def build_trading_timeline(start, end):
""" Build the daily-based index we will trade on """
EMPTY_DATES = pd.date_range("2000/01/01", periods=0, tz=pytz.utc)
now = dt.datetime.now(tz=pytz.utc)
if not start:
if not end:
# Live trading until the end of the day
bt_dates = EMPTY_DATES
live_dates = pd.date_range(start=now, end=normalize_date_format("23h59"))
else:
end = normalize_date_format(end)
if end < now:
# Backtesting since a year before end
bt_dates = pd.date_range(start=end - 360 * pd.datetools.day, end=end)
live_dates = EMPTY_DATES
elif end > now:
# Live trading from now to end
bt_dates = EMPTY_DATES
live_dates = pd.date_range(start=now, end=end)
else:
start = normalize_date_format(start)
if start < now:
if not end:
# Backtest for a year or until now
end = start + 360 * pd.datetools.day
if end > now:
end = now - pd.datetools.day
live_dates = EMPTY_DATES
bt_dates = pd.date_range(start=start, end=end)
else:
end = normalize_date_format(end)
if end < now:
# Nothing to do, backtest from start to end
live_dates = EMPTY_DATES
bt_dates = pd.date_range(start=start, end=end)
elif end > now:
# Hybrid timeline, backtest from start to end, live
# trade from now to end
bt_dates = pd.date_range(start=start, end=now - pd.datetools.day)
live_dates = pd.date_range(start=now, end=end)
elif start > now:
if not end:
# Live trading from start to the end of the day
bt_dates = EMPTY_DATES
live_dates = pd.date_range(start=start, end=normalize_date_format("23h59"))
else:
# Live trading from start to end
end = normalize_date_format(end)
bt_dates = EMPTY_DATES
live_dates = pd.date_range(start=start, end=end)
return bt_dates + live_dates
def test_normalize_human_date(self):
human_date = '23h16'
norm_date = time_utils.normalize_date_format(human_date)
self.assertIsInstance(norm_date, dt.datetime)
self.assertEqual(norm_date.minute, 16)
self.assertEquals(norm_date.tzinfo, pytz.utc)
def test_normalize_naive_date(self):
naive_date = dt.datetime.now()
norm_date = time_utils.normalize_date_format(naive_date)
self.assertIsInstance(norm_date, dt.datetime)
self.assertEquals(norm_date.tzinfo, pytz.utc)
def test_normalize_epoch_date(self):
epoch_date = 15334321432
norm_date = time_utils.normalize_date_format(epoch_date)
self.assertIsInstance(norm_date, dt.datetime)
self.assertEquals(norm_date.tzinfo, pytz.utc)
def build_trading_timeline(start, end):
''' Build the daily-based index we will trade on '''
EMPTY_DATES = pd.date_range('2000/01/01', periods=0, tz=pytz.utc)
now = dt.datetime.now(tz=pytz.utc)
if not start:
if not end:
# Live trading until the end of the day
bt_dates = EMPTY_DATES
live_dates = pd.date_range(
start=now,
end=normalize_date_format('23h59'))
else:
end = normalize_date_format(end)
if end < now:
# Backtesting since a year before end
bt_dates = pd.date_range(
start=end - 360 * pd.datetools.day,
end=end)
live_dates = EMPTY_DATES
elif end > now:
# Live trading from now to end
bt_dates = EMPTY_DATES
live_dates = pd.date_range(start=now, end=end)
else:
start = normalize_date_format(start)
if start < now:
if not end:
# Backtest for a year or until now
end = start + 360 * pd.datetools.day
if end > now:
end = now - pd.datetools.day
live_dates = EMPTY_DATES
bt_dates = pd.date_range(
start=start, end=end)
else:
end = normalize_date_format(end)
if end < now:
# Nothing to do, backtest from start to end
live_dates = EMPTY_DATES
bt_dates = pd.date_range(start=start, end=end)
elif end > now:
# Hybrid timeline, backtest from start to end, live
# trade from now to end
bt_dates = pd.date_range(
start=start, end=now - pd.datetools.day)
live_dates = pd.date_range(start=now, end=end)
elif start > now:
if not end:
# Live trading from start to the end of the day
bt_dates = EMPTY_DATES
live_dates = pd.date_range(
start=start,
end=normalize_date_format('23h59'))
else:
# Live trading from start to end
end = normalize_date_format(end)
bt_dates = EMPTY_DATES
live_dates = pd.date_range(start=start, end=end)
return bt_dates + live_dates
def test_normalize_naive_date(self):
naive_date = dt.datetime.now()
norm_date = time_utils.normalize_date_format(naive_date)
self.assertIsInstance(norm_date, dt.datetime)
self.assertEquals(norm_date.tzinfo, pytz.utc)
def test_normalize_human_date(self):
human_date = '23h16'
norm_date = time_utils.normalize_date_format(human_date)
self.assertIsInstance(norm_date, dt.datetime)
self.assertEqual(norm_date.minute, 16)
self.assertEquals(norm_date.tzinfo, pytz.utc)
def test_normalize_epoch_date(self):
epoch_date = 15334321432
norm_date = time_utils.normalize_date_format(epoch_date)
self.assertIsInstance(norm_date, dt.datetime)
self.assertEquals(norm_date.tzinfo, pytz.utc)
