def testResampleMtGoxMinute(self):
# Resample.
feed = mtgoxfeed.CSVTradeFeed()
feed.addBarsFromCSV(
common.get_data_file_path("trades-mgtox-usd-2013-01-01.csv"))
resampledBarDS = resampled.ResampledBarDataSeries(
feed["BTC"], barfeed.Frequency.MINUTE)
resample.resample_to_csv(feed, barfeed.Frequency.MINUTE,
"minute-mgtox-usd-2013-01-01.csv")
resampledBarDS.pushLast(
) # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(barfeed.Frequency.MINUTE)
feed.addBarsFromCSV("BTC", "minute-mgtox-usd-2013-01-01.csv")
feed.loadAll()
self.assertEqual(len(feed["BTC"]), 537)
self.assertEqual(feed["BTC"][0].getDateTime(),
datetime.datetime(2013, 01, 01, 00, 04, 59))
self.assertEqual(feed["BTC"][-1].getDateTime(),
datetime.datetime(2013, 01, 01, 23, 58, 59))
self.assertEqual(len(resampledBarDS), len(feed["BTC"]))
self.assertEqual(resampledBarDS[0].getDateTime(),
dt.as_utc(feed["BTC"][0].getDateTime()))
self.assertEqual(resampledBarDS[-1].getDateTime(),
dt.as_utc(feed["BTC"][-1].getDateTime()))
def testResampleMtGoxHour(self):
# Resample.
feed = mtgoxfeed.CSVTradeFeed()
feed.addBarsFromCSV(
common.get_data_file_path("trades-mgtox-usd-2013-01-01.csv"))
resampledBarDS = resampled.ResampledBarDataSeries(
feed["BTC"], barfeed.Frequency.HOUR)
resampledFile = os.path.join(common.get_temp_path(),
"hour-mgtox-usd-2013-01-01.csv")
resample.resample_to_csv(feed, barfeed.Frequency.HOUR, resampledFile)
resampledBarDS.pushLast(
) # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(barfeed.Frequency.HOUR)
feed.addBarsFromCSV("BTC", resampledFile)
feed.loadAll()
self.assertEqual(len(feed["BTC"]), 24)
self.assertEqual(feed["BTC"][0].getDateTime(),
datetime.datetime(2013, 01, 01, 00, 59, 59))
self.assertEqual(feed["BTC"][-1].getDateTime(),
datetime.datetime(2013, 01, 01, 23, 59, 59))
self.assertEqual(len(resampledBarDS), len(feed["BTC"]))
self.assertEqual(resampledBarDS[0].getDateTime(),
dt.as_utc(feed["BTC"][0].getDateTime()))
self.assertEqual(resampledBarDS[-1].getDateTime(),
dt.as_utc(feed["BTC"][-1].getDateTime()))
def testBaseFeedInterface(self):
common.init_temp_path()
path = os.path.join(common.get_temp_path(),
"trades-mgtox-usd-2013-01-01.csv")
tools.download_trades_by_day("usd", 2013, 1, 1, path)
bf = barfeed.CSVTradeFeed()
bf.addBarsFromCSV(path)
feed_test.tstBaseFeedInterface(self, bf)
def main(plot):
bBandsPeriod = 60 * 24 * 2
# download and load the historic trade data from mtgox
currency = 'USD'
instrument = 'BTC'
startdate = datetime.date(2013, 1, 1)
enddate = datetime.date.today() - relativedelta(days=1)
barFrequency = pyalgotrade.barfeed.Frequency.MINUTE
print '(down-)loading bars'
feed = GenericBarFeed(barFrequency)
month = startdate
while month <= enddate:
fnamOrig = 'trades-mtgox-%s-%d-%d.csv' % (currency, month.year,
month.month)
if barFrequency == pyalgotrade.barfeed.Frequency.MINUTE:
fnamResa = 'resamp1m-mtgox-%s-%d-%d.csv' % (currency, month.year,
month.month)
else:
fnamResa = 'resamp1h-mtgox-%s-%d-%d.csv' % (currency, month.year,
month.month)
if not os.path.exists(fnamOrig):
print 'downloading ', fnamOrig
tools.download_trades_by_month(currency, month.year, month.month,
fnamOrig)
if not os.path.exists(fnamResa):
print 'resampling ', fnamResa
feedLocal = barfeed.CSVTradeFeed()
feedLocal.addBarsFromCSV(fnamOrig)
resample_to_csv(feedLocal, barFrequency, fnamResa)
print 'loading ', fnamResa
feed.addBarsFromCSV(instrument, fnamResa)
month += relativedelta(months=1)
print 'set up strategy and plot'
myStrategy = MyStrategy(feed, instrument, bBandsPeriod)
if plot:
plt = plotter.StrategyPlotter(myStrategy, True, True, True)
plt.getInstrumentSubplot(instrument).addDataSeries(
"upper",
myStrategy.getBollingerBands().getUpperBand())
plt.getInstrumentSubplot(instrument).addDataSeries(
"middle",
myStrategy.getBollingerBands().getMiddleBand())
plt.getInstrumentSubplot(instrument).addDataSeries(
"lower",
myStrategy.getBollingerBands().getLowerBand())
print 'run the strategy'
myStrategy.run()
print "Result: %.2f" % myStrategy.getResult()
if plot:
plt.plot()
def testDownloadAndParse(self):
path = "trades-mgtox-usd-2013-01-01.csv"
tools.download_trades_by_day("usd", 2013, 1, 1, path)
bf = barfeed.CSVTradeFeed()
bf.addBarsFromCSV(path)
bf.loadAll()
ds = bf["BTC"]
self.assertTrue(len(ds) > 0)
self.assertEqual(ds[-1].getOpen(), ds[-1].getHigh())
self.assertEqual(ds[-1].getHigh(), ds[-1].getLow())
self.assertEqual(ds[-1].getLow(), ds[-1].getClose())
self.assertEqual(ds[-1].getClose(), 13.30413)
self.assertEqual(ds[-1].getVolume(), 0.01)
self.assertEqual(ds[-1].getTradeType(), "ask")
self.assertEqual(ds[-1].getDateTime().date(), datetime.date(2013, 1, 1))
def testResampleMtGoxDay(self):
# Resample.
feed = mtgoxfeed.CSVTradeFeed()
feed.addBarsFromCSV(
common.get_data_file_path("trades-mgtox-usd-2013-01-01.csv"))
resampledBarDS = resampled.ResampledBarDataSeries(
feed["BTC"], barfeed.Frequency.DAY)
resampledFile = os.path.join(common.get_temp_path(),
"day-mgtox-usd-2013-01-01.csv")
resample.resample_to_csv(feed, barfeed.Frequency.DAY, resampledFile)
resampledBarDS.pushLast(
) # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(barfeed.Frequency.DAY)
feed.addBarsFromCSV("BTC", resampledFile)
feed.loadAll()
self.assertEqual(len(feed["BTC"]), 1)
self.assertEqual(feed["BTC"][0].getDateTime(),
datetime.datetime(2013, 01, 01, 23, 59, 59))
self.assertEqual(feed["BTC"][0].getOpen(), 13.51001)
self.assertEqual(feed["BTC"][0].getHigh(), 13.56)
self.assertEqual(feed["BTC"][0].getLow(), 13.16123)
self.assertEqual(feed["BTC"][0].getClose(), 13.30413)
self.assertEqual(feed["BTC"][0].getVolume(), 28168.9114596)
self.assertEqual(feed["BTC"][0].getAdjClose(), 13.30413)
self.assertEqual(len(resampledBarDS), len(feed["BTC"]))
self.assertEqual(resampledBarDS[0].getDateTime(),
dt.as_utc(feed["BTC"][0].getDateTime()))
self.assertEqual(resampledBarDS[-1].getDateTime(),
dt.as_utc(feed["BTC"][-1].getDateTime()))
self.assertEqual(resampledBarDS[0].getOpen(), feed["BTC"][0].getOpen())
self.assertEqual(resampledBarDS[0].getHigh(), feed["BTC"][0].getHigh())
self.assertEqual(resampledBarDS[0].getLow(), feed["BTC"][0].getLow())
self.assertEqual(resampledBarDS[0].getClose(),
feed["BTC"][0].getClose())
self.assertEqual(round(resampledBarDS[0].getVolume(), 5),
round(feed["BTC"][0].getVolume(), 5))
self.assertEqual(resampledBarDS[0].getAdjClose(),
feed["BTC"][0].getAdjClose())
def main(plot):
# Load the trades from the CSV file
print "Loading bars"
feed = barfeed.CSVTradeFeed()
feed.addBarsFromCSV("trades-mtgox-usd-2013-03.csv")
# Create a backtesting broker.
brk = broker.BacktestingBroker(200, feed)
# Run the strategy with the feed and the broker.
print "Running strategy"
strat = mtgox_scalper.Strategy("BTC", feed, brk)
if plot:
plt = plotter.StrategyPlotter(strat, plotBuySell=False)
plt.getOrCreateSubplot("volatility").addDataSeries(
"Volatility", strat.returnsVolatility)
strat.run()
print "Result: %.2f" % strat.getResult()
if plot:
plt.plot()
