def test_order_add_future(self):
portfolio = Portfolio()
order = SellOrder('usd', 50.0)
portfolio.add_order(
datetime.datetime.now() + datetime.timedelta(minutes=5), order)
orders = portfolio.get_orders_to_process()
self.assertEqual(len(orders), 0)
self.assertEqual(len(portfolio.orders), 1)
def test_order_add(self):
portfolio = Portfolio()
order = SellOrder('usd', 50.0)
portfolio.add_order(datetime.datetime.now(), order)
orders = portfolio.get_orders_to_process()
self.assertEqual(len(orders), 1)
self.assertEqual(orders[0], order)
self.assertEqual(len(portfolio.orders), 0)
def test_execute_order_multiple(self):
portfolio = Portfolio({'usd': 100})
portfolio.execute_order(BuyOrder('ltc_usd'), 25.0)
self.assertEqual(portfolio.amount_available('ltc'), 4.0)
self.assertEqual(portfolio.amount_available('usd'), 0.0)
portfolio.execute_order(SellOrder('ltc_usd'), 30.0)
self.assertEqual(portfolio.amount_available('usd'), 120.0)
self.assertEqual(portfolio.amount_available('ltc'), 0.0)
def test_order_add_multiple(self):
portfolio = Portfolio()
order_1 = SellOrder('usd', 50.0)
order_2 = BuyOrder('usd', 100.0)
time_1 = datetime.datetime.now()
portfolio.add_order(time_1, order_1)
time_2 = datetime.datetime.now()
portfolio.add_order(time_2, order_2)
orders = portfolio.get_orders_to_process()
self.assertEqual(len(orders), 2)
self.assertIn(order_1, orders)
self.assertIn(order_2, orders)
self.assertEqual(len(portfolio.orders), 0)
def __init__(self, pairs, initial_portfolio=None):
self.pairs = pairs
self.db = database.MarketDatabase()
self.analyzer = analysis.analysis.Analyzer()
self.portfolio = Portfolio(initial_portfolio)
self.last_prices = {}
class Simulator:
def __init__(self, pairs, initial_portfolio=None):
self.pairs = pairs
self.db = database.MarketDatabase()
self.analyzer = analysis.analysis.Analyzer()
self.portfolio = Portfolio(initial_portfolio)
self.last_prices = {}
def simulate(self):
data = {}
for pair in self.pairs:
logger.info("loading data for %s" % pair)
ticks = self.db.retrieve_ticks(pair, datetime.datetime(2000, 1, 1),
datetime.datetime.now())
ticks = analysis.analysis.filter_repeating_ticks(ticks)
data[pair] = ticks
logger.info("all data loaded")
timestamps = merge_timestamps(data)
logger.info("timestamps merged")
for (i, t) in enumerate(timestamps):
for pair in self.pairs:
if not t in [tick['time'] for tick in data[pair]]:
continue
start = 0
if i > 1000:
start = i - 1000
ticks = data[pair][start:i]
signals = self.analyzer.analyze(ticks, pair)
base, counter = pair.split('_')
self.last_prices[pair] = data[pair][i]['last']
if signals:
for signal in signals:
if isinstance(signal, BuySignal):
if self.portfolio.amount_available(counter):
self.portfolio.add_order(t, BuyOrder(pair))
self.portfolio.add_order(
t + datetime.timedelta(minutes=5),
SellOrder(pair))
for order in self.portfolio.get_orders_to_process(t):
try:
order_base, order_counter = order.pair.split('_')
self.portfolio.execute_order(
order, self.last_prices[order.pair])
logger.info(
"processed %s order %s @ %s - %s and %s now at portfolio for %s"
% (order.get_type(), order.pair,
self.last_prices[order.pair],
self.portfolio.amount_available(order_base),
self.portfolio.amount_available(order_counter),
order.pair))
except NoFundsException:
logger.debug("can't process %s order for %s" %
(order.get_type(), pair))
def test_execute_order_no_money_2(self):
portfolio = Portfolio({'usd': 100})
self.assertRaises(
NoFundsException,
lambda: portfolio.execute_order(SellOrder('ltc_usd'), 25.0))
def test_execute_order_no_money(self):
portfolio = Portfolio()
self.assertRaises(
NoFundsException,
lambda: portfolio.execute_order(BuyOrder('ltc_usd'), 25.0))
def test_execute_order(self):
portfolio = Portfolio({'usd': 100})
portfolio.execute_order(BuyOrder('ltc_usd'), 25.0)
self.assertEqual(portfolio.amount_available('ltc'), 4)
def test_portfolio_create(self):
portfolio = Portfolio({'usd': 100.0})
self.assertEqual(portfolio.amount_available('usd'), 100.0)
def test_portfolio_subtract(self):
portfolio = Portfolio({'usd': 100.0})
portfolio.add_currency('usd', -50.0)
self.assertEqual(portfolio.amount_available('usd'), 50.0)
def test_portfolio_add_new(self):
portfolio = Portfolio({'usd': 100.0})
portfolio.add_currency('eur', 50.0)
self.assertEqual(portfolio.amount_available('eur'), 50.0)