed(cls.db, cls.codes, maxLen=10)
feed.getDatabase().addBarsFromFeed(googleFeed)
class PytradeApi(object):
LOGGER_NAME = "pytradeapi"
def __init__(self,
dbfilepah="/var/pytrade/sqlitedb",
googleFinanceDir="/var/pytrade/googlefinance",
username=None,
tradingAlgorithmGenerator=None,
codes=None,
date=dt.as_utc(datetime.now()),
maxlen=90,
debugmode=False):
if codes is None:
self.__codes = [
"ABEV3", "BBAS3", "BBDC3", "BBDC4", "BBSE3", "BRAP4", "BRFS3",
"BRKM5", "BRML3", "BVMF3", "CCRO3", "CIEL3", "CMIG4", "CPFE3",
"CPLE6", "CSAN3", "CSNA3", "CTIP3", "CYRE3", "ECOR3", "EGIE3",
"EMBR3", "ENBR3", "EQTL3", "ESTC3", "FIBR3", "GGBR4", "GOAU4",
"HYPE3", "ITSA4", "ITUB4", "JBSS3", "KLBN11", "KROT3", "LAME4",
"LREN3", "MRFG3", "MRVE3", "MULT3", "NATU3", "PCAR4", "PETR3",
"PETR4", "QUAL3", "RADL3", "RENT3", "RUMO3", "SANB11", "SBSP3",
"SMLE3", "SUZB5", "TIMP3", "UGPA3", "USIM5", "VALE3", "VALE5",
"VIVT4", "WEGE3"
]
else:
self.__codes = codes
self.__logger = logger.getLogger(PytradeApi.LOGGER_NAME)
self.__dbFilePath = dbfilepah
self.__googleFinanceDir = googleFinanceDir
self.__debugMode = debugmode
self.__tradingAlgorithmGenerator = tradingAlgorithmGenerator
self.__currentDate = date
self.__maxLen = maxlen
self.initializeDataProvider()
self.initializeFeed()
self.__username = username
if username is not None:
self.initializeBroker(username)
self.initializeStrategy(
) # tradingAlgorithmGenerator must not be None
def initializeDataProvider(self):
self.__dataProvider = SQLiteDataProvider(self.__dbFilePath)
if not self.__dataProvider.schemaExists():
self.__dataProvider.createSchema()
def initializeFeed(self):
assert self.__dbFilePath is not None
assert self.__currentDate is not None
assert self.__maxLen is not None
fromDate = self.__currentDate - timedelta(days=self.__maxLen)
toDate = self.__currentDate + timedelta(days=5)
self.__feed = DynamicFeed(self.__dbFilePath,
self.__codes,
fromDateTime=fromDate,
toDateTime=toDate,
maxLen=self.__maxLen)
self.__feed.positionFeed(dt.as_utc(self.__currentDate))
def initializeBroker(self, username):
assert self.__feed is not None
assert self.__dataProvider is not None
assert username is not None
self.__broker = PytradeBroker(
feed=self.__feed,
cash=self.__dataProvider.loadCash(username),
orders=self.__dataProvider.loadOrders(username),
shares=self.__dataProvider.loadShares(username))
def initializeStrategy(self):
assert self.__feed is not None
assert self.__broker is not None
assert self.__debugMode is not None
assert self.__tradingAlgorithmGenerator is not None
self.__tradingStrategy = TradingSystem(self.__feed,
self.__broker,
debugMode=self.__debugMode)
self.__tradingStrategy.setAlgorithm(
self.__tradingAlgorithmGenerator(self.__feed, self.__broker))
def userExists(self, username):
return self.__dataProvider.userExists(username)
def initializeUser(self, cash, username):
return self.__dataProvider.initializeUser(username, cash)
def reinitializeUser(self, cash, username):
return self.__dataProvider.reinitializeUser(username, cash)
def getCash(self):
return self.__broker.getAvailableCash()
def getActiveMarketOrders(self):
return self.__broker.getActiveMarketOrders()
def getStopOrdersToConfirm(self):
return self.__broker.getStopOrdersToConfirm()
def getStopOrders(self):
return self.__broker.getActiveStopOrders()
def getAllActiveOrders(self):
return self.__broker.getActiveOrders()
def getAllShares(self):
return self.__broker.getAllShares()
def getShares(self, instrument):
return self.__broker.getShares(instrument)
def getEquity(self):
return self.__broker.getEquity()
def persistData(self):
self.__dataProvider.persistCash(username=self.__username,
cash=self.__broker.getAvailableCash())
self.__dataProvider.persistShares(username=self.__username,
shares=self.__broker.getAllShares())
self.__dataProvider.persistOrders(
username=self.__username,
orders=self.__broker.getAllActiveOrders())
def confirmOrder(self, order, datetime, quantity, price, commission):
self.__broker.acceptOrder(datetime, order)
cost, sharesDelta, resultingCash = self.__broker.calculateCostSharesDeltaAndResultingCash(
order, price, quantity, commission)
if resultingCash >= 0:
self.__broker.handleOrderExecution(order, datetime, price,
quantity, commission,
resultingCash, sharesDelta)
return True
else:
self.__logger.debug(
"Not enough cash to fill %s order [%s] for %s share/s" %
(order.getInstrument(), order.getId(), order.getRemaining()))
return False
def cancelOrder(self, order):
return self.__broker.cancelOrder(order)
def executeAnalysis(self):
self.__feed.dispatchWithoutIncrementingDate()
def generateFeedEvent(self):
self.__feed.nextEvent()
def getCurrentBarForInstrument(self, instrument):
return self.__broker.getCurrentBarForInstrument(instrument)
def updateStockData(self, fromDate=None, toDate=None):
if fromDate is None:
lastDate = self.getLastStockDate()
fromDate = dt.unlocalize(
lastDate if lastDate is not None else self.__currentDate -
timedelta(days=365 * 2))
if toDate is None:
toDate = dt.unlocalize(self.__currentDate)
rowFilter = lambda row: row["Close"] == "-" or row["Open"] == "-" or row["High"] == "-" or row["Low"] == "-" or \
row["Volume"] == "-" or googlefeed.parse_date(row["Date"]) < fromDate or googlefeed.parse_date(row["Date"]) > toDate
[
os.remove(self.__googleFinanceDir + '/' + f)
for f in glob.glob1(self.__googleFinanceDir, '*' +
str(toDate.year) + '*')
]
googleFeed = googlefinance.build_feed(self.__codes,
fromDate.year,
toDate.year,
storage=self.__googleFinanceDir,
skipErrors=False,
rowFilter=rowFilter)
self.__feed.getDatabase().addBarsFromFeed(googleFeed)
def getLastStockDate(self):
return self.__feed.getDatabase().getLastBarTimestamp()
def getLastValuesForInstrument(self, instrument, date=datetime.now()):
return self.__dataProvider.getLastValuesForInstrument(instrument, date)
def getOrderById(self, orderId):
return self.__broker.getOrderById(orderId)
backtest.run()
backtest.generatePdfReport('/tmp/stock_analysis.pdf')
############################################################################################################################
# rowFilter = lambda row: row["Close"] == "-" or row["Open"] == "-" or row["High"] == "-" or row["Low"] == "-" or \
# row["Volume"] == "-"
# instruments = ["PETR4", "PETR3"]
# googleFeed = googlefinance.build_feed(codes, 2014, 2014, storage="./googlefinance", skipErrors=True,
# rowFilter=rowFilter)
db = "./sqliteddb"
# feed = DynamicFeed(db, codes, maxLen=10)
# feed.getDatabase().addBarsFromFeed(googleFeed)
################################################################################################
feed = DynamicFeed(db, codes, maxLen=60)
#$36922.16
days = feed.getAllDays()
cash = 10000
shares = {}
activeOrders = {}
nextOrderId = 1
for day in days:
feed = DynamicFeed(db, codes, maxLen=60)
feed.positionFeed(day)
broker = PytradeBroker(cash, feed, backtesting.FixedPerTrade(10), shares, activeOrders, nextOrderId)
strategy = TradingSystem(feed, broker, debugMode=True)
strategy.setAlgorithm(DonchianTradingAlgorithm(feed, broker, 9, 26, 0.05))
backtest.run()
backtest.generateHtmlReport('/tmp/stock_analysis.html')
############################################################################################################################
# rowFilter = lambda row: row["Close"] == "-" or row["Open"] == "-" or row["High"] == "-" or row["Low"] == "-" or \
# row["Volume"] == "-"
# instruments = ["PETR4", "PETR3"]
# googleFeed = googlefinance.build_feed(codes, 2014, 2014, storage="./googlefinance", skipErrors=True,
# rowFilter=rowFilter)
db = "./sqliteddb"
# feed = DynamicFeed (db, codes, maxLen=10)
# feed.getDatabase().addBarsFromFeed(googleFeed)
################################################################################################
maxLen=int(26*1.4)
feed = DynamicFeed(db, codes, maxLen=maxLen)
days = feed.getAllDays()
username="******"
api = pytradeapi.PytradeApi(dbfilepah=db)
api.reinitializeUser(username=username, cash=10000)
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(feed, broker, 9, 26, 0.05)
# utc = pytz.utc
# days = [
# utc.localize(datetime.datetime(2014, 2, 7)),
# utc.localize(datetime.datetime(2014, 2, 11))]
for i in range(len(days)):
day = days[i]
# series = dbFeed.getDataSeries(instrument)
# print("%s %s") % (instrument, series.getCloseDataSeries()[0:len(series)])
import pytz, datetime
from pyalgotrade.tools import googlefinance
from pytrade.feed import DynamicFeed
rowFilter = lambda row: row["Close"] == "-" or row["Open"] == "-" or row["High"] == "-" or row["Low"] == "-" or row["Volume"] == "-"
instruments = ["PETR4", "PETR3"]
# googleFeed = googlefinance.build_feed(instruments, 2015, 2015, storage="./googlefinance", skipErrors=True, rowFilter=rowFilter)
dynamicFeed = DynamicFeed("./sqlitedb", instruments, maxLen=10)
dynamicFeed.positionFeed(datetime.datetime(2015, 1, 2, tzinfo=pytz.UTC))
print dynamicFeed.getCurrentDateTime()
for instrument in dynamicFeed.getRegisteredInstruments():
series = dynamicFeed.getDataSeries(instrument)
print("%s %s") % (instrument, series.getCloseDataSeries()[0:len(series)])
#2015-01-01
#datetime: None
#PETR4:
#close value:
#close series []
#PETR3
# #dbFeed.reset() with this, maybe I don't need to use DB
#
# for instrument in dbFeed.getRegisteredInstruments():
# series = dbFeed.getDataSeries(instrument)
# print("%s %s") % (instrument, series.getCloseDataSeries()[0:len(series)])
import pytz, datetime
from pyalgotrade.tools import googlefinance
from pytrade.feed import DynamicFeed
rowFilter = lambda row: row["Close"] == "-" or row["Open"] == "-" or row[
"High"] == "-" or row["Low"] == "-" or row["Volume"] == "-"
instruments = ["PETR4", "PETR3"]
# googleFeed = googlefinance.build_feed(instruments, 2015, 2015, storage="./googlefinance", skipErrors=True, rowFilter=rowFilter)
dynamicFeed = DynamicFeed("./sqlitedb", instruments, maxLen=10)
dynamicFeed.positionFeed(datetime.datetime(2015, 1, 2, tzinfo=pytz.UTC))
print dynamicFeed.getCurrentDateTime()
for instrument in dynamicFeed.getRegisteredInstruments():
series = dynamicFeed.getDataSeries(instrument)
print("%s %s") % (instrument, series.getCloseDataSeries()[0:len(series)])
#2015-01-01
#datetime: None
#PETR4:
#close value:
#close series []
#PETR3
# close value
