def addBar(self, instrument, bar, frequency):
instrument = normalize_instrument(instrument)
instrumentId = self.__getOrCreateInstrument(instrument)
timeStamp = dt.datetime_to_timestamp(bar.getDateTime())
try:
sql = "insert into bar (instrument_id, frequency, timestamp, open, high, low, close, volume, adj_close) values (?, ?, ?, ?, ?, ?, ?, ?, ?)"
params = [
instrumentId, frequency, timeStamp,
bar.getOpen(),
bar.getHigh(),
bar.getLow(),
bar.getClose(),
bar.getVolume(),
bar.getAdjClose()
]
self.__connection.execute(sql, params)
except sqlite3.IntegrityError:
sql = "update bar set open = ?, high = ?, low = ?, close = ?, volume = ?, adj_close = ?" \
" where instrument_id = ? and frequency = ? and timestamp = ?"
params = [
bar.getOpen(),
bar.getHigh(),
bar.getLow(),
bar.getClose(),
bar.getVolume(),
bar.getAdjClose(), instrumentId, frequency, timeStamp
]
self.__connection.execute(sql, params)
def onBars(self, dateTime, bars):
# Update the volume available for each instrument.
volumeLeft = {}
for instrument in bars.getInstruments():
bar = bars[instrument]
if bar.getFrequency() == pyalgotrade.bar.Frequency.TRADE:
volumeLeft[instrument] = bar.getVolume()
elif self.__volumeLimit is not None:
volumeLeft[instrument] = bar.getVolume() * self.__volumeLimit
self.__volumeLeft = volumeLeft
def onBars(self, broker_, bars):
volumeLeft = {}
for instrument in bars.getInstruments():
bar = bars[instrument]
# Update the volume available for each instrument.
if bar.getFrequency() == pyalgotrade.bar.Frequency.TRADE:
volumeLeft[instrument] = bar.getVolume()
elif self.__volumeLimit is not None:
volumeLeft[instrument] = bar.getVolume() * self.__volumeLimit
# Update the volume used for each instrument.
self.__volumeUsed[instrument] = 0.0
self.__volumeLeft = volumeLeft
def adjustBars(instrument, bars, startdate, enddate):
bars = []
bars_in_dtrange = [bar for bar in bars if startdate.replace(tzinfo=None) <= bar.getDateTime() <= enddate.replace(tzinfo=None)]
bars_in_dtrange.sort(key=lambda bar: bar.getDateTime(), reverse=True)
k = 0
splitdataList = []
dividendList = []
for bar in bars_in_dtrange:
splitdata = bar.getSplit()
dividend = bar.getDividend()
if splitdata != 1.0:
splitdataList.append(bar.getSplit())
if dividend != 0.0:
adjFactor = (bar.getClose() + bar.getDividend()) / bar.getClose()
dividendList.append(adjFactor)
#### Special case.... end date / analysis date nothing to do..
if (k==0):
bar = BasicBar(bar.getDateTime(),
bar.getOpen() , bar.getHigh(), bar.getLow(), bar.getClose(), bar.getVolume(), bar.getClose(), Frequency.DAY)
bars.append(bar)
else:
#### Adjust OHLC & Volume data for split adjustments and dividend adjustments
Open = bar.getOpen()
High = bar.getHigh()
Low = bar.getLow()
Close = bar.getClose()
Volume = bar.getVolume()
### adjust data for splits
for split in splitdataList:
Open = Open / split
High = High / split
Low = Low / split
Close = Close /split
Volume = Volume * split
### adjust data for dividends
for adjFactor in dividendList:
Open = Open / adjFactor
High = High / adjFactor
Low = Low / adjFactor
Close = Close / adjFactor
Volume = Volume * adjFactor
bar = BasicBar(bar.getDateTime(),
Open , High, Low, Close, Volume, Close, Frequency.DAY)
bars.append(bar)
k +=1
feed = Feed(Frequency.DAY, 1024)
return feed.loadBars(instrument+"_adjusted", bars)
def onBars(self, broker_, bars):
volumeLeft = {}
for instrument in bars.getInstruments():
bar = bars[instrument]
# Reset the volume available for each instrument.
if bar.getFrequency() == pyalgotrade.bar.Frequency.TRADE:
volumeLeft[instrument] = bar.getVolume()
elif self.__volumeLimit is not None:
# We can't round here because there is no order to request the instrument traits.
volumeLeft[instrument] = bar.getVolume() * self.__volumeLimit
# Reset the volume used for each instrument.
self.__volumeUsed[instrument] = 0.0
self.__volumeLeft = volumeLeft
def onBars(self, broker_, bars):
volumeLeft = {}
for instrument in bars.getInstruments():
bar = bars[instrument]
# Reset the volume available for each instrument.
if bar.getFrequency() == pyalgotrade.bar.Frequency.TRADE:
volumeLeft[instrument] = bar.getVolume()
elif self.__volumeLimit is not None:
# We can't round here because there is no order to request the instrument traits.
volumeLeft[instrument] = bar.getVolume() * self.__volumeLimit
# Reset the volume used for each instrument.
self.__volumeUsed[instrument] = 0.0
self.__volumeLeft = volumeLeft
def __getFillSize(self, order, bar):
if self.__volumeLimit is not None:
# If these are trade bars, then allow the whole volume to be used.
if bar.getFrequency() == pyalgotrade.bar.Frequency.TRADE:
maxQuantity = bar.getVolume()
else:
maxQuantity = bar.getVolume() * self.__volumeLimit
if order.getQuantity() > maxQuantity:
# Partial fills not supported yet.
ret = None
else:
ret = order.getQuantity()
else:
ret = order.getQuantity()
return ret
def __getFillSize(self, order, bar):
if self.__volumeLimit != None:
maxQuantity = bar.getVolume() * self.__volumeLimit
if order.getQuantity() > maxQuantity:
# Partial fills not supported yet.
ret = None
else:
ret = order.getQuantity()
else:
ret = order.getQuantity()
return ret
def __getFillSize(self, order, bar):
if self.__volumeLimit is not None:
maxQuantity = bar.getVolume() * self.__volumeLimit
if order.getQuantity() > maxQuantity:
# Partial fills not supported yet.
ret = None
else:
ret = order.getQuantity()
else:
ret = order.getQuantity()
return ret
def onBars(self, broker_, bars):
self.__volumeUsed = {}
self.__volumeLeft = {}
# Reset volumes.
for bar in bars.getBars():
instrument = bar.getInstrument()
self.__volumeUsed[instrument] = 0.0
if self.__volumeLimit is not None:
# For TRADE bars we can use all the volume available.
if bar.getFrequency() == pyalgotrade.bar.Frequency.TRADE:
volumeLeft = bar.getVolume()
else:
volumeLeft = self.__instrumentTraits.round(
bar.getVolume() * self.__volumeLimit,
bar.getInstrument().symbol,
roundDown=True)
self.__volumeLeft[instrument] = volumeLeft
def onBars(self, bars):
for instrument in bars.getInstruments():
bar = bars[instrument]
self.info("%s: %s %s %s %s %s %s" % (
instrument,
bar.getOpen(),
bar.getHigh(),
bar.getLow(),
bar.getClose(),
bar.getAdjClose(),
bar.getVolume(),
))
def addBar(self, instrument, bar, frequency):
instrument = normalize_instrument(instrument)
instrumentId = self.__getOrCreateInstrument(instrument)
timeStamp = dt.datetime_to_timestamp(bar.getDateTime())
try:
sql = "insert into bar (instrument_id, frequency, timestamp, open, high, low, close, volume, adj_close) values (?, ?, ?, ?, ?, ?, ?, ?, ?)"
params = [instrumentId, frequency, timeStamp, bar.getOpen(), bar.getHigh(), bar.getLow(), bar.getClose(), bar.getVolume(), bar.getAdjClose()]
self.__connection.execute(sql, params)
except sqlite3.IntegrityError:
sql = "update bar set open = ?, high = ?, low = ?, close = ?, volume = ?, adj_close = ?" \
" where instrument_id = ? and frequency = ? and timestamp = ?"
params = [bar.getOpen(), bar.getHigh(), bar.getLow(), bar.getClose(), bar.getVolume(), bar.getAdjClose(), instrumentId, frequency, timeStamp]
self.__connection.execute(sql, params)
def onBars(self, bars):
try:
symbol = bars.getInstruments()[0]
bar = bars[symbol]
self.__ticker.append((bar.getDateTime().strftime('%Y-%m-%d %H:%M:%S.%f'), symbol.split('coinigy-')[1], bar.getPrice(), bar.getVolume(), 1 if bar.isBuy() else 2))
#logging.info('symbol: %r, frequency: %r, volume: %r' %(symbol, bar.getFrequency(), bar.getVolume()))
except Exception as e:
logging.error('%r', e)
except:
logging.error('Exception caught!')
def adjustBars(self): for key, value in self.__barsDict.iteritems(): basicbars = [] bars = value bars_in_dtrange = [bar for bar in bars if self.__startdate.replace(tzinfo=None) <= bar.getDateTime() <= self.__enddate.replace(tzinfo=None)] bars_in_dtrange.sort(key=lambda bar: bar.getDateTime(), reverse=True) k = 0 splitdataList = [] dividendList = [] for bar in bars_in_dtrange: splitdata = float(bar.getSplit()) dividend = float(bar.getDividend()) if splitdata != 1.0: splitdataList.append(bar.getSplit()) if dividend != 0.0: adjFactor = (bar.getClose() + bar.getDividend()) / bar.getClose() dividendList.append(adjFactor) #### Special case.... end date / analysis date nothing to do.. if (k==0): bar = BasicBar(bar.getDateTime(), bar.getOpen() , bar.getHigh(), bar.getLow(), bar.getClose(), bar.getVolume(), bar.getClose(), Frequency.DAY) basicbars.append(bar) else: #### Adjust OHLC & Volume data for split adjustments and dividend adjustments Open = bar.getOpen() High = bar.getHigh() Low = bar.getLow() Close = bar.getClose() Volume = bar.getVolume() ### adjust data for splits for split in splitdataList: Open = Open / split High = High / split Low = Low / split Close = Close /split Volume = Volume * split ### adjust data for dividends for adjFactor in dividendList: Open = Open / adjFactor High = High / adjFactor Low = Low / adjFactor Close = Close / adjFactor Volume = Volume * adjFactor bar = BasicBar(bar.getDateTime(), Open , High, Low, Close, Volume, Close, Frequency.DAY) basicbars.append(bar) k +=1 DateTimes = [] OpenSeries = SequenceDataSeries(4000) HighSeries = SequenceDataSeries(4000) LowSeries = SequenceDataSeries(4000) CloseSeries = SequenceDataSeries(4000) VolumeSeries = SequenceDataSeries(4000) TypicalSeries = SequenceDataSeries(4000) barSeries = BarDataSeries(4000) basicbars.sort(key=lambda bar: bar.getDateTime(), reverse=False) for bar in basicbars: DateTimes.append(bar.getDateTime()) OpenSeries.appendWithDateTime(bar.getDateTime(), bar.getOpen()) HighSeries.appendWithDateTime(bar.getDateTime(), bar.getHigh()) LowSeries.appendWithDateTime(bar.getDateTime(), bar.getLow()) CloseSeries.appendWithDateTime(bar.getDateTime(), bar.getClose()) VolumeSeries.appendWithDateTime(bar.getDateTime(), bar.getVolume()) TypicalSeries.appendWithDateTime(bar.getDateTime(), (bar.getClose()+bar.getHigh()+bar.getLow())/3.0) barSeries.appendWithDateTime(bar.getDateTime(), bar) self.__DateTimes[key+"_adjusted"] = DateTimes self.__OpenDataSeries[key+"_adjusted"] = OpenSeries self.__HighDataSeries[key+"_adjusted"] = HighSeries self.__LowDataSeries[key+"_adjusted"] = LowSeries self.__CloseDataSeries[key+"_adjusted"] = CloseSeries self.__VolumeDataSeries[key+"_adjusted"] = VolumeSeries self.__TypicalDataSeries[key+"_adjusted"] = TypicalSeries self.__barSeries[key+"_adjusted"] = barSeries
def __addBar(self, symbol, bar, cursor):
string = ("INSERT INTO data (`symbol`, `date`,`milliseconds`, `open`, `close`, `high`, `low`, `volume`) " +
"VALUES ('{0:s}', '{1:%Y-%m-%d %H:%M:%S}', '{4:d}','{2:f}', '{2:f}', '{2:f}', '{2:f}', '{3:f}')")
queryStr = string.format(symbol, bar.getDateTime(), bar.getClose(), bar.getVolume(), bar.getMilliSeconds())
cursor.execute(queryStr)
