def testFirstLastBoundary(self):
f1 = Feed(self._inst1)
f2 = Feed(self._inst2)
mf = MultiFeed()
mf.register_feed(f1)
mf.register_feed(f2)
mf.subscribe(self.on_bars_basic)
self._count = 0
mf.start(first=datetime.datetime(2012, 7, 2),
last=datetime.datetime(2012, 7, 2))
self.assertEqual(self._count, 1)
self.assertEqual(mf.get_next_bars_date(),
datetime.datetime(2012, 7, 3))
self._count = 0
mf.start(first=datetime.datetime(2012, 7, 1),
last=datetime.datetime(2012, 7, 2))
self.assertEqual(self._count, 1)
self.assertEqual(mf.get_next_bars_date(),
datetime.datetime(2012, 7, 3))
# 7/1 is not a trading day so first bar is actually 7/2 which is after last
self._count = 0
mf.start(first=datetime.datetime(2012, 7, 1),
last=datetime.datetime(2012, 7, 1))
self.assertEqual(self._count, 0)
self.assertEqual(mf.get_next_bars_date(),
datetime.datetime(2012, 7, 2))
def testMarketOrderShort(self):
self._placed_smo = False
mf = MultiFeed()
mf.register_feed(self._feed)
self._broker = BacktestingBroker(10000, mf)
mf.subscribe(self.on_bars_3)
self._broker.getOrderUpdatedEvent().subscribe(self.on_order_update_3)
mf.start()
def testMarketOrder(self):
self._placed_markorder = False
mf = MultiFeed()
mf.register_feed(Feed(InstrumentDb.Instance().get('AC')))
self._broker = BacktestingFuturesBroker(1000000, mf)
mf.subscribe(self.on_bars_1)
self._broker.getOrderUpdatedEvent().subscribe(self.on_order_update_1)
mf.start()
self.assertEqual(self._broker.getCash(), 1000015.0)
self.assertEqual(self._broker.calc_margin(), 160000.0)
def testShortEntry(self):
self._placed_markorder = False
mf = MultiFeed()
mf.register_feed(Feed(InstrumentDb.Instance().get('CT')))
self._broker = BacktestingFuturesBroker(1000000, mf)
mf.subscribe(self.on_bars_3)
self._broker.getOrderUpdatedEvent().subscribe(self.on_order_update_3)
mf.start()
self.assertAlmostEqual(self._broker.getCash(), 1119750.0, places=2)
self.assertEqual(self._broker.calc_margin(), 800000.0)
def testFirstOption(self):
f1 = Feed(self._inst1)
f2 = Feed(self._inst2)
mf = MultiFeed()
mf.register_feed(f1)
mf.register_feed(f2)
self._count = 0
mf.subscribe(self.on_bars_basic)
mf.start(first=datetime.datetime(2012, 7, 1))
self.assertEqual(self._count, 143)
def testMarketOrderMarginCall(self):
self._placed_markorder = False
mf = MultiFeed()
mf.register_feed(Feed(InstrumentDb.Instance().get('CT')))
self._broker = BacktestingFuturesBroker(1000000, mf)
mf.subscribe(self.on_bars_2)
self._broker.getOrderUpdatedEvent().subscribe(self.on_order_update_2)
with self.assertRaisesRegexp(Exception, "Margin Call"):
mf.start()
self.assertAlmostEqual(self._broker.getCash(), 214000.0, places=2)
self.assertEqual(self._broker.calc_margin(), 800000.0)
def testFirstOption(self):
f1 = Feed(self._inst1)
f2 = Feed(self._inst2)
mf = MultiFeed()
mf.register_feed(f1)
mf.register_feed(f2)
self._count = 0
mf.subscribe(self.on_bars_basic)
mf.start(first=datetime.datetime(2012,7,1))
self.assertEqual(self._count, 143)
def testFirstLast(self):
f1 = Feed(self._inst1)
f2 = Feed(self._inst2)
mf = MultiFeed()
mf.register_feed(f1)
mf.register_feed(f2)
self._count = 0
mf.subscribe(self.on_bars_basic)
mf.start(first=datetime.datetime(2012,7,1),last=datetime.datetime(2012,7,31))
self.assertEqual(self._count, 22)
self.assertEqual(mf.get_last_close('AC'), 2.565)
def testFirstLast(self):
f1 = Feed(self._inst1)
f2 = Feed(self._inst2)
mf = MultiFeed()
mf.register_feed(f1)
mf.register_feed(f2)
self._count = 0
mf.subscribe(self.on_bars_basic)
mf.start(first=datetime.datetime(2012, 7, 1),
last=datetime.datetime(2012, 7, 31))
self.assertEqual(self._count, 22)
self.assertEqual(mf.get_last_close('AC'), 2.565)
def testBasic(self):
f1 = Feed(self._inst1)
f2 = Feed(self._inst2)
mf = MultiFeed()
mf.register_feed(f1)
mf.register_feed(f2)
self.assertEqual(f1, mf.get_feed('AC'))
self._count = 0
mf.subscribe(self.on_bars_basic)
mf.start()
self.assertEqual(self._count, 257)
def testBasic(self):
f1 = Feed(self._inst1)
f2 = Feed(self._inst2)
mf = MultiFeed()
mf.register_feed(f1)
mf.register_feed(f2)
self.assertEqual(f1, mf.get_feed('AC'))
self._count = 0
mf.subscribe(self.on_bars_basic)
mf.start()
self.assertEqual(self._count, 257)
def testFirstLastBoundary(self):
f1 = Feed(self._inst1)
f2 = Feed(self._inst2)
mf = MultiFeed()
mf.register_feed(f1)
mf.register_feed(f2)
mf.subscribe(self.on_bars_basic)
self._count = 0
mf.start(first=datetime.datetime(2012,7,2),last=datetime.datetime(2012,7,2))
self.assertEqual(self._count, 1)
self.assertEqual(mf.get_next_bars_date(), datetime.datetime(2012,7,3))
self._count = 0
mf.start(first=datetime.datetime(2012,7,1),last=datetime.datetime(2012,7,2))
self.assertEqual(self._count, 1)
self.assertEqual(mf.get_next_bars_date(), datetime.datetime(2012,7,3))
# 7/1 is not a trading day so first bar is actually 7/2 which is after last
self._count = 0
mf.start(first=datetime.datetime(2012,7,1),last=datetime.datetime(2012,7,1))
self.assertEqual(self._count, 0)
self.assertEqual(mf.get_next_bars_date(), datetime.datetime(2012,7,2))
