def create_stddev(self, num_history_pts):
self.output_table_name = self.output_table_name.replace("TREND", "POINT")
self.output_table_name = self.output_table_name.replace("CANDLE", "POINT")
self.output_table_name = self.output_table_name + self.STDDEV + "_" + str(num_history_pts)
if self.to_save:
##if already exists, drop it first and then recreate
if DBManager.exists_table(self.output_table_name):
DBManager.drop_table(self.output_table_name)
pt = PointTable(self.output_table_name)
pt.save()
orig_pt_array = self.input_points
stddev_pt_array = []
for i, pt in enumerate(orig_pt_array):
if i < num_history_pts: ##don't calculate stddev for first points since there is not enough history available
pass
else:
date = pt.date
stddev = StandardDeviation.simple(orig_pt_array[i-num_history_pts + 1: i+ 1])
stddev_pt = Point(self.output_table_name, date, stddev)
stddev_pt_array.append(stddev_pt)
if self.to_save:
self.save_pts(stddev_pt_array)
##if CandleTable.TEMP in self.input_point_table_name:
## DBManager.drop_table(self.input_point_table_name)
return stddev_pt_array
def create_oscil(self, period):
self.output_table_name = self.output_table_name.replace("TREND", "POINT")
self.output_table_name = self.output_table_name.replace("CANDLE", "POINT")
self.output_table_name = self.output_table_name + self.OSCIL + "_" + str(period)
if self.to_save:
##if already exists, drop it first and then recreate
if DBManager.exists_table(self.output_table_name):
DBManager.drop_table(self.output_table_name)
pt = PointTable(self.output_table_name)
pt.save()
oscil_pt_array = []
for i, pt in enumerate(self.input_points):
if i < (period-1): ##don't calculate stddev for first points since there is not enough history available
pass
else:
date = pt.date
oscil_value = pt.value - self.input_points[i-period].value
oscil_pt = Point(self.output_table_name, date, oscil_value)
oscil_pt_array.append(oscil_pt)
if self.to_save:
self.save_pts(oscil_pt_array)
return oscil_pt_array
def create_moving_avg_simple(self, num_history_pts):
self.output_table_name = self.output_table_name.replace("TREND", "POINT")
self.output_table_name = self.output_table_name.replace("CANDLE", "POINT")
self.output_table_name = self.output_table_name + self.SIMPLE_AVG + "_" + str(num_history_pts)
if self.to_save:
##if already exists, drop it first and then recreate
if DBManager.exists_table(self.output_table_name):
DBManager.drop_table(self.output_table_name)
pt = PointTable(self.output_table_name)
pt.save()
points = self.input_points
mv = MovingAverage(self.output_table_name, points)
pt_array = mv.simple(num_history_pts)
if self.to_save:
self.save_pts(pt_array)
## possible delete the temporary point table created from candle
##if CandleTable.TEMP in self.input_point_table_name:
## DBManager.drop_table(self.input_point_table_name)
return pt_array
def decide(self, time, bits):
cur_date = self.cur_traded_candles[time].date ##current date
## if cur_date is too early to have valid trend data return no operation
if not self.is_valid_date(cur_date):
return Operation(Operation.NONE_OP, 0)
trend_date_present = cur_date - self.DELAY * self.DAY ##date to lookup in trend table
trend_date_past = trend_date_present - self.DAY ##date to lookup in trend table
past_short_val = PointTable.lookup_date(self.avg_table_name_short,
trend_date_past).value
past_long_val = PointTable.lookup_date(self.avg_table_name_long,
trend_date_past).value
present_short_val = PointTable.lookup_date(self.avg_table_name_short,
trend_date_present).value
present_long_val = PointTable.lookup_date(self.avg_table_name_long,
trend_date_present).value
##detect intersection between the long and short trend tables
if present_short_val >= present_long_val:
if past_short_val >= past_long_val: ## no intersection
return Operation(Operation.NONE_OP, 0)
elif past_short_val < past_long_val: ## intersection with short term spike
if self.is_valid_buy(cur_date):
return Operation(Operation.BUY_OP, self.BUY_AMOUNT)
else:
return Operation(Operation.NONE_OP, 0)
elif present_short_val <= present_long_val:
if past_short_val <= past_long_val: ##no intersection
return Operation(Operation.NONE_OP, 0)
elif past_short_val > past_long_val: ## intersection with short term trough
return Operation(Operation.SELL_OP, bits)
def create_bb(self, type):
bb_table_name = self.middle_avg_table_name + "_" + type
##if already exists, drop it first and then recreate
if DBManager.exists_table(bb_table_name):
DBManager.drop_table(bb_table_name)
bb_pt_table = PointTable(bb_table_name)
bb_pt_table.save()
for i, avg in enumerate(self.avg_pts):
if i < self.avg_period:
pass
else:
date = avg.date
if type == self.LOW:
value = avg.value - (
self.bb_factor *
self.stddev_pts[i - self.avg_period].value)
elif type == self.HIGH:
value = avg.value + (
self.bb_factor *
self.stddev_pts[i - self.avg_period].value)
new_pt = Point(bb_table_name, date, value)
new_pt.save()
dbm = DBManager.get_instance()
dbm.save_and_close()
return bb_table_name
def is_valid_date(self, date):
earliest_date = PointTable.lookup(self.avg_table_name_short, 1).date
latest_date = PointTable.get_last(self.avg_table_name_short).date
if (date - (self.DELAY + 1) * self.DAY) < earliest_date:
return False
else:
if date > latest_date:
return False
else:
return True
def __init__(self, ct_name):
self.ct_name = ct_name
self.candles = CandleTable.get_candle_array(ct_name)
self.pt_name_close = CandleTable.to_point_table(ct_name, Candle.CLOSE)
self.points_close = PointTable.get_point_array(self.pt_name_close)
self.pt_name_volume = CandleTable.to_point_table(
ct_name, Candle.VOLUME)
self.points_volume = PointTable.get_point_array(self.pt_name_volume)
def to_point_table(trend_table_name):
pt_name = TrendTable.TEMP + "_" + trend_table_name
##if already exists, drop it first and then recreate
if DBManager.exists_table(pt_name):
DBManager.drop_table(pt_name)
pt = PointTable(pt_name)
pt.save()
trends = TrendTable.get_trend_array(trend_table_name)
for t in trends:
p = Point(pt_name, t.date, t.hits)
p.save()
return pt_name
def decide(self, time, bits):
cur_timestamp = self.cur_traded_candles[time].date
trend_timestamp = cur_timestamp - self.DELAY * self.DAY
cur_date = timestamp_to_date(cur_timestamp)
if cur_date != self.last_date:
self.last_date = cur_date
try:
past_avg = PointTable.lookup_date(self.avg_table_name,
trend_timestamp).value
print(("Number of views: ", past_avg))
except:
return Operation(Operation.NONE_OP, 0)
## ask for user input
response = raw_input("Please enter trade: ")
if response == self.BUY_CMD:
return Operation(Operation.BUY_OP, self.BUY_AMOUNT)
elif response == self.SELL_CMD:
return Operation(Operation.SELL_OP, bits)
else:
return Operation(Operation.NONE_OP, 0)
else:
return Operation(Operation.NONE_OP, 0)
def to_point_table(candle_table_name, attribute): pt_name = CandleTable.TEMP + "_" + candle_table_name ##if already exists, drop it first and then recreate if DBManager.exists_table(pt_name): DBManager.drop_table(pt_name) pt = PointTable(pt_name) pt.save() candles = CandleTable.get_candle_array(candle_table_name) for c in candles: p = Point(pt_name, c.date, getattr(c, attribute)) p.save() dbm = DBManager.get_instance() dbm.save_and_close() return pt_name
def setup(self): if self.POINT in self.table_name: self.input_points = PointTable.to_point_array(self.table_name) elif self.TREND in self.table_name: self.input_points = TrendTable.to_point_array(self.table_name) else: self.input_points = CandleTable.to_point_array(self.table_name, "close") self.output_table_name = self.table_name.replace(self.CANDLE, self.POINT)
def create_roc(self): self.output_table_name += self.SIMPLE_ROC pt_name = self.table_name ##if already exists, drop it first and then recreate if DBManager.exists_table(self.output_table_name): DBManager.drop_table(self.output_table_name) pt = PointTable(self.output_table_name) pt.save() points = self.input_points r = ROCCalculator(self.output_table_name, points) pt_array = r.simple() self.save_pts(pt_array) ## possible delete the temporary point table created from candle ##if CandleTable.TEMP in self.input_point_table_name: ## DBManager.drop_table(self.input_point_table_name) return self.output_table_name
def create_moving_avg_exp(self): self.output_table_name += self.EXP_AVG pt_name = self.table_name if DBManager.exists_table(self.output_table_name): DBManager.drop_table(self.output_table_name) pt = PointTable(self.output_table_name) pt.save() points = self.input_points mv = MovingAverage(self.output_table_name, points) pt_array = mv.exponential() self.save_pts(pt_array) ## possible delete the temporary point table created from candle ##if CandleTable.TEMP in self.input_point_table_name: ## DBManager.drop_table(self.input_point_table_name) return self.output_table_name
def calc_vol_tables(self):
if self.calc_stats:
self.strat_stat_array = []
self.ss_tn = StratStatTable.calc_name(self.table_name, self.NAME)
if DBManager.exists_table(self.ss_tn):
DBManager.drop_table(self.ss_tn)
sst = StratStatTable(self.ss_tn)
sst.save()
pt_name = CandleTable.to_point_table(self.table_name, "volume")
pt_close = CandleTable.to_point_table(self.table_name, "close")
self.points = PointTable.get_point_array(pt_name)
self.points_close = PointTable.get_point_array(pt_close)
pt_name_1 = "TEMP1"
mv1 = MovingAverage(pt_name_1, self.points)
pt_name_2 = "TEMP2"
mv2 = MovingAverage(pt_name_2, self.points)
self.vol_pts_short = mv1.simple(self.VOL_PERIOD_SHORT)
self.vol_pts_long = mv2.simple(self.VOL_PERIOD_LONG)
##pp = PointPopulator(self.table_name)
##self.stddev_pts_short = pp.create_stddev(self.STDDEV_PERIOD_SHORT)
##self.stddev_pts_long = pp.create_stddev(self.STDDEV_PERIOD_LONG)
DBManager.drop_matching_tables("TEMP")