def testNonEmpty(self):
ds = bards.BarDataSeries()
for i in range(10):
ds.append(bar.BasicBar(datetime.datetime.now() + datetime.timedelta(seconds=i), 0, 0, 0, 0, 0, 0, bar.Frequency.SECOND))
for i in range(0, 10):
self.assertTrue(ds[i].getOpen() == 0)
def testEmpty(self):
ds = bards.BarDataSeries()
with self.assertRaises(IndexError):
ds[-1]
with self.assertRaises(IndexError):
ds[0]
with self.assertRaises(IndexError):
ds[1000]
def __loadSarTestBarDs(self):
seconds = 0
ret = bards.BarDataSeries()
for i in range(len(SAR_HIGH)):
dateTime = datetime.datetime.now() + datetime.timedelta(seconds=seconds)
ret.append(bar.BasicBar(dateTime, SAR_LOW[i], SAR_HIGH[i], SAR_LOW[i], SAR_HIGH[i], 0, SAR_LOW[i], bar.Frequency.DAY))
seconds += 1
return ret
def testAppendInvalidDatetime(self):
ds = bards.BarDataSeries()
for i in range(10):
now = datetime.datetime.now() + datetime.timedelta(seconds=i)
ds.append(bar.BasicBar(now, 0, 0, 0, 0, 0, 0, bar.Frequency.SECOND))
# Adding the same datetime twice should fail
self.assertRaises(Exception, ds.append, bar.BasicBar(now, 0, 0, 0, 0, 0, 0, bar.Frequency.SECOND))
# Adding a previous datetime should fail
self.assertRaises(Exception, ds.append, bar.BasicBar(now - datetime.timedelta(seconds=i), 0, 0, 0, 0, 0, 0, bar.Frequency.SECOND))
def __loadBarDS(self):
seconds = 0
ret = bards.BarDataSeries()
for i in range(len(OPEN_VALUES)):
dateTime = datetime.datetime.now() + datetime.timedelta(seconds=seconds)
ret.append(bar.BasicBar(dateTime, OPEN_VALUES[i], HIGH_VALUES[i], LOW_VALUES[i], CLOSE_VALUES[i], VOLUME_VALUES[i], CLOSE_VALUES[i], bar.Frequency.DAY))
seconds += 1
return ret
def testZeroDivision(self):
highPrices = [1, 1, 1]
lowPrices = [1, 1, 1]
closePrices = [1, 1, 1]
barDS = bards.BarDataSeries()
stochFilter = stoch.StochasticOscillator(barDS, 2, 2)
self.__fillBarDataSeries(barDS, closePrices, highPrices, lowPrices)
self.assertEqual(stochFilter[-1], 0)
def testDateTimes(self):
ds = bards.BarDataSeries()
firstDt = datetime.datetime.now()
for i in xrange(10):
ds.append(bar.BasicBar(firstDt + datetime.timedelta(seconds=i), 2, 4, 1, 3, 10, 3, bar.Frequency.SECOND))
for i in xrange(10):
self.assertEqual(ds[i].getDateTime(), ds.getDateTimes()[i])
self.assertEqual(ds.getDateTimes()[i], firstDt + datetime.timedelta(seconds=i))
def testNestedDataSeries(self):
ds = bards.BarDataSeries()
for i in range(10):
ds.append(bar.BasicBar(datetime.datetime.now() + datetime.timedelta(seconds=i), 2, 4, 1, 3, 10, 3, bar.Frequency.SECOND))
self.__testGetValue(ds.getOpenDataSeries(), 10, 2)
self.__testGetValue(ds.getCloseDataSeries(), 10, 3)
self.__testGetValue(ds.getHighDataSeries(), 10, 4)
self.__testGetValue(ds.getLowDataSeries(), 10, 1)
self.__testGetValue(ds.getVolumeDataSeries(), 10, 10)
self.__testGetValue(ds.getAdjCloseDataSeries(), 10, 3)
def testSeqLikeOps(self):
seq = []
ds = bards.BarDataSeries()
for i in xrange(10):
bar_ = bar.BasicBar(datetime.datetime.now() + datetime.timedelta(seconds=i), 2, 4, 1, 3, 10, 3, bar.Frequency.SECOND)
ds.append(bar_)
seq.append(bar_)
self.assertEqual(ds[-1], seq[-1])
self.assertEqual(ds[-2], seq[-2])
self.assertEqual(ds[0], seq[0])
self.assertEqual(ds[1], seq[1])
self.assertEqual(ds[-2:][-1], seq[-2:][-1])
def testBlackWhiteReversal(self):
bds = bards.BarDataSeries()
lb = linebreak.LineBreak(bds, 2)
bds.append(bar.BasicBar(datetime.datetime(2008, 3, 5), 10, 12, 8, 9, 1, None, bar.Frequency.DAY))
self.assertEqual(len(lb), 1)
bds.append(bar.BasicBar(datetime.datetime(2008, 3, 6), 9, 12, 9, 12, 1, None, bar.Frequency.DAY))
self.assertEqual(len(lb), 1)
self.assertEqual(lb[-1].isBlack(), True)
self.assertEqual(lb[-1].getDateTime(), datetime.datetime(2008, 3, 5))
bds.append(bar.BasicBar(datetime.datetime(2008, 3, 7), 9, 13, 5, 13, 1, None, bar.Frequency.DAY))
self.assertEqual(len(lb), 2)
self.assertEqual(lb[-1].isWhite(), True)
self.assertEqual(lb[-1].getDateTime(), datetime.datetime(2008, 3, 7))
def testStockChartsATR(self):
# Test data from http://stockcharts.com/help/doku.php?id=chart_school:technical_indicators:average_true_range_a
high = [48.70, 48.72, 48.90, 48.87, 48.82, 49.05, 49.20, 49.35, 49.92, 50.19, 50.12, 49.66, 49.88, 50.19, 50.36, 50.57, 50.65, 50.43, 49.63, 50.33, 50.29, 50.17, 49.32, 48.50, 48.32, 46.80, 47.80, 48.39, 48.66, 48.79]
low = [47.790, 48.140, 48.390, 48.370, 48.240, 48.635, 48.940, 48.860, 49.500, 49.870, 49.200, 48.900, 49.430, 49.725, 49.260, 50.090, 50.300, 49.210, 48.980, 49.610, 49.200, 49.430, 48.080, 47.640, 41.550, 44.283, 47.310, 47.200, 47.900, 47.730]
close = [48.160, 48.610, 48.750, 48.630, 48.740, 49.030, 49.070, 49.320, 49.910, 50.130, 49.530, 49.500, 49.750, 50.030, 50.310, 50.520, 50.410, 49.340, 49.370, 50.230, 49.238, 49.930, 48.430, 48.180, 46.570, 45.410, 47.770, 47.720, 48.620, 47.850]
expected = [None, None, None, None, None, None, None, None, None, None, None, None, None, 0.56, 0.59, 0.59, 0.57, 0.62, 0.62, 0.64, 0.67, 0.69, 0.78, 0.78, 1.21, 1.30, 1.38, 1.37, 1.34, 1.32]
# Build a bar dataseries using the test data.
barDataSeries = bards.BarDataSeries()
atrDS = atr.ATR(barDataSeries, 14)
now = datetime.datetime(2000, 1, 1)
for i in xrange(len(high)):
b = bar.BasicBar(now + datetime.timedelta(days=i), close[i], high[i], low[i], close[i], 100, close[i], bar.Frequency.DAY)
barDataSeries.append(b)
self.assertEqual(common.safe_round(atrDS[-1], 2), expected[i])
def testStockChartsStoch(self):
# Test data from
# http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:stochastic_oscillato
highPrices = [
127.0090, 127.6159, 126.5911, 127.3472, 128.1730, 128.4317,
127.3671, 126.4220, 126.8995, 126.8498, 125.6460, 125.7156,
127.1582, 127.7154, 127.6855, 128.2228, 128.2725, 128.0934,
128.2725, 127.7353, 128.7700, 129.2873, 130.0633, 129.1182,
129.2873, 128.4715, 128.0934, 128.6506, 129.1381, 128.6406
]
lowPrices = [
125.3574, 126.1633, 124.9296, 126.0937, 126.8199, 126.4817,
126.0340, 124.8301, 126.3921, 125.7156, 124.5615, 124.5715,
125.0689, 126.8597, 126.6309, 126.8001, 126.7105, 126.8001,
126.1335, 125.9245, 126.9891, 127.8148, 128.4715, 128.0641,
127.6059, 127.5960, 126.9990, 126.8995, 127.4865, 127.3970
]
closePrices = lowPrices[:
13] # To keep initial close prince between low/high
closePrices.extend([
127.2876, 127.1781, 128.0138, 127.1085, 127.7253, 127.0587,
127.3273, 128.7103, 127.8745, 128.5809, 128.6008, 127.9342,
128.1133, 127.5960, 127.5960, 128.6904, 128.2725
])
kValues = [
None, None, None, None, None, None, None, None, None, None, None,
None, None, 70.4382, 67.6089, 89.2021, 65.8106, 81.7477, 64.5238,
74.5298, 98.5814, 70.1045, 73.0561, 73.4178, 61.2313, 60.9563,
40.3861, 40.3861, 66.8285, 56.7314
]
dValues = [
None, None, None, None, None, None, None, None, None, None, None,
None, None, None, None, 75.7497, 74.2072, 78.9201, 70.6940,
73.6004, 79.2117, 81.0719, 80.5807, 72.1928, 69.2351, 65.2018,
54.1912, 47.2428, 49.2003, 54.6487
]
barDS = bards.BarDataSeries(INSTRUMENT)
stochFilter = stoch.StochasticOscillator(barDS, 14)
self.__fillBarDataSeries(barDS, closePrices, highPrices, lowPrices)
for i in range(len(kValues)):
self.assertTrue(values_equal(stochFilter[i], kValues[i]))
self.assertTrue(values_equal(stochFilter.getD()[i], dValues[i]))
self.assertEqual(len(stochFilter.getDateTimes()), len(closePrices))
for i in range(len(stochFilter)):
self.assertNotEqual(stochFilter.getDateTimes()[i], None)
def testCheckNow(self):
barDs = bards.BarDataSeries()
resampledBarDS = resampled_ds.ResampledBarDataSeries(barDs, bar.Frequency.MINUTE)
barDateTime = datetime.datetime(2014, 7, 7, 22, 46, 28, 10000)
barDs.append(bar.BasicBar(barDateTime, 2.1, 3, 1, 2, 10, 1, bar.Frequency.MINUTE))
self.assertEqual(len(resampledBarDS), 0)
resampledBarDS.checkNow(barDateTime + datetime.timedelta(minutes=1))
self.assertEqual(len(resampledBarDS), 1)
self.assertEqual(barDs[0].getOpen(), resampledBarDS[0].getOpen())
self.assertEqual(barDs[0].getHigh(), resampledBarDS[0].getHigh())
self.assertEqual(barDs[0].getLow(), resampledBarDS[0].getLow())
self.assertEqual(barDs[0].getClose(), resampledBarDS[0].getClose())
self.assertEqual(barDs[0].getVolume(), resampledBarDS[0].getVolume())
self.assertEqual(barDs[0].getAdjClose(), resampledBarDS[0].getAdjClose())
self.assertEqual(resampledBarDS[0].getDateTime(), datetime.datetime(2014, 7, 7, 22, 46))
def testShortPeriod(self):
highPrices = [3, 3, 3]
lowPrices = [1, 1, 1]
closePrices = [2, 2, 3]
barDS = bards.BarDataSeries()
stochFilter = stoch.StochasticOscillator(barDS, 2, 2)
self.__fillBarDataSeries(barDS, closePrices, highPrices, lowPrices)
self.assertTrue(values_equal(stochFilter[0], None))
self.assertTrue(values_equal(stochFilter[1], 50))
self.assertTrue(values_equal(stochFilter[2], 100))
self.assertTrue(values_equal(stochFilter.getD()[0], None))
self.assertTrue(values_equal(stochFilter.getD()[1], None))
self.assertTrue(values_equal(stochFilter.getD()[2], 75))
self.assertEqual(len(stochFilter.getDateTimes()), len(closePrices))
for i in range(len(stochFilter)):
self.assertNotEqual(stochFilter.getDateTimes()[i], None)
def testResample(self):
barDs = bards.BarDataSeries()
resampledDS = resampled_ds.ResampledDataSeries(
barDs.getCloseDataSeries(), bar.Frequency.MINUTE, sum)
resampledBarDS = resampled_ds.ResampledBarDataSeries(
barDs, bar.Frequency.MINUTE)
barDs.append(
bar.BasicBar(datetime.datetime(2011, 1, 1, 1, 1, 1), 2.1, 3, 1, 2,
10, 1, bar.Frequency.SECOND))
barDs.append(
bar.BasicBar(datetime.datetime(2011, 1, 1, 1, 1, 2), 2, 3, 1, 2.3,
10, 2, bar.Frequency.SECOND))
barDs.append(
bar.BasicBar(datetime.datetime(2011, 1, 1, 1, 2, 1), 2, 3, 1, 2,
10, 2, bar.Frequency.SECOND))
self.assertEqual(len(resampledBarDS), 1)
self.assertEqual(resampledBarDS[0].getDateTime(),
datetime.datetime(2011, 1, 1, 1, 1))
self.assertEqual(resampledBarDS[0].getOpen(), 2.1)
self.assertEqual(resampledBarDS[0].getHigh(), 3)
self.assertEqual(resampledBarDS[0].getLow(), 1)
self.assertEqual(resampledBarDS[0].getClose(), 2.3)
self.assertEqual(resampledBarDS[0].getVolume(), 20)
self.assertEqual(resampledBarDS[0].getAdjClose(), 2)
self.assertEqual(resampledDS[-1], 2 + 2.3)
resampledBarDS.pushLast()
self.assertEqual(len(resampledBarDS), 2)
self.assertEqual(resampledBarDS[1].getDateTime(),
datetime.datetime(2011, 1, 1, 1, 2))
self.assertEqual(resampledBarDS[1].getOpen(), 2)
self.assertEqual(resampledBarDS[1].getHigh(), 3)
self.assertEqual(resampledBarDS[1].getLow(), 1)
self.assertEqual(resampledBarDS[1].getClose(), 2)
self.assertEqual(resampledBarDS[1].getVolume(), 10)
self.assertEqual(resampledBarDS[1].getAdjClose(), 2)
resampledDS.pushLast()
self.assertEqual(resampledDS[1], 2)
def testStockChartsATRAdjusted(self):
# Test data from http://stockcharts.com/help/doku.php?id=chart_school:technical_indicators:average_true_range_a
high = [
48.70, 48.72, 48.90, 48.87, 48.82, 49.05, 49.20, 49.35, 49.92,
50.19, 50.12, 49.66, 49.88, 50.19, 50.36, 50.57, 50.65, 50.43,
49.63, 50.33, 50.29, 50.17, 49.32, 48.50, 48.32, 46.80, 47.80,
48.39, 48.66, 48.79
]
low = [
47.790, 48.140, 48.390, 48.370, 48.240, 48.635, 48.940, 48.860,
49.500, 49.870, 49.200, 48.900, 49.430, 49.725, 49.260, 50.090,
50.300, 49.210, 48.980, 49.610, 49.200, 49.430, 48.080, 47.640,
41.550, 44.283, 47.310, 47.200, 47.900, 47.730
]
close = [
48.160, 48.610, 48.750, 48.630, 48.740, 49.030, 49.070, 49.320,
49.910, 50.130, 49.530, 49.500, 49.750, 50.030, 50.310, 50.520,
50.410, 49.340, 49.370, 50.230, 49.238, 49.930, 48.430, 48.180,
46.570, 45.410, 47.770, 47.720, 48.620, 47.850
]
expected = [
None, None, None, None, None, None, None, None, None, None, None,
None, None, 0.555000, 0.593929, 0.585791, 0.568949, 0.615452,
0.617920, 0.642354, 0.674329, 0.692770, 0.775429, 0.781470,
1.209229, 1.302620, 1.380290, 1.366698, 1.336219, 1.316482
]
# Build a bar dataseries using the test data.
barDataSeries = bards.BarDataSeries(INSTRUMENT)
atrDS = atr.ATR(barDataSeries, 14, True)
now = datetime.datetime(2000, 1, 1)
for i in xrange(len(high)):
b = bar.BasicBar(INSTRUMENT, now + datetime.timedelta(days=i),
close[i], high[i], low[i], close[i], 100,
close[i] / 2, bar.Frequency.DAY)
barDataSeries.append(b)
if expected[i] is None:
self.assertEqual(atrDS[-1], None)
else:
self.assertEqual(common.safe_round(atrDS[-1], 2),
round(expected[i] / 2, 2))
def testStockChartsStoch_Bounded(self):
# Test data from
# http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:stochastic_oscillato
highPrices = [
127.0090, 127.6159, 126.5911, 127.3472, 128.1730, 128.4317,
127.3671, 126.4220, 126.8995, 126.8498, 125.6460, 125.7156,
127.1582, 127.7154, 127.6855, 128.2228, 128.2725, 128.0934,
128.2725, 127.7353, 128.7700, 129.2873, 130.0633, 129.1182,
129.2873, 128.4715, 128.0934, 128.6506, 129.1381, 128.6406
]
lowPrices = [
125.3574, 126.1633, 124.9296, 126.0937, 126.8199, 126.4817,
126.0340, 124.8301, 126.3921, 125.7156, 124.5615, 124.5715,
125.0689, 126.8597, 126.6309, 126.8001, 126.7105, 126.8001,
126.1335, 125.9245, 126.9891, 127.8148, 128.4715, 128.0641,
127.6059, 127.5960, 126.9990, 126.8995, 127.4865, 127.3970
]
closePrices = lowPrices[:
13] # To keep initial close prince between low/high
closePrices.extend([
127.2876, 127.1781, 128.0138, 127.1085, 127.7253, 127.0587,
127.3273, 128.7103, 127.8745, 128.5809, 128.6008, 127.9342,
128.1133, 127.5960, 127.5960, 128.6904, 128.2725
])
kValues = [40.3861, 66.8285, 56.7314]
dValues = [47.2428, 49.2003, 54.6487]
barDS = bards.BarDataSeries(INSTRUMENT)
stochFilter = stoch.StochasticOscillator(barDS, 14, maxLen=3)
self.__fillBarDataSeries(barDS, closePrices, highPrices, lowPrices)
self.assertEqual(len(stochFilter), 3)
self.assertEqual(len(stochFilter[:]), 3)
self.assertEqual(len(stochFilter.getDateTimes()), 3)
self.assertEqual(len(stochFilter.getD()), 3)
self.assertEqual(len(stochFilter.getD().getDateTimes()), 3)
for i in xrange(3):
self.assertEqual(round(stochFilter[i], 4), kValues[i])
self.assertEqual(round(stochFilter.getD()[i], 4), dValues[i])
def createDataSeries(self, key, maxLen):
assert isinstance(key, Instrument)
ret = bards.BarDataSeries(key, maxLen)
ret.setUseAdjustedValues(self.__useAdjustedValues)
return ret
def createDataSeries(self, key, maxLen):
ret = bards.BarDataSeries(maxLen)
ret.setUseAdjustedValues(self.__useAdjustedValues)
return ret
def createDataSeries(self, key, maxLen): return bards.BarDataSeries(maxLen)
def registerInstrument(self, instrument):
self.__defaultInstrument = instrument
if instrument not in self.__ds:
self.__ds[instrument] = bards.BarDataSeries(self.__maxLen)
