class BackTester(object):
""" back testing """
CASH = 1000000 # 0.1 million to start
def __init__(self):
self.__config = PyConfig()
self.__mCalculator = MetricCalculator()
self.__symbols = []
def setup(self):
""" setup """
LOG.debug("Loading config from %s" % CONFIG_FILE)
self.__config.setSource(CONFIG_FILE)
appGlobal[TRADE_TYPE] = self.__config.getOption(CONF_APP_MAIN, CONF_TRADE_TYPE)
self._setupLog()
self._loadSymbols()
def _setupLog(self):
""" setup logging """
logging.config.fileConfig(self.__config.getFullPath())
def _runOneTest(self, symbol):
""" run one test """
LOG.debug("Running backtest for %s" % symbol)
runner = TestRunner(self.__config, self.__mCalculator, symbol)
runner.runTest()
def _loadSymbols(self):
""" find symbols"""
symbolFile = self.__config.getOption(CONF_APP_MAIN, CONF_SYMBOL_FILE)
assert symbolFile is not None, "%s is required in config file" % CONF_SYMBOL_FILE
with open(os.path.join(self.__config.getDir(), symbolFile), "r") as f:
for symbol in f:
if symbol not in self.__symbols:
self.__symbols.append(symbol.strip())
assert self.__symbols, "None symbol provided"
def runTests(self):
""" run tests """
for symbol in self.__symbols:
try:
self._runOneTest(symbol)
except BaseException as excp:
LOG.error(
"Unexpected error when backtesting %s -- except %s, traceback %s"
% (symbol, excp, traceback.format_exc(8))
)
class BackTester(object):
''' back testing '''
CASH = 1000000 # 0.1 million to start
def __init__(self):
self.__config = PyConfig()
self.__mCalculator = MetricCalculator()
self.__symbols = []
def setup(self):
''' setup '''
LOG.debug("Loading config from %s" % CONFIG_FILE)
self.__config.setSource(CONFIG_FILE)
appGlobal[TRADE_TYPE] = self.__config.getOption(
CONF_APP_MAIN, CONF_TRADE_TYPE)
self._setupLog()
self._loadSymbols()
def _setupLog(self):
''' setup logging '''
logging.config.fileConfig(self.__config.getFullPath())
def _runOneTest(self, symbol):
''' run one test '''
LOG.debug("Running backtest for %s" % symbol)
runner = TestRunner(self.__config, self.__mCalculator, symbol)
runner.runTest()
def _loadSymbols(self):
''' find symbols'''
symbolFile = self.__config.getOption(CONF_APP_MAIN, CONF_SYMBOL_FILE)
assert symbolFile is not None, "%s is required in config file" % CONF_SYMBOL_FILE
with open(os.path.join(self.__config.getDir(), symbolFile), "r") as f:
for symbol in f:
if symbol not in self.__symbols:
self.__symbols.append(symbol.strip())
assert self.__symbols, "None symbol provided"
def runTests(self):
''' run tests '''
for symbol in self.__symbols:
try:
self._runOneTest(symbol)
except BaseException as excp:
LOG.error("Unexpected error when backtesting %s -- except %s, traceback %s" \
% (symbol, excp, traceback.format_exc(8)))
class BackTester(object):
''' back testing '''
def __init__(self, configFile, startTickDate=0, startTradeDate=0, endTradeDate=None, cash=150000, symbolLists=None):
LOG.debug("Loading config from %s" % configFile)
self.__config = PyConfig()
self.__config.setSource(configFile)
self.__cash = cash
self.__mCalculator = MetricCalculator()
self.__symbolLists = symbolLists
LOG.debug(self.__symbolLists)
self.__accounts = []
self.__startTickDate = startTickDate
self.__startTradeDate = startTradeDate
self.__endTradeDate = endTradeDate
self.__firstSaver = None
def setup(self):
''' setup '''
appGlobal[TRADE_TYPE] = self.__config.getOption(CONF_ULTRAFINANCE_SECTION, CONF_TRADE_TYPE)
self.__config.override(CONF_ULTRAFINANCE_SECTION, CONF_INIT_CASH, self.__cash)
self.__config.override(CONF_ULTRAFINANCE_SECTION, CONF_START_TRADE_DATE, self.__startTradeDate)
self.__config.override(CONF_ULTRAFINANCE_SECTION, CONF_END_TRADE_DATE, self.__endTradeDate)
self._setupLog()
LOG.debug(self.__symbolLists)
if not self.__symbolLists:
self._loadSymbols()
def __getFirstSaver(self):
''' get first saver, create it if not exist'''
saverName = self.__config.getOption(CONF_ULTRAFINANCE_SECTION, CONF_SAVER)
outputDb = self.__config.getOption(CONF_ULTRAFINANCE_SECTION, CONF_OUTPUT_DB)
if saverName and len(self.__symbolLists) > 0:
self.__firstSaver = StateSaverFactory.createStateSaver(saverName,
{'db': outputDb},
getBackTestTableName(self.__symbolLists[0],
self.__config.getOption(
CONF_ULTRAFINANCE_SECTION,
CONF_STRATEGY_NAME)))
return self.__firstSaver
def _setupLog(self):
''' setup logging '''
if self.__config.getSection("loggers"):
logging.config.fileConfig(self.__config.getFullPath())
def _runOneTest(self, symbols):
''' run one test '''
LOG.debug("Running backtest for %s" % symbols)
runner = TestRunner(self.__config, self.__mCalculator, self.__accounts, symbols, self.__startTickDate,
self.__endTradeDate, self.__cash)
runner.runTest()
def _loadSymbols(self):
''' find symbols'''
symbolFile = self.__config.getOption(CONF_ULTRAFINANCE_SECTION, CONF_SYMBOL_FILE)
assert symbolFile is not None, "%s is required in config file" % CONF_SYMBOL_FILE
LOG.info("loading symbols from %s" % os.path.join(self.__config.getDir(), symbolFile))
if not self.__symbolLists:
self.__symbolLists = []
with open(os.path.join(self.__config.getDir(), symbolFile), "r") as f:
for symbols in f:
if symbols not in self.__symbolLists:
self.__symbolLists.append([symbol.strip() for symbol in symbols.split()])
assert self.__symbolLists, "None symbol provided"
def runTests(self):
''' run tests '''
for symbols in self.__symbolLists:
try:
self._runOneTest(symbols)
except KeyboardInterrupt:
LOG.error("User Interrupted")
sys.exit("User Interrupted")
except BaseException as excp:
LOG.error("Unexpected error when backtesting %s -- except %s, traceback %s" \
% (symbols, excp, traceback.format_exc(8)))
def getLatestStates(self):
''' get latest state'''
return [json.loads(str(result)) for result in self.__getFirstSaver().getStates(0, None)]
def getLatestPlacedOrders(self, num=20):
''' get latest placed orders of first symbol list '''
orders = []
for account in self.__accounts:
orders.extend(account.orderHistory[-num:])
return orders
def getHoldings(self):
''' get holdings '''
holdings = []
for account in self.__accounts:
holdings.append(account.holdings)
return holdings
def getMetrics(self):
''' get all metrics '''
return self.__mCalculator.getMetrics()
def getOpenOrders(self):
''' get open orders '''
return self.__
def printMetrics(self):
''' print metrics '''
LOG.info(self.getMetrics())
class BackTester(object):
''' back testing '''
def __init__(self,
configFile,
startTickDate=0,
startTradeDate=0,
endTradeDate=None,
cash=150000,
symbolLists=None):
LOG.debug("Loading config from %s" % configFile)
self.__config = PyConfig()
self.__config.setSource(configFile)
self.__cash = cash
self.__mCalculator = MetricManager()
self.__symbolLists = symbolLists
self.__accounts = []
self.__startTickDate = startTickDate
self.__startTradeDate = startTradeDate
self.__endTradeDate = endTradeDate
self.__firstSaver = None
def setup(self):
''' setup '''
appGlobal[TRADE_TYPE] = self.__config.getOption(
CONF_ULTRAFINANCE_SECTION, CONF_TRADE_TYPE)
self.__config.override(CONF_ULTRAFINANCE_SECTION, CONF_INIT_CASH,
self.__cash)
self.__config.override(CONF_ULTRAFINANCE_SECTION,
CONF_START_TRADE_DATE, self.__startTradeDate)
self.__config.override(CONF_ULTRAFINANCE_SECTION, CONF_END_TRADE_DATE,
self.__endTradeDate)
self._setupLog()
LOG.debug(self.__symbolLists)
if not self.__symbolLists:
self._loadSymbols()
def _setupLog(self):
''' setup logging '''
if self.__config.getSection("loggers"):
logging.config.fileConfig(self.__config.getFullPath())
def _runOneTest(self, symbols):
''' run one test '''
LOG.debug("Running backtest for %s" % symbols)
runner = TestRunner(self.__config, self.__mCalculator, self.__accounts,
symbols, self.__startTickDate, self.__endTradeDate,
self.__cash)
runner.runTest()
def _loadSymbols(self):
''' find symbols'''
symbolFile = self.__config.getOption(CONF_ULTRAFINANCE_SECTION,
CONF_SYMBOL_FILE)
assert symbolFile is not None, "%s is required in config file" % CONF_SYMBOL_FILE
LOG.info("loading symbols from %s" %
os.path.join(self.__config.getDir(), symbolFile))
if not self.__symbolLists:
self.__symbolLists = []
with open(os.path.join(self.__config.getDir(), symbolFile), "r") as f:
for symbols in f:
if symbols not in self.__symbolLists:
self.__symbolLists.append(
[symbol.strip() for symbol in symbols.split()])
assert self.__symbolLists, "None symbol provided"
def runTests(self):
''' run tests '''
for symbols in self.__symbolLists:
try:
self._runOneTest(symbols)
except KeyboardInterrupt:
LOG.error("User Interrupted")
sys.exit("User Interrupted")
except BaseException as excp:
LOG.error("Unexpected error when backtesting %s -- except %s, traceback %s" \
% (symbols, excp, traceback.format_exc(8)))
def getMetrics(self):
''' get all metrics '''
return self.__mCalculator.getMetrics()
def printMetrics(self):
''' print metrics '''
LOG.info(self.getMetrics())
class BackTester(object):
''' back testing '''
def __init__(self, configFile, startTickDate = 0, startTradeDate = 0, endTradeDate = None, cash = 150000, symbolLists = None):
LOG.debug("Loading config from %s" % configFile)
self.__config = PyConfig()
self.__config.setSource(configFile)
self.__cash = cash
self.__mCalculator = MetricManager()
self.__symbolLists = symbolLists
self.__accounts = []
self.__startTickDate = startTickDate
self.__startTradeDate = startTradeDate
self.__endTradeDate = endTradeDate
self.__firstSaver = None
def setup(self):
''' setup '''
appGlobal[TRADE_TYPE] = self.__config.getOption(CONF_ULTRAFINANCE_SECTION, CONF_TRADE_TYPE)
self.__config.override(CONF_ULTRAFINANCE_SECTION, CONF_INIT_CASH, self.__cash)
self.__config.override(CONF_ULTRAFINANCE_SECTION, CONF_START_TRADE_DATE, self.__startTradeDate)
self.__config.override(CONF_ULTRAFINANCE_SECTION, CONF_END_TRADE_DATE, self.__endTradeDate)
self._setupLog()
LOG.debug(self.__symbolLists)
if not self.__symbolLists:
self._loadSymbols()
def _setupLog(self):
''' setup logging '''
if self.__config.getSection("loggers"):
logging.config.fileConfig(self.__config.getFullPath())
def _runOneTest(self, symbols):
''' run one test '''
LOG.debug("Running backtest for %s" % symbols)
runner = TestRunner(self.__config, self.__mCalculator, self.__accounts, symbols, self.__startTickDate, self.__endTradeDate, self.__cash)
runner.runTest()
def _loadSymbols(self):
''' find symbols'''
symbolFile = self.__config.getOption(CONF_ULTRAFINANCE_SECTION, CONF_SYMBOL_FILE)
assert symbolFile is not None, "%s is required in config file" % CONF_SYMBOL_FILE
LOG.info("loading symbols from %s" % os.path.join(self.__config.getDir(), symbolFile))
if not self.__symbolLists:
self.__symbolLists = []
with open(os.path.join(self.__config.getDir(), symbolFile), "r") as f:
for symbols in f:
if symbols not in self.__symbolLists:
self.__symbolLists.append([symbol.strip() for symbol in symbols.split()])
assert self.__symbolLists, "None symbol provided"
def runTests(self):
''' run tests '''
for symbols in self.__symbolLists:
try:
self._runOneTest(symbols)
except KeyboardInterrupt:
LOG.error("User Interrupted")
sys.exit("User Interrupted")
except BaseException as excp:
LOG.error("Unexpected error when backtesting %s -- except %s, traceback %s" \
% (symbols, excp, traceback.format_exc(8)))
def getMetrics(self):
''' get all metrics '''
return self.__mCalculator.getMetrics()
def printMetrics(self):
''' print metrics '''
LOG.info(self.getMetrics())