def test_real_time_clock_schedule_relative(self):
start = self.realtime_clock.now()
print start
print DateUtils.unixtimemillis_to_datetime(start)
self.realtime_clock.schedule_relative(datetime.timedelta(seconds=1), self.realtime_action)
self.assertEquals([], self.endtime)
time.sleep(1.1)
self.assertEquals(1, len(self.endtime))
self.assertAlmostEqual(1000, self.endtime[0] - start, -2)
def test_real_time_clock_schedule_relative(self):
start = self.realtime_clock.now()
print start
print DateUtils.unixtimemillis_to_datetime(start)
self.realtime_clock.schedule_relative(datetime.timedelta(seconds=1),
self.realtime_action)
self.assertEquals([], self.endtime)
time.sleep(1.1)
self.assertEquals(1, len(self.endtime))
self.assertAlmostEqual(1000, self.endtime[0] - start, -2)
def test_timestamp_conversion(self):
dt = datetime.datetime(year=2000, month=1, day=1, hour=7, minute=30, second=30)
ts = DateUtils.datetime_to_unixtimemillis(dt)
self.assertEqual(946683030000, ts)
dt2 = DateUtils.unixtimemillis_to_datetime(ts)
self.assertEquals(dt, dt2)
dt3 = datetime.datetime.fromtimestamp(0)
ts2 = DateUtils.datetime_to_unixtimemillis(dt3)
dt4 = DateUtils.unixtimemillis_to_datetime(ts2)
self.assertEquals(0, ts2)
self.assertEquals(dt3, dt4)
def on_bar(self, bar):
reval_date = DateUtils.unixtimemillis_to_datetime(bar.timestamp)
futures_expiry_dict = VIXFuture.future_expirydays_calculator(reval_date, self.instruments)
active_futures = {k: v for k, v in futures_expiry_dict.iteritems()
if v > self.exp_date_lb and v < self.exp_date_ub}
active_futures_sorted = OrderedDict(sorted(active_futures.items(), key=lambda y: y[1]))
if bar.inst_id in active_futures_sorted:
logger.debug("id is in active futures" % bar.inst_id)
roll = VIXFuture.daily_roll(bar.adj_close, self.vix_index.now("value"), active_futures_sorted[bar.inst_id])
logger.debug("roll = %s" % roll)
if not self.portfolio.has_position(self.stg_id, bar.inst_id):
threshold = self.get_stg_config_value("short_entry_threshold", 0.02)
if roll > threshold:
logger.debug("Roll > threshold %s" % threshold)
logger.debug("Now send a short order")
self.market_order(inst_id=bar.inst_id, action=OrdAction.SELL, qty=self.qty)
else:
threshold = self.get_stg_config_value("short_exit_threshold", -0.01)
if roll < threshold:
logger.debug("Roll < threshold %s" % threshold)
logger.debug("Now exit")
self.market_order(inst_id=bar.inst_id, action=OrdAction.BUY, qty=self.qty)
def test_real_time_clock_now(self):
s1 = gevent.core.time()
s2 = datetime.datetime.fromtimestamp(s1)
print s1, s2
s3 = self.realtime_clock.now()
s4 = DateUtils.unixtimemillis_to_datetime(s3)
print s3, s4
self.assertAlmostEqual(s1 * 1000, s3, -2)
def test_real_time_clock_schedule_absolute(self):
start = self.realtime_clock.now()
dt = DateUtils.unixtimemillis_to_datetime(start)
abs_time = dt + datetime.timedelta(seconds=1)
self.realtime_clock.schedule_absolute(abs_time, self.realtime_action)
self.assertEquals([], self.endtime)
time.sleep(1.1)
self.assertEquals(1, len(self.endtime))
self.assertAlmostEqual(1000, self.endtime[0] - start, -2)
def test_real_time_clock_now(self):
s1 = gevent.core.time()
s2 = datetime.datetime.fromtimestamp(s1)
print s1, s2
s3 = self.realtime_clock.now()
s4 = DateUtils.unixtimemillis_to_datetime(s3)
print s3, s4
self.assertAlmostEqual(s1 * 1000, s3, -2)
def test_real_time_clock_schedule_absolute(self):
start = self.realtime_clock.now()
dt = DateUtils.unixtimemillis_to_datetime(start)
abs_time = dt + datetime.timedelta(seconds=1)
self.realtime_clock.schedule_absolute(abs_time, self.realtime_action)
self.assertEquals([], self.endtime)
time.sleep(1.1)
self.assertEquals(1, len(self.endtime))
self.assertAlmostEqual(1000, self.endtime[0] - start, -2)
def test_timestamp_conversion(self):
dt = datetime.datetime(year=2000,
month=1,
day=1,
hour=7,
minute=30,
second=30)
ts = DateUtils.datetime_to_unixtimemillis(dt)
self.assertEqual(946683030000, ts)
dt2 = DateUtils.unixtimemillis_to_datetime(ts)
self.assertEquals(dt, dt2)
dt3 = datetime.datetime.fromtimestamp(0)
ts2 = DateUtils.datetime_to_unixtimemillis(dt3)
dt4 = DateUtils.unixtimemillis_to_datetime(ts2)
self.assertEquals(0, ts2)
self.assertEquals(dt3, dt4)
def on_bar(self, bar):
reval_date = DateUtils.unixtimemillis_to_datetime(bar.timestamp)
futures_expiry_dict = VIXFuture.future_expirydays_calculator(
reval_date, self.instruments)
active_futures = {
k: v
for k, v in futures_expiry_dict.iteritems()
if v > self.exp_date_lb and v < self.exp_date_ub
}
active_futures_sorted = OrderedDict(
sorted(active_futures.items(), key=lambda y: y[1]))
if bar.inst_id in active_futures_sorted:
logger.debug("id is in active futures" % bar.inst_id)
roll = VIXFuture.daily_roll(bar.adj_close,
self.vix_index.now("value"),
active_futures_sorted[bar.inst_id])
logger.debug("roll = %s" % roll)
if not self.portfolio.has_position(self.stg_id, bar.inst_id):
threshold = self.get_stg_config_value("short_entry_threshold",
0.02)
if roll > threshold:
logger.debug("Roll > threshold %s" % threshold)
logger.debug("Now send a short order")
self.market_order(inst_id=bar.inst_id,
action=OrdAction.SELL,
qty=self.qty)
else:
threshold = self.get_stg_config_value("short_exit_threshold",
-0.01)
if roll < threshold:
logger.debug("Roll < threshold %s" % threshold)
logger.debug("Now exit")
self.market_order(inst_id=bar.inst_id,
action=OrdAction.BUY,
qty=self.qty)
dt = DateUtils.unixtimemillis_to_datetime(start)
abs_time = dt + datetime.timedelta(seconds=1)
self.realtime_clock.schedule_absolute(abs_time, self.realtime_action)
self.assertEquals([], self.endtime)
time.sleep(1.1)
self.assertEquals(1, len(self.endtime))
self.assertAlmostEqual(1000, self.endtime[0] - start, -2)
def test_real_time_clock_schedule_relative(self):
start = self.realtime_clock.now()
print start
print DateUtils.unixtimemillis_to_datetime(start)
self.realtime_clock.schedule_relative(datetime.timedelta(seconds=1), self.realtime_action)
self.assertEquals([], self.endtime)
time.sleep(1.1)
self.assertEquals(1, len(self.endtime))
self.assertAlmostEqual(1000, self.endtime[0] - start, -2)
def test_real_time_clock_now(self):
s1 = gevent.core.time()
s2 = datetime.datetime.fromtimestamp(s1)
print s1, s2
s3 = self.realtime_clock.now()
s4 = DateUtils.unixtimemillis_to_datetime(s3)
print s3, s4
self.assertAlmostEqual(s1 * 1000, s3, -2)
print DateUtils.unixtimemillis_to_datetime(946683030000)
print DateUtils.unixtimemillis_to_datetime(946711830000)
abs_time = dt + datetime.timedelta(seconds=1)
self.realtime_clock.schedule_absolute(abs_time, self.realtime_action)
self.assertEquals([], self.endtime)
time.sleep(1.1)
self.assertEquals(1, len(self.endtime))
self.assertAlmostEqual(1000, self.endtime[0] - start, -2)
def test_real_time_clock_schedule_relative(self):
start = self.realtime_clock.now()
print start
print DateUtils.unixtimemillis_to_datetime(start)
self.realtime_clock.schedule_relative(datetime.timedelta(seconds=1),
self.realtime_action)
self.assertEquals([], self.endtime)
time.sleep(1.1)
self.assertEquals(1, len(self.endtime))
self.assertAlmostEqual(1000, self.endtime[0] - start, -2)
def test_real_time_clock_now(self):
s1 = gevent.core.time()
s2 = datetime.datetime.fromtimestamp(s1)
print s1, s2
s3 = self.realtime_clock.now()
s4 = DateUtils.unixtimemillis_to_datetime(s3)
print s3, s4
self.assertAlmostEqual(s1 * 1000, s3, -2)
print DateUtils.unixtimemillis_to_datetime(946683030000)
print DateUtils.unixtimemillis_to_datetime(946711830000)
def schedule_absolute(self, datetime, action, state=None):
if isinstance(datetime, (long, int)):
datetime = DateUtils.unixtimemillis_to_datetime(datetime)
self.scheduler.schedule_absolute(datetime, action, state)
def update_time(self, timestamp):
self.__current_timestamp_mills = timestamp
self.scheduler.advance_to(DateUtils.unixtimemillis_to_datetime(timestamp))
def action(*arg):
print DateUtils.unixtimemillis_to_datetime(realtime_clock.now())
def action(*arg):
print DateUtils.unixtimemillis_to_datetime(realtime_clock.now())
