def benchmarkMeanRev(filePath):
signalGenerator = MeanReversionSignalGenerator.MeanReversionSignalGenerator()
parameterList = {"minimumTimeBeforeAction" : "10:05:00.000",
"buyDistanceFromMeanThreshold" : 0.001,
"sellDistanceFromMeanThreshold" : 0.001,
"buyPacketSize" : 50,
"sellPacketSize" : 50,
"maxBuyPacketSurplus" : 1,
"historicalOutlook" : 2}
signalGenerator.manualSetup(parameterList)
engine = InitialEngine.InitialEngine()
engine.setup(None)
strategyEvaluator = DummyStrategyEvaluator.DummyStrategyEvaluator()
lines = 0
for line in open(filePath) :
lines += 1
sys.stdout.write("lines: %d | Time(sec): " % lines)
stream = open(filePath, "r")
dr = csv.DictReader(stream)
initialTime = time.time()
trader.run_trial(dr,signalGenerator,engine,strategyEvaluator)
print "%.4f" % (time.time() - initialTime)
def testVolume():
dummySignalGenerator = DummySignalGenerator.DummySignalGenerator()
initialEngine = InitialEngine.InitialEngine()
initialEngine.setup(None)
dummyStrategyEvalutator = DummyStrategyEvaluator.DummyStrategyEvaluator()
#put some buys in
buy1 = {'Instrument':"BHP",'Date':"2013-03-15",'Time':"11:00:00.000",'Record Type':"ENTER",'Price':"35.080",'Volume':"500",'Undisclosed Volume':"0",'Value':"35080",'Qualifiers':"",'Trans ID':"0",'Bid ID':"6245081189407525022",'Ask ID':"",'Bid/Ask':"B",'Entry Time':"",'Old Price':"",'Old Volume':"",'Buyer Broker ID':"140",'Seller Broker ID':""}
buy2 = {'Instrument':"BHP",'Date':"2013-03-15",'Time':"11:01:00.000",'Record Type':"ENTER",'Price':"35.100",'Volume':"100",'Undisclosed Volume':"0",'Value':"35080",'Qualifiers':"",'Trans ID':"0",'Bid ID':"6245081189407525023",'Ask ID':"",'Bid/Ask':"B",'Entry Time':"",'Old Price':"",'Old Volume':"",'Buyer Broker ID':"150",'Seller Broker ID':""}
buy3 = {'Instrument':"BHP",'Date':"2013-03-15",'Time':"11:02:00.000",'Record Type':"ENTER",'Price':"35.090",'Volume':"1000",'Undisclosed Volume':"0",'Value':"35080",'Qualifiers':"",'Trans ID':"0",'Bid ID':"6245081189407525024",'Ask ID':"",'Bid/Ask':"B",'Entry Time':"",'Old Price':"",'Old Volume':"",'Buyer Broker ID':"160",'Seller Broker ID':""}
buy4 = {'Instrument':"BHP",'Date':"2013-03-15",'Time':"12:04:30.000",'Record Type':"ENTER",'Price':"30.080",'Volume':"50",'Undisclosed Volume':"0",'Value':"35080",'Qualifiers':"",'Trans ID':"0",'Bid ID':"6245081189407525025",'Ask ID':"",'Bid/Ask':"B",'Entry Time':"",'Old Price':"",'Old Volume':"",'Buyer Broker ID':"160",'Seller Broker ID':""}
buy5 = {'Instrument':"BHP",'Date':"2013-03-15",'Time':"12:10:30.000",'Record Type':"ENTER",'Price':"36.100",'Volume':"1000",'Undisclosed Volume':"0",'Value':"35080",'Qualifiers':"",'Trans ID':"0",'Bid ID':"6245081189407525026",'Ask ID':"",'Bid/Ask':"B",'Entry Time':"",'Old Price':"",'Old Volume':"",'Buyer Broker ID':"160",'Seller Broker ID':""}
#put some sells in
sell1 = {'Instrument':"BHP",'Date':"2013-03-15",'Time':"12:01:00.000",'Record Type':"ENTER",'Price':"36.100",'Volume':"2000",'Undisclosed Volume':"0",'Value':"70200",'Qualifiers':"",'Trans ID':"0",'Bid ID':"",'Ask ID':"6245081189408853521",'Bid/Ask':"A",'Entry Time':"",'Old Price':"",'Old Volume':"",'Buyer Broker ID':"",'Seller Broker ID':"170"}
sell2 = {'Instrument':"BHP",'Date':"2013-03-15",'Time':"12:02:00.000",'Record Type':"ENTER",'Price':"35.100",'Volume':"100",'Undisclosed Volume':"0",'Value':"70200",'Qualifiers':"",'Trans ID':"0",'Bid ID':"",'Ask ID':"6245081189408853522",'Bid/Ask':"A",'Entry Time':"",'Old Price':"",'Old Volume':"",'Buyer Broker ID':"",'Seller Broker ID':"180"}
sell3 = {'Instrument':"BHP",'Date':"2013-03-15",'Time':"12:03:00.000",'Record Type':"ENTER",'Price':"35.080",'Volume':"1000",'Undisclosed Volume':"0",'Value':"70200",'Qualifiers':"",'Trans ID':"0",'Bid ID':"",'Ask ID':"6245081189408853523",'Bid/Ask':"A",'Entry Time':"",'Old Price':"",'Old Volume':"",'Buyer Broker ID':"",'Seller Broker ID':"180"}
sell4 = {'Instrument':"BHP",'Date':"2013-03-15",'Time':"12:04:00.000",'Record Type':"ENTER",'Price':"35.080",'Volume':"1000",'Undisclosed Volume':"0",'Value':"70200",'Qualifiers':"",'Trans ID':"0",'Bid ID':"",'Ask ID':"6245081189408853524",'Bid/Ask':"A",'Entry Time':"",'Old Price':"",'Old Volume':"",'Buyer Broker ID':"",'Seller Broker ID':"180"}
sell5 = {'Instrument':"BHP",'Date':"2013-03-15",'Time':"12:05:00.000",'Record Type':"ENTER",'Price':"30.080",'Volume':"1000",'Undisclosed Volume':"0",'Value':"70200",'Qualifiers':"",'Trans ID':"0",'Bid ID':"",'Ask ID':"6245081189408853525",'Bid/Ask':"A",'Entry Time':"",'Old Price':"",'Old Volume':"",'Buyer Broker ID':"",'Seller Broker ID':"180"}
#put some amends in
amend1 = {'Instrument':"BHP",'Date':"2013-03-15",'Time':"11:03:00.000",'Record Type':"AMEND",'Price':"40.080",'Volume':"1000",'Undisclosed Volume':"0",'Value':"35080",'Qualifiers':"",'Trans ID':"0",'Bid ID':"6245081189407525022",'Ask ID':"",'Bid/Ask':"B",'Entry Time':"",'Old Price':"",'Old Volume':"",'Buyer Broker ID':"140",'Seller Broker ID':""}
#put some deletes in
delete1 = {'Instrument':"BHP",'Date':"2013-03-15",'Time':"12:04:45.000",'Record Type':"DELETE",'Price':"40.080",'Volume':"1000",'Undisclosed Volume':"0",'Value':"35080",'Qualifiers':"",'Trans ID':"0",'Bid ID':"6245081189407525025",'Ask ID':"",'Bid/Ask':"B",'Entry Time':"",'Old Price':"",'Old Volume':"",'Buyer Broker ID':"140",'Seller Broker ID':""}
dr = [buy1,buy2,buy3,amend1,sell1,sell2,sell3,sell4,buy4,delete1,buy5,sell5]
trades = trader.run_trial(dr, dummySignalGenerator,initialEngine, dummyStrategyEvalutator)
assert len (trades) == 4
assert trades[0]['Volume'] == "1000"
assert trades[1]['Volume'] == "100"
assert trades[2]['Volume'] == "1000"
assert trades[3]['Volume'] == "1000"
def main():
"""Run the trial, taking market data from stdin"""
parser = optparse.OptionParser()
parser.add_option('-g', '--generator', dest='generator',
default='Dummy Signal Generator',
help='signal generator')
parser.add_option('-e', '--engine', dest='engine',
default='Dummy Engine', help='engine')
parser.add_option('-s', '--strategyevaluator',
dest='strategyevaluator',
default='Dummy Strategy Evaluator',
help='strategy evaluator')
(options, args) = parser.parse_args()
plugin_manager = yapsy.PluginManager.PluginManager()
plugin_manager.setPluginPlaces([my_path('plugins')])
plugin_manager.setCategoriesFilter({
'SignalGenerator': plugins.ISignalGeneratorPlugin,
'Engine': plugins.IEnginePlugin,
'StrategyEvaluator': plugins.IStrategyEvaluatorPlugin,
})
plugin_manager.collectPlugins()
plugin_info = plugin_manager.getPluginByName(options.generator,
'SignalGenerator')
signal_generator = plugin_info.plugin_object
signal_generator.setup(plugin_info.details)
plugin_info = plugin_manager.getPluginByName(options.engine,
'Engine')
engine = plugin_info.plugin_object
engine.setup(plugin_info.details)
plugin_info = plugin_manager.getPluginByName(options.strategyevaluator,
'StrategyEvaluator')
strategy_evaluator = plugin_info.plugin_object
strategy_evaluator.setup(plugin_info.details)
signal.signal(signal.SIGPIPE, signal.SIG_DFL)
fieldnames = sys.stdin.readline()
fieldnames = fieldnames[:len(fieldnames)-1]
if fieldnames[0] == '#':
fieldnames = fieldnames[1:]
if fieldnames[len(fieldnames)-1] == ',':
fieldnames = fieldnames[:len(fieldnames)-1]
dr = csv.DictReader(sys.stdin, fieldnames.split(','))
trades = trader.run_trial(dr, signal_generator,
engine, strategy_evaluator)
dw = csv.DictWriter(sys.stdout, dr.fieldnames)
dw.writerow(dict((fn, fn) for fn in dr.fieldnames))
dw.writerows(trades)
def Run(self):
"""Run the simulation"""
plugin_name = self._signal_generator.GetValue()
plugin = self._signal_generators[plugin_name]['plugin']
signal_generator = plugin.plugin_object
signal_generator.setup(plugin.details)
plugin_name = self._engine.GetValue()
plugin = self._engines[plugin_name]['plugin']
engine = plugin.plugin_object
engine.setup(plugin.details)
plugin_name = self._strategy_evaluator.GetValue()
plugin = self._strategy_evaluators[plugin_name]['plugin']
strategy_evaluator = plugin.plugin_object
strategy_evaluator.setup(plugin.details)
progressMax = len(self._market_data)
progressdialog = wx.ProgressDialog("Running Simulation", "Trading records remaining", progressMax , style=wx.PD_CAN_ABORT | wx.PD_ELAPSED_TIME | wx.PD_REMAINING_TIME)
progressdialog.Update(0,"Preparing data for processing.\nSimulation will begin shortly.")
self._trades = trader.run_trial(copy.deepcopy(self._market_data), signal_generator,
engine, strategy_evaluator, progressdialog)
progressdialog.Destroy()
