def assessFitness(self):
trade_at_open = True
fitnessess = []
for (d,date) in enumerate(trading_days):
# Make up some VWAP vol profiles
buying = buyings[d]
volProfiles = []
if trade_at_open:
filename = os.getcwd() + '/tickData/' + date.strftime('%Y%m%d') + ticker + 'open.csv'
startTrading = datetime.datetime.combine(date, datetime.time(13, 30, 0))
endTrading = datetime.datetime.combine(date, datetime.time(14, 0, 0))
volProfiles.append(VolWindow(datetime.time(13, 30, 0), datetime.time(13, 35, 0)))
volProfiles[0].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 35, 0), datetime.time(13, 40, 0)))
volProfiles[1].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 40, 0), datetime.time(13, 45, 0)))
volProfiles[2].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 45, 0), datetime.time(13, 50, 0)))
volProfiles[3].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 50, 0), datetime.time(13, 55, 0)))
volProfiles[4].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 55, 0), datetime.time(14, 00, 0)))
volProfiles[5].volProfile = 5
else:
filename = os.getcwd() + '/tickData/' + date.strftime('%Y%m%d') + ticker + 'close.csv'
startTrading = datetime.datetime.combine(date, datetime.time(13, 30, 0))
endTrading = datetime.datetime.combine(date, datetime.time(14, 0, 0))
volProfiles.append(VolWindow(datetime.time(13, 30, 0), datetime.time(13, 35, 0)))
volProfiles[0].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 35, 0), datetime.time(13, 40, 0)))
volProfiles[1].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 40, 0), datetime.time(13, 45, 0)))
volProfiles[2].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 45, 0), datetime.time(13, 50, 0)))
volProfiles[3].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 50, 0), datetime.time(13, 55, 0)))
volProfiles[4].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 55, 0), datetime.time(14, 00, 0)))
volProfiles[5].volProfile = 5
theVWAP = VWAP(startTrading,endTrading,BINSIZE)
trading_session = Trading(buying, date, startTrading, endTrading,
volProfiles, filename, open_prices[d], self.genotype)
trading_session.trade()
trades = trading_session.trades
trade_prices = [x[1] for x in trades]
theVWAP.addDatapointFile(filename, False)
the_vwaps = theVWAP.getBinVWAPS()
for (i,price) in enumerate(trade_prices):
if price==None: fitnessess.append(0.0)
else:
if trading_session.buying: f = (the_vwaps[i]-price)/float(the_vwaps[i])
else: f = (price-the_vwaps[i])/float(the_vwaps[i])
fitnessess.append(1+f)
self.fitness = (sum(fitnessess)/float(len(fitnessess)))
if __name__ == "__main__":
import sys
args = sys.argv[1:]
if len(args) != 1:
print(
"This script requires exactly one command-line argument. Killing")
exit(1)
import Trading
exit_code = Trading.run(args[0]) or 0
exit(exit_code)
else:
raise ImportError("Run this file directly, don't import it!")
if len(sys.argv) >= 2:
startPoint = int(sys.argv[1])
if len(sys.argv) == 3:
endPoint = int(sys.argv[2])
print("startPoint = %d, endPoint = %d" % (startPoint, endPoint))
historyData = loadData(startPoint, endPoint)
scene = ChartScene()
view = SceneView(scene)
mainWindow = MainWindow(view)
mainWindow.show()
mainWindow.setKeyPressAction(keyPress)
trading = Trading(scene)
def setStatusCursorCoordinates(point):
x = -1
for row in historyData:
if row['num'] == int(point.x()):
x = row['time']
break
if x == -1:
mainWindow.displayCoordinate(0, 0)
return
mainWindow.displayCoordinate(x, point.y())
trading.push(row['time'], row['price'])
pos += 1
startPoint = 0
endPoint = 0
if len(sys.argv) > 1:
if len(sys.argv) >= 2:
startPoint = int(sys.argv[1])
if len(sys.argv) == 3:
endPoint = int(sys.argv[2])
print("startPoint = %d, endPoint = %d" % (startPoint, endPoint))
historyData = loadData(startPoint, endPoint)
scene = ChartScene()
view = SceneView(scene)
mainWindow = MainWindow(view)
mainWindow.show()
mainWindow.setKeyPressAction(keyPress)
trading = Trading(scene)
pos = 0
for row in historyData:
trading.push(row['time'], row['price'])
pos += 1
if pos > 1000:
break
startTrading = datetime.datetime.combine(date, datetime.time(13, 30, 0))
endTrading = datetime.datetime.combine(date, datetime.time(14, 0, 0))
volProfiles.append(VolWindow(datetime.time(13, 30, 0), datetime.time(13, 35, 0)))
volProfiles[0].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 35, 0), datetime.time(13, 40, 0)))
volProfiles[1].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 40, 0), datetime.time(13, 45, 0)))
volProfiles[2].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 45, 0), datetime.time(13, 50, 0)))
volProfiles[3].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 50, 0), datetime.time(13, 55, 0)))
volProfiles[4].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 55, 0), datetime.time(14, 00, 0)))
volProfiles[5].volProfile = 5
trading_session = Trading(buying, date, startTrading, endTrading,
volProfiles, filename, open_prices[d], elite_genome)
trading_session.trade()
trades = trading_session.trades
trade_times = [x[0] for x in trades]
trade_prices = [x[1] for x in trades]
crappyvolProfiles = []
################ For crappy
crappyvolProfiles.append(VolWindow(datetime.time(13, 30, 0), datetime.time(13, 35, 0)))
crappyvolProfiles[0].volProfile = 5
crappyvolProfiles.append(VolWindow(datetime.time(13, 35, 0), datetime.time(13, 40, 0)))
crappyvolProfiles[1].volProfile = 5
crappyvolProfiles.append(VolWindow(datetime.time(13, 40, 0), datetime.time(13, 45, 0)))
crappyvolProfiles[2].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 30, 0), datetime.time(13, 35, 0)))
volProfiles[0].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 35, 0), datetime.time(13, 40, 0)))
volProfiles[1].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 40, 0), datetime.time(13, 45, 0)))
volProfiles[2].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 45, 0), datetime.time(13, 50, 0)))
volProfiles[3].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 50, 0), datetime.time(13, 55, 0)))
volProfiles[4].volProfile = 5
volProfiles.append(VolWindow(datetime.time(13, 55, 0), datetime.time(14, 00, 0)))
volProfiles[5].volProfile = 5
# trade
mornTrading = Trading(True, date, startTrading, endTrading, volProfiles, filename, oPrices[i])
mornTrading.trade()
# skim through file to work out period VWAP
pqSum = 0
qSum = 0
try:
reader = open(filename, 'rU')
for line in reader:
split = line.split(',')
if (split[1] == 'TRADE'):
pqSum += int(split[3]) * float(split[2])
qSum += int(split[3])
reader.close()
expVwap = (pqSum / float(qSum))
except IOError:
