def testNormal(self):
env.run_mode = env.MODE_SIMULATE
st = lib.str2epoch("2019/04/02 09:00", "%Y/%m/%d %H:%M")
ed = lib.str2epoch("2019/04/02 12:00", "%Y/%m/%d %H:%M")
s = SubChart("testNormal", "USD_JPY", "M5", st, ed, 5, 48)
u = s.unitsecs
(t,_,_,_,_,_) = s.getPrices()
self.assertEqual(len(t), len(s.prices[0]))
# 1
i, now = s.getTime(st + 100)
self.assertEqual(i,5)
self.assertEqual(now,1554195600)
# 2
i, now = s.getTime(st + 400)
self.assertEqual(i,6)
self.assertEqual(now,1554195900)
# 3
i, now = s.getTime(ed + 400)
self.assertEqual(i,42)
self.assertEqual(now,1554206700)
# 4
i, now = s.getTime(ed - 500)
self.assertEqual(i,39)
self.assertEqual(now,1554205800)
from event.tick import TickEvent
tickEvent = TickEvent(1554196200+100, 1, 1)
s.onTick(tickEvent)
(t,o,h,l,c,v) = s.getPrices()
self.assertEqual(t[-1], 1554196200)
self.assertEqual(o[-1], 111.372)
self.assertEqual(v[-1], 22)
(t,o,h,l,c,v) = s.getPrices(5)
self.assertEqual(t[0], 1554195600)
self.assertEqual(t[-1], 1554196200)
(t,o,h,l,c,v) = s.getPrices(5,6)
self.assertEqual(t[-1], 1554195900)
ep = ed + u*(48-len(s.prices[0])+48*0.5+1)
tickEvent = TickEvent(ep, 1, 1)
s.onTick(tickEvent)
self.assertEqual(len(s.prices[0]), 48+48*0.5)
(t,_,_,_,_,_) = s.getPrices()
self.assertEqual(t[-1],ep)
ep = t[-1] + u
tickEvent = TickEvent(ep+100, 1, 1)
s.onTick(tickEvent)
self.assertEqual(len(s.prices[0]), 48)
(t,_,_,_,_,_) = s.getPrices()
self.assertEqual(t[-1],ep)
def testWeekends(self):
st = lib.str2epoch("2019/04/05 20:00", "%Y/%m/%d %H:%M")
ed = lib.str2epoch("2019/04/08 01:00", "%Y/%m/%d %H:%M")
s = SubChart("testWeekends", "USD_JPY", "H1", st, ed, 5)
u = s.unitsecs
i, now = s.getTime(st + 100)
self.assertEqual(i,5)
self.assertEqual(now,1554494400)
i, now = s.getTime(st + u + 100)
self.assertEqual(i,-1)
i, now = s.getTime(1554670800 -u + 100)
self.assertEqual(i,-1)
i, now = s.getTime(1554670800 + 100)
self.assertEqual(i,6)
self.assertEqual(now,1554670800)
class EmaIndex(TechnicalIndex):
def __init__(self, instrument, granularity, startep, endep, ema_span=20):
super(EmaIndex, self).__init__("EmaIndex", instrument, granularity)
self.subc = SubChart("EmaIndex", instrument, granularity, startep,
endep)
(t, _, _, _, cl, _) = self.subc.getPrices()
self.epochs = t[ema_span:]
self.alpha = 2.0 / (ema_span + 1)
self.ema_span = ema_span
self.now = 0
first_ema = sum(cl[:ema_span]) / ema_span
self.ema = []
self._calcEma(t[ema_span - 1:], cl[ema_span - 1:], first_ema)
def _calcEma(self, t, cl, last_ema):
ema = self.ema
for i in range(1, len(cl)):
if t[i] - t[i - 1] > self.unitsecs:
preema = cl[i]
else:
preema = last_ema
last_ema = preema + self.alpha * (cl[i] - preema)
ema.append(last_ema)
self.ema = ema
def onTick(self, tickEvent):
epoch = tickEvent.time
i, epoch = self.subc.getTime(epoch)
if epoch == self.now:
return i, epoch, self.ema[i - self.ema_span]
if i < 0:
self.updateEma()
self.now = epoch
i = i - self.ema_span
if i >= 0:
return i, epoch, self.ema[i - self.ema_span]
else:
return i, epoch, -1
def updateEma(self):
(t1, _, _, _, cl1, _) = self.subc.getLatestChart(self.epochs[-1])
self._calcEma(t1, cl1, self.ema[-1])
def getPlotElement(self, color="k"):
return PlotEleLineChart(self.epochs, self.ema)