def GenBTReport(bt_file_path, file_name='strat_pnl_hist'):
r = Reader()
t = Trader()
r.load_order_file(bt_file_path)
for i in range(r.get_ordersize()):
o = r.read_border(i)
if o.price > 0 and abs(o.size) > 0:
t.RegisterOneTrade(o.ticker, o.size if o.side == 1 else -o.size,
o.price)
t.PlotStratPnl(file_name)
return t.GenDFReport(), t.GenStratReport()
def TradeReport(date_prefix, trade_path, cancel_path, file_name=''):
trader = Trader()
command = 'cat ' + date_prefix + 'log/order.log | grep Filled > ' + trade_path + '; cat ' + date_prefix + 'log/order_night.log | grep Filled >> ' + trade_path
command_result = subprocess.Popen(command,
shell=True,
stdout=subprocess.PIPE,
stderr=subprocess.STDOUT)
command = 'cat ' + date_prefix + 'log/order.log | grep Cancelled > ' + cancel_path + '; cat ' + date_prefix + 'log/order_night.log | grep Cancelled >> ' + cancel_path
command_result = subprocess.Popen(command,
shell=True,
stdout=subprocess.PIPE,
stderr=subprocess.STDOUT)
time.sleep(3)
trade_details = []
with open(trade_path) as f:
ei = ExchangeInfo()
for l in f:
temp = []
ei.construct(l)
temp.append(
datetime.datetime.fromtimestamp(float(
ei.time_str)).strftime("%Y-%m-%d %H:%M:%S"))
temp.append(ei.ticker)
temp.append("Buy" if ei.side == 0 else "Sell")
temp.append(ei.trade_price)
temp.append(ei.trade_size)
trade_details.append(temp)
trader.RegisterOneTrade(
ei.ticker,
int(ei.trade_size) if ei.side == 0 else -int(ei.trade_size),
float(ei.trade_price))
#print('printint')
df = trader.GenDFReport()
trader.PlotStratPnl(file_name=file_name)
#print(df)
#trader.Summary()
df.insert(len(df.columns), 'cancelled', 0)
with open(cancel_path) as f:
ei = ExchangeInfo()
for l in f:
ei.construct(l)
if ei.ticker not in df.index:
df.loc[ei.ticker] = 0
df.loc[ei.ticker, 'cancelled'] = df.loc[ei.ticker, 'cancelled'] + 1
return df, trader.GenStratReport(), pd.DataFrame(
trade_details, columns=['time', 'ticker', 'Side', 'price', 'size'])