def testRanOutOfCoins(self):
class Strategy(TestStrategy):
def __init__(self, feed, brk):
TestStrategy.__init__(self, feed, brk)
self.errors = 0
self.bought = False
def onBars(self, bars):
if not self.bought:
self.limitOrder("BTC", 100, 0.1)
self.bought = True
else:
try:
self.limitOrder("BTC", 100, -0.1)
except Exception:
self.errors += 1
barFeed = TestingLiveTradeFeed()
barFeed.addTrade(datetime.datetime(2000, 1, 1), 1, 100, 10)
barFeed.addTrade(datetime.datetime(2000, 1, 2), 1, 100, 10)
barFeed.addTrade(datetime.datetime(2000, 1, 3), 1, 100, 10)
brk = broker.PaperTradingBroker(10.05, barFeed)
strat = Strategy(barFeed, brk)
strat.run()
self.assertEquals(strat.errors, 1)
self.assertEquals(brk.getShares("BTC"), 0)
self.assertEquals(brk.getCash(), 10)
def main():
# Go to http://dev.twitter.com and create an app.
# The consumer key and secret will be generated for you after that.
consumer_key = "<YOUR-CONSUMER-KEY-HERE>"
consumer_secret = "<YOUR-CONSUMER-SECRET-HERE>"
# After the step above, you will be redirected to your app's page.
# Create an access token under the the "Your access token" section
access_token = "<YOUR-ACCESS-TOKEN-HERE>"
access_token_secret = "<YOUR-ACCESS-TOKEN-SECRET-HERE>"
# Create a twitter feed to track BitCoin related events.
track = ["bitcoin", "btc", "mtgox", "bitstamp", "xapo"]
follow = []
languages = ["en"]
twitterFeed = twitterfeed.TwitterFeed(consumer_key, consumer_secret,
access_token, access_token_secret,
track, follow, languages)
cli = client.Client()
barFeed = barfeed.LiveTradeFeed(cli)
brk = broker.PaperTradingBroker(1000, barFeed)
strat = Strategy(cli, barFeed, brk, twitterFeed)
# It is VERY important to add these to the event dispatch loop before running the strategy.
strat.getDispatcher().addSubject(cli)
strat.getDispatcher().addSubject(twitterFeed)
strat.run()
def testBuyWithoutCash(self):
class Strategy(TestStrategy):
def __init__(self, feed, brk):
TestStrategy.__init__(self, feed, brk)
self.errors = 0
def onBars(self, bars):
try:
self.limitOrder("BTC", 10, 1)
except Exception:
self.errors += 1
barFeed = TestingLiveTradeFeed()
barFeed.addTrade(datetime.datetime(2000, 1, 1), 1, 100, 0.1)
barFeed.addTrade(datetime.datetime(2000, 1, 2), 1, 100, 0.1)
barFeed.addTrade(datetime.datetime(2000, 1, 2), 1, 101, 10)
barFeed.addTrade(datetime.datetime(2000, 1, 3), 1, 100, 0.2)
brk = broker.PaperTradingBroker(0, barFeed)
strat = Strategy(barFeed, brk)
strat.run()
self.assertEquals(strat.errors, 4)
self.assertEquals(brk.getShares("BTC"), 0)
self.assertEquals(brk.getCash(), 0)
def testBuyAndSellWithPartialFill2(self):
class Strategy(TestStrategy):
def __init__(self, feed, brk):
TestStrategy.__init__(self, feed, brk)
self.pos = None
def onBars(self, bars):
if self.pos is None:
self.pos = self.enterLongLimit("BTC", 100, 1, True)
elif bars.getDateTime() == datetime.datetime(2000, 1, 3):
self.pos.exitLimit(101)
barFeed = TestingLiveTradeFeed()
barFeed.addTrade(datetime.datetime(2000, 1, 1), 1, 100, 0.1)
barFeed.addTrade(datetime.datetime(2000, 1, 2), 1, 100, 0.1)
barFeed.addTrade(datetime.datetime(2000, 1, 2), 1, 101, 10)
barFeed.addTrade(datetime.datetime(2000, 1, 3), 1, 100, 0.2)
barFeed.addTrade(datetime.datetime(2000, 1, 4), 1, 100, 0.2)
barFeed.addTrade(datetime.datetime(2000, 1, 5), 1, 101, 0.2)
barFeed.addTrade(datetime.datetime(2000, 1, 6), 1, 102, 5)
brk = broker.PaperTradingBroker(1000, barFeed)
strat = Strategy(barFeed, brk)
strat.run()
self.assertFalse(strat.pos.isOpen())
self.assertEquals(strat.pos.getShares(), 0)
self.assertEquals(len(strat.posExecutionInfo), 2)
self.assertEquals(strat.pos.getEntryOrder().getSubmitDateTime().date(), wsclient.get_current_datetime().date())
self.assertEquals(strat.pos.getExitOrder().getSubmitDateTime().date(), wsclient.get_current_datetime().date())
def testRanOutOfCoins(self):
tc = self
class Strategy(TestStrategy):
def __init__(self, feed, brk):
TestStrategy.__init__(self, feed, brk)
self.errors = 0
self.bought = False
def onBars(self, bars):
if not self.bought:
self.limitOrder(INSTRUMENT, 100, 0.5)
self.bought = True
elif self.getBroker().getBalance(SYMBOL) > 0:
self.limitOrder(INSTRUMENT, 100,
-self.getBroker().getBalance(SYMBOL))
else:
with tc.assertRaisesRegexp(Exception, "Not enough BTC"):
self.limitOrder(INSTRUMENT, 100, -1)
self.errors += 1
barFeed = TestingLiveTradeFeed()
barFeed.addTrade(datetime.datetime(2000, 1, 1), 1, 100, 10)
barFeed.addTrade(datetime.datetime(2000, 1, 2), 1, 100, 10)
barFeed.addTrade(datetime.datetime(2000, 1, 3), 1, 100, 10)
brk = broker.PaperTradingBroker({PRICE_CURRENCY: 50.5}, barFeed)
strat = Strategy(barFeed, brk)
strat.run()
self.assertEqual(strat.errors, 1)
self.assertEqual(brk.getBalance(SYMBOL), 0)
self.assertEqual(brk.getBalance(PRICE_CURRENCY), 50)
def testBuyWithoutCash(self):
tc = self
class Strategy(TestStrategy):
def __init__(self, feed, brk):
TestStrategy.__init__(self, feed, brk)
self.errors = 0
def onBars(self, bars):
with tc.assertRaisesRegexp(Exception, "Not enough USD"):
self.limitOrder(INSTRUMENT, 10, 3)
self.errors += 1
barFeed = TestingLiveTradeFeed()
barFeed.addTrade(datetime.datetime(2000, 1, 1), 1, 100, 0.1)
barFeed.addTrade(datetime.datetime(2000, 1, 2), 1, 100, 0.1)
barFeed.addTrade(datetime.datetime(2000, 1, 2), 1, 101, 10)
barFeed.addTrade(datetime.datetime(2000, 1, 3), 1, 100, 0.2)
brk = broker.PaperTradingBroker({PRICE_CURRENCY: 0}, barFeed)
strat = Strategy(barFeed, brk)
strat.run()
self.assertEqual(strat.errors, 4)
self.assertEqual(brk.getBalance(SYMBOL), 0)
self.assertEqual(brk.getBalance(PRICE_CURRENCY), 0)
def testRanOutOfCash(self):
tc = self
class Strategy(TestStrategy):
def __init__(self, feed, brk):
TestStrategy.__init__(self, feed, brk)
self.errors = 0
def onBars(self, bars):
# The first order should work, the rest should fail.
if self.getBroker().getBalance(PRICE_CURRENCY):
self.limitOrder(INSTRUMENT, 100, 0.3)
else:
with tc.assertRaisesRegexp(Exception, "Not enough USD"):
self.limitOrder(INSTRUMENT, 100, 0.3)
self.errors += 1
barFeed = TestingLiveTradeFeed()
barFeed.addTrade(datetime.datetime(2000, 1, 1), 1, 100, 10)
barFeed.addTrade(datetime.datetime(2000, 1, 2), 1, 100, 10)
barFeed.addTrade(datetime.datetime(2000, 1, 3), 1, 100, 10)
brk = broker.PaperTradingBroker({PRICE_CURRENCY: 30.15}, barFeed)
strat = Strategy(barFeed, brk)
strat.run()
self.assertEqual(strat.errors, 2)
self.assertEqual(brk.getBalance(SYMBOL), 0.3)
self.assertEqual(brk.getBalance(PRICE_CURRENCY), 0)
def testBuyAndSellWithPartialFill1(self):
class Strategy(TestStrategy):
def __init__(self, feed, brk):
TestStrategy.__init__(self, feed, brk)
self.pos = None
def onBars(self, bars):
if self.pos is None:
self.pos = self.enterLongLimit(INSTRUMENT, 100, 1, True)
elif bars.getDateTime() == dt.as_utc(
datetime.datetime(2000, 1, 3)):
self.pos.exitLimit(101)
barFeed = TestingLiveTradeFeed()
barFeed.addTrade(datetime.datetime(2000, 1, 1), 1, 100, 0.1)
barFeed.addTrade(datetime.datetime(2000, 1, 2), 1, 100, 0.1)
barFeed.addTrade(datetime.datetime(2000, 1, 2), 1, 101, 10)
barFeed.addTrade(datetime.datetime(2000, 1, 3), 1, 100, 0.2)
barFeed.addTrade(datetime.datetime(2000, 1, 4), 1, 100, 0.2)
barFeed.addTrade(datetime.datetime(2000, 1, 5), 1, 101, 0.2)
brk = broker.PaperTradingBroker({PRICE_CURRENCY: 1000}, barFeed)
strat = Strategy(barFeed, brk)
strat.run()
self.assertTrue(strat.pos.isOpen())
self.assertEqual(round(strat.pos.getShares(), 3), 0.1)
self.assertEqual(len(strat.posExecutionInfo), 1)
self.assertEqual(strat.pos.getEntryOrder().getSubmitDateTime().date(),
datetime.datetime.now().date())
self.assertEqual(strat.pos.getExitOrder().getSubmitDateTime().date(),
datetime.datetime.now().date())
def testBuyAndSellWithPartialFill1(self):
class Strategy(TestStrategy):
def __init__(self, cli, feed, brk):
TestStrategy.__init__(self, cli, feed, brk)
self.pos = None
def onBars(self, bars):
if self.pos is None:
self.pos = self.enterLongLimit("BTC", 100, 1, True)
elif bars.getDateTime() == datetime.datetime(2000, 1, 3):
self.pos.exit(limitPrice=101)
cli = MockClient()
cli.addTrade(datetime.datetime(2000, 1, 1), 1, 100, 0.1)
cli.addTrade(datetime.datetime(2000, 1, 2), 1, 100, 0.1)
cli.addTrade(datetime.datetime(2000, 1, 2), 1, 101, 10)
cli.addTrade(datetime.datetime(2000, 1, 3), 1, 100, 0.2)
cli.addTrade(datetime.datetime(2000, 1, 4), 1, 100, 0.2)
cli.addTrade(datetime.datetime(2000, 1, 5), 1, 101, 0.2)
barFeed = barfeed.LiveTradeFeed(cli)
brk = broker.PaperTradingBroker(1000, barFeed)
strat = Strategy(cli, barFeed, brk)
strat.getDispatcher().addSubject(cli)
strat.run()
self.assertTrue(strat.pos.isOpen())
self.assertEqual(round(strat.pos.getShares(), 3), 0.1)
self.assertEqual(len(strat.posExecutionInfo), 1)
self.assertEqual(strat.pos.getEntryOrder().getSubmitDateTime().date(),
wsclient.get_current_datetime().date())
self.assertEqual(strat.pos.getExitOrder().getSubmitDateTime().date(),
wsclient.get_current_datetime().date())
def main():
cli = client.Client()
barFeed = barfeed.LiveTradeFeed(cli)
brk = broker.PaperTradingBroker(1000, barFeed)
strat = Strategy(cli, barFeed, brk)
# It is VERY important to add the client to the event dispatch loop before running the strategy.
strat.getDispatcher().addSubject(cli)
strat.run()
def testInvalidOrders(self):
barFeed = TestingLiveTradeFeed()
brk = broker.PaperTradingBroker(1000, barFeed)
with self.assertRaises(Exception):
brk.createLimitOrder(basebroker.Order.Action.BUY, "none", 1, 1)
with self.assertRaises(Exception):
brk.createLimitOrder(basebroker.Order.Action.SELL_SHORT, "none", 1, 1)
with self.assertRaises(Exception):
brk.createMarketOrder(basebroker.Order.Action.BUY, "none", 1)
with self.assertRaises(Exception):
brk.createStopOrder(basebroker.Order.Action.BUY, "none", 1, 1)
with self.assertRaises(Exception):
brk.createStopLimitOrder(basebroker.Order.Action.BUY, "none", 1, 1, 1)
def testRoundingBugWithTrades(self):
# Unless proper rounding is in place 0.01 - 0.00441376 - 0.00445547 - 0.00113077 == 6.50521303491e-19
# instead of 0.
class Strategy(TestStrategy):
def __init__(self, cli, feed, brk):
TestStrategy.__init__(self, cli, feed, brk)
self.pos = None
def onBars(self, bars):
if self.pos is None:
self.pos = self.enterLongLimit("BTC", 100, 0.01, True)
elif self.pos.entryFilled() and not self.pos.getExitOrder():
self.pos.exitLimit(100, True)
cli = MockClient()
cli.addTrade(datetime.datetime(2000, 1, 1), 1, 100, 1)
cli.addTrade(datetime.datetime(2000, 1, 2), 1, 100, 0.01)
cli.addTrade(datetime.datetime(2000, 1, 3), 1, 100, 0.00441376)
cli.addTrade(datetime.datetime(2000, 1, 4), 1, 100, 0.00445547)
cli.addTrade(datetime.datetime(2000, 1, 5), 1, 100, 0.00113077)
barFeed = barfeed.LiveTradeFeed(cli)
brk = broker.PaperTradingBroker(1000, barFeed)
strat = Strategy(cli, barFeed, brk)
strat.getDispatcher().addSubject(cli)
strat.run()
self.assertEqual(brk.getShares("BTC"), 0)
self.assertEqual(strat.pos.getEntryOrder().getAvgFillPrice(), 100)
self.assertEqual(strat.pos.getExitOrder().getAvgFillPrice(), 100)
self.assertEqual(strat.pos.getEntryOrder().getFilled(), 0.01)
self.assertEqual(strat.pos.getExitOrder().getFilled(), 0.01)
self.assertEqual(strat.pos.getEntryOrder().getRemaining(), 0)
self.assertEqual(strat.pos.getExitOrder().getRemaining(), 0)
self.assertEqual(strat.pos.getEntryOrder().getSubmitDateTime().date(),
wsclient.get_current_datetime().date())
self.assertEqual(strat.pos.getExitOrder().getSubmitDateTime().date(),
wsclient.get_current_datetime().date())
self.assertFalse(strat.pos.isOpen())
self.assertEqual(len(strat.posExecutionInfo), 2)
self.assertEqual(strat.pos.getShares(), 0.0)
def testRoundingBugWithTrades(self):
# Unless proper rounding is in place 0.03 - 0.01441376 - 0.01445547 - 0.00113077 == 6.50521303491e-19
# instead of 0.
class Strategy(TestStrategy):
def __init__(self, feed, brk):
TestStrategy.__init__(self, feed, brk)
self.pos = None
def onBars(self, bars):
if self.pos is None:
self.pos = self.enterLongLimit(INSTRUMENT, 1000, 0.03,
True)
elif self.pos.entryFilled() and not self.pos.getExitOrder():
self.pos.exitLimit(1000, True)
barFeed = TestingLiveTradeFeed()
barFeed.addTrade(datetime.datetime(2000, 1, 1), 1, 1000, 1)
barFeed.addTrade(datetime.datetime(2000, 1, 2), 1, 1000, 0.03)
barFeed.addTrade(datetime.datetime(2000, 1, 3), 1, 1000, 0.01441376)
barFeed.addTrade(datetime.datetime(2000, 1, 4), 1, 1000, 0.01445547)
barFeed.addTrade(datetime.datetime(2000, 1, 5), 1, 1000, 0.00113077)
brk = broker.PaperTradingBroker({PRICE_CURRENCY: 1000}, barFeed)
strat = Strategy(barFeed, brk)
strat.run()
self.assertEqual(brk.getBalance(SYMBOL), 0)
self.assertEqual(strat.pos.getEntryOrder().getAvgFillPrice(), 1000)
self.assertEqual(strat.pos.getExitOrder().getAvgFillPrice(), 1000)
self.assertEqual(strat.pos.getEntryOrder().getFilled(), 0.03)
self.assertEqual(strat.pos.getExitOrder().getFilled(), 0.03)
self.assertEqual(strat.pos.getEntryOrder().getRemaining(), 0)
self.assertEqual(strat.pos.getExitOrder().getRemaining(), 0)
self.assertEqual(strat.pos.getEntryOrder().getSubmitDateTime().date(),
datetime.datetime.now().date())
self.assertEqual(strat.pos.getExitOrder().getSubmitDateTime().date(),
datetime.datetime.now().date())
self.assertFalse(strat.pos.isOpen())
self.assertEqual(len(strat.posExecutionInfo), 2)
self.assertEqual(strat.pos.getShares(), 0.0)
def paper_trade(history=HISTORY):
"""
Live (paper) trade with RL Trader on Bitstamp,
with best_model params from backtesting simulations
:return: Update DB every on every Buy/Sell event
"""
start_time = datetime.datetime.now().strftime('%Y-%m-%d %H:00:00')
actions = ['Buy', 'Sell', 'Hold']
ncoins = 0.0
bars = barfeed.LiveTradeFeed()
brk = broker.PaperTradingBroker(INITIAL_CASH, bars)
engine, con = make_con(db_name="trader")
sql = "SELECT * FROM rl_backtesting ORDER BY Datetime DESC LIMIT 1"
latest_simulation = pd.read_sql(sql,
con=con,
parse_dates=True,
index_col='Datetime')
best_model = latest_simulation['Best model index'].iloc[0]
RLstrat = RLTraderPaperTrade(bars, brk, actions, history, INITIAL_CASH,
ncoins, best_model, start_time)
RLstrat.run()
def main():
barFeed = barfeed.LiveTradeFeed()
brk = broker.PaperTradingBroker(1000, barFeed)
strat = Strategy(barFeed, brk)
strat.run()
def main():
config = ConfigParser.ConfigParser()
config.read('bot.cfg')
# Create BitStamp feed
barFeed = barfeed.LiveTradeFeed()
# cash
# bars = BitStamp live feed
# fee = 0.5 % per order
cash = int(config.get('main', 'cash'))
brk = broker.PaperTradingBroker(cash, barFeed)
strat = Strategy(barFeed, brk)
# Attach the strategy analyzers
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
try:
strat.run()
#Cool down
time.sleep(5)
# Collect the analysis results
fin_port_val = strat.getResult()
cum_ret = retAnalyzer.getCumulativeReturns()[-1] * 100
stratReturns = tradesAnalyzer.getAllReturns()
return_avg = stratReturns.mean() * 100
return_std = stratReturns.std() * 100
return_min = stratReturns.min() * 100
return_max = stratReturns.max() * 100
sharpe_ratio = sharpeRatioAnalyzer.getSharpeRatio(0.05)
max_drawdown = drawDownAnalyzer.getMaxDrawDown() * 100
longest_drawdown_duration = drawDownAnalyzer.getLongestDrawDownDuration(
)
#fin_port_val = 0
#cum_ret = 0
#return_avg = 0
#return_std = 0
#return_min = 0
#return_max = 0
#sharpe_ratio = 0
#max_drawdown = 0
#longest_drawdown_duration = 0
params = urllib.urlencode({
'op':
'LOG_RETURNS',
'strategyid':
strat.getStrategyUUID(),
'fin_port_val':
fin_port_val,
'cum_returns':
cum_ret,
'return_avg':
return_avg,
'return_std':
return_std,
'return_min':
return_min,
'return_max':
return_max,
'sharpe_ratio':
sharpe_ratio,
'max_drawdown':
max_drawdown,
'longest_drawdown_duration':
longest_drawdown_duration
})
# Post the returns analysis results
strat.postRecord(params)
except:
strat.info("An exception has occurred during final shutdown.")
strat.info(traceback.print_exc())
params = urllib.urlencode({
'op':
'LOG_ENTRY',
'msg':
"An exception has occurred during final shutdown: " +
traceback.format_exc(),
'engine':
strat.getEngine(),
'strategyid':
strat.getStrategyUUID()
})
strat.postRecord(params)
pass
time.sleep(5)
command = "sudo /sbin/reboot"
subprocess.call(command, shell=True)