def testCliDonchianAlgorithmWithSpecificDates(self):
api = PytradeApi(dbfilepah=self.db)
api.reinitializeUser(username=self.username, cash=self.initialCash)
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(feed, broker, 9, 26, 0.05)
utc = pytz.utc
specificdays = [
utc.localize(datetime.datetime(2014, 2, 7)),
utc.localize(datetime.datetime(2014, 2, 11)),
utc.localize(datetime.datetime(2014, 9, 18)),
utc.localize(datetime.datetime(2014, 10, 23)),
utc.localize(datetime.datetime(2014, 10, 28)),
utc.localize(datetime.datetime(2014, 12, 29))]
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
alldays = feed.getAllDays()
for day in specificdays:
cli = PytradeCli(dbfilepah=self.db, date=day, maxlen=self.maxLen, codes=self.codes,
tradingAlgorithmGenerator=tradingAlgorithmGenerator)
orders = cli.executeAnalysis()
nextDay = alldays[alldays.index(day) + 1]
for order in orders:
open = cli.getLastValuesForInstrument(order.getInstrument(), nextDay)[1]
if not cli.confirmOrder(orderId=order.getId(), quantity=order.getQuantity(), price=open, commission=10,
date=nextDay):
cli.cancelOrder(order.getId())
cli.save()
maxlen = (datetime.datetime.now() - datetime.datetime(2014, 12, 1)).days
cli = PytradeCli(dbfilepah=self.db, maxlen=maxlen)
self.assertEqual(cli.getAccountInfo()[1], 36922.16)
def testCliDonchianAlgorithm2014(self):
api = PytradeApi(dbfilepah=self.db)
api.reinitializeUser(username=self.username, cash=self.initialCash)
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(feed, broker, 9, 26, 0.05)
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
days = feed.getAllDays()
for i in range(len(days)):
day = days[i]
cli = PytradeCli(dbfilepah=self.db, date=day, maxlen=self.maxLen, codes=self.codes, tradingAlgorithmGenerator=tradingAlgorithmGenerator)
orders = cli.executeAnalysis()
if i == (len(days) - 1):
continue
nextDay = days[i+1]
for order in orders:
open = cli.getLastValuesForInstrument(order.getInstrument(), nextDay)[1]
if not cli.confirmOrder(orderId=order.getId(), quantity=order.getQuantity(), price=open, commission=10,
date=nextDay):
cli.cancelOrder(order.getId())
cli.save()
maxlen=(datetime.datetime.now() - datetime.datetime(2014, 12, 1)).days
cli = PytradeCli(dbfilepah=self.db, maxlen=maxlen)
self.assertEqual(cli.getAccountInfo()[1], 36922.16)
def testApiDonchianAlgorithm2014WithSQLiteDataProvider(self):
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
days = feed.getAllDays()
api = PytradeApi(dbfilepah=self.db)
api.reinitializeUser(username=self.username, cash=self.initialCash)
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(feed, broker, self.donchianEntry, self.donchianExit, self.riskFactor)
for i in range(len(days)):
day = days[i]
api = PytradeApi(dbfilepah=self.db, username=self.username, tradingAlgorithmGenerator=tradingAlgorithmGenerator, codes=None, date=day, maxlen=self.maxLen, debugmode=False)
api.executeAnalysis()
api.persistData()
if i == (len(days) - 1):
continue
day = days[i + 1]
api = PytradeApi(dbfilepah=self.db, username=self.username, tradingAlgorithmGenerator=tradingAlgorithmGenerator, codes=None, date=day, maxlen=self.maxLen, debugmode=False)
for order in api.getActiveMarketOrders() + api.getStopOrdersToConfirm():
bar = api.getCurrentBarForInstrument(order.getInstrument())
if bar is None:
continue
if not api.confirmOrder(order, bar.getDateTime(), order.getQuantity(), bar.getOpen(), 10):
api.cancelOrder(order)
api.persistData()
self.assertEqual(api.getEquity(), 36922.16)
def testApiDonchianAlgorithmWithSpecificDatesAndSQLiteDataProvider(self):
utc = pytz.utc
specificdays = [
utc.localize(datetime.datetime(2014, 2, 7)),
utc.localize(datetime.datetime(2014, 2, 11)),
utc.localize(datetime.datetime(2014, 9, 18)),
utc.localize(datetime.datetime(2014, 10, 23)),
utc.localize(datetime.datetime(2014, 10, 28)),
utc.localize(datetime.datetime(2014, 12, 29))]
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
alldays = feed.getAllDays()
api = PytradeApi(dbfilepah=self.db)
api.reinitializeUser(username=self.username, cash=self.initialCash)
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(feed, broker, self.donchianEntry,
self.donchianExit, self.riskFactor)
for day in specificdays:
api = PytradeApi(dbfilepah=self.db, username=self.username, tradingAlgorithmGenerator=tradingAlgorithmGenerator, codes=None, date=day,
maxlen=self.maxLen, debugmode=False)
api.executeAnalysis()
api.persistData()
index = alldays.index(day)
day = alldays[index+1]
api = PytradeApi(dbfilepah=self.db, username=self.username, tradingAlgorithmGenerator=tradingAlgorithmGenerator, codes=None, date=day,
maxlen=self.maxLen, debugmode=False)
for order in api.getActiveMarketOrders() + api.getStopOrdersToConfirm():
bar = api.getCurrentBarForInstrument(order.getInstrument())
if bar is None:
continue
if not api.confirmOrder(order, bar.getDateTime(), order.getQuantity(), bar.getOpen(), 10):
api.cancelOrder(order)
api.persistData()
self.assertEqual(api.getEquity(), 36922.16)