# Find first valid row for fills and orders via basic data validation
fill_first_row = True
order_first_row = True
while order_first_row:
try:
order_row = od.order_basic_check(reader_orders.next())
order_first_row = False
except:
pass
time_format = '%m/%d/%y %I:%M:%S %p'
order_time = order_row['timestamp']
while fill_first_row:
try:
fill_row = od.fill_basic_check(reader_fills.next())
fill_time = fill_row['timestamp']
if order_time<fill_time:
fill_first_row = False
else:
print "fill %s arrived before first order of the day" % fill_time
except:
pass
# Function to process one day
fills_continue = True
orders_continue = True
def process_day(reader_fills,reader_orders,fill_row,order_row,fills_continue,orders_continue):
time_format = '%m/%d/%y %I:%M:%S %p'
fill_time = fill_row['timestamp']
order_time = order_row['timestamp']
def process_day(reader_fills,reader_orders,fill_row,order_row,fills_continue,orders_continue):
time_format = '%m/%d/%y %I:%M:%S %p'
fill_time = fill_row['timestamp']
order_time = order_row['timestamp']
# Initialize today so that can check each day against it
# Stop processing when the day is over
today = fill_time.date()
# Initialize exchange object
exch = exchange.exchange()
# Fills that occur before first order of day are not valid
# Skip and print error
while fill_time < order_time and fill_time.date() == today:
print "fill %s arrived before first order of day" % fill_row['timestamp']
fill_row = reader_fills.next()
fill_time = dt.datetime.strptime(fill_row['timestamp'],time_format)
# While today and not end of csv first try to process to exchange
# Then read next line in fill/order file that is chronologically behind the other
# run a basic data check and loop
# read until one file ends or begin new day
while fills_continue and orders_continue and fill_time.date() == today and order_time.date() == today:
if order_time <= fill_time:
try:
exch.process_order(order_row)
except:
pass
try:
order_row = reader_orders.next()
try:
order_row = od.order_basic_check(order_row)
if order_time < order_row['timestamp']:
order_time = order_row['timestamp']
except:
pass
except:
print "end of orders"
order_time = None
orders_continue = False
elif order_time > fill_time:
try:
exch.process_fill(fill_row)
except:
pass
try:
fill_row = reader_fills.next()
try:
fill_row = od.fill_basic_check(fill_row)
if fill_time < fill_row['timestamp']:
fill_time = fill_row['timestamp']
except:
pass
except:
print "end of fills"
fill_time = None
fills_continue = False
# If order file terminated first loop, finish fill file
while fills_continue and fill_time.date() == today:
try:
exch.process_fill(fill_row)
except:
pass
try:
fill_row = reader_fills.next()
try:
fill_row = od.fill_basic_check(fill_row)
if fill_time < fill_row['timestamp']:
fill_time = fill_row['timestamp']
except:
pass
except:
print "end of fills"
fill_time = None
fills_continue = False
# If fill file terminated first loop, finish order file
while orders_continue and order_time.date() == today:
try:
exch.process_order(order_row)
except:
pass
try:
order_row = reader_orders.next()
try:
order_row = od.order_basic_check(order_row)
if order_time < order_row['timestamp']:
order_time = order_row['timestamp']
except:
pass
except:
print "end of orders"
order_time = None
orders_continue = False
# Print ordres still open at the end of day
exch.check_all_close_eod()
# Return csv handler along with continuation conditions and next row as a tuple
# Need to return the row because the the csvreader.next() returns row and increments
return (reader_fills,reader_orders,fill_row,order_row,fills_continue,orders_continue)
def process_day(reader_fills,reader_orders,fill_row,order_row,fills_continue,orders_continue):
time_format = '%m/%d/%y %I:%M:%S %p'
fill_time = fill_row['timestamp']
order_time = order_row['timestamp']
today = fill_time.date()
exch = exchange.exchange()
# Fills that occur before first order of day are not valid
while fill_time < order_time:
print "fill %s arrived before first order of day" % fill_row['timestamp']
fill_row = reader_fills.next()
fill_time = dt.datetime.strptime(fill_row['timestamp'],time_format)
while fills_continue and orders_continue and fill_time.date() == today and order_time.date() == today:
# read next row based on which row is behind the other
if order_time <= fill_time:
try:
exch.process_order(order_row)
except Exception as msg:
print msg
try:
order_row = reader_orders.next()
# print order_row['id']
try:
order_row = od.order_basic_check(order_row)
order_time = order_row['timestamp']
except Exception as msg:
print msg
# print order_row['id']
except:
print "end of orders"
order_time = None
orders_continue = False
elif order_time > fill_time:
exch.process_fill(fill_row)
try:
fill_row = reader_fills.next()
try:
fill_row = od.fill_basic_check(fill_row)
fill_time = fill_row['timestamp']
except Exception as msg:
print msg
# print fill_row['id']
except:
print "end of fills"
fill_time = None
fills_continue = False
# Now finish the longer list
while fills_continue and fill_time.date() == today:
exch.process_fill(fill_row)
try:
fill_row = reader_fills.next()
try:
fill_row = od.fill_basic_check(fill_row)
fill_time = fill_row['timestamp']
except Exception as msg:
print msg
# print fill_row['id']
except:
print "end of fills"
fill_time = None
fills_continue = False
while orders_continue and order_time.date() == today:
exch.process_order(order_row)
try:
order_row = reader_orders.next()
try:
order_row = od.order_basic_check(order_row)
order_time = order_row['timestamp']
except Exception as msg:
print msg
# print order_row['id']
except:
print "end of orders"
order_time = None
orders_continue = False
# Check to see that the order log is esmpty at the end of a day
exch.check_all_close_eod()
return (reader_fills,reader_orders,fill_row,order_row,fills_continue,orders_continue)