def testLoadFilterFrom(self):
feed = barfeed.CSVTradeFeed()
feed.addBarsFromCSV(common.get_data_file_path("bitstampUSD.csv"),
"bitstampUSD",
fromDateTime=dt.as_utc(
datetime.datetime(2012, 5, 29)))
loaded = [(dateTime, bars) for dateTime, bars in feed]
self.assertEqual(len(loaded), 646)
self.assertEqual(loaded[0][0],
dt.as_utc(datetime.datetime(2012, 5, 29, 1, 47, 52)))
self.assertEqual(loaded[0][1]["bitstampUSD"].getDateTime(),
dt.as_utc(datetime.datetime(2012, 5, 29, 1, 47, 52)))
self.assertEqual(loaded[0][1]["bitstampUSD"].getClose(), 5.07)
self.assertEqual(loaded[0][1]["bitstampUSD"].getPrice(), 5.07)
self.assertEqual(loaded[0][1]["bitstampUSD"].getVolume(), 1.39081288)
self.assertEqual(
loaded[-1][0],
dt.as_utc(datetime.datetime(2012, 5, 31, 8, 41, 18, 5)))
self.assertEqual(
loaded[-1][1]["bitstampUSD"].getDateTime(),
dt.as_utc(datetime.datetime(2012, 5, 31, 8, 41, 18, 5)))
self.assertEqual(loaded[-1][1]["bitstampUSD"].getClose(), 5.1)
self.assertEqual(loaded[-1][1]["bitstampUSD"].getPrice(), 5.1)
self.assertEqual(loaded[-1][1]["bitstampUSD"].getVolume(), 0.39215686)
def testResampleNinjaTraderHour(self):
with common.TmpDir() as tmp_path:
# Resample.
feed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
feed.addBarsFromCSV("spy", common.get_data_file_path("nt-spy-minute-2011.csv"))
resampledBarDS = resampled_ds.ResampledBarDataSeries(feed["spy"], bar.Frequency.HOUR)
resampledFile = os.path.join(tmp_path, "hour-nt-spy-minute-2011.csv")
resample.resample_to_csv(feed, bar.Frequency.HOUR, resampledFile)
resampledBarDS.pushLast() # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(bar.Frequency.HOUR, marketsession.USEquities.getTimezone())
feed.addBarsFromCSV("spy", resampledFile)
feed.loadAll()
self.assertEqual(len(feed["spy"]), 340)
self.assertEqual(feed["spy"][0].getDateTime(), dt.localize(datetime.datetime(2011, 1, 3, 9), marketsession.USEquities.getTimezone()))
self.assertEqual(feed["spy"][-1].getDateTime(), dt.localize(datetime.datetime(2011, 2, 1, 1), marketsession.USEquities.getTimezone()))
self.assertEqual(feed["spy"][0].getOpen(), 126.35)
self.assertEqual(feed["spy"][0].getHigh(), 126.45)
self.assertEqual(feed["spy"][0].getLow(), 126.3)
self.assertEqual(feed["spy"][0].getClose(), 126.4)
self.assertEqual(feed["spy"][0].getVolume(), 3397.0)
self.assertEqual(feed["spy"][0].getAdjClose(), None)
self.assertEqual(len(resampledBarDS), len(feed["spy"]))
self.assertEqual(resampledBarDS[0].getDateTime(), dt.as_utc(datetime.datetime(2011, 1, 3, 9)))
self.assertEqual(resampledBarDS[-1].getDateTime(), dt.as_utc(datetime.datetime(2011, 2, 1, 1)))
def testTimeStampConversions(self):
dateTime = datetime.datetime(2000, 1, 1)
self.assertEqual(
dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime),
False), dateTime)
dateTime = dt.as_utc(datetime.datetime(2000, 1, 1, 1, 1))
self.assertEqual(
dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime), True),
dateTime)
def testTimeStampConversionsWithMicroseconds(self):
dateTime = datetime.datetime(2000, 1, 1, 1, 1, 1, microsecond=10)
self.assertEqual(
dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime),
False), dateTime)
dateTime = dt.as_utc(
datetime.datetime(2000, 1, 1, 1, 1, 1, microsecond=10))
self.assertEqual(
dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime), True),
dateTime)
def testResampleNinjaTraderDay(self):
with common.TmpDir() as tmp_path:
# Resample.
feed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
feed.addBarsFromCSV("spy", common.get_data_file_path("nt-spy-minute-2011.csv"))
resampledBarDS = resampled_ds.ResampledBarDataSeries(feed["spy"], bar.Frequency.DAY)
resampledFile = os.path.join(tmp_path, "day-nt-spy-minute-2011.csv")
resample.resample_to_csv(feed, bar.Frequency.DAY, resampledFile)
resampledBarDS.pushLast() # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(bar.Frequency.DAY)
feed.addBarsFromCSV("spy", resampledFile, marketsession.USEquities.getTimezone())
feed.loadAll()
self.assertEqual(len(feed["spy"]), 25)
self.assertEqual(feed["spy"][0].getDateTime(), dt.localize(datetime.datetime(2011, 1, 3), marketsession.USEquities.getTimezone()))
self.assertEqual(feed["spy"][-1].getDateTime(), dt.localize(datetime.datetime(2011, 2, 1), marketsession.USEquities.getTimezone()))
self.assertEqual(len(resampledBarDS), len(feed["spy"]))
self.assertEqual(resampledBarDS[0].getDateTime(), dt.as_utc(datetime.datetime(2011, 1, 3)))
self.assertEqual(resampledBarDS[-1].getDateTime(), dt.as_utc(datetime.datetime(2011, 2, 1)))
def testLoadFilterFromAndTo(self):
feed = barfeed.CSVTradeFeed()
feed.addBarsFromCSV(common.get_data_file_path("bitstampUSD.csv"),
"bitstampUSD",
fromDateTime=dt.as_utc(
datetime.datetime(2012, 5, 29)),
toDateTime=datetime.datetime(2012, 5, 31))
loaded = [(dateTime, bars) for dateTime, bars in feed]
self.assertEqual(len(loaded), 579)
self.assertEqual(loaded[0][0],
dt.as_utc(datetime.datetime(2012, 5, 29, 1, 47, 52)))
self.assertEqual(loaded[0][1]["bitstampUSD"].getDateTime(),
dt.as_utc(datetime.datetime(2012, 5, 29, 1, 47, 52)))
self.assertEqual(loaded[0][1]["bitstampUSD"].getClose(), 5.07)
self.assertEqual(loaded[0][1]["bitstampUSD"].getVolume(), 1.39081288)
self.assertEqual(loaded[-1][0],
dt.as_utc(datetime.datetime(2012, 5, 30, 23, 49, 21)))
self.assertEqual(loaded[-1][1]["bitstampUSD"].getDateTime(),
dt.as_utc(datetime.datetime(2012, 5, 30, 23, 49, 21)))
self.assertEqual(loaded[-1][1]["bitstampUSD"].getClose(), 5.14)
self.assertEqual(loaded[-1][1]["bitstampUSD"].getVolume(), 20)
def testLoadNoFilter(self):
feed = barfeed.CSVTradeFeed()
feed.addBarsFromCSV(common.get_data_file_path("bitstampUSD.csv"))
loaded = [(dateTime, bars) for dateTime, bars in feed]
self.assertEqual(len(loaded), 9999)
self.assertEqual(loaded[0][0],
dt.as_utc(datetime.datetime(2011, 9, 13, 13, 53, 36)))
self.assertEqual(loaded[0][1]["BTC"].getDateTime(),
dt.as_utc(datetime.datetime(2011, 9, 13, 13, 53, 36)))
self.assertEqual(loaded[0][1]["BTC"].getClose(), 5.8)
self.assertEqual(loaded[0][1]["BTC"].getPrice(), 5.8)
self.assertEqual(loaded[0][1]["BTC"].getVolume(), 1.0)
self.assertEqual(
loaded[-1][0],
dt.as_utc(datetime.datetime(2012, 5, 31, 8, 41, 18, 5)))
self.assertEqual(
loaded[-1][1]["BTC"].getDateTime(),
dt.as_utc(datetime.datetime(2012, 5, 31, 8, 41, 18, 5)))
self.assertEqual(loaded[-1][1]["BTC"].getClose(), 5.1)
self.assertEqual(loaded[-1][1]["BTC"].getPrice(), 5.1)
self.assertEqual(loaded[-1][1]["BTC"].getVolume(), 0.39215686)
def parse_datetime(dateTime):
try:
ret = datetime.datetime.strptime(dateTime, "%Y-%m-%d %H:%M:%S")
except ValueError:
ret = datetime.datetime.strptime(dateTime, "%Y-%m-%d %H:%M:%S.%f")
return dt.as_utc(ret)
def to_utc_if_naive(dateTime):
if dateTime is not None and dt.datetime_is_naive(dateTime):
dateTime = dt.as_utc(dateTime)
return dateTime