def start(self):
"""Starts the replay of historical data against the user-defined strategy"""
pairs = cfg.pairs()
with open(self._prices_file) as file:
while True:
current_line = file.readline()
if not current_line:
break
timestamp, prices = self.__class__.parse_entry(current_line)
if len(prices) != len(pairs):
raise RuntimeError(
'The number of prices in this entry ({}) does not match the number of pairs'
.format(timestamp))
prices_dict = {pairs[i]: prices[i] for i in range(len(pairs))}
results = self._account.auto_close_trades(prices_dict)
for trade_id, outcome in results:
logging.debug('{} Closed t{} with {}'.format(
timestamp, trade_id, outcome))
self._strategy.execute(self._account, timestamp, prices_dict)
logging.info('Result: %s' %
self._account.net_balance_summary(prices_dict))
def __init__(self, units_per_trade, take_profit_percentage,
stop_loss_percentage):
super().__init__()
self._units_per_trade = units_per_trade
self._take_profit_percentage = take_profit_percentage
self._stop_loss_percentage = stop_loss_percentage
self._pairs = cfg.pairs()
self._pair_index = 0
def merge_all_pairs(year, month=None):
"""Merges the prices of all pairs into one entry per timestamp."""
pairs = cfg.pairs()
all_prices_dict = {}
for i in range(len(pairs)):
price_entries = get_prices(pairs[i], year, month)
for entry in price_entries:
parts = entry.split(';')
timestamp = parts[0]
close_price = parts[-2]
if timestamp not in all_prices_dict:
all_prices_dict[timestamp] = [None] * len(pairs)
all_prices_dict[timestamp][i] = close_price
timestamps = list(all_prices_dict.keys())
timestamps.sort()
return [[timestamp] + all_prices_dict[timestamp]
for timestamp in timestamps]
def test_pairs(self):
with mock.patch('forex.config.CURRENCIES', [1, 2, 3]):
self.assertEqual([(1, 2), (1, 3), (2, 3)], cfg.pairs())