def prep_bar_feed(self):
for sym in self._symbols:
feed = self._barFeed.get_feed(sym)
feed.insert(
talibfunc.SMA('short_ma', feed, self._parms['shortPeriod']))
feed.insert(
talibfunc.SMA('long_ma', feed, self._parms['longPeriod']))
def prep_bar_feed(self):
period = self._parms['period']
for sym in self._symbols:
feed = self._barFeed.get_feed(sym)
feed.insert(talibfunc.SMA('short_ma', feed, period))
feed.insert(talibfunc.SMA('long_ma', feed, 2 * period))
feed.insert(talibfunc.MAX('max', feed, period))
feed.insert(talibfunc.MIN('min', feed, period))
def prep_bar_feed(self):
for sym in self._symbols:
feed = self._barFeed.get_feed(sym)
feed.insert(
talibfunc.SMA('filter_ma', feed, self._parms['filterPeriod']))
feed.insert(
talibfunc.SMA('close_ma', feed,
self._parms['close_ma_period']))
feed.insert(talibfunc.RSI('rsi', feed, self._parms['rsi_period']))
def setUp(self):
manifest = '%s/data/manifest1.csv' % os.path.dirname(__file__)
self._db = InstrumentDb.Instance()
self._db.load(manifest)
self._feed = Feed(self._db.get('AC'))
self._feed.insert(talibfunc.SMA('SMA50', self._feed, 50))
self._feed.insert(talibfunc.SMA('SMA100', self._feed, 100))
self._feed.insert(talibfunc.MAX('MAX50', self._feed, 50))
self._feed.insert(talibfunc.MIN('MIN50', self._feed, 50))
self._feed.insert(talibfunc.ATR('ATR10', self._feed, 10))
def prep_bar_feed(self):
for sym in self._symbols:
feed = self._barFeed.get_feed(sym)
feed.insert(
talibfunc.SMA('filter_ma', feed, self._parms['filterPeriod']))
feed.insert(talibfunc.MAX('max', feed, self._parms['period']))
feed.insert(talibfunc.MIN('min', feed, self._parms['period']))
def prep_bar_feed(self):
for sym in self._symbols:
feed = self._barFeed.get_feed(sym)
feed.insert(
talibfunc.SMA('filter_ma', feed, self._parms['filterPeriod']))
feed.insert(talibfunc.RSI('rsi', feed, self._parms['rsi_period']))
feed.insert(
CUM(name='cum_rsi',
period=self._parms['rsi_cum_length'],
baseIndicator='rsi'))
def testCum(self):
w = Feed(self._inst)
w.insert(talibfunc.SMA('SMA50', w, 50))
w.insert(CUM(name='cum2(SMA50)', period=2, baseIndicator='SMA50'))
# just going to spot check a few values randomly (but hard-coded)
# we know that the base indicator is NAN up through at least 50
cum = w.get_series('cum2(SMA50)')
base = w.get_series('SMA50')
self.assertAlmostEqual(cum[79], base[79] + base[78], places=4)
self.assertAlmostEqual(cum[112], base[112] + base[111], places=4)
self.assertAlmostEqual(cum[176], base[176] + base[175], places=4)
def testBasic(self):
w = Feed(self._inst)
w.insert(ATR())
w.insert(talibfunc.SMA('SMA10', w, 10))
self.assertEqual(len(w.values()), 8)
self.assertEqual(len(w.values()[0]), 252)
self.assertEqual(w.values()[0][251],
datetime.datetime(2013, 1, 18, 0, 0))
self.assertTrue(math.isnan(w.get_series('ATR')[5]))
self.assertTrue(math.isnan(w.get_series('ATR')[98]))
self.assertAlmostEqual(w.get_series('ATR')[99], 0.03493, places=5)
self.assertAlmostEqual(w.get_series('ATR')[251], 0.03307, places=5)
self.assertAlmostEqual(w.get_series('SMA10')[251], 2.2921)
self.assertAlmostEqual(w.get_series('SMA10')[188], 2.3989)
def testPriceVelocity(self):
w = Feed(self._inst)
w.insert(talibfunc.SMA('SMA50', w, 50))
w.insert(PriceVelocity('PVEL', period=10, baseIndicator='SMA50'))
self.assertEqual(len(w.values()), 8)
self.assertEqual(len(w.values()[0]), 252)
self.assertAlmostEqual(w.get_series('PVEL')[251], -0.001576, places=4)
feedout = '%s/writefeed.csv' % os.path.dirname(__file__)
wf = open(feedout, 'w')
w.write_csv(wf)
wf.close()
self.assertTrue(
test_util.file_compare(
'%s/writefeed.refcsv' % os.path.dirname(__file__), feedout))
os.remove(feedout)