def getKrakenData(interval=1440,since=0):
directory = krakenutl.SRCDIR
if not os.path.exists(directory):
os.makedirs(directory)
for p in krakenutl.PAIRS:
logger.debug('download data for: '+p+' interval: '+str(interval)+' since:'+str(krakenutl.localTimeFromEpoch(since)))
pdata = getOhlc(p, interval,since)
storeHdf5(pdata,krakenutl.getTagFromPair(p,interval),krakenutl.getH5source())
def getKrakenData(interval=1440, since=0):
directory = krakenutl.SRCDIR
if not os.path.exists(directory):
os.makedirs(directory)
for p in krakenutl.PAIRS:
logger.debug('download data for: ' + p + ' interval: ' +
str(interval) + ' since:' +
str(krakenutl.localTimeFromEpoch(since)))
pdata = getOhlc(p, interval, since)
storeHdf5(pdata, krakenutl.getTagFromPair(p, interval),
krakenutl.getH5source())
def compute(pair,fr,interval=INTERVAL,foo=macd1.compTradeDmacd):
filename=krakenutl.getH5source()
h5 = pd.HDFStore(filename, 'r')
tag=krakenutl.getTagFromPair(pair,interval)
df=h5[tag]
dtSlice = df[df.index > dateutil.parser.parse(fr)]
dt = macd1.compMacd(dtSlice,foo)
#comparison between market and strategy
dcumsum = dt[['market','strategy','strategy_fee']].cumsum()
lpos=len(dcumsum)-1
strat=np.exp(dcumsum['strategy'][lpos])
strat_f=np.exp(dcumsum['strategy_fee'][lpos])
bhold=np.exp(dcumsum['market'][lpos])
return (df.index[0],df.index[len(df.index)-1],bhold,strat,strat_f,lpos+1)
