def nyse_add_and_substract(self):
ans = DateUtils.nyse_add(datetime(2009, 4, 13), 5)
self.assertEquals(ans, datetime(2009, 4, 20))
ans = DateUtils.nyse_substract(datetime(2009, 4, 13), 5)
self.assertEquals(ans, datetime(2009, 4, 3))
ans = DateUtils.nyse_add(datetime(1990, 10, 1), 7)
self.assertEquals(ans, datetime(1990, 10, 10))
ans = DateUtils.nyse_substract(datetime(1990, 10, 1), 3)
self.assertEquals(ans, datetime(1990, 9, 26))
def create_trades_from_event(self, eventList,
eventDayAction='Buy', eventDayShares=100,
actionAfter='Sell', daysAfter=5, sharesAfter=100,
actionBefore=None, daysBefore=5, sharesBefore=100):
'''
Creates trades using an event list; usually from the EventFinder.
Also creates aditional order after and before of the event as defined by the user
Parameters
----------
eventList: pandas.Series
'''
self.trades = pd.DataFrame(index=eventList.index, columns=['symbol', 'action', 'num_of_shares'])
self.trades['symbol'] = eventList
self.trades['action'] = eventDayAction
self.trades['num_of_shares'] = eventDayShares
# TODO: Actions BEFORE
if actionAfter is not None:
dicts = []
for idx, row in self.trades.iterrows():
after_date = DateUtils.nyse_add(idx.to_pydatetime(), daysAfter)
after = pd.DataFrame([ {'symbol': row['symbol'],
'action': actionAfter,
'num_of_shares': sharesAfter}],
index=[after_date], columns=self.trades.columns)
self.trades = self.trades.append(after)
self.trades = self.trades.sort()
def create_trades_from_event(self, eventList,
eventDayAction='Buy', eventDayShares=100,
actionAfter='Sell', daysAfter=5, sharesAfter=100,
actionBefore=None, daysBefore=5, sharesBefore=100):
'''
Creates trades using an event list; usually from the EventFinder.
Also creates aditional order after and before of the event as defined by the user
Parameters
----------
eventList: pandas.Series
'''
self.trades = pd.DataFrame(index=eventList.index, columns=['symbol', 'action', 'num_of_shares'])
self.trades['symbol'] = eventList
self.trades['action'] = eventDayAction
self.trades['num_of_shares'] = eventDayShares
# TODO: Actions BEFORE
if actionAfter is not None:
dicts = []
for idx, row in self.trades.iterrows():
after_date = DateUtils.nyse_add(idx.to_pydatetime(), daysAfter)
after = pd.DataFrame([ {'symbol': row['symbol'],
'action': actionAfter,
'num_of_shares': sharesAfter}],
index=[after_date], columns=self.trades.columns)
self.trades = self.trades.append(after)
self.trades = self.trades.sort()
