def setUp(self):
self.simluation_clock = SimulationClock()
self.realtime_clock = RealTimeClock()
self.simluation_clock.reset()
self.endtime = []
self.simluation_clock.update_time(ClockTest.ts)
class ClockTest(TestCase):
ts = 1467870720000
def sim_action(self, *arg):
self.endtime.append(self.simluation_clock.now())
def realtime_action(self, *arg):
self.endtime.append(self.realtime_clock.now())
def setUp(self):
self.simluation_clock = SimulationClock()
self.realtime_clock = RealTimeClock()
self.simluation_clock.reset()
self.endtime = []
self.simluation_clock.update_time(ClockTest.ts)
def test_simulation_clock_current_date_time_with_bar(self):
timestamp = ClockTest.ts + 10
bar = Bar(timestamp=timestamp)
self.simluation_clock.on_bar(bar)
self.assertEquals(timestamp, self.simluation_clock.now())
def test_simulation_clock_current_date_time_with_quote(self):
timestamp = ClockTest.ts + 10
quote = Quote(timestamp=timestamp)
self.simluation_clock.on_quote(quote)
self.assertEquals(timestamp, self.simluation_clock.now())
def test_simulation_clock_current_date_time_with_trade(self):
timestamp = ClockTest.ts + 10
trade = Trade(timestamp=timestamp)
self.simluation_clock.on_trade(trade)
self.assertEquals(timestamp, self.simluation_clock.now())
def test_simulation_clock_now(self):
self.assertEquals(ClockTest.ts, self.simluation_clock.now())
def test_simulation_clock_reset(self):
self.simluation_clock.reset()
self.assertEquals(0, self.simluation_clock.now())
def test_simulation_clock_schedule_absolute(self):
self.simluation_clock.schedule_absolute(ClockTest.ts + 1000, self.sim_action)
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 999)
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 1000)
self.assertEquals([ClockTest.ts + 1000], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 1001)
self.assertEquals([ClockTest.ts + 1000], self.endtime)
def test_simulation_schedule_absolute_beyond_trigger_time(self):
self.simluation_clock.schedule_absolute(ClockTest.ts + 1000, self.sim_action)
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 5000)
self.assertEquals([ClockTest.ts + 5000], self.endtime)
def test_simulation_schedule_relative(self):
self.simluation_clock.schedule_relative(datetime.timedelta(seconds=3), self.sim_action)
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 1000)
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 3000)
self.assertEquals([ClockTest.ts + 3000], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 4000)
self.assertEquals([ClockTest.ts + 3000], self.endtime)
def test_simulation_schedule_relative_beyond_trigger_time(self):
self.simluation_clock.schedule_relative(3000, self.sim_action, )
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 5000)
self.assertEquals([ClockTest.ts + 5000], self.endtime)
@nottest
def test_timestamp_conversion(self):
dt = datetime.datetime(year=2000, month=1, day=1, hour=7, minute=30, second=30)
ts = DateUtils.datetime_to_unixtimemillis(dt)
self.assertEqual(946683030000, ts)
dt2 = DateUtils.unixtimemillis_to_datetime(ts)
self.assertEquals(dt, dt2)
dt3 = datetime.datetime.fromtimestamp(0)
ts2 = DateUtils.datetime_to_unixtimemillis(dt3)
dt4 = DateUtils.unixtimemillis_to_datetime(ts2)
self.assertEquals(0, ts2)
self.assertEquals(dt3, dt4)
def test_real_time_clock_now(self):
ts = DateUtils.datetime_to_unixtimemillis(datetime.datetime.now())
ts2 = self.realtime_clock.now()
self.assertTrue(abs(ts - ts2) <= 10)
time.sleep(2)
ts3 = self.realtime_clock.now()
self.assertAlmostEqual(ts3 - ts2, 2000, -2)
def test_real_time_clock_schedule_absolute(self):
start = self.realtime_clock.now()
dt = DateUtils.unixtimemillis_to_datetime(start)
abs_time = dt + datetime.timedelta(seconds=1)
self.realtime_clock.schedule_absolute(abs_time, self.realtime_action)
self.assertEquals([], self.endtime)
time.sleep(1.1)
self.assertEquals(1, len(self.endtime))
self.assertAlmostEqual(1000, self.endtime[0] - start, -2)
def test_real_time_clock_schedule_relative(self):
start = self.realtime_clock.now()
print start
print DateUtils.unixtimemillis_to_datetime(start)
self.realtime_clock.schedule_relative(datetime.timedelta(seconds=1), self.realtime_action)
self.assertEquals([], self.endtime)
time.sleep(1.1)
self.assertEquals(1, len(self.endtime))
self.assertAlmostEqual(1000, self.endtime[0] - start, -2)
def test_real_time_clock_now(self):
s1 = gevent.core.time()
s2 = datetime.datetime.fromtimestamp(s1)
print s1, s2
s3 = self.realtime_clock.now()
s4 = DateUtils.unixtimemillis_to_datetime(s3)
print s3, s4
self.assertAlmostEqual(s1 * 1000, s3, -2)
def setUp(self):
self.simluation_clock = SimulationClock()
self.realtime_clock = RealTimeClock()
self.simluation_clock.reset()
self.endtime = []
self.simluation_clock.update_time(ClockTest.ts)
class ClockTest(TestCase):
ts = 1467870720000
def sim_action(self, *arg):
self.endtime.append(self.simluation_clock.now())
def realtime_action(self, *arg):
self.endtime.append(self.realtime_clock.now())
def setUp(self):
self.simluation_clock = SimulationClock()
self.realtime_clock = RealTimeClock()
self.simluation_clock.reset()
self.endtime = []
self.simluation_clock.update_time(ClockTest.ts)
def test_simulation_clock_current_date_time_with_bar(self):
timestamp = ClockTest.ts + 10
bar = Bar(timestamp=timestamp)
self.simluation_clock.on_bar(bar)
self.assertEquals(timestamp, self.simluation_clock.now())
def test_simulation_clock_current_date_time_with_quote(self):
timestamp = ClockTest.ts + 10
quote = Quote(timestamp=timestamp)
self.simluation_clock.on_quote(quote)
self.assertEquals(timestamp, self.simluation_clock.now())
def test_simulation_clock_current_date_time_with_trade(self):
timestamp = ClockTest.ts + 10
trade = Trade(timestamp=timestamp)
self.simluation_clock.on_trade(trade)
self.assertEquals(timestamp, self.simluation_clock.now())
def test_simulation_clock_now(self):
self.assertEquals(ClockTest.ts, self.simluation_clock.now())
def test_simulation_clock_reset(self):
self.simluation_clock.reset()
self.assertEquals(0, self.simluation_clock.now())
def test_simulation_clock_schedule_absolute(self):
self.simluation_clock.schedule_absolute(ClockTest.ts + 1000,
self.sim_action)
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 999)
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 1000)
self.assertEquals([ClockTest.ts + 1000], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 1001)
self.assertEquals([ClockTest.ts + 1000], self.endtime)
def test_simulation_schedule_absolute_beyond_trigger_time(self):
self.simluation_clock.schedule_absolute(ClockTest.ts + 1000,
self.sim_action)
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 5000)
self.assertEquals([ClockTest.ts + 5000], self.endtime)
def test_simulation_schedule_relative(self):
self.simluation_clock.schedule_relative(datetime.timedelta(seconds=3),
self.sim_action)
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 1000)
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 3000)
self.assertEquals([ClockTest.ts + 3000], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 4000)
self.assertEquals([ClockTest.ts + 3000], self.endtime)
def test_simulation_schedule_relative_beyond_trigger_time(self):
self.simluation_clock.schedule_relative(
3000,
self.sim_action,
)
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 5000)
self.assertEquals([ClockTest.ts + 5000], self.endtime)
@nottest
def test_timestamp_conversion(self):
dt = datetime.datetime(year=2000,
month=1,
day=1,
hour=7,
minute=30,
second=30)
ts = DateUtils.datetime_to_unixtimemillis(dt)
self.assertEqual(946683030000, ts)
dt2 = DateUtils.unixtimemillis_to_datetime(ts)
self.assertEquals(dt, dt2)
dt3 = datetime.datetime.fromtimestamp(0)
ts2 = DateUtils.datetime_to_unixtimemillis(dt3)
dt4 = DateUtils.unixtimemillis_to_datetime(ts2)
self.assertEquals(0, ts2)
self.assertEquals(dt3, dt4)
def test_real_time_clock_now(self):
ts = DateUtils.datetime_to_unixtimemillis(datetime.datetime.now())
ts2 = self.realtime_clock.now()
self.assertTrue(abs(ts - ts2) <= 10)
time.sleep(2)
ts3 = self.realtime_clock.now()
self.assertAlmostEqual(ts3 - ts2, 2000, -2)
def test_real_time_clock_schedule_absolute(self):
start = self.realtime_clock.now()
dt = DateUtils.unixtimemillis_to_datetime(start)
abs_time = dt + datetime.timedelta(seconds=1)
self.realtime_clock.schedule_absolute(abs_time, self.realtime_action)
self.assertEquals([], self.endtime)
time.sleep(1.1)
self.assertEquals(1, len(self.endtime))
self.assertAlmostEqual(1000, self.endtime[0] - start, -2)
def test_real_time_clock_schedule_relative(self):
start = self.realtime_clock.now()
print start
print DateUtils.unixtimemillis_to_datetime(start)
self.realtime_clock.schedule_relative(datetime.timedelta(seconds=1),
self.realtime_action)
self.assertEquals([], self.endtime)
time.sleep(1.1)
self.assertEquals(1, len(self.endtime))
self.assertAlmostEqual(1000, self.endtime[0] - start, -2)
def test_real_time_clock_now(self):
s1 = gevent.core.time()
s2 = datetime.datetime.fromtimestamp(s1)
print s1, s2
s3 = self.realtime_clock.now()
s4 = DateUtils.unixtimemillis_to_datetime(s3)
print s3, s4
self.assertAlmostEqual(s1 * 1000, s3, -2)
from datetime import datetime, timedelta
import gevent
from rx.concurrency.historicalscheduler import HistoricalScheduler
from algotrader.event.market_data import Bar, BarSize
from algotrader.utils.clock import RealTimeClock
from algotrader.utils.date_utils import DateUtils
realtime_clock = RealTimeClock()
class HistoricalScheduler2(HistoricalScheduler):
def __init__(self, initial_clock=None, comparer=None):
def compare_datetimes(a, b):
return (a > b) - (a < b)
clock = initial_clock or datetime.fromtimestamp(0)
comparer = comparer or compare_datetimes
super(HistoricalScheduler2, self).__init__(clock, comparer)
def now(self):
return self.clock
@staticmethod
def add(absolute, relative):
if isinstance(relative, int):
return absolute + timedelta(milliseconds=relative)
elif isinstance(relative, float):
return absolute + timedelta(seconds=relative)
def __get_clock(self):
if self.app_config.clock_type == Clock.RealTime:
return RealTimeClock()
return SimulationClock()
