def repackage_ask(bbo):
return {'type': 'tickPrice', 'symbol': bbo['symbol'], 'field': 2,
'price': bbo['ask_px'], 'ts': bbo['ts']}
if __name__ == '__main__':
parser = argparse.ArgumentParser(description='backtest')
parser.add_argument('--config', type=argparse.FileType('r'))
parser.add_argument('--bbos')
parser.add_argument('--trds')
args = parser.parse_args()
config = json.load(args.config)
log = Logger('backtest')
log.operation({'config': config})
watch_threshold = config['watch_threshold']
watch_duration = config['watch_duration']
slowdown_threshold = config['slowdown_threshold']
slowdown_duration = config['slowdown_duration']
strategy = Strategy(watch_threshold, watch_duration,
slowdown_threshold, slowdown_duration)
with io.TextIOWrapper(gzip.open(args.bbos, 'r')) as fh:
fh.readline() # skip header
bbos = collections.deque((process_bbo(line) for line in fh))
with io.TextIOWrapper(gzip.open(args.trds, 'r')) as fh:
fh.readline() # skip header
host = "54.197.15.42"
port = 7496
connection.eConnect(host, port, 1)
subscription = ScannerSubscription()
subscription.numberOfRows(100)
subscription.instrument('STK')
subscription.locationCode('STK.US')
subscription.scanCode('TOP_PERC_GAIN')
subscription.abovePrice(1.0)
subscription.aboveVolume(1)
subscription.marketCapBelow(1000000000.0)
ticker_id = 10
log.operation('Requesting subscription')
connection.reqScannerSubscription(ticker_id, subscription)
while True:
msg = msgs.get()
if msg['type'] == 'scannerDataEnd':
log.operation('Received end scanner data end signal')
break
elif msg['type'] == 'scannerData':
log.data(msg)
else:
log.misc(msg)
log.operation('Disconnecting')
connection.cancelScannerSubscription(ticker_id)