def createByer(nBuy):
Byer = []
for i in xrange(int(nBuy * 0.9)):
Byer.append(
Investor(random.randint(2700, 3000), 1, random.uniform(0, 3), 0))
for i in xrange(int(nBuy * 0.1)):
Byer.append(
Investor(random.randint(3000, 3300), 1, random.uniform(0, 1), 0))
return Byer
def __init__(self, params, contract_name, token_contract_name, log_path):
Crowdsale.__init__(self, params, contract_name, log_path)
self.state = self.states["PendingConfiguration"]
self.investors.append(Investor(self.accounts[1], True, 0))
self.investors.append(Investor(self.accounts[2], True, 1))
self.investors.append(Investor(self.accounts[3], False, 0))
self.investors.append(Investor(self.accounts[4], False, 1))
self.token_balances = {x: 0 for x in self.accounts}
self.multisig_wei = self.web3.eth.getBalance(self.params['MW_address'])
self.token_contract_name = token_contract_name
def main():
s = Stock()
prices = []
smi = 300 # number of smart money investors
iis = 500 # number of institutional investors
hho = 8000 # number of house hold investors
smif = 40000 # smart money investor's funds
iisf = 80000 # institutional investor investor's funds
hhof = 2000 # house hold investor's funds
my_investors = []
for i in range(1, smi):
investor = Investor(i, "smart money", smif, s)
my_investors.append(investor)
for i in range(smi, iis + smi):
investor = Investor(i, "institutional", iisf, s)
my_investors.append(investor)
for i in range(iis + smi, iis + smi + hho):
investor = Investor(i, "householding", hhof, s)
my_investors.append(investor)
for day in range(0, 150):
for inv in my_investors:
inv.decide()
s.tick()
prices.append([day, s.get_price()])
for p in prices:
print(p[0], p[1])
#csvP = CsvProcess()
#csvP.csvWrite(prices,'price.csv')
numPrices = np.asarray(prices)
plt.figure(1)
plt.plot(numPrices[:, 1])
plt.xlabel('Time')
plt.ylabel('Price')
#plt.figure(2)
#plt.plot(numPrices[0:60,1])
#plt.xlabel('Time')
#plt.ylabel('Price')
plt.show()
def generate_investor_list():
"""Use a investor permalink list to generate a file with investor info."""
investor_permalinks = read_names_from_file(VC_NAMES_FILE)
investors = []
for permalink in investor_permalinks:
investor_dict = lookup_financial_org_by_permalink(permalink)
investor = Investor(investor_dict)
investors.append(investor)
write_investor_csv(investors)
def __init__(self,
sdate,
edate,
buy_solver,
db,
cash=1000,
buy_size=25.0,
liquidity_limit=1.0):
self.investor = Investor(cash)
self.month = pd.Period(sdate, freq='M')
self.end_month = pd.Period(edate, freq='M')
self.buy_solver = buy_solver
self.db = db
self.buy_size = buy_size
self.liquidity_limit = liquidity_limit
self.buy_solver_name = self.buy_solver_lookup(self.buy_solver)
self.stats = defaultdict(dict)
self.loans = pd.DataFrame()
self.current_loans = dict()
def __init__(self, sdate, edate, buy_solver, db, cash=1000, buy_size=25.0, liquidity_limit=1.0):
self.investor = Investor(cash)
self.month = pd.Period(sdate, freq='M')
self.end_month = pd.Period(edate, freq='M')
self.buy_solver = buy_solver
self.db = db
self.buy_size = buy_size
self.liquidity_limit = liquidity_limit
self.buy_solver_name = self.buy_solver_lookup(self.buy_solver)
self.stats = defaultdict(dict)
self.loans = pd.DataFrame()
self.current_loans = dict()
def test_exchange():
asset_names = [{
'name': "Asset 1",
'id': 1
}, {
'name': "Asset 2",
'id': 2
}, {
'name': "Asset 3",
'id': 3
}, {
'name': "Asset 4",
'id': 4
}, {
'name': "Asset 5",
'id': 5
}, {
'name': "Asset 6",
'id': 6
}, {
'name': "Asset 7",
'id': 7
}, {
'name': "Asset 8",
'id': 8
}]
exchange = Exchange("TestExchange", asset_names=asset_names)
broker = Broker(id=1000, exchange=exchange)
investor1 = Investor(id=2000, cap=100000, broker=broker)
for i in range(1):
investor1.buy(assetid=1, price=5.0, amount=1000)
investor2 = Investor(id=2001, cap=100000, broker=broker)
for i in range(5):
investor2.sell(assetid=1, price=5.0, amount=100)
s.Status = 0
Byer[i].Status = 0
return True, s.Exp, Byer[i].Exp
i -= 1
return False, 0, 0
# simulate
finalPrice = []
pstPrice = 50
pstValue = 0
pstAmnt = 0
Byer = []
Sler = []
for i in xrange(150):
Byer.append(Investor(0, 1, random.randint(0, 9), 0))
for i in xrange(150):
Sler.append(Investor(100, -1, random.randint(0, 9), 0))
__displayAll()
for i in xrange(240):
pstValue = 0
pstAmnt = 0
for b in Byer:
b.histExp.append(b.Exp)
b.Exp += expChangeFunc(b, pstPrice, 0)
if b.Status == 1:
tResult, bexp, sexp = tryBuy(Sler, b)
if tResult:
# Submit valid request
print('Submit valid request')
loan1.submitLoanRequest(borrower1, amount=5000, installment_period=6)
# List borrower1 loan Requests
print('List borrower1 loan Requests')
borrower1.checkMyLoans()
# Get loan1 details
print('Get loan1 details')
loan1.showLoanReqDetails()
# create Investors
print('create Investors')
investor1 = Investor(balance=20000)
investor2 = Investor(balance=30000)
investor3 = Investor(balance=100)
print('investor1 investor2 investor3 are created')
# Investors Submitting offers
print('investor1 submit valid offer')
loan1.submitLoanOffer(investor=investor1, interest=10)
print('investor2 submit valid offer')
loan1.submitLoanOffer(investor=investor2, interest=15)
# test submitting offer validation
print('investor3 submit invalid offer investor has no enough balance ')
loan1.submitLoanOffer(investor=investor3, interest=5)
# list loan1 offers
def main():
# Parse arguments to determine if we're in test mode or production mode
parser = argparse.ArgumentParser(description='Autonomous LendingClub account management.')
parser.add_argument('-p', '--productionMode', action='store_true', help='Enter production mode. Required to invest or transfer funds.')
parser.add_argument('-t', '--testFilters', action='store_true', help='Test loan filters by applying them to all loans currently listed. Exit once complete.')
args = parser.parse_args()
if args.productionMode:
logger.warning('Entering production mode. Auto-investor may invest in loans or transfer money into your LendingClub account according to your configuration.')
if args.testFilters:
logger.info('Entering filter test mode.')
# Retrieve configuration so we can set up exception handler
config = os.path.join(os.path.dirname(os.path.realpath(__file__)), 'config', 'config.json')
conf = json.load(open(config))
global notification_email
notification_email = conf['email']
sys.excepthook = global_exc_handler
# Now that exceptions will be emailed, parse loan filters
rules = os.path.join(os.path.dirname(os.path.realpath(__file__)), 'config', 'rules.json')
filters = json.load(open(rules))
db = 'loans.db'
# Create investor object
i = Investor.Investor(conf['iid'], conf['auth'], productionMode=args.productionMode)
# Get loan portfolio
portfolioName = datetime.now().__format__('%m.%y')
portfolio = get_portfolio(i, portfolioName)
if not portfolio:
portfolio = i.create_portfolio(portfolioName)
portfolioId = portfolio['portfolioId']
# Initialize filters
init_filters(i, filters)
# Conditionally verify filters
if args.testFilters:
i.test_filters()
logger.info('Filter test complete.')
return
# Retrieve available cash and any pending transfers
available_cash = i.get_cash()
xfers = i.get_pending_transfers()
pending_xfer_amt = sum(map(lambda x : x['amount'], xfers))
# Transfer additional funds if we are below the minimum cash balance
total_funds = available_cash + pending_xfer_amt
if total_funds < conf['min_balance']:
xfer_amt = ((conf['min_balance'] - total_funds) + (conf['orderamnt'] - .01)) // conf['orderamnt'] * conf['orderamnt']
logger.info('Transfering $%d to meet minimum balance requirement of $%d' % (xfer_amt, conf['min_balance']))
i.add_funds(xfer_amt)
pending_xfer_amt += xfer_amt
# Retrieve new loans that pass filters
logger.info('Retrieving newly posted loans')
new_loans = i.get_new_loans()
if not len(new_loans):
logger.info('No new loans to invest in. Exiting.')
return
# Save loans away for characterization later
logger.info('%s loans pass filters' % (len(new_loans)))
add_to_db(db, new_loans)
# Bail out if we don't have enough cash to invest
if available_cash < conf['orderamnt']:
logger.warning('Exiting. Not enough cash to invest')
return
# Hell yeah, let's order
#if 'yes' in input('Are you sure you wish to invest in these loans? (yes/no): '):
num_loans = int(min( int(available_cash) / conf['orderamnt'], len(new_loans)))
logger.info('Placing order with %s loans.' % (num_loans))
if i.submit_order(new_loans[0 : num_loans], portfolioId):
email_body = 'Purchased %s loan(s) at %s\n\n' % (num_loans, datetime.now())
for loan in new_loans[0 : num_loans]:
email_body += '%s\n' % (str(loan))
email_purchase_notification(conf['email'], num_loans, email_body=email_body)
return
from borrower import Borrower
from investor import Investor
from loan import Loan
from paymentFacade import PaymentFacade
from lenmoSingleton import Lenmo
borrower = Borrower(balance=100000)
investor = Investor(balance=2000000)
loan = Loan()
loan.submitLoanRequest(borrower=borrower, amount=500000, installment_period=6)
loan.showLoanReqDetails()
loan.submitLoanOffer(investor, 15)
loan.showLoanOffers()
offerId = loan.offers[0].id
loan.acceptLoanOffer(id=offerId)
borrower.checkMyLoanRequests()
investor.showMyOffers()
investor.showMyAcceptedOffers()
transaction = PaymentFacade(loan)
transaction.fundLoan()
print('lenmo balance increased by 3 $ paid by Investor')
print('lenmo balance: ', Lenmo().balance)
print('borrower balance =', borrower.balance)
print('borrower outstanding balance is =', borrower.outstanding)
print('investor balance =', investor.balance)
print('investor outstanding balance is =', investor.outstanding)
print('\n PAYMENT SCHEDULE' + '-' * 30)
transaction.showPaymentSchedule()
print('\n First Transaction' + '-' * 30)
transaction.doMonthlyPayment()
class Backtest():
def __init__(self,
sdate,
edate,
buy_solver,
db,
cash=1000,
buy_size=25.0,
liquidity_limit=1.0):
self.investor = Investor(cash)
self.month = pd.Period(sdate, freq='M')
self.end_month = pd.Period(edate, freq='M')
self.buy_solver = buy_solver
self.db = db
self.buy_size = buy_size
self.liquidity_limit = liquidity_limit
self.buy_solver_name = self.buy_solver_lookup(self.buy_solver)
self.stats = defaultdict(dict)
self.loans = pd.DataFrame()
self.current_loans = dict()
def buy_solver_lookup(self, function):
return {
simple_filter_buy_solver: 'Simple Filter',
generic_buy_solver: 'Generic n-Loan',
single_buy_solver: 'Single Buy',
zero_buy_solver: 'Zero Buy'
}[function]
def solve_month(self):
self.investor.get_payments()
new_loans, matching_new_loans, available_new_loans = self.buy()
self.loans = pd.concat([self.loans, new_loans], axis=0)
self.current_loans[self.month] = [loan for loan in self.investor.loans]
self.stats['loans added'][self.month] = new_loans.shape[0]
self.stats['strategy available loans'][self.month] = matching_new_loans
self.stats['available loans'][self.month] = available_new_loans
self.stats['loans held'][self.month] = len(self.investor.loans)
self.stats['cumulative loans held'][self.month] = self.loans.shape[0]
self.stats['cumulative defaults'][
self.month] = self.investor.cum_defaults
self.stats['cash held'][self.month] = self.investor.balance
self.stats['net worth'][self.month] = self.investor.get_net_worth()
self.stats['imbalance'][self.month] = self.investor.cum_imbalance
self.stats['abs imbalance'][
self.month] = self.investor.abs_cum_imbalance
self.stats['imbalance %'][self.month] = self.stats['imbalance'][
self.month] / self.stats['net worth'][self.month]
self.stats['abs imbalance %'][self.month] = self.stats[
'abs imbalance'][self.month] / self.stats['net worth'][self.month]
self.month += 1
def buy(self):
month_db = self.db[self.db['issue_d'] == self.month]
purchase_count = np.floor(self.investor.balance / self.buy_size)
# if purchase_count > 0: ### We can just pass 0 to the solver and get back an empty dataframe for now
buy_dict = self.buy_solver(self.month, self.investor, month_db,
purchase_count, self.liquidity_limit)
buy_df = buy_dict['loans']
buy_matching = buy_dict['matching quantity']
buy_available = buy_dict['available quantity']
if buy_df.empty:
buy_df = pd.DataFrame()
new_loans = buy_df.apply(self.map_loan_row, axis=1)
self.investor.buy_loans(new_loans)
return new_loans, buy_matching, buy_available
def map_loan_row(self, row):
return Loan(loan_id=row['id'],
grade=row['grade'],
int_rate=row['int_rate'],
term=row['term'],
amount=row['funded_amnt'],
issue_date=row['issue_d'],
last_date=row['last_pymnt_d'],
investment=self.buy_size,
defaults=row['defaulted'],
total_payment=row['total_pymnt'],
total_principle=row['total_rec_prncp'],
recoveries=row['recoveries'])
def run(self):
while self.month <= self.end_month:
print self.month, self.end_month
self.solve_month()
self.stats = pd.DataFrame(self.stats)
self.stats['defaults'] = self.stats['cumulative defaults'].diff()
self.stats['monthly return'] = self.stats['net worth'].diff().shift(
-1) / self.stats['net worth']
self.stats['annualized return'] = self.stats[
'monthly return'].resample('A', how='mean').resample(
'M', fill_method='ffill')
self.stats['total liquidity'] = self.stats['loans added'] / self.stats[
'available loans']
self.stats['strategy liquidity'] = self.stats[
'loans added'] / self.stats['strategy available loans'].replace(
0, np.nan)
self.stats['strategy vs total liquidity'] = self.stats[
'strategy available loans'] / self.stats[
'available loans'].replace(0, np.nan)
self.stats['default rate'] = self.stats['defaults'] / self.stats[
'loans held'].replace(0, np.nan)
self.stats['growth of $1'] = self.stats['net worth'] / self.stats[
'net worth'].iloc[0]
self.stats_dict = dict()
try:
self.stats_dict['sharpe'] = self.stats['net worth'].diff().mean(
) / self.stats['net worth'].diff().std() * np.sqrt(12)
except ZeroDivisionError as e:
warnings.warn('Division by zero: Sharpe Ratio')
self.stats_dict['sharpe'] = np.nan
self.stats_dict = pd.Series(self.stats_dict)
self.loan_stats = dict()
self.current_loans = {
month: pd.DataFrame(
[loan.to_dict() for loan in self.current_loans[month]])
for month in self.current_loans
}
self.loan_stats['grade'] = pd.DataFrame({
month: self.current_loans[month]['grade'].value_counts()
for month in self.current_loans
if not self.current_loans[month].empty
}).T.reindex(self.stats.index)
self.loan_stats['grade_int_rate'] = pd.DataFrame({
month:
self.current_loans[month].groupby('grade')['int_rate'].mean()
for month in self.current_loans
if not self.current_loans[month].empty
}).T.reindex(self.stats.index)
self.loan_stats['duration'] = pd.DataFrame({
month: (self.current_loans[month]['end_date'] - month)
for month in self.current_loans
if not self.current_loans[month].empty
}).T.reindex(self.stats.index) / 12
self.loan_stats['int_rate'] = pd.DataFrame({
month: self.current_loans[month]['int_rate']
for month in self.current_loans
if not self.current_loans[month].empty
}).T.reindex(self.stats.index)
self.loan_stats['defaulted'] = pd.DataFrame({
month: self.current_loans[month]['defaulted']
for month in self.current_loans
if not self.current_loans[month].empty
}).T.reindex(self.stats.index)
self.loan_stats['remaining_amount'] = pd.DataFrame({
month: self.current_loans[month]['remaining_amount']
for month in self.current_loans
if not self.current_loans[month].empty
}).T.reindex(self.stats.index)
self.loan_stats['imbalance_percentage'] = pd.DataFrame({
month: self.current_loans[month]['imbalance_percentage']
for month in self.current_loans
if not self.current_loans[month].empty
}).T.reindex(self.stats.index)
self.loan_stats_total = dict()
for category in ['duration', 'int_rate',
'imbalance_percentage']: # self.loan_stats:
self.loan_stats_total[category] = pd.Series(
self.loan_stats[category].values.flatten()).dropna()
self.loan_stats_total['imbalance_percentage'] = pd.Series(
self.loan_stats_total['imbalance_percentage'].value_counts().index
) # small hack to remove duplicates between months
self.loan_stats_total['grade'] = self.loan_stats['grade'].sum()
return self.stats
def generate_report(self):
pass
def __init__(self):
self.accountant = Accountant()
self.polygon = PolygonGateway(self.accountant)
self.investor = Investor()
def createInvestor(self):
self.investor = Investor(self.totalManey)
def createByerWithParm(nBuy, exp, parm1):
Byer = []
for i in xrange(nBuy):
Byer.append(Investor(exp, 1, parm1, 0))
return Byer
def createSler(nSel):
Sler = []
for i in xrange(nSel):
Sler.append(
Investor(random.randint(2700, 3300), -1, random.uniform(0, 1), 0))
return Sler
class Backtest():
def __init__(self, sdate, edate, buy_solver, db, cash=1000, buy_size=25.0, liquidity_limit=1.0):
self.investor = Investor(cash)
self.month = pd.Period(sdate, freq='M')
self.end_month = pd.Period(edate, freq='M')
self.buy_solver = buy_solver
self.db = db
self.buy_size = buy_size
self.liquidity_limit = liquidity_limit
self.buy_solver_name = self.buy_solver_lookup(self.buy_solver)
self.stats = defaultdict(dict)
self.loans = pd.DataFrame()
self.current_loans = dict()
def buy_solver_lookup(self, function):
return {
simple_filter_buy_solver: 'Simple Filter',
generic_buy_solver: 'Generic n-Loan',
single_buy_solver: 'Single Buy',
zero_buy_solver: 'Zero Buy'
}[function]
def solve_month(self):
self.investor.get_payments()
new_loans, matching_new_loans, available_new_loans = self.buy()
self.loans = pd.concat([self.loans, new_loans], axis=0)
self.current_loans[self.month] = [loan for loan in self.investor.loans]
self.stats['loans added'][self.month] = new_loans.shape[0]
self.stats['strategy available loans'][self.month] = matching_new_loans
self.stats['available loans'][self.month] = available_new_loans
self.stats['loans held'][self.month] = len(self.investor.loans)
self.stats['cumulative loans held'][self.month] = self.loans.shape[0]
self.stats['cumulative defaults'][self.month] = self.investor.cum_defaults
self.stats['cash held'][self.month] = self.investor.balance
self.stats['net worth'][self.month] = self.investor.get_net_worth()
self.stats['imbalance'][self.month] = self.investor.cum_imbalance
self.stats['abs imbalance'][self.month] = self.investor.abs_cum_imbalance
self.stats['imbalance %'][self.month] = self.stats['imbalance'][self.month] / self.stats['net worth'][self.month]
self.stats['abs imbalance %'][self.month] = self.stats['abs imbalance'][self.month] / self.stats['net worth'][self.month]
self.month += 1
def buy(self):
month_db = self.db[self.db['issue_d'] == self.month]
purchase_count = np.floor(self.investor.balance / self.buy_size)
# if purchase_count > 0: ### We can just pass 0 to the solver and get back an empty dataframe for now
buy_dict = self.buy_solver(self.month, self.investor, month_db, purchase_count, self.liquidity_limit)
buy_df = buy_dict['loans']
buy_matching = buy_dict['matching quantity']
buy_available = buy_dict['available quantity']
if buy_df.empty:
buy_df = pd.DataFrame()
new_loans = buy_df.apply(self.map_loan_row, axis=1)
self.investor.buy_loans(new_loans)
return new_loans, buy_matching, buy_available
def map_loan_row(self, row):
return Loan(
loan_id=row['id'],
grade=row['grade'],
int_rate=row['int_rate'],
term = row['term'],
amount=row['funded_amnt'],
issue_date=row['issue_d'],
last_date=row['last_pymnt_d'],
investment=self.buy_size,
defaults=row['defaulted'],
total_payment=row['total_pymnt'],
total_principle=row['total_rec_prncp'],
recoveries=row['recoveries']
)
def run(self):
while self.month <= self.end_month:
print self.month, self.end_month
self.solve_month()
self.stats = pd.DataFrame(self.stats)
self.stats['defaults'] = self.stats['cumulative defaults'].diff()
self.stats['monthly return'] = self.stats['net worth'].diff().shift(-1) / self.stats['net worth']
self.stats['annualized return'] = self.stats['monthly return'].resample('A', how='mean').resample('M', fill_method='ffill')
self.stats['total liquidity'] = self.stats['loans added'] / self.stats['available loans']
self.stats['strategy liquidity'] = self.stats['loans added'] / self.stats['strategy available loans'].replace(0, np.nan)
self.stats['strategy vs total liquidity'] = self.stats['strategy available loans'] / self.stats['available loans'].replace(0, np.nan)
self.stats['default rate'] = self.stats['defaults'] / self.stats['loans held'].replace(0, np.nan)
self.stats['growth of $1'] = self.stats['net worth'] / self.stats['net worth'].iloc[0]
self.stats_dict = dict()
try:
self.stats_dict['sharpe'] = self.stats['net worth'].diff().mean() / self.stats['net worth'].diff().std() * np.sqrt(12)
except ZeroDivisionError as e:
warnings.warn('Division by zero: Sharpe Ratio')
self.stats_dict['sharpe'] = np.nan
self.stats_dict = pd.Series(self.stats_dict)
self.loan_stats = dict()
self.current_loans = {month: pd.DataFrame([loan.to_dict() for loan in self.current_loans[month]]) for month in self.current_loans}
self.loan_stats['grade'] = pd.DataFrame({month: self.current_loans[month]['grade'].value_counts() for month in self.current_loans if not self.current_loans[month].empty}).T.reindex(self.stats.index)
self.loan_stats['grade_int_rate'] = pd.DataFrame({month: self.current_loans[month].groupby('grade')['int_rate'].mean() for month in self.current_loans if not self.current_loans[month].empty}).T.reindex(self.stats.index)
self.loan_stats['duration'] = pd.DataFrame({month: (self.current_loans[month]['end_date'] - month) for month in self.current_loans if not self.current_loans[month].empty}).T.reindex(self.stats.index) / 12
self.loan_stats['int_rate'] = pd.DataFrame({month: self.current_loans[month]['int_rate'] for month in self.current_loans if not self.current_loans[month].empty}).T.reindex(self.stats.index)
self.loan_stats['defaulted'] = pd.DataFrame({month: self.current_loans[month]['defaulted'] for month in self.current_loans if not self.current_loans[month].empty}).T.reindex(self.stats.index)
self.loan_stats['remaining_amount'] = pd.DataFrame({month: self.current_loans[month]['remaining_amount'] for month in self.current_loans if not self.current_loans[month].empty}).T.reindex(self.stats.index)
self.loan_stats['imbalance_percentage'] = pd.DataFrame({month: self.current_loans[month]['imbalance_percentage'] for month in self.current_loans if not self.current_loans[month].empty}).T.reindex(self.stats.index)
self.loan_stats_total = dict()
for category in ['duration', 'int_rate', 'imbalance_percentage']: # self.loan_stats:
self.loan_stats_total[category] = pd.Series(self.loan_stats[category].values.flatten()).dropna()
self.loan_stats_total['imbalance_percentage'] = pd.Series(self.loan_stats_total['imbalance_percentage'].value_counts().index) # small hack to remove duplicates between months
self.loan_stats_total['grade'] = self.loan_stats['grade'].sum()
return self.stats
def generate_report(self):
pass
class marketPlace():
def __init__(self, totalManey):
self.totalManey = totalManey
self.lstpri = 0
def createInvestor(self):
self.investor = Investor(self.totalManey)
def trading(self,
strStockName,
week=7,
month=30,
riseThr=0.1,
fallThr=-0.10,
buyRate=1.0):
self.investor.chooseStock(strStockName)
stock = self.investor.stok1
print("longOfStockHistData:{}".format(stock.longOfStockHistData))
start = 260
ifChuQuan = 0
for date in range(start, stock.longOfStockHistData):
stock.updateCurPrice(date)
r = (stock.curPrice -
stock.stockHistData[date - 1]) / stock.curPrice
if r < -0.15: # 当派股时，清仓，且month天后再操作
if stock.stockHands > 0:
self.investor.chuquanAndQingCang(date)
stock.showStockInfor()
self.investor.showIvestorInfor()
ifChuQuan = date + month
continue
if ifChuQuan != 0 and date < ifChuQuan: # 如果除权了，month天后再操作
continue
ifChuQuan = 0
stock.updateStockStatisticsInfo(date, week, month)
buyrate = (stock.curPrice - stock.maxAverMinMonth[1]
) / stock.curPrice #以一个月的股价均值做为参照
selrate = (stock.curPrice -
stock.maxAverMinMonth[1]) / stock.curPrice
# 长线
if buyrate < fallThr and stock.stockHands == 0:
self.investor.jianCang(date, buyRate)
stock.showStockInfor()
self.investor.showIvestorInfor()
if selrate > riseThr and stock.stockHands > 0:
self.investor.qingCang(date)
stock.showStockInfor()
self.investor.showIvestorInfor()
# 短线
'''
if rate > riseThr:
self.investor.sell(date, int(stock.stockHands * selRate))
self.updateLstSelPriList(self.continuousSelTimes, stock.curPrice, int(investor.moneyfromSell//stock.curPrice//100))
self.lstProPri = stock.curPrice
investor.showIvestorInfor()
stock.showStockInfor()
self.showMarkInfor()
if rate < fallThr:
investor.buy(date, investor.freeMoney * buyRate)
self.updateLstBuyPriList(self.continuousBuyTimes, stock.curPrice, int(investor.money2Buy//stock.curPrice//100))
self.lstProPri = stock.curPrice
investor.showIvestorInfor()
stock.showStockInfor()
self.showMarkInfor()
'''
def showMarkInfor(self):
print("lstThreeBuyPriAndHands:{}, lstThreeSelPriAndHands:{}".format(
self.lstThreeBuyPriAndHands, self.lstThreeSelPriAndHands))
print("continuousBuyTimes:{}, continuousSelTimes:{}".format(
self.continuousBuyTimes, self.continuousSelTimes))
# build base world
from indicators import Moving_Average, RSI
from world import world_from_live
w = world_from_live(
basket,
cash=10000,
indicators=[Moving_Average(n=200),
Moving_Average(n=10),
RSI(2)])
# get model
from models import Mean_Reversion
mr = Mean_Reversion('Mean Reversion', 200, 10, 2)
# build investor
from investor import Investor
i = Investor(models=[mr], world=w, live=False)
# set up backtest
from backtest import Backtest
b = Backtest(name='mean_reversion_backtest_000', investor=i, base_world=w)
# show/export results
b.do_backtest()
b.export_history(path='backtests/')
# --- workflow 4 ---
# neural ODE model class / some other trainable model
# that will allow us to good make use of the backtesting tools
# --- workflow 5 ---
# exporting, importing model
class FinancialDataUseCase:
def __init__(self):
self.accountant = Accountant()
self.polygon = PolygonGateway(self.accountant)
self.investor = Investor()
# self._ticker_repo = TickerRepository()
# self._financial_statement_repo = FinancialStatementRepository()
# self._company_repo = CompanyRepository()
def user_asks_for_evaluation_of_stock(self, security):
financial_statements = self.polygon.get_polygon_financial_statement(
security.name, security.limit)
evaluation = self.investor.evaluate(financial_statements)
return evaluation
# def store_all_possible_ticker_symbols(self, pages=None):
# for page in range(0, pages):
# ticker_set = self.polygon.get_polygon_ticker_symbols(pages=page, perpage=50)
# print(page, len(ticker_set), ticker_set)
# self._ticker_repo.post_many(ticker_set)
# def store_financial_statement(self, symbol=None):
# if not symbol:
# return None
# financial_statement = polygon.get_polygon_financial_statement(symbol=symbol)
# return self._financial_statement_repo.post(financial_statement)
# def _get_many_tickers(self, offset=None, limit=None):
# return self._ticker_repo.get_many(offset, limit)
# def store_company_information_from_ticker_table(
# self, offset=0, limit=20, total=34277
# ):
# offset = 9980
# while offset < total:
# print("the start:", offset)
# tickers = self._ticker_repo.get_many(offset=offset, limit=limit)
# company_details = []
# for ticker in tickers:
# company_detail = polygon.get_polygon_company_info(symbol=ticker.symbol)
# if company_detail:
# company_details.append(company_detail)
# self._company_repo.post_many(company_details)
# offset += limit
# return
# def store_financial_statement_from_ticker_table(
# self, offset=0, limit=100, total=34277
# ):
# while offset < total:
# print("the start:", offset)
# tickers = self._ticker_repo.get_many(offset=offset, limit=limit)
# for ticker in tickers:
# fs_list = polygon.get_polygon_financial_statement(
# symbol=ticker.symbol, limit=10
# )
# if fs_list:
# self._financial_statement_repo.post_many(fs_list)
# offset += limit
# print(offset)
# return
# def get_financial_statements(self, offset=0, limit=10):
# return self._financial_statement_repo.get(offset, limit)
# class TrackingUseCase:
# def __init__(self):
# self._alpaca_interface = AlpacaInterface()
# self._polygon_interface = PolygonInterface()
# watchlists = self._alpaca_interface.get_watchlists()
# self.stocks_on_watchlists = []
# for watchlist in watchlists:
# watchlist_entity = self._alpaca_interface.get_watchlist(watchlist.id)
# self.stocks_on_watchlists += watchlist_entity.assets
# def _get_snapshot(self):
# snapshot = self._polygon_interface.get_snapshot_of_tickers()
# tickers = snapshot['tickers']
# for stock in self.stocks_on_watchlists:
# match = next((ticker for ticker in tickers if ticker['ticker'] == stock['symbol']), None)
# print(match)
# def _run_tracking_and_store_financial_data(self, wait_time_minutes):
# tracking_job = Job(interval=timedelta(seconds=wait_time_minutes*60), execute=self._get_snapshot)
# financial_statement_store_job = Job(interval=timedelta(seconds=1), execute=FinancialDataUseCase().store_financial_statement_from_ticker_table)
# financial_statement_store_job.run()
# tracking_job.run()
# while True:
# try:
# time.sleep(1)
# except ProgramKilled:
# print("Program killed: running cleanup code")
# financial_statement_store_job.stop()
# break