def test_logger():
"""
tests the logger creation
:return: nothing
"""
logger = TraderBase.setup_logger("auto_trader")
assert logger is not None
logger = TraderBase.setup_logger(None)
assert logger is not None
def test_date_gen_for_back_test(self):
"""
Tests the date generator / splitter
:return:
"""
from_date, to_date = get_from_to_dates(None, None)
assert from_date is None and to_date is None
config = TraderBase.get_config()
logger = TraderBase.setup_logger("autotrader")
db_tool = StockDataBase(config["sql"], logger)
db_tool.connect()
db_tool.session.query(Plot).delete()
db_tool.session.query(Parameter).delete()
db_tool.session.query(Signal).delete()
stock = db_tool.session.query(Stock).first()
with freeze_time("2017-10-02 09:54"):
my_signal = Signal(
profit_in_percent=1,
name="TestSignal",
status=2,
date=datetime.datetime.now(),
refresh_date=datetime.datetime.now(),
)
stock.signal.append(my_signal)
with freeze_time("2017-08-02 09:33"):
my_signal = Signal(
profit_in_percent=1,
name="TestSignal",
status=2,
date=datetime.datetime.now(),
refresh_date=datetime.datetime.now(),
)
stock.signal.append(my_signal)
with freeze_time("2017-10-02"):
my_dates_tasks = [get_from_to_dates(db_tool, [idx, 8]) for idx in range(8)]
assert len(my_dates_tasks) == 8
my_dates_tasks_back = []
for from_date, to_date in my_dates_tasks:
for my_date in BackTestingStrategy.date_range(from_date, to_date):
my_dates_tasks_back.append(my_date)
my_first_date = db_tool.session.query(Signal.date).order_by(Signal.date).first()
my_dates_orig = [my_date for my_date in
BackTestingStrategy.date_range(my_first_date[0],
datetime.datetime.now())]
# assert len(my_dates_orig) == len(my_dates_tasks_back)
# for idx, my_date_back in enumerate(my_dates_tasks_back):
# assert my_date_back == my_dates_orig[idx]
db_tool.session.rollback()
def __do_limit(self, stock, order_data: dict, portfolio):
if "size" not in order_data or "price" not in order_data or order_data['price'] == -1\
or "buysell" not in order_data:
raise RuntimeError("Order data is not correct")
price, price_complete, commission = self.__calculate_price(order_data['price'], order_data,
order_data["buysell"] == 1)
if order_data["buysell"] == 0 and portfolio.cash + price_complete < 0:
raise RuntimeError("Insufficient Funds: Price {} is higher than cash {}".format(
price_complete,
portfolio.cash))
time_zone = TraderBase.get_timezone()
now = datetime.datetime.now(time_zone)
my_order = Orders(
status=Status.confirmed,
order_type=OrderType.limit,
order_uuid=str(uuid.uuid4()),
size=order_data["size"]*-1 if order_data["buysell"] == 1 else order_data["size"],
price=price,
price_complete=price_complete,
commission=commission,
stock_id=stock.id,
signal_id=order_data.get('signal_id'),
expire_date=datetime.datetime.now(time_zone) +
datetime.timedelta(hours=self.expire_in_hours),
is_sell=True if order_data["buysell"] == 1 else False,
date=now
)
return my_order
def __do_market(self, stock, order_data: dict, portfolio):
if "size" not in order_data or "buysell" not in order_data:
raise RuntimeError("Order data is not correct")
# get live data
prices = self.get_last_price(stock)
# get last stock price by database
if not prices:
raise RuntimeError("Couldnt collect price")
last_price = prices
price, price_complete, commission = self.__calculate_price(last_price, order_data,
order_data["buysell"] == 1)
if order_data["buysell"] != 1 and (portfolio.cash + price_complete) < 0:
raise RuntimeError("Insufficient Funds: Price {} is higher"
" than cash {}.".format(price, portfolio.cash))
time_zone = TraderBase.get_timezone()
now = datetime.datetime.now(time_zone)
my_order = Orders(
status=Status.completed,
order_type=OrderType.market,
order_uuid=str(uuid.uuid4()),
size=order_data["size"]*-1 if order_data["buysell"] == 1 else order_data["size"],
price=price,
price_complete=price_complete,
commission=commission,
stock_id=stock.id,
signal_id=order_data.get('signal_id'),
is_sell=True if order_data["buysell"] == 1 else False,
date=now
)
return my_order
def __handle_open_orders(self):
"""
Get all open orders and check if desired price matches with historical stock prices
:return:
"""
portfolio = self.get_portfolio_object()
# only take complete orders
orders = [order for order in portfolio.orders if order.status == Status.confirmed]
time_zone = TraderBase.get_timezone()
now = datetime.datetime.now(time_zone)
for order in orders:
price = self.db_tool.session.query(Series)\
.filter(order.stock_id == Series.stock_id) \
.filter(Series.date.between(order.date, now)) \
.filter(order.price >= Series.pricehigh)\
.order_by(Series.date.asc()).first()
if price:
order.status = Status.completed
order.date = price.date
self.connect_related_order(order)
else:
diff = now - order.date.replace(tzinfo=time_zone)
hours = diff.total_seconds() / 60
if hours >= self.expire_in_hours:
self.logger.info("Order is expired because limit {} for {} "
"was not reached during the day".
format(order.price, order.stock_id))
order.status = Status.expired
portfolio.cash -= order.price_complete
def test_gen_signal():
"""
Tests two stocks with freezed data set
"""
config = TraderBase.get_config()
db_tool = Db(config['sql'], TEST_LOGGER)
db_tool.connect()
symbols = [["LHA", 0.6, 2], ["MRK", 0.4, 0]]
for symbol in symbols:
stock = db_tool.session.query(Stock).filter(
symbol[0] == Stock.symbol).first()
arguments = {
'stock': stock,
'name': 'StockIsHot2Month',
'bars': None,
'threshold_buy': 0.8,
'threshold_sell': 0.5,
'intervals': [7, 30],
'secure_value': 0.84,
'lookback': 2
}
my_filter = Sih(arguments, TEST_LOGGER)
bars = stock.get_bars(my_filter.look_back_date(),
output_type=BARS_NUMPY)
my_filter.set_bars(bars)
status = my_filter.analyse()
TEST_LOGGER.info("%s score is: %s and status %s", symbol[0],
my_filter.get_calculation(), status)
npt.assert_almost_equal(my_filter.get_calculation(),
symbol[1],
decimal=4)
assert symbol[2] == status
db_tool.session.close()
def compare_excepted_with_results():
"""
Tests two stocks with freezed data set
"""
config = TraderBase.get_config()
db_tool = Db(config['sql'], TestBase.TEST_LOGGER)
db_tool.connect()
symbols = TestBase.test_stocks
excepted_results = TestBase.test_excepted_results
results = []
# collect results
for symbol in symbols:
stock = db_tool.session.query(Stock).filter(
symbol == Stock.symbol).first()
for param in TestBase.test_params:
results.append(TestBase.calculate_profit(stock, None, param))
# compare calculated results with excepted results
for idx, result in enumerate(results):
TestBase.TEST_LOGGER.info("Profit is %s and status %s", result[0],
result[1])
assert result[1] == excepted_results[idx][
1], "Test%s: %s != %s" % (idx, result[1],
excepted_results[idx][1])
db_tool.session.close()
def test_gen_signal():
"""
Tests two stocks with freezed data set
"""
config = TraderBase.get_config()
db_tool = Db(config['sql'], TEST_LOGGER)
db_tool.connect()
symbols = [["LHA", 5, 0], ["MRK", -6, 0]]
for symbol in symbols:
stock = db_tool.session.query(Stock).filter(
symbol[0] == Stock.symbol).first()
arguments = {
'stock': stock,
'name': Pr.NAME,
'bars': stock.get_bars(output_type=BARS_NUMPY),
'threshold_buy': 10,
'threshold_sell': 5,
'intervals': None,
'lookback': 2
}
my_filter = Pr(arguments, TEST_LOGGER)
status = my_filter.analyse()
TEST_LOGGER.info("%s score is: %s and status %s", symbol[0],
my_filter.get_calculation(), status)
assert symbol[1] == my_filter.get_calculation()
assert symbol[2] == status
db_tool.session.close()
def setUpClass(cls):
cls.config = TraderBase.get_config()
cls.db = StockDataBase(cls.config['sql'], TEST_LOGGER)
cls.db.connect()
arguments = {"db_tool": cls.db}
cls.client = DegiroClient(cls.config['degiro'], arguments, TEST_LOGGER)
cls.client.login()
def build_indicator(self, arguments):
stock_id = arguments["stock_id"]
stock_index = arguments["stock_index"]
stock_symbol = arguments["stock_symbol"]
stock_bars = arguments["stock_bars"]
self.logger.info("Analyse %s:%s" % (stock_index, stock_symbol))
return_code = 0
indicators = []
for indicator in ind.INDICATORS:
if indicator.SHORT_NAME in self.signal_to_builds or 'ALL' in self.signal_to_builds:
indicators.append(indicator(indicator.ARGUMENTS, self.logger))
for indicator in indicators:
self.logger.info("Execute filter %s" % indicator.name)
if indicator.SHORT_NAME in ["SO", "SOM2", "SOM3"]:
optimizer_values = itertools.product(
range(3, int(self.look_back / 2)),
range(3, int(self.look_back / 2)),
range(3, int(self.look_back / 2)))
else:
optimizer_values = itertools.combinations(
range(5, int(self.look_back / 2)), indicator.param_count)
profit_max, param_max, status = Optimizer(
self.logger).run_optimizer(optimizer_values, indicator,
stock_bars)
self.logger.info(
"Signal %s(%s) earns %s for %s and has status code %s" %
(indicator.name, param_max, profit_max, stock_symbol, status))
if not param_max:
self.logger.warning("no results for %s", indicator)
continue
# save to bulk data storage
db_signal = Signal(
profit_in_percent=float(profit_max),
name=indicator.name,
status=status,
info=self.look_back,
date=datetime.datetime.now(TraderBase.get_timezone()),
refresh_date=datetime.datetime.now(TraderBase.get_timezone()))
self.__add_signal_to_bulk(stock_id, db_signal)
self.__add_parameter_to_bulk(db_signal, param_max)
self.__add_plot_to_bulk(indicator, param_max, db_signal)
return return_code
def test_config():
"""
tests the config creation by environment variable and root project dir
:return: nothing
"""
# test with config.ini in project root
main_config = TraderBase.get_config()
assert main_config is not None
# test with environment variable
file_config = open('config_test_unittest.ini', 'wt', encoding='utf-8')
test_value = "[test]\ntest_value = 123456"
file_config.write(test_value)
file_config.close()
old_config_path = os.environ["CONFIG_FILE"]
os.environ["CONFIG_FILE"] = "config_test_unittest.ini"
main_config = TraderBase.get_config()
assert main_config['test']['test_value'] == '123456'
os.environ.pop("CONFIG_FILE")
os.environ["CONFIG_FILE"] = old_config_path
def setUpClass(cls):
"""
create test basics
:return:
"""
cls.config = TraderBase.get_config()
cls.test_logger = logging.getLogger()
cls.test_logger.setLevel(logging.WARNING)
cls.db_tool = Db(cls.config['sql'], cls.test_logger)
cls.db_tool.connect()
assert 'PYCHARM' in os.environ or cls.config['sql']['address'] == 'mysqltest'
def test_get_stocks(self):
"""
Test stocks splitter
:return:
"""
stocks = get_stocks(None, None)
assert 'ALL' in stocks and len(stocks) == 1
config = TraderBase.get_config()
logger = TraderBase.setup_logger("autotrader")
db_tool = StockDataBase(config["sql"], logger)
db_tool.connect()
my_stocks = db_tool.session.query(Stock.id).all()
my_stocks_orig = [my_stock[0] for my_stock in my_stocks if my_stock]
my_stocks_tasks = []
for idx in range(8):
my_stocks_tasks += get_stocks(db_tool, [idx, 8])
assert len(my_stocks) == len(my_stocks_tasks)
for idx, stock_orig in enumerate(my_stocks_orig):
assert stock_orig == my_stocks_tasks[idx]
def __is_exchange_open(exchange: str):
"""
:param exchange:
:return:
"""
time_zone = TraderBase.get_timezone()
date_now = datetime.datetime.now(time_zone)
if exchange == 'XETR':
if date_now.isoweekday() in range(1, 6) and date_now.hour in range(9, 17):
return True
elif exchange == 'XFRA':
if date_now.isoweekday() in range(1, 6) and date_now.hour in range(8, 20):
return True
return False
def get_last_price(self, stock_object, time_zone=None):
"""
Get last price of stock symbol
:param stock_object: symbol of stock like ADS
:param time_zone tz
:return: last price or None
"""
time_zone = TraderBase.get_timezone()
if self.client:
return self.client.get_last_price(stock_object)
# get last stock price by database
price = self.db_tool.session.query(Series)\
.join(Stock)\
.filter(Stock.id == stock_object.id)\
.filter(Series.date <= datetime.datetime.now(time_zone))\
.order_by(-Series.date).first()
if not price:
return None
return price.priceclose
def check_consistency():
"""
Checks if results are stable. The method must produce same values after n runs.
"""
config = TraderBase.get_config()
db_tool = Db(config['sql'], TestBase.TEST_LOGGER)
db_tool.connect()
stock = db_tool.session.query(Stock).filter(
Stock.symbol == TestBase.test_stocks[1]).first()
status_list = []
profits_list = []
for _ in range(100):
profit, status = TestBase.calculate_profit(stock,
TestBase.test_strategy,
TestBase.test_params)
status_list.append(status)
profits_list.append(profit)
# check if profit elements are equal and status elements are equal
assert status_list.count(status_list[0]) == len(status_list)
assert profits_list.count(profits_list[0]) == len(profits_list)
db_tool.session.close()
def __build(self, my_filter, stock):
bars = stock.get_bars(my_filter.look_back_date(),
datetime.datetime.now(),
output_type=BARS_NUMPY)
if my_filter.look_back_date() is None or bars.size:
my_filter.set_bars(bars)
my_filter.set_stock(stock)
strategy_status = my_filter.analyse()
strategy_value = my_filter.get_calculation()
tz = TraderBase.get_timezone()
stock.filter.append(
Filter(value=strategy_value,
name=my_filter.name,
status=strategy_status,
date=datetime.datetime.now(tz)))
if strategy_status == BaseFilter.BUY:
self.logger.debug("Buy %s", stock.symbol)
elif strategy_status == BaseFilter.HOLD:
self.logger.debug("Hold %s", stock.symbol)
else:
self.logger.debug("Do not buy Stock %s ", stock.symbol)
def setUpClass(cls):
"""
create test basics
:return:
"""
cls.config = TraderBase.get_config()
cls.test_logger = logging.getLogger()
cls.test_logger.setLevel(logging.WARNING)
cls.db_tool = Db(cls.config['sql'], cls.test_logger)
cls.db_tool.connect()
cls.portfolio_name = "TestDemoSimpleMarket"
arguments_broker = {
"portfolio_name": cls.portfolio_name,
"portfolio_user": "******",
"database_data": True,
"db_tool": cls.db_tool,
"cash": 20000000
}
cls.broker = DemoBroker(cls.config, arguments_broker, cls.test_logger)
assert 'PYCHARM' in os.environ or cls.config['sql'][
'address'] == 'mysqltest'
def __get_signals_to_update(db_tool, signal_max_age):
time_zone = TraderBase.get_timezone()
# at first we need all signals in a date range of 6 days
all_signals_in_date_range = db_tool.session.query(Signal).\
filter(Signal.date.between(datetime.now(time_zone) - timedelta(days=signal_max_age),
datetime.now(time_zone)))
# older signals connected with a order must also be refreshed
sub_orders = db_tool.session.query(
Orders.signal_id
)\
.filter(Orders.is_sell == 0)\
.filter(Orders.orders_id.is_(None))\
.group_by(Orders.signal_id).\
subquery('t3')
signals_with_order = db_tool.session.query(Signal).join(
sub_orders, Signal.id == sub_orders.c.signal_id)
update_new_signals = all_signals_in_date_range.union_all(
signals_with_order)
my_result = update_new_signals.all()
return my_result
def test_levermann():
"""
Tests two stocks with freezed data set
"""
config = TraderBase.get_config()
db_tool = Db(config['sql'], TEST_LOGGER)
db_tool.connect()
symbols = [["LHA", 1, 0], ["MRK", -1, 0]]
for symbol in symbols:
stock = db_tool.session.query(Stock).filter(
symbol[0] == Stock.symbol).first()
arguments = {
'stock':
stock,
'name':
Ls.NAME,
'bars':
stock.get_bars(start=datetime.datetime(2016, 6, 1, 0, 0),
end=datetime.datetime(2017, 9, 1, 0, 0),
output_type=BARS_NUMPY),
'threshold_buy':
7,
'threshold_sell':
2,
'intervals':
None,
'lookback':
12
}
my_filter = Ls(arguments, TEST_LOGGER)
status = my_filter.analyse()
TEST_LOGGER.info("%s score is: %s - %s", symbol[0],
my_filter.get_calculation(), status)
assert symbol[1] == my_filter.get_calculation(),\
" Calc: %s != %s" % (symbol[1], my_filter.get_calculation())
assert symbol[2] == status, " Status: %s != %s" % (symbol[2],
status)
db_tool.session.close()
def autotrader_app():
"""
Main entry point for autotrader application
:return:
"""
# print usage when no option is given
parsed_args = get_arg_parse(sys.argv[1:])
exit_code = 0
if not parsed_args:
return False
if parsed_args.config:
config = TraderBase.get_config(parsed_args.config)
logger = TraderBase.setup_logger("autotrader")
db_tool = StockDataBase(config["sql"], logger)
db_tool.connect()
print("Autotrader {}".format(VERSION))
if parsed_args.app:
build_app_db(logger, db_tool)
if parsed_args.dump:
build_yaml_file(db_tool)
if parsed_args.install is not None:
datasource = DegiroClient(config['degiro'], {"db_tool": None},
logger)
arguments = {
'stocks_to_update': ['ALL'], # For UpdateDataBaseStocks
'update_stocks': False, # For UpdateDataBaseStocks
'update_sheets': True, # For UpdateDataBaseStocks
'db_tool': db_tool,
'datasource': datasource
}
exit_code += CreateAndFillDataBase(config, arguments,
logger).build()
exit_code += UpdateDataBaseStocks(config, arguments,
logger).build()
if parsed_args.update is not None:
arguments = {
'stocks_to_update':
parsed_args.update,
'update_stocks':
True,
'update_sheets':
False,
'db_tool':
db_tool,
'datasource':
DegiroClient(config['degiro'], {"db_tool": db_tool}, logger)
}
exit_code += UpdateDataBaseStocks(config, arguments,
logger).build()
if parsed_args.updatesheets is not None:
arguments = {
'stocks_to_update':
parsed_args.updatesheets,
'update_stocks':
False,
'update_sheets':
True,
'db_tool':
db_tool,
'datasource':
DegiroClient(config['degiro'], {"db_tool": db_tool}, logger)
}
exit_code += UpdateDataBaseStocks(config, arguments,
logger).build()
if parsed_args.backup is not None:
raise NotImplementedError
if parsed_args.filter is not None:
arguments = {'db_tool': db_tool}
exit_code += BuildFilters(arguments, logger).build()
if parsed_args.rebuild_filter is not None:
from_date, to_date = get_from_to_dates(db_tool, parsed_args.task)
arguments = {
'db_tool': db_tool,
"from_date": from_date,
"to_date": to_date,
'filters': parsed_args.rebuild_filter
}
exit_code += RecreateFilters(arguments, logger).build()
if parsed_args.delete_filter is not None:
arguments = {
'db_tool': db_tool,
'filters': parsed_args.delete_filter
}
my_recreate = RecreateFilters(arguments, logger)
my_recreate.delete_old_filter()
if parsed_args.delete_backtest_strategy is not None:
arguments_broker = {
"portfolio_name": "",
"portfolio_user": "******",
"database_data": True,
"db_tool": db_tool,
"cash": 2000
}
arguments = {
'strategies': ["ALL"],
'broker': DemoBroker(config, arguments_broker, logger),
'strategy_name_prefix': 'B',
'db_tool': db_tool
}
StartStrategy(config, arguments, logger).recreate_all_strategies()
arguments["broker"].commit_work()
if parsed_args.delete_demo_strategy is not None:
arguments_broker = {
"portfolio_name": "",
"portfolio_user": "******",
"database_data": True,
"db_tool": db_tool,
"cash": 2000
}
arguments = {
'strategies': ["ALL"],
'broker': DemoBroker(config, arguments_broker, logger),
'strategy_name_prefix': 'D',
'db_tool': db_tool
}
StartStrategy(config, arguments, logger).recreate_all_strategies()
arguments["broker"].commit_work()
if parsed_args.signals is not None:
# split all stocks in almost equal pieces and get part of split by task id
my_stocks = get_stocks(db_tool, parsed_args.task)
arguments = {
'signals': ["ALL"],
'stocks': my_stocks,
"look_back": 300,
'db_tool': db_tool
}
exit_code += BuildIndicators(config, arguments, logger).build()
if parsed_args.quicksignals is not None:
# split all stocks in almost equal pieces and get part of split by task id
my_stocks = get_stocks(db_tool, parsed_args.task)
arguments = {
'signals': ["ALL"],
'stocks': my_stocks,
"look_back": 300,
'db_tool': db_tool
}
exit_code += BuildIndicatorsQuick(config, arguments,
logger).build()
if parsed_args.live:
arguments_broker = {
"portfolio_name": "degiro",
"portfolio_user": "******",
"database_data": False,
"db_tool": db_tool
}
degiro = DegiroClient(config["degiro"], arguments_broker, logger)
degiro.login()
arguments = {
'strategies': ["SecureHotH6MonthT50V40"],
'broker': degiro,
'strategy_name_prefix': 'L',
'db_tool': db_tool
}
exit_code += StartStrategy(config, arguments, logger).build()
if parsed_args.strategy is not None:
arguments_broker = {
"portfolio_name": "",
"portfolio_user": "******",
"database_data": False,
"db_tool": db_tool,
"cash": 2000
}
arguments = {
'strategies': parsed_args.strategy,
'broker': DemoBroker(config, arguments_broker, logger),
'strategy_name_prefix': 'D',
'db_tool': db_tool
}
exit_code += StartStrategy(config, arguments, logger).build()
arguments["broker"].commit_work()
if parsed_args.back_test_strategy is not None:
arguments_broker = {
"portfolio_name": "",
"portfolio_user": "******",
"database_data": True,
"db_tool": db_tool,
"cash": 2000
}
backtest_days = int(config['autotrader']['backtest_days'])
from_date, to_date = datetime.datetime.now() + datetime.timedelta(days=-backtest_days), \
datetime.datetime.now()
arguments = {
"strategies": ["ALL"],
'stocks': ["ALL"],
"signals": ["ALL"],
'db_tool': db_tool,
"broker": DemoBroker(config, arguments_broker, logger),
"from_date": from_date,
"to_date": to_date
}
exit_code += BackTestingStrategy(config, arguments, logger).build()
arguments["broker"].commit_work()
if parsed_args.version:
print(VERSION)
return exit_code
See the License for the specific language governing permissions and
limitations under the License.
"""
import unittest
import logging
from autotrader.base.trader_base import TraderBase
from autotrader.broker.degiro.degiro_client import DegiroClient
from autotrader.datasource.database.stock_database import StockDataBase
from autotrader.datasource.database.stock_schema import BARS_NUMPY, BARS_PANDAS, Stock
from autotrader.tool.database.create_and_fill_database import CreateAndFillDataBase
from autotrader.tool.database.update_database_stocks import UpdateDataBaseStocks
TEST_LOGGER = logging.getLogger()
TEST_LOGGER.setLevel(logging.WARNING)
CONFIG = TraderBase.get_config()
CONFIG['sql']['database'] = 'testdatabase'
DB = StockDataBase(CONFIG['sql'], TEST_LOGGER)
class TestDataBase(unittest.TestCase):
"""
Test suite for database installer
"""
@staticmethod
def test_1_install_db():
"""
test install db
:return:
"""
from fnmatch import filter
from freezegun import freeze_time
from int_date import to_date
from sqlalchemy.orm import query
from autotrader.base.trader_base import TraderBase
from autotrader.broker.degiro.degiro_client import DegiroClient
from autotrader.broker.degiro.degiro_config_helper import DegiroConfigHelper
from autotrader.datasource.database.stock_database import StockDataBase
from autotrader.datasource.database.stock_schema import OrderType, Orders, \
Status, Stock, Signal
TEST_LOGGER = logging.getLogger()
TEST_LOGGER.setLevel(logging.WARNING)
tz = TraderBase.get_timezone()
class TestDegiro(unittest.TestCase):
"""
Degiro test suite
"""
@classmethod
def setUpClass(cls):
cls.config = TraderBase.get_config()
cls.db = StockDataBase(cls.config['sql'], TEST_LOGGER)
cls.db.connect()
arguments = {"db_tool": cls.db}
cls.client = DegiroClient(cls.config['degiro'], arguments, TEST_LOGGER)
cls.client.login()
def get_plot(self):
"""
Generate plot data for highcharts
:return: json series string
"""
tz = TraderBase.get_timezone()
series_list = [{
"name":
"Price",
"data":
[[int(self.times[idx].replace(tzinfo=tz).timestamp()) * 1000, x]
for idx, x in enumerate(self.open)],
"id":
'dataseries'
}, {
"type": 'flags',
"data": [],
"onSeries": 'dataseries',
"shape": 'circlepin',
"width": 20
}]
# we have to generate the siganl again
signal = self.generate_signals()
for idx, val in enumerate(signal):
timestamp = int(self.times[idx + self.signal_shift].replace(
tzinfo=tz).timestamp()) * 1000
if val == 1:
series_list[1]["data"].append({
"x": timestamp,
"title": 'B',
"text": 'Buy',
"color": "#155724",
"fillColor": "#c3e6cb",
"style": {
"fontFamily": 'monospace',
"color": "#155724"
}
})
elif val == -1:
series_list[1]["data"].append({
"x": timestamp,
"title": 'S',
"text": 'Sell',
"color": "#721c24",
"fillColor": "#f8d7da",
"style": {
"fontFamily": 'monospace',
"color": "#721c24"
}
})
indicators = self.get_indicators()
for idx, val in enumerate(indicators):
data_shift = len(series_list[0]["data"]) - val.size
indicator_values = [None for _ in range(data_shift)]
for idx2, val2 in enumerate(val):
timestamp = int(self.times[idx2 + data_shift].replace(
tzinfo=tz).timestamp()) * 1000
indicator_values.append([timestamp, val2])
series_list.append({
"yAxis": 1,
"name": "Graph" + str(idx),
"data": indicator_values
})
my_json_str = json.dumps(series_list)
my_pack_str = base64.b64encode(
zlib.compress(my_json_str.encode("utf-8"), 9))
size_str = sys.getsizeof(my_json_str)
size_pack = sys.getsizeof(my_pack_str)
debug_msg = "Size before {} and size after {}. {}".format(
size_str, size_pack, 1 - size_pack / size_str)
self.logger.debug(debug_msg)
return my_pack_str
def setUpClass(cls):
cls.config = TraderBase.get_config()
cls.db_tool = Db(cls.config['sql'], TEST_LOGGER)
cls.db_tool.connect()
def test_8_back_testing(self):
"""
test the back testing tool for strategies
:return:
"""
tz = TraderBase.get_timezone()
logging.basicConfig(level=logging.DEBUG)
date_now = datetime.datetime.now(tz=tz)
date_fake_starts = date_now - datetime.timedelta(days=150)
config = TraderBase.get_config()
my_parameter = [Parameter(value=5), Parameter(value=6)]
signal_list = self.create_fake_signals(
-2, date_fake_starts, [1], 'UltimateOscillatorCrossEmaSignal',
my_parameter)
assert signal_list
assert len(signal_list) == 1
my_plot = Plot()
my_plot.add_plot_to_data({})
signal_list[0].plot.append(my_plot)
self.db_tool.commit()
arguments_broker = {
"portfolio_name": "",
"portfolio_user": "******",
"database_data": True,
"db_tool": self.db_tool,
"cash": 2000
}
arguments = {
"strategies": ["SimpleMarket40"],
"signals": ["Uoe"],
"stocks": [1],
"look_back": 400,
"db_tool": self.db_tool,
"broker": DemoBroker(config, arguments_broker, self.test_logger),
"from_date": date_fake_starts,
"to_date": date_now
}
BackTestingStrategy(config, arguments, self.test_logger).build()
arguments["broker"].commit_work()
json_data = self.db_tool.session.query(Plot).\
filter(Plot.signal_id == signal_list[0].id).first()
assert json_data.data
json_data = json_data.get_plot()
assert json_data != '{}'
# todo analyse more functions with default datetime.now() arguments
# todo solve monday not tlrade issue
tz = TraderBase.get_timezone()
sell_date = [
datetime.datetime.fromtimestamp(int(data["x"]) / 1000, tz=tz)
for data in json_data[1]["data"] if data["text"] == "Sell"
]
buy_date = [
datetime.datetime.fromtimestamp(int(date["x"]) / 1000, tz=tz)
for date in json_data[1]["data"] if date["text"] == "Buy"
]
assert sell_date and buy_date
# now we check if strategy really bought stocky by signal
sell_date = [
item for item in sell_date if date_now >= item >= date_fake_starts
]
buy_date = [
item for item in buy_date if date_now >= item >= date_fake_starts
]
assert sell_date and buy_date
# remove first sell signal if younger than first buy signal
if sell_date[0] < buy_date[0]:
sell_date.pop(0)
my_orders_buy = [
x[0] for x in self.db_tool.session.query(Orders.date).filter(
Orders.is_sell == 0).order_by(Orders.date).all()
]
my_orders_sell = [
x[0] for x in self.db_tool.session.query(Orders.date).filter(
Orders.is_sell == 1).order_by(Orders.date).all()
]
assert len(my_orders_buy) == len(buy_date)
assert len(my_orders_sell) == len(sell_date)
def check_date(date_list1, date_list2):
"""
returns false if date in list is unequal
:param date_list1:
:param date_list2:
:return:
"""
for idx, my_date1 in enumerate(date_list1):
if my_date1.replace(
tzinfo=tz).date() != date_list2[idx].date():
return False
return True
assert check_date(my_orders_buy, buy_date), \
" The given date lists are not equal %s %s" % (my_orders_buy, buy_date)
assert check_date(my_orders_sell, sell_date), \
" The given date lists are not equal %s %s" % (my_orders_sell, sell_date)
