import requests
import zipfile
import io
from os.path import expanduser, join
from os import remove
from datetime import datetime, timedelta
import pandas as pd
from arctic.date import DateRange
from adagio.utils.date import date_shift
from adagio.utils.logging import get_logger
from adagio.utils.mongo import get_library
logger = get_logger(__name__)
library = get_library('truefx_fx_rates')
ccy_pairs = [
'AUDJPY', 'AUDNZD', 'AUDUSD', 'CADJPY', 'CHFJPY', 'EURCHF', 'EURGBP',
'EURJPY', 'EURUSD', 'GBPJPY', 'GBPUSD', 'NZDUSD', 'USDCAD', 'USDCHF',
'USDJPY'
]
start_date = datetime(2009, 5, 1)
url_change_date = datetime(2017, 4, 1)
root_url = r'https://www.truefx.com/dev/data'
download_to = expanduser('~')
data_frequency = '1min'
def get_last_update(symbol):
import adagio
from adagio import keys
from adagio.data.fx import FxRatesInfo, get_fx_rates
from adagio.utils.logging import get_logger
from adagio.utils.mongo import get_library
from config import QUANDL_TOKEN
logger = get_logger(name=__name__)
adagio.AdagioConfig.quandl_token = QUANDL_TOKEN
if __name__ == '__main__':
library = get_library(keys.fx_rates)
for item in FxRatesInfo:
logger.info('Saving fx rates for {}'.format(item.name))
fx_rates = get_fx_rates(item.name)
symbol = fx_rates.name
library.write(symbol, fx_rates)
import adagio
from adagio import keys
from adagio.data.cash import get_cash_rate, to_cash_returns
from adagio.utils.logging import get_logger
from adagio.utils.mongo import get_library
from config import QUANDL_TOKEN
logger = get_logger(name=__name__)
adagio.AdagioConfig.quandl_token = QUANDL_TOKEN
if __name__ == '__main__':
library = get_library(keys.cash_returns)
currencies = ['USD', 'EUR', 'JPY', 'GBP']
for ccy in currencies:
logger.info('Saving cash returns for {}'.format(ccy))
# get cash rates
cash_rate = get_cash_rate(ccy)
symbol = cash_rate.name
library.write(symbol, cash_rate)
# get cash returns
cash_return = to_cash_returns(cash_rate, ccy)
symbol = cash_return.name
library.write(symbol, cash_return)
import adagio
from adagio import keys
from adagio.utils.const import FuturesInfo
from adagio.utils.logging import get_logger
from adagio.utils.mongo import get_library
from config import QUANDL_TOKEN
logger = get_logger(name=__name__)
adagio.AdagioConfig.quandl_token = QUANDL_TOKEN
if __name__ == '__main__':
library = get_library(keys.backtest)
for futures in FuturesInfo:
logger.info('Running backtest for {}'.format(futures.name))
futures_info = futures.value
longonly_params = {
keys.lo_ticker: futures.name,
keys.backtest_ccy: futures_info.contract_ccy,
}
engine = adagio.Engine()
engine.add(adagio.LongOnly(**longonly_params))
engine.backtest()
library.write(engine.symbol, engine, metadata=engine.all_params)