def setUp(self):
"""
Set up the PriceHandler object with a small
set of initial tickers.
"""
fixtures_path = os.path.join("..", "fixtures", "price_handler")
events_queue = queue.Queue()
init_tickers = ["GOOG", "AMZN", "MSFT"]
self.price_handler = HistoricCSVPriceHandler(fixtures_path,
events_queue,
init_tickers)
def setUp(self):
"""
Set up the PriceHandler object with a small
set of initial tickers.
"""
fixtures_path = os.path.join("..", "fixtures", "price_handler")
events_queue = queue.Queue()
init_tickers = ["GOOG", "AMZN", "MSFT"]
self.price_handler = HistoricCSVPriceHandler(
fixtures_path, events_queue, init_tickers
)
except ImportError:
import queue
if __name__ == "__main__":
tickers = ["GOOG"]
# Set up variables needed for backtest
events_queue = queue.Queue()
csv_dir = settings.CSV_DATA_DIR
initial_equity = Decimal("500000.00")
heartbeat = 0.0
max_iters = 10000000000
# Use Historic CSV Price Handler
price_handler = HistoricCSVPriceHandler(
csv_dir, events_queue, tickers
)
# Use the Test Strategy
strategy = TestStrategy( tickers, events_queue )
# Use an example Position Sizer
position_sizer = TestPositionSizer()
# Use an example Risk Manager
risk_manager = TestRiskManager()
# Use the default Portfolio Handler
portfolio_handler = PortfolioHandler(
initial_equity, events_queue, price_handler,
position_sizer, risk_manager
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.
"""
fixtures_path = os.path.join("..", "fixtures", "price_handler")
events_queue = queue.Queue()
init_tickers = ["GOOG", "AMZN", "MSFT"]
self.price_handler = HistoricCSVPriceHandler(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_tick()
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(self.price_handler.tickers["GOOG"]["bid"],
Decimal("683.56000"))
self.assertEqual(self.price_handler.tickers["GOOG"]["ask"],
Decimal("683.58000"))
# Stream to Tick #2 (AMZN)
self.price_handler.stream_next_tick()
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(self.price_handler.tickers["AMZN"]["bid"],
Decimal("502.10001"))
self.assertEqual(self.price_handler.tickers["AMZN"]["ask"],
Decimal("502.11999"))
# Stream to Tick #3 (MSFT)
self.price_handler.stream_next_tick()
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(self.price_handler.tickers["MSFT"]["bid"],
Decimal("50.14999"))
self.assertEqual(self.price_handler.tickers["MSFT"]["ask"],
Decimal("50.17001"))
# Stream to Tick #10 (GOOG)
for i in range(4, 11):
self.price_handler.stream_next_tick()
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(self.price_handler.tickers["GOOG"]["bid"],
Decimal("683.56001"))
self.assertEqual(self.price_handler.tickers["GOOG"]["ask"],
Decimal("683.57999"))
# Stream to Tick #20 (GOOG)
for i in range(11, 21):
self.price_handler.stream_next_tick()
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(self.price_handler.tickers["MSFT"]["bid"],
Decimal("50.15000"))
self.assertEqual(self.price_handler.tickers["MSFT"]["ask"],
Decimal("50.17000"))
# Stream to Tick #30 (final tick, AMZN)
for i in range(21, 31):
self.price_handler.stream_next_tick()
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(self.price_handler.tickers["AMZN"]["bid"],
Decimal("502.10015"))
self.assertEqual(self.price_handler.tickers["AMZN"]["ask"],
Decimal("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,
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(OSError, 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(bid, Decimal("502.10001"))
self.assertEqual(ask, Decimal("502.11999"))
bid, ask = self.price_handler.get_best_bid_ask("C")
self.assertEqual(bid, None)
self.assertEqual(ask, None)
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.
"""
fixtures_path = os.path.join("..", "fixtures", "price_handler")
events_queue = queue.Queue()
init_tickers = ["GOOG", "AMZN", "MSFT"]
self.price_handler = HistoricCSVPriceHandler(
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_tick()
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(
self.price_handler.tickers["GOOG"]["bid"],
Decimal("683.56000")
)
self.assertEqual(
self.price_handler.tickers["GOOG"]["ask"],
Decimal("683.58000")
)
# Stream to Tick #2 (AMZN)
self.price_handler.stream_next_tick()
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(
self.price_handler.tickers["AMZN"]["bid"],
Decimal("502.10001")
)
self.assertEqual(
self.price_handler.tickers["AMZN"]["ask"],
Decimal("502.11999")
)
# Stream to Tick #3 (MSFT)
self.price_handler.stream_next_tick()
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(
self.price_handler.tickers["MSFT"]["bid"],
Decimal("50.14999")
)
self.assertEqual(
self.price_handler.tickers["MSFT"]["ask"],
Decimal("50.17001")
)
# Stream to Tick #10 (GOOG)
for i in range(4, 11):
self.price_handler.stream_next_tick()
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(
self.price_handler.tickers["GOOG"]["bid"],
Decimal("683.56001")
)
self.assertEqual(
self.price_handler.tickers["GOOG"]["ask"],
Decimal("683.57999")
)
# Stream to Tick #20 (GOOG)
for i in range(11, 21):
self.price_handler.stream_next_tick()
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(
self.price_handler.tickers["MSFT"]["bid"],
Decimal("50.15000")
)
self.assertEqual(
self.price_handler.tickers["MSFT"]["ask"],
Decimal("50.17000")
)
# Stream to Tick #30 (final tick, AMZN)
for i in range(21, 31):
self.price_handler.stream_next_tick()
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(
self.price_handler.tickers["AMZN"]["bid"],
Decimal("502.10015")
)
self.assertEqual(
self.price_handler.tickers["AMZN"]["ask"],
Decimal("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, 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(
OSError, 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(bid, Decimal("502.10001"))
self.assertEqual(ask, Decimal("502.11999"))
bid, ask = self.price_handler.get_best_bid_ask("C")
self.assertEqual(bid, None)
self.assertEqual(ask, None)
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.
"""
fixtures_path = os.path.join("..", "fixtures", "price_handler")
events_queue = queue.Queue()
init_tickers = ["GOOG", "AMZN", "MSFT"]
self.price_handler = HistoricCSVPriceHandler(
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_tick()
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(
self.price_handler.tickers["GOOG"]["bid"],
Decimal("683.56000")
)
self.assertEqual(
self.price_handler.tickers["GOOG"]["ask"],
Decimal("683.58000")
)
# Stream to Tick #2 (AMZN)
self.price_handler.stream_next_tick()
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(
self.price_handler.tickers["AMZN"]["bid"],
Decimal("502.10001")
)
self.assertEqual(
self.price_handler.tickers["AMZN"]["ask"],
Decimal("502.11999")
)
# Stream to Tick #3 (MSFT)
self.price_handler.stream_next_tick()
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(
self.price_handler.tickers["MSFT"]["bid"],
Decimal("50.14999")
)
self.assertEqual(
self.price_handler.tickers["MSFT"]["ask"],
Decimal("50.17001")
)
# Stream to Tick #10 (GOOG)
for i in range(4, 11):
self.price_handler.stream_next_tick()
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(
self.price_handler.tickers["GOOG"]["bid"],
Decimal("683.56001")
)
self.assertEqual(
self.price_handler.tickers["GOOG"]["ask"],
Decimal("683.57999")
)
# Stream to Tick #20 (GOOG)
for i in range(11, 21):
self.price_handler.stream_next_tick()
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(
self.price_handler.tickers["MSFT"]["bid"],
Decimal("50.15000")
)
self.assertEqual(
self.price_handler.tickers["MSFT"]["ask"],
Decimal("50.17000")
)
# Stream to Tick #30 (final tick, AMZN)
for i in range(21, 31):
self.price_handler.stream_next_tick()
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(
self.price_handler.tickers["AMZN"]["bid"],
Decimal("502.10015")
)
self.assertEqual(
self.price_handler.tickers["AMZN"]["ask"],
Decimal("502.11985")
)