def mainfunc():
with open (const.CFG_TARGET_FILE,'r') as f:
tgt_json=json.load(f)
print(tgt_json['symbols'])
bbid_dic=mc_dbapi.fetch_bbid(tgt_json['symbols'][0])
df=mc_dbapi.fetch_ohlc(bbid_dic['bbid'],tgt_json['start_date'],tgt_json['end_date'])
obj_strategy=strategy_pkg(tgt_json['symbols'][0],df[['middle']],tgt_json['strategy_start_date'],tgt_json['strategy_end_date'])
obj_strategy.hindcast_up_in_down_out()
obj_strategy.plot_funding_curve()
def load_data(self):
from dbapi import mc_dbapi
self.df = pd.DataFrame()
for tgt in self.target_names:
print(tgt + ' loading...')
bbid_dic = mc_dbapi.fetch_bbid(tgt)
df = mc_dbapi.fetch_ohlc(bbid_dic['bbid'], self.data_start_date,
self.strategy_end_time)
df = df.loc[:, ['middle']]
df = df.rename(columns={"middle": tgt})
self.df = pd.concat([self.df, df], axis=1)
def mainfunc():
date_lastday = datetime.datetime.now() + datetime.timedelta(days=-1)
date_startday = datetime.datetime.now() + datetime.timedelta(days=-366 *
11)
date_strategy_startday = datetime.datetime.now() + datetime.timedelta(
days=-366 * 10)
date_str_last = date_lastday.strftime('%Y%m%d')
date_str_start = date_startday.strftime('%Y%m%d')
with open(const.CFG_PORTFOLIO_FILE, 'r') as f:
tgt_json = json.load(f)
web_dic = {}
ii = 0
for tgt in tgt_json['symbols']:
ii = ii + 1
print(tgt)
bbid_dic = mc_dbapi.fetch_bbid(tgt)
df = mc_dbapi.fetch_ohlc(bbid_dic['bbid'], date_str_start,
date_str_last)
date_strategy_startday = parse_trading_day(df.index,
date_strategy_startday)
date_lastday = parse_trading_day(df.index, date_lastday)
obj_strategy = strategy_pkg(tgt, df[['middle']],
date_strategy_startday.strftime('%Y%m%d'),
date_lastday.strftime('%Y%m%d'))
obj_strategy.hindcast_up_in_down_out()
obj_strategy.strategy_info()
web_dic['target' + str(ii)] = obj_strategy.info
obj_strategy.plot_funding_curve()
plt.savefig(const.MERC_ROOT + '/routine_output/' + tgt + '.png')
plt.close()
with open(const.MERC_ROOT + '/routine_output/routine_info.json', 'w') as f:
json.dump(web_dic, f)
def get_us_eq_hist():
# search bbid
bbid_dic=mc_dbapi.fetch_bbid('QQQ')
df=mc_dbapi.fetch_ohlc(bbid_dic['bbid'],'20180304','20180905')
print(df[['close']])