def __test(self, strategyClass, finalValue):
feed = yahoofeed.Feed()
feed.addBarsFromCSV("orcl", common.get_data_file_path("orcl-2001-yahoofinance.csv"))
myStrategy = strategyClass(feed, 10, 25)
myStrategy.run()
myStrategy.printDebug("Final result:", round(myStrategy.getFinalValue(), 2))
self.assertTrue(round(myStrategy.getFinalValue(), 2) == finalValue)
def __testIGE_BrokerImpl(self, quantity):
initialCash = 42.09*quantity
# This testcase is based on an example from Ernie Chan's book:
# 'Quantitative Trading: How to Build Your Own Algorithmic Trading Business'
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV("ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
strat = strategy_test.BaseStrategy(barFeed, initialCash)
strat.setUseAdjustedValues(True)
strat.setBrokerOrdersGTC(True)
stratAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(stratAnalyzer)
# Disable volume checks to match book results.
strat.getBroker().getFillStrategy().setVolumeLimit(None)
# Manually place the order to get it filled on the first bar.
order = strat.getBroker().createMarketOrder(broker.Order.Action.BUY, "ige", quantity, True) # Adj. Close: 42.09
order.setGoodTillCanceled(True)
strat.getBroker().submitOrder(order)
strat.addOrder(datetime.datetime(2007, 11, 13), strat.getBroker().createMarketOrder, broker.Order.Action.SELL, "ige", quantity, True) # Adj. Close: 127.64
strat.run()
self.assertTrue(round(strat.getBroker().getCash(), 2) == initialCash + (127.64 - 42.09) * quantity)
self.assertEqual(strat.orderUpdatedCalls, 6)
self.assertTrue(round(stratAnalyzer.getMaxDrawDown(), 5) == 0.31178)
self.assertTrue(stratAnalyzer.getLongestDrawDownDuration() == datetime.timedelta(days=623))
def __testIGE_BrokerImpl(self, quantity):
initialCash = 42.09 * quantity
# This testcase is based on an example from Ernie Chan's book:
# 'Quantitative Trading: How to Build Your Own Algorithmic Trading Business'
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
"ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
strat = strategy_test.BaseStrategy(barFeed, initialCash)
strat.setUseAdjustedValues(True)
strat.setBrokerOrdersGTC(True)
stratAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(stratAnalyzer)
# Disable volume checks to match book results.
strat.getBroker().getFillStrategy().setVolumeLimit(None)
# Manually place the order to get it filled on the first bar.
order = strat.getBroker().createMarketOrder(broker.Order.Action.BUY,
"ige", quantity,
True) # Adj. Close: 42.09
order.setGoodTillCanceled(True)
strat.getBroker().submitOrder(order)
strat.addOrder(datetime.datetime(2007, 11, 13),
strat.getBroker().createMarketOrder,
broker.Order.Action.SELL, "ige", quantity,
True) # Adj. Close: 127.64
strat.run()
self.assertEqual(round(strat.getBroker().getCash(), 2),
initialCash + (127.64 - 42.09) * quantity)
self.assertEqual(strat.orderUpdatedCalls, 6)
# The results are slightly different only because I'm taking into account the first bar as well.
self.assertEqual(round(stratAnalyzer.getSharpeRatio(0.04, True), 4),
0.7889)
self.assertEqual(round(stratAnalyzer.getSharpeRatio(0.04, False), 4),
0.0497)
def testBounded(self):
tmpFeed = TemporarySQLiteFeed(SQLiteFeedTestCase.dbName, bar.Frequency.DAY, maxLen=2)
with tmpFeed:
# Load bars using a Yahoo! feed.
yahooFeed = yahoofeed.Feed(maxLen=1)
yahooFeed.addBarsFromCSV("orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"), marketsession.USEquities.timezone)
yahooFeed.addBarsFromCSV("orcl", common.get_data_file_path("orcl-2001-yahoofinance.csv"), marketsession.USEquities.timezone)
# Fill the database using the bars from the Yahoo! feed.
sqliteFeed = tmpFeed.getFeed()
sqliteFeed.getDatabase().addBarsFromFeed(yahooFeed)
# Load the SQLite feed and process all bars.
sqliteFeed.loadBars("orcl")
for bars in sqliteFeed:
pass
barDS = sqliteFeed["orcl"]
self.assertEqual(len(barDS), 2)
self.assertEqual(len(barDS.getDateTimes()), 2)
self.assertEqual(len(barDS.getCloseDataSeries()), 2)
self.assertEqual(len(barDS.getCloseDataSeries().getDateTimes()), 2)
self.assertEqual(len(barDS.getOpenDataSeries()), 2)
self.assertEqual(len(barDS.getHighDataSeries()), 2)
self.assertEqual(len(barDS.getLowDataSeries()), 2)
self.assertEqual(len(barDS.getAdjCloseDataSeries()), 2)
def main(plot):
instruments = ["gld", "gdx"]
windowSize = 50
# Load the bars. These files were manually downloaded from Yahoo Finance.
feed = yahoofeed.Feed()
for year in range(2006, 2012 + 1):
for instrument in instruments:
fileName = "%s-%d-yahoofinance.csv" % (instrument, year)
print("Loading bars from %s" % fileName)
feed.addBarsFromCSV(instrument, fileName)
strat = StatArb(feed, instruments[0], instruments[1], windowSize)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, False, False, True)
plt.getOrCreateSubplot("hedge").addDataSeries("Hedge Ratio",
strat.getHedgeRatioDS())
plt.getOrCreateSubplot("spread").addDataSeries("Spread",
strat.getSpreadDS())
strat.run()
print("Sharpe ratio: %.2f" % sharpeRatioAnalyzer.getSharpeRatio(0.05))
if plot:
plt.plot()
def testOneBarReturn(self):
initialCash = 1000
barFeed = yahoofeed.Feed()
barFeed.setBarFilter(
csvfeed.DateRangeFilter(datetime.datetime(2001, 12, 7),
datetime.datetime(2001, 12, 7)))
barFeed.addBarsFromCSV(
AnalyzerTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = strategy_test.BaseStrategy(barFeed, initialCash)
# 2001-12-07,15.74,15.95,15.55,15.91,42463200,15.56
# Manually place the orders to get them filled on the first (and only) bar.
order = strat.getBroker().createMarketOrder(
broker.Order.Action.BUY, AnalyzerTestCase.TestInstrument, 1,
False) # Open: 15.74
strat.getBroker().submitOrder(order)
order = strat.getBroker().createMarketOrder(
broker.Order.Action.SELL, AnalyzerTestCase.TestInstrument, 1,
True) # Close: 15.91
strat.getBroker().submitOrder(order)
stratAnalyzer = returns.Returns()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.getBroker().getCash() == initialCash +
(15.91 - 15.74))
finalValue = 1000 - 15.74 + 15.91
rets = (finalValue - initialCash) / float(initialCash)
self.assertEqual(stratAnalyzer.getReturns()[-1], rets)
def testLoadDailyBars(self):
tmpFeed = TemporarySQLiteFeed(SQLiteFeedTestCase.dbName, bar.Frequency.DAY)
with tmpFeed:
# Load bars using a Yahoo! feed.
yahooFeed = yahoofeed.Feed()
yahooFeed.addBarsFromCSV("orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"), marketsession.USEquities.timezone)
yahooFeed.addBarsFromCSV("orcl", common.get_data_file_path("orcl-2001-yahoofinance.csv"), marketsession.USEquities.timezone)
# Fill the database using the bars from the Yahoo! feed.
sqliteFeed = tmpFeed.getFeed()
sqliteFeed.getDatabase().addBarsFromFeed(yahooFeed)
# Load the SQLite feed and process all bars.
sqliteFeed.loadBars("orcl")
for bars in sqliteFeed:
pass
# Check that both dataseries have the same bars.
yahooDS = yahooFeed["orcl"]
sqliteDS = sqliteFeed["orcl"]
self.assertEqual(len(yahooDS), len(sqliteDS))
for i in xrange(len(yahooDS)):
self.assertEqual(yahooDS[i].getDateTime(), sqliteDS[i].getDateTime())
self.assertEqual(yahooDS[i].getOpen(), sqliteDS[i].getOpen())
self.assertEqual(yahooDS[i].getHigh(), sqliteDS[i].getHigh())
self.assertEqual(yahooDS[i].getLow(), sqliteDS[i].getLow())
self.assertEqual(yahooDS[i].getClose(), sqliteDS[i].getClose())
self.assertEqual(yahooDS[i].getAdjClose(), sqliteDS[i].getAdjClose())
def testCumulativeReturn(self):
initialCash = 33.06
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
AnalyzerTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = position_test.BaseTestStrategy(barFeed,
AnalyzerTestCase.TestInstrument,
initialCash)
strat.addPosEntry(datetime.datetime(2001, 1, 12), strat.enterLong,
AnalyzerTestCase.TestInstrument, 1) # 33.06
strat.addPosExitMarket(datetime.datetime(2001, 11, 27)) # 14.32
stratAnalyzer = returns.Returns(maxLen=10)
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(
round(strat.getBroker().getCash(), 2) == round(
initialCash + (14.32 - 33.06), 2))
self.assertTrue(
round(33.06 *
(1 + stratAnalyzer.getCumulativeReturns()[-1]), 2) == 14.32)
self.assertEqual(len(stratAnalyzer.getCumulativeReturns()), 10)
self.assertEqual(len(stratAnalyzer.getReturns()), 10)
def testTwoBarReturns_CloseClose(self):
initialCash = 15.90
barFeed = yahoofeed.Feed()
barFeed.setBarFilter(
csvfeed.DateRangeFilter(datetime.datetime(2001, 12, 6),
datetime.datetime(2001, 12, 7)))
barFeed.addBarsFromCSV(
AnalyzerTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = strategy_test.BaseStrategy(barFeed, initialCash)
# 2001-12-06,15.61,16.03,15.50,15.90,66944900,15.55
# 2001-12-07,15.74,15.95,15.55,15.91,42463200,15.56
# Manually place the entry order, to get it filled on the first bar.
order = strat.getBroker().createMarketOrder(
broker.Order.Action.BUY, AnalyzerTestCase.TestInstrument, 1,
True) # Close: 15.90
strat.getBroker().submitOrder(order)
strat.addOrder(datetime.datetime(2001, 12, 6),
strat.getBroker().createMarketOrder,
broker.Order.Action.SELL,
AnalyzerTestCase.TestInstrument, 1,
True) # Close: 15.91
stratAnalyzer = returns.Returns()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.getBroker().getCash() == initialCash +
(15.91 - 15.90))
# First day returns: 0
self.assertTrue(stratAnalyzer.getReturns()[0] == 0)
# Second day returns: Open vs Prev. day's close
self.assertTrue(stratAnalyzer.getReturns()[1] == (15.91 - 15.90) /
15.90)
def testFirstBar(self):
initialCash = 1000
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
AnalyzerTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = strategy_test.BaseStrategy(barFeed, initialCash)
strat.addOrder(datetime.datetime(2001, 1, 2),
strat.getBroker().createMarketOrder,
broker.Order.Action.BUY,
AnalyzerTestCase.TestInstrument, 1,
False) # 2001-01-03 Open: 25.25 Close: 32.00
stratAnalyzer = returns.Returns()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertEqual(stratAnalyzer.getReturns()[0], 0)
self.assertEqual(stratAnalyzer.getReturns()[1], (32.00 - 25.25) / 1000)
# Check date times.
datetimes = barFeed[AnalyzerTestCase.TestInstrument].getDateTimes()
for i in [0, -1]:
self.assertEqual(stratAnalyzer.getReturns().getDateTimes()[i],
datetimes[i])
self.assertEqual(
stratAnalyzer.getCumulativeReturns().getDateTimes()[i],
datetimes[i])
def testBaseBarFeed(self):
barFeed = yahoofeed.Feed()
barFeed.sanitizeBars(True)
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barfeed_test.check_base_barfeed(self, barFeed, True)
def __getFeed(self):
# Load the feed and process all bars.
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
VWAPTestCase.Instrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
return barFeed
def testSetSharesWithNoStartingCash(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
AnalyzerTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = test_strategy.BacktestingStrategy(barFeed, 0)
initialShares = 2
initialPrice = 16.25
strat.getBroker().setShares(AnalyzerTestCase.TestInstrument,
initialShares, initialPrice)
# Close initial position
closingPrice = 32.50
strat.scheduleCall(
datetime.datetime(2001, 1, 4), lambda: strat.marketOrder(
AnalyzerTestCase.TestInstrument, -initialShares))
stratAnalyzer = returns.Returns()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertEqual(
strat.getBroker().getShares(AnalyzerTestCase.TestInstrument), 0)
self.assertEqual(strat.getBroker().getCash(),
closingPrice * initialShares)
# Check period returns.
expectedPeriodReturns = [
(26.37 - initialPrice) / initialPrice,
(32.00 - 26.37) / 26.37,
(32.56 - 32.00) / 32.00,
(32.50 - 32.56) / 32.56,
0,
# Nothing should change moving forward
0,
0,
]
for i, expectedReturn in enumerate(expectedPeriodReturns):
self.assertEqual(stratAnalyzer.getReturns()[i], expectedReturn)
self.assertEqual(stratAnalyzer.getReturns()[-1],
expectedPeriodReturns[-1])
# Check cumulative returns.
expectedCumulativeReturns = [
(26.37 - initialPrice) / initialPrice,
(32.00 - initialPrice) / initialPrice,
(32.56 - initialPrice) / initialPrice,
(32.50 - initialPrice) / initialPrice,
# Nothing should change moving forward
(32.50 - initialPrice) / initialPrice,
(32.50 - initialPrice) / initialPrice,
]
for i, expectedReturn in enumerate(expectedCumulativeReturns):
self.assertEqual(round(stratAnalyzer.getCumulativeReturns()[i], 4),
round(expectedReturn, 4))
self.assertEqual(round(stratAnalyzer.getCumulativeReturns()[-1], 4),
round(expectedCumulativeReturns[-1], 4))
def testDefaultInstrument(self):
barFeed = yahoofeed.Feed()
self.assertEqual(barFeed.getDefaultInstrument(), None)
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
self.assertEqual(barFeed.getDefaultInstrument(),
FeedTestCase.TestInstrument)
def testNoEvents(self):
feed = yahoofeed.Feed()
feed.addBarsFromCSV(
"orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"))
predicate = Predicate([])
eventProfiler = eventprofiler.Profiler(predicate, 5, 5)
eventProfiler.run(feed, True)
self.assertEqual(eventProfiler.getResults().getEventCount(), 0)
def testDuplicateBars(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
with self.assertRaisesRegex(Exception, "Duplicate bars found for.*"):
barFeed.loadAll()
def testWithoutTimezone(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
for dateTime, bars in barFeed:
bar = bars.getBar(FeedTestCase.TestInstrument)
self.assertTrue(dt.datetime_is_naive(bar.getDateTime()))
def testFailingStrategy(self):
barFeed = yahoofeed.Feed()
instrument = "orcl"
barFeed.addBarsFromCSV(
instrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
res = local.run(FailingStrategy,
barFeed,
parameters_generator(instrument, 5, 100),
logLevel=logging.DEBUG)
self.assertIsNone(res)
def testWithDefaultTimezone(self):
barFeed = yahoofeed.Feed(
timezone=marketsession.USEquities.getTimezone())
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
for dateTime, bars in barFeed:
bar = bars.getBar(FeedTestCase.TestInstrument)
self.assertFalse(dt.datetime_is_naive(bar.getDateTime()))
def testWithIntegerTimezone(self):
try:
barFeed = yahoofeed.Feed(timezone=-5)
self.assertTrue(False, "Exception expected")
except Exception as e:
self.assertTrue(
str(e).find(
"timezone as an int parameter is not supported anymore") ==
0)
try:
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"), -3)
self.assertTrue(False, "Exception expected")
except Exception as e:
self.assertTrue(
str(e).find(
"timezone as an int parameter is not supported anymore") ==
0)
def testMapTypeOperations(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"),
marketsession.USEquities.getTimezone())
for dateTime, bars in barFeed:
self.assertTrue(FeedTestCase.TestInstrument in bars)
self.assertFalse(FeedTestCase.TestInstrument not in bars)
bars[FeedTestCase.TestInstrument]
with self.assertRaises(KeyError):
bars["pirulo"]
def testOneEvent(self):
feed = yahoofeed.Feed()
feed.addBarsFromCSV(
"orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"))
predicate = Predicate([datetime.date(2000, 1, 11)])
eventProfiler = eventprofiler.Profiler(predicate, 5, 5)
eventProfiler.run(feed, True)
self.assertEqual(eventProfiler.getResults().getEventCount(), 1)
self.assertEqual(eventProfiler.getResults().getValues(0)[0], 1.0)
self.assertEqual(round(eventProfiler.getResults().getValues(5)[0], 5),
round(1.016745541, 5))
def testLocal(self):
barFeed = yahoofeed.Feed()
instrument = "orcl"
barFeed.addBarsFromCSV(
instrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
res = local.run(sma_crossover.SMACrossOver,
barFeed,
parameters_generator(instrument, 5, 100),
logLevel=logging.DEBUG,
batchSize=50)
self.assertEqual(round(res.getResult(), 2), 1295462.6)
self.assertEqual(res.getParameters()[1], 20)
def testNoTrades(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
"ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
strat = strategy_test.BaseStrategy(barFeed, 1000)
stratAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.getBroker().getCash() == 1000)
self.assertTrue(stratAnalyzer.getSharpeRatio(0.04, True) == 0)
self.assertTrue(stratAnalyzer.getSharpeRatio(0) == 0)
self.assertTrue(stratAnalyzer.getSharpeRatio(0, True) == 0)
def testNoTrades(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV("ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
barFeed.addBarsFromCSV("spy", common.get_data_file_path("sharpe-ratio-test-spy.csv"))
strat = strategy_test.BaseStrategy(barFeed, 1000)
strat.setBrokerOrdersGTC(True)
strat.setUseAdjustedValues(True)
stratAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.getBroker().getCash() == 1000)
self.assertEqual(strat.orderUpdatedCalls, 0)
self.assertTrue(stratAnalyzer.getMaxDrawDown() == 0)
self.assertTrue(stratAnalyzer.getLongestDrawDownDuration() == datetime.timedelta())
def testBaseFeedInterface(self):
tmpFeed = TemporarySQLiteFeed(SQLiteFeedTestCase.dbName, bar.Frequency.DAY)
with tmpFeed:
# Load bars using a Yahoo! feed.
yahooFeed = yahoofeed.Feed()
yahooFeed.addBarsFromCSV("orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"), marketsession.USEquities.timezone)
yahooFeed.addBarsFromCSV("orcl", common.get_data_file_path("orcl-2001-yahoofinance.csv"), marketsession.USEquities.timezone)
# Fill the database using the bars from the Yahoo! feed.
sqliteFeed = tmpFeed.getFeed()
sqliteFeed.getDatabase().addBarsFromFeed(yahooFeed)
# Load the SQLite feed and process all bars.
sqliteFeed.loadBars("orcl")
feed_test.tstBaseFeedInterface(self, sqliteFeed)
def testCSVFeedLoadOrder(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
# Dispatch and handle events.
handler = BarFeedEventHandler_TestLoadOrder(
self, barFeed, FeedTestCase.TestInstrument)
barFeed.getNewValuesEvent().subscribe(handler.onBars)
while not barFeed.eof():
barFeed.dispatch()
self.assertTrue(handler.getEventCount() > 0)
def testDifferentTimezones(self):
# Market times in UTC:
# - TSE: 0hs ~ 6hs
# - US: 14:30hs ~ 21hs
feed = yahoofeed.Feed()
for year in [2010, 2011]:
feed.addBarsFromCSV(
"^n225",
common.get_data_file_path("nikkei-%d-yahoofinance.csv" % year),
marketsession.TSE.getTimezone())
feed.addBarsFromCSV(
"spy",
common.get_data_file_path("spy-%d-yahoofinance.csv" % year),
marketsession.USEquities.getTimezone())
self.__testDifferentTimezonesImpl(feed)
def __testFilteredRangeImpl(self, fromDate, toDate):
barFeed = yahoofeed.Feed()
barFeed.setBarFilter(csvfeed.DateRangeFilter(fromDate, toDate))
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
# Dispatch and handle events.
handler = BarFeedEventHandler_TestFilterRange(
self, FeedTestCase.TestInstrument, fromDate, toDate)
barFeed.getNewValuesEvent().subscribe(handler.onBars)
while not barFeed.eof():
barFeed.dispatch()
self.assertTrue(handler.getEventCount() > 0)
def testBounded(self):
barFeed = yahoofeed.Feed(maxLen=2)
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"),
marketsession.USEquities.getTimezone())
for dateTime, bars in barFeed:
pass
barDS = barFeed[FeedTestCase.TestInstrument]
self.assertEqual(len(barDS), 2)
self.assertEqual(len(barDS.getDateTimes()), 2)
self.assertEqual(len(barDS.getCloseDataSeries()), 2)
self.assertEqual(len(barDS.getCloseDataSeries().getDateTimes()), 2)
self.assertEqual(len(barDS.getOpenDataSeries()), 2)
self.assertEqual(len(barDS.getHighDataSeries()), 2)
self.assertEqual(len(barDS.getLowDataSeries()), 2)
self.assertEqual(len(barDS.getAdjCloseDataSeries()), 2)
