def setUp(self):
mongo_connstr = 'mongodb://localhost:27017/'
mongo_db_name = 'tmldb'
assetindex = AssetIndexMongo(mongo_connstr, mongo_db_name)
self.date = datetime(2014, 1, 6, 10, 15, 0)
futures_limit = 3
options_limit = 10
self.datasource = DataSourceMongo(mongo_connstr, mongo_db_name, assetindex, self.date, futures_limit, options_limit)
server = 'h9ggwlagd1.database.windows.net'
user = '******'
password = '******'
def test_real_world_debug(self):
return
assetindex = AssetIndexMongo(MONGO_CONNSTR, MONGO_EXO_DB)
storage = EXOStorage(MONGO_CONNSTR, MONGO_EXO_DB)
# datasource = DataSourceSQL(SQL_HOST, SQL_USER, SQL_PASS, assetindex, futures_limit=10, options_limit=10)
datasource = DataSourceMongo(MONGO_CONNSTR,
MONGO_EXO_DB,
assetindex,
futures_limit=10,
options_limit=10,
exostorage=storage)
exmgr = ExecutionManager(MONGO_CONNSTR,
datasource,
dbname=MONGO_EXO_DB)
positions = exmgr.account_positions_process(write_to_db=False)
]
if __name__ == "__main__":
mongo_connstr = 'mongodb://*****:*****@10.0.1.2/tmldb?authMechanism=SCRAM-SHA-1'
mongo_db_name = 'tmldb'
assetindex = AssetIndexMongo(mongo_connstr, mongo_db_name)
exostorage = EXOStorage(mongo_connstr, mongo_db_name)
base_date = datetime(2014, 1, 13, 12, 45, 0)
futures_limit = 3
options_limit = 10
DEBUG = '.'
datasource = DataSourceMongo(mongo_connstr, mongo_db_name, assetindex,
futures_limit, options_limit, exostorage)
server = 'h9ggwlagd1.database.windows.net'
user = '******'
password = '******'
datasource = DataSourceSQL(server, user, password, assetindex,
futures_limit, options_limit, exostorage)
enddate = datetime.combine(datetime.now().date(), dttime(12, 45, 0))
currdate = base_date
instruments = ['CL', 'ES']
directions = [1, -1]
# for i in range(100):
while currdate <= enddate:
except ImportError:
pass
pass
mongo_db_name = 'tmldb'
assetindex = AssetIndexMongo(MONGO_CONNSTR, mongo_db_name)
exostorage = EXOStorage(MONGO_CONNSTR, mongo_db_name)
base_date = datetime(2011, 3, 1, 10, 15, 0)
futures_limit = 3
options_limit = 10
DEBUG = '.'
datasource = DataSourceMongo(MONGO_CONNSTR, mongo_db_name, assetindex,
futures_limit, options_limit, exostorage)
server = 'h9ggwlagd1.database.windows.net'
user = '******'
password = '******'
datasource = DataSourceSQL(server, user, password, assetindex,
futures_limit, options_limit, exostorage)
enddate = datetime.combine(datetime.now().date(), dttime(10, 15, 0))
currdate = base_date
#for i in range(100):
while currdate <= enddate:
start_time = time.time()
#date = base_date + timedelta(days=i)
date = currdate
def main(args, loglevel):
if args.logfile == '':
logging.basicConfig(
stream=sys.stdout,
format='%(asctime)s - %(name)s - %(levelname)s - %(message)s',
level=loglevel)
else:
logging.basicConfig(
filename=args.logfile,
format='%(asctime)s - %(name)s - %(levelname)s - %(message)s',
level=loglevel)
signalapp = SignalApp("AlphaRebalancer", APPCLASS_ALPHA, RABBIT_HOST,
RABBIT_USER, RABBIT_PASSW)
signalapp.send(MsgStatus('INIT', 'Initiating alpha rebalancer script'))
#exo_names = get_exo_names_mat()
logging.getLogger("pika").setLevel(logging.WARNING)
logging.info("Starting...")
exo_storage = EXOStorage(MONGO_CONNSTR, MONGO_EXO_DB)
exo_names = exo_storage.exo_list()
for exo in exo_names:
logging.info("Processing EXO: " + exo)
# Load alpha modules to process
for module in os.listdir('alphas'):
#
# Custom EXO folder found
#
swm = None
context = None
if module.lower() == exo.lower() and os.path.isdir(
os.path.join('alphas', module)):
for custom_file in os.listdir(os.path.join('alphas', module)):
if 'alpha_' in custom_file and '.py' in custom_file:
logging.debug(
'Processing custom module: ' +
os.path.join('alphas', module, custom_file))
try:
m = importlib.import_module(
'scripts.alphas.{0}.{1}'.format(
module, custom_file.replace('.py', '')))
context = m.STRATEGY_CONTEXT
context['strategy']['exo_name'] = exo
context['strategy'][
'suffix'] = m.STRATEGY_SUFFIX + 'custom'
context['strategy']['exo_storage'] = exo_storage
logging.info(
'Running CUSTOM alpha: ' + Swarm.get_name(
m.STRATEGY_CONTEXT, m.STRATEGY_SUFFIX))
if 'exo_name' in context['strategy'] and context[
'strategy']['exo_name'] != exo:
logging.error(
"Custom strategy context exo_name != current EXO name (folder mismatch?)"
)
raise ValueError(
"Custom strategy context exo_name != current EXO name (folder mismatch?)"
)
swm = Swarm(context)
swm.run_swarm()
swm.pick()
#
# Saving last EXO state to online DB
#
swmonline = SwarmOnlineManager(
MONGO_CONNSTR, MONGO_EXO_DB,
m.STRATEGY_CONTEXT)
logging.debug('Saving: {0}'.format(swm.name))
swmonline.save(swm)
except:
logging.exception('Exception occurred:')
signalapp.send(
MsgStatus('ERROR',
'Exception in {0}'.format(
Swarm.get_name(
m.STRATEGY_CONTEXT,
m.STRATEGY_SUFFIX)),
notify=True))
elif 'alpha_' in module and '.py' in module:
logging.debug('Processing generic module: ' + module)
try:
m = importlib.import_module('scripts.alphas.{0}'.format(
module.replace('.py', '')))
for direction in [-1, 1]:
context = m.STRATEGY_CONTEXT
context['strategy']['exo_name'] = exo
context['strategy']['opt_params'][0] = OptParamArray(
'Direction', [direction])
context['strategy']['suffix'] = m.STRATEGY_SUFFIX
context['strategy']['exo_storage'] = exo_storage
logging.info('Running alpha: ' +
Swarm.get_name(m.STRATEGY_CONTEXT) +
' Direction: {0}'.format(direction))
swm = Swarm(context)
swm.run_swarm()
swm.pick()
#
# Saving last EXO state to online DB
#
swmonline = SwarmOnlineManager(MONGO_CONNSTR,
MONGO_EXO_DB,
m.STRATEGY_CONTEXT)
logging.debug('Saving: {0}'.format(swm.name))
swmonline.save(swm)
except:
logging.exception('Exception occurred:')
signalapp.send(
MsgStatus('ERROR',
'Exception in {0}'.format(
Swarm.get_name(m.STRATEGY_CONTEXT,
m.STRATEGY_SUFFIX)),
notify=True))
logging.info("Processing accounts positions")
assetindex = AssetIndexMongo(MONGO_CONNSTR, MONGO_EXO_DB)
datasource = DataSourceMongo(MONGO_CONNSTR,
MONGO_EXO_DB,
assetindex,
futures_limit=10,
options_limit=10,
exostorage=exo_storage)
exmgr = ExecutionManager(MONGO_CONNSTR, datasource, dbname=MONGO_EXO_DB)
exmgr.account_positions_process(write_to_db=True)
signalapp.send(MsgStatus('DONE', 'Alpha rebalancer script', notify=True))
logging.info("Done.")