def setUp(self):
"""
Set up the PriceHandler object with a small
set of initial tickers.
"""
self.config = settings.TEST
fixtures_path = self.config.CSV_DATA_DIR
events_queue = queue.Queue()
init_tickers = ["GOOG", "AMZN", "MSFT"]
self.price_handler = HistoricCSVTickPriceHandler(fixtures_path, events_queue, init_tickers)
def run(config, testing, tickers, filename):
# Set up variables needed for backtest
events_queue = queue.Queue()
csv_dir = config.CSV_DATA_DIR
initial_equity = PriceParser.parse(500000.00)
# Use Historic CSV Price Handler
price_handler = HistoricCSVTickPriceHandler(csv_dir, events_queue, tickers)
# Use the Example Strategy
strategy = ExampleStrategy(tickers, events_queue)
# Use an example Position Sizer
position_sizer = FixedPositionSizer()
# Use an example Risk Manager
risk_manager = ExampleRiskManager()
# Use the default Portfolio Handler
portfolio_handler = PortfolioHandler(initial_equity, events_queue,
price_handler, position_sizer,
risk_manager)
# Use the ExampleCompliance component
compliance = ExampleCompliance(config)
# Use a simulated IB Execution Handler
execution_handler = IBSimulatedExecutionHandler(events_queue,
price_handler, compliance)
# Use the default Statistics
statistics = SimpleStatistics(config, portfolio_handler)
# Set up the backtest
backtest = Backtest(price_handler, strategy, portfolio_handler,
execution_handler, position_sizer, risk_manager,
statistics, initial_equity)
results = backtest.simulate_trading(testing=testing)
statistics.save(filename)
return results
class TestPriceHandlerSimpleCase(unittest.TestCase):
"""
Test the initialisation of a PriceHandler object with
a small list of tickers. Concatenate the ticker data (
pre-generated and stored as a fixture) and stream the
subsequent ticks, checking that the correct bid-ask
values are returned.
"""
def setUp(self):
"""
Set up the PriceHandler object with a small
set of initial tickers.
"""
self.config = settings.TEST
fixtures_path = self.config.CSV_DATA_DIR
events_queue = queue.Queue()
init_tickers = ["GOOG", "AMZN", "MSFT"]
self.price_handler = HistoricCSVTickPriceHandler(
fixtures_path, events_queue, init_tickers)
def test_stream_all_ticks(self):
"""
The initialisation of the class will open the three
test CSV files, then merge and sort them. They will
then be stored in a member "tick_stream". This will
be used for streaming the ticks.
"""
# Stream to Tick #1 (GOOG)
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["GOOG"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"), "01-02-2016 00:00:01.358000")
self.assertEqual(
PriceParser.display(self.price_handler.tickers["GOOG"]["bid"], 5),
683.56000)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["GOOG"]["ask"], 5),
683.58000)
# Stream to Tick #2 (AMZN)
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["AMZN"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"), "01-02-2016 00:00:01.562000")
self.assertEqual(
PriceParser.display(self.price_handler.tickers["AMZN"]["bid"], 5),
502.10001)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["AMZN"]["ask"], 5),
502.11999)
# Stream to Tick #3 (MSFT)
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["MSFT"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"), "01-02-2016 00:00:01.578000")
self.assertEqual(
PriceParser.display(self.price_handler.tickers["MSFT"]["bid"], 5),
50.14999)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["MSFT"]["ask"], 5),
50.17001)
# Stream to Tick #10 (GOOG)
for i in range(4, 11):
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["GOOG"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"), "01-02-2016 00:00:05.215000")
self.assertEqual(
PriceParser.display(self.price_handler.tickers["GOOG"]["bid"], 5),
683.56001)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["GOOG"]["ask"], 5),
683.57999)
# Stream to Tick #20 (GOOG)
for i in range(11, 21):
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["MSFT"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"), "01-02-2016 00:00:09.904000")
self.assertEqual(
PriceParser.display(self.price_handler.tickers["MSFT"]["bid"], 5),
50.15000)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["MSFT"]["ask"], 5),
50.17000)
# Stream to Tick #30 (final tick, AMZN)
for i in range(21, 31):
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["AMZN"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"), "01-02-2016 00:00:14.616000")
self.assertEqual(
PriceParser.display(self.price_handler.tickers["AMZN"]["bid"], 5),
502.10015)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["AMZN"]["ask"], 5),
502.11985)
def test_subscribe_unsubscribe(self):
"""
Tests the 'subscribe_ticker' and 'unsubscribe_ticker'
methods, and check that they raise exceptions when
appropriate.
"""
# Check unsubscribing a ticker that isn't
# in the price handler list
# self.assertRaises(
# KeyError, lambda: self.price_handler.unsubscribe_ticker("PG")
# )
# Check a ticker that is already subscribed
# to make sure that it doesn't raise an exception
try:
self.price_handler.subscribe_ticker("GOOG")
except Exception as E:
self.fail("subscribe_ticker() raised %s unexpectedly" % E)
# Subscribe a new ticker, without CSV
# self.assertRaises(
# IOError, lambda: self.price_handler.subscribe_ticker("XOM")
# )
# Unsubscribe a current ticker
self.assertTrue("GOOG" in self.price_handler.tickers)
self.assertTrue("GOOG" in self.price_handler.tickers_data)
self.price_handler.unsubscribe_ticker("GOOG")
self.assertTrue("GOOG" not in self.price_handler.tickers)
self.assertTrue("GOOG" not in self.price_handler.tickers_data)
def test_get_best_bid_ask(self):
"""
Tests that the 'get_best_bid_ask' method produces the
correct values depending upon validity of ticker.
"""
bid, ask = self.price_handler.get_best_bid_ask("AMZN")
self.assertEqual(PriceParser.display(bid, 5), 502.10001)
self.assertEqual(PriceParser.display(ask, 5), 502.11999)
bid, ask = self.price_handler.get_best_bid_ask("C")
class TestPriceHandlerSimpleCase(unittest.TestCase):
"""
Test the initialisation of a PriceHandler object with
a small list of tickers. Concatenate the ticker data (
pre-generated and stored as a fixture) and stream the
subsequent ticks, checking that the correct bid-ask
values are returned.
"""
def setUp(self):
"""
Set up the PriceHandler object with a small
set of initial tickers.
"""
self.config = settings.TEST
fixtures_path = self.config.CSV_DATA_DIR
events_queue = queue.Queue()
init_tickers = ["GOOG", "AMZN", "MSFT"]
self.price_handler = HistoricCSVTickPriceHandler(
fixtures_path, events_queue, init_tickers
)
def test_stream_all_ticks(self):
"""
The initialisation of the class will open the three
test CSV files, then merge and sort them. They will
then be stored in a member "tick_stream". This will
be used for streaming the ticks.
"""
# Stream to Tick #1 (GOOG)
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["GOOG"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"
),
"01-02-2016 00:00:01.358000"
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["GOOG"]["bid"], 5),
683.56000
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["GOOG"]["ask"], 5),
683.58000
)
# Stream to Tick #2 (AMZN)
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["AMZN"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"
),
"01-02-2016 00:00:01.562000"
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["AMZN"]["bid"], 5),
502.10001
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["AMZN"]["ask"], 5),
502.11999
)
# Stream to Tick #3 (MSFT)
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["MSFT"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"
),
"01-02-2016 00:00:01.578000"
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["MSFT"]["bid"], 5),
50.14999
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["MSFT"]["ask"], 5),
50.17001
)
# Stream to Tick #10 (GOOG)
for i in range(4, 11):
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["GOOG"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"
),
"01-02-2016 00:00:05.215000"
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["GOOG"]["bid"], 5),
683.56001
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["GOOG"]["ask"], 5),
683.57999
)
# Stream to Tick #20 (GOOG)
for i in range(11, 21):
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["MSFT"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"
),
"01-02-2016 00:00:09.904000"
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["MSFT"]["bid"], 5),
50.15000
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["MSFT"]["ask"], 5),
50.17000
)
# Stream to Tick #30 (final tick, AMZN)
for i in range(21, 31):
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["AMZN"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"
),
"01-02-2016 00:00:14.616000"
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["AMZN"]["bid"], 5),
502.10015
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["AMZN"]["ask"], 5),
502.11985
)
def test_subscribe_unsubscribe(self):
"""
Tests the 'subscribe_ticker' and 'unsubscribe_ticker'
methods, and check that they raise exceptions when
appropriate.
"""
# Check unsubscribing a ticker that isn't
# in the price handler list
# self.assertRaises(
# KeyError, lambda: self.price_handler.unsubscribe_ticker("PG")
# )
# Check a ticker that is already subscribed
# to make sure that it doesn't raise an exception
try:
self.price_handler.subscribe_ticker("GOOG")
except Exception as E:
self.fail("subscribe_ticker() raised %s unexpectedly" % E)
# Subscribe a new ticker, without CSV
# self.assertRaises(
# IOError, lambda: self.price_handler.subscribe_ticker("XOM")
# )
# Unsubscribe a current ticker
self.assertTrue("GOOG" in self.price_handler.tickers)
self.assertTrue("GOOG" in self.price_handler.tickers_data)
self.price_handler.unsubscribe_ticker("GOOG")
self.assertTrue("GOOG" not in self.price_handler.tickers)
self.assertTrue("GOOG" not in self.price_handler.tickers_data)
def test_get_best_bid_ask(self):
"""
Tests that the 'get_best_bid_ask' method produces the
correct values depending upon validity of ticker.
"""
bid, ask = self.price_handler.get_best_bid_ask("AMZN")
self.assertEqual(PriceParser.display(bid, 5), 502.10001)
self.assertEqual(PriceParser.display(ask, 5), 502.11999)
bid, ask = self.price_handler.get_best_bid_ask("C")