def testCliDonchianAlgorithmWithSpecificDates(self):
api = PytradeApi(dbfilepah=self.db)
api.reinitializeUser(username=self.username, cash=self.initialCash)
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(feed, broker, 9, 26, 0.05)
utc = pytz.utc
specificdays = [
utc.localize(datetime.datetime(2014, 2, 7)),
utc.localize(datetime.datetime(2014, 2, 11)),
utc.localize(datetime.datetime(2014, 9, 18)),
utc.localize(datetime.datetime(2014, 10, 23)),
utc.localize(datetime.datetime(2014, 10, 28)),
utc.localize(datetime.datetime(2014, 12, 29))]
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
alldays = feed.getAllDays()
for day in specificdays:
cli = PytradeCli(dbfilepah=self.db, date=day, maxlen=self.maxLen, codes=self.codes,
tradingAlgorithmGenerator=tradingAlgorithmGenerator)
orders = cli.executeAnalysis()
nextDay = alldays[alldays.index(day) + 1]
for order in orders:
open = cli.getLastValuesForInstrument(order.getInstrument(), nextDay)[1]
if not cli.confirmOrder(orderId=order.getId(), quantity=order.getQuantity(), price=open, commission=10,
date=nextDay):
cli.cancelOrder(order.getId())
cli.save()
maxlen = (datetime.datetime.now() - datetime.datetime(2014, 12, 1)).days
cli = PytradeCli(dbfilepah=self.db, maxlen=maxlen)
self.assertEqual(cli.getAccountInfo()[1], 36922.16)
def testCliDonchianAlgorithm2014(self):
api = PytradeApi(dbfilepah=self.db)
api.reinitializeUser(username=self.username, cash=self.initialCash)
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(feed, broker, 9, 26, 0.05)
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
days = feed.getAllDays()
for i in range(len(days)):
day = days[i]
cli = PytradeCli(dbfilepah=self.db, date=day, maxlen=self.maxLen, codes=self.codes, tradingAlgorithmGenerator=tradingAlgorithmGenerator)
orders = cli.executeAnalysis()
if i == (len(days) - 1):
continue
nextDay = days[i+1]
for order in orders:
open = cli.getLastValuesForInstrument(order.getInstrument(), nextDay)[1]
if not cli.confirmOrder(orderId=order.getId(), quantity=order.getQuantity(), price=open, commission=10,
date=nextDay):
cli.cancelOrder(order.getId())
cli.save()
maxlen=(datetime.datetime.now() - datetime.datetime(2014, 12, 1)).days
cli = PytradeCli(dbfilepah=self.db, maxlen=maxlen)
self.assertEqual(cli.getAccountInfo()[1], 36922.16)
def __init__(self,
dbfilepah="/var/pytrade/sqlitedb",
googleFinanceDir="/var/pytrade/googlefinance",
date=datetime.now(),
maxlen=90,
codes=None,
tradingAlgorithmGenerator=None):
if codes is None:
codes = [
"ABEV3", "BBAS3", "BBDC3", "BBDC4", "BBSE3", "BRAP4", "BRFS3",
"BRKM5", "BRML3", "BVMF3", "CCRO3", "CIEL3", "CMIG4", "CPFE3",
"CPLE6", "CSAN3", "CSNA3", "CTIP3", "CYRE3", "ECOR3", "EGIE3",
"EMBR3", "ENBR3", "EQTL3", "ESTC3", "FIBR3", "GGBR4", "GOAU4",
"HYPE3", "ITSA4", "ITUB4", "JBSS3", "KLBN11", "KROT3", "LAME4",
"LREN3", "MRFG3", "MRVE3", "MULT3", "NATU3", "PCAR4", "PETR3",
"PETR4", "QUAL3", "RADL3", "RENT3", "RUMO3", "SANB11", "SBSP3",
"SMLE3", "SUZB5", "TIMP3", "UGPA3", "USIM5", "VALE3", "VALE5",
"VIVT4", "WEGE3"
]
if tradingAlgorithmGenerator is None:
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(
feed, broker, 9, 26, 0.05)
self.__date = date
self.__username = '******'
self.__api = PytradeApi(
dbfilepah=dbfilepah,
googleFinanceDir=googleFinanceDir,
username=self.__username,
tradingAlgorithmGenerator=tradingAlgorithmGenerator,
codes=codes,
date=self.__date,
maxlen=maxlen,
debugmode=False)
def testApiDonchianAlgorithmWithSpecificDatesAndSQLiteDataProvider(self):
utc = pytz.utc
specificdays = [
utc.localize(datetime.datetime(2014, 2, 7)),
utc.localize(datetime.datetime(2014, 2, 11)),
utc.localize(datetime.datetime(2014, 9, 18)),
utc.localize(datetime.datetime(2014, 10, 23)),
utc.localize(datetime.datetime(2014, 10, 28)),
utc.localize(datetime.datetime(2014, 12, 29))]
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
alldays = feed.getAllDays()
api = PytradeApi(dbfilepah=self.db)
api.reinitializeUser(username=self.username, cash=self.initialCash)
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(feed, broker, self.donchianEntry,
self.donchianExit, self.riskFactor)
for day in specificdays:
api = PytradeApi(dbfilepah=self.db, username=self.username, tradingAlgorithmGenerator=tradingAlgorithmGenerator, codes=None, date=day,
maxlen=self.maxLen, debugmode=False)
api.executeAnalysis()
api.persistData()
index = alldays.index(day)
day = alldays[index+1]
api = PytradeApi(dbfilepah=self.db, username=self.username, tradingAlgorithmGenerator=tradingAlgorithmGenerator, codes=None, date=day,
maxlen=self.maxLen, debugmode=False)
for order in api.getActiveMarketOrders() + api.getStopOrdersToConfirm():
bar = api.getCurrentBarForInstrument(order.getInstrument())
if bar is None:
continue
if not api.confirmOrder(order, bar.getDateTime(), order.getQuantity(), bar.getOpen(), 10):
api.cancelOrder(order)
api.persistData()
self.assertEqual(api.getEquity(), 36922.16)
def testApiDonchianAlgorithm2014WithSQLiteDataProvider(self):
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
days = feed.getAllDays()
api = PytradeApi(dbfilepah=self.db)
api.reinitializeUser(username=self.username, cash=self.initialCash)
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(feed, broker, self.donchianEntry, self.donchianExit, self.riskFactor)
for i in range(len(days)):
day = days[i]
api = PytradeApi(dbfilepah=self.db, username=self.username, tradingAlgorithmGenerator=tradingAlgorithmGenerator, codes=None, date=day, maxlen=self.maxLen, debugmode=False)
api.executeAnalysis()
api.persistData()
if i == (len(days) - 1):
continue
day = days[i + 1]
api = PytradeApi(dbfilepah=self.db, username=self.username, tradingAlgorithmGenerator=tradingAlgorithmGenerator, codes=None, date=day, maxlen=self.maxLen, debugmode=False)
for order in api.getActiveMarketOrders() + api.getStopOrdersToConfirm():
bar = api.getCurrentBarForInstrument(order.getInstrument())
if bar is None:
continue
if not api.confirmOrder(order, bar.getDateTime(), order.getQuantity(), bar.getOpen(), 10):
api.cancelOrder(order)
api.persistData()
self.assertEqual(api.getEquity(), 36922.16)
class PytradeCli(object):
def __init__(self,
dbfilepah="/var/pytrade/sqlitedb",
googleFinanceDir="/var/pytrade/googlefinance",
date=datetime.now(),
maxlen=90,
codes=None,
tradingAlgorithmGenerator=None):
if codes is None:
codes = [
"ABEV3", "BBAS3", "BBDC3", "BBDC4", "BBSE3", "BRAP4", "BRFS3",
"BRKM5", "BRML3", "BVMF3", "CCRO3", "CIEL3", "CMIG4", "CPFE3",
"CPLE6", "CSAN3", "CSNA3", "CTIP3", "CYRE3", "ECOR3", "EGIE3",
"EMBR3", "ENBR3", "EQTL3", "ESTC3", "FIBR3", "GGBR4", "GOAU4",
"HYPE3", "ITSA4", "ITUB4", "JBSS3", "KLBN11", "KROT3", "LAME4",
"LREN3", "MRFG3", "MRVE3", "MULT3", "NATU3", "PCAR4", "PETR3",
"PETR4", "QUAL3", "RADL3", "RENT3", "RUMO3", "SANB11", "SBSP3",
"SMLE3", "SUZB5", "TIMP3", "UGPA3", "USIM5", "VALE3", "VALE5",
"VIVT4", "WEGE3"
]
if tradingAlgorithmGenerator is None:
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(
feed, broker, 9, 26, 0.05)
self.__date = date
self.__username = '******'
self.__api = PytradeApi(
dbfilepah=dbfilepah,
googleFinanceDir=googleFinanceDir,
username=self.__username,
tradingAlgorithmGenerator=tradingAlgorithmGenerator,
codes=codes,
date=self.__date,
maxlen=maxlen,
debugmode=False)
def getApi(self):
return self.__api
def updateStockData(self):
print "Updating stock data ..."
self.__api.updateStockData()
print "Stock data updated until %s" % self.__api.getLastStockDate()
def getLastStockDate(self):
return self.__api.getLastStockDate()
def getAccountInfo(self):
cash = self.__api.getCash()
equity = self.__api.getEquity()
stopOrders = self.__api.getStopOrders()
marketOrders = self.__api.getActiveMarketOrders()
shares = self.__api.getAllShares()
print "Available cash: R${:,.2f} \t\t\t Equity: R${:,.2f}".format(
cash, equity)
self.printStopOrders(stopOrders if stopOrders is not None else [])
self.printMarketOrders(
marketOrders if marketOrders is not None else [])
self.printShares(shares if shares is not None else {})
return (cash, equity, stopOrders, marketOrders, shares)
def printShares(self, shares):
print "\nShares:"
sharesTable = Texttable(max_width=0)
sharesTable.header(
["Stock Code", "Quantity", "Estimated Value (Date)"])
for code, quantity in shares.items():
currentBars = self.__api.getCurrentBarForInstrument(code)
sharesTable.add_row([
code, # code
"{:,.2f}".format(quantity), # quantity
"R${:,.2f} ({:%d/%b/%Y})".format(
currentBars.getClose() * quantity,
currentBars.getDateTime())
# Estimated Value
])
print sharesTable.draw()
def printMarketOrders(self, marketOrders):
print "\nMarket Orders:"
marketOrdersTable = Texttable(max_width=0)
marketOrdersTable.header([
'Id', 'Action', 'Stock Code', 'Quantity', 'State',
'Creation Date (Close Value)', 'Total Initial Estimated Value',
'Stop Loss Value', 'Current Value', 'Total Current Estimated Value'
])
for o in marketOrders:
code = o.getInstrument()
quantity = o.getQuantity()
stockValues = self.__api.getLastValuesForInstrument(
code, o.getSubmitDateTime())
currentBars = self.__api.getCurrentBarForInstrument(code)
marketOrdersTable.add_row([
o.getId(), # id
Order.Action.toString(Order.Action.fromInteger(
o.getAction())), # action
code, # code
"{:,.2f}".format(o.getQuantity()), # quantity
Order.State.toString(o.getState()), # state
"{:%d/%b/%Y} (R${:,.2f})".format(
o.getSubmitDateTime(), stockValues[4]), # creation date
"R${:,.2f}".format(
quantity *
stockValues[4]), # total initial estimated value
"R${:,.2f}".format(o.stopLossValue) if o.getAction()
== Order.Action.BUY else "-", # stop loss value
"R${:,.2f} ({:%d/%b/%Y})".format(
currentBars.getClose(),
currentBars.getDateTime()), # current value
"R${:,.2f}".format(currentBars.getClose() *
quantity) # total current estimanted value
])
print marketOrdersTable.draw()
def printStopOrders(self, stopOrders):
print "\nStop Orders:"
stopOrdersTable = Texttable(max_width=0)
stopOrdersTable.header([
'Id', 'Stock Code', 'Quantity', 'Creation Date', 'Stop Value',
'State', 'Current Value'
])
for o in stopOrders:
code = o.getInstrument()
currentBars = self.__api.getCurrentBarForInstrument(code)
stopOrdersTable.add_row([
o.getId(), # id
code, # code
"{:,.2f}".format(o.getQuantity()), # quantity
o.getSubmitDateTime().strftime("%d/%b/%Y"), # creation date
"R${:,.2f}".format(o.getStopPrice()), # stop price
Order.State.toString(o.getState()), # state
"R${:,.2f} ({:%d/%b/%Y})".format(
currentBars.getClose(),
currentBars.getDateTime()) # current value
])
print stopOrdersTable.draw()
def executeAnalysis(self):
self.__api.executeAnalysis()
marketOrders = self.__api.getActiveMarketOrders()
stopOrders = self.__api.getStopOrdersToConfirm()
self.printStopOrders(stopOrders)
self.printMarketOrders(marketOrders)
return marketOrders + stopOrders
def confirmOrder(self,
orderId,
quantity,
price,
commission,
date=datetime.now()):
ret = self.__api.confirmOrder(order=self.__api.getOrderById(orderId),
datetime=date,
quantity=quantity,
price=price,
commission=commission)
print "Order confirmed" if ret else "Order not confirmed"
return ret
def cancelOrder(self, orderId):
self.__api.cancelOrder(self.__api.getOrderById(orderId))
def save(self):
self.__api.persistData()
def getLastValuesForInstrument(self, instrument, date):
values = self.__api.getLastValuesForInstrument(instrument, date)
table = Texttable(max_width=0)
table.header(["Date", "Open", "High", "Low", "Close", "Volume"])
table.add_row([
"{:%d/%b/%Y}".format(values[0]),
"R${:,.2f}".format(values[1]),
"R${:,.2f}".format(values[2]),
"R${:,.2f}".format(values[3]),
"R${:,.2f}".format(values[4]),
"R${:,.2f}".format(values[5]),
])
print(table.draw())
return values