def testStateInit(self):
now = str(
datetime.datetime.now().strftime("%Y-%m-%dT%H:%M:%S.000000000Z"))
candle = Candle(now, 15, 20, 10, 20, 10)
state = State(candle, 5, 100)
self.assertEqual(state.position, candle.close)
def setUp(self):
now = str(
datetime.datetime.now().strftime("%Y-%m-%dT%H:%M:%S.000000000Z"))
candle = Candle(now, 200, 200, 100, 150, 100)
self.state = State(candle, 5, 100)
self.distance = 1
self.tp = 2
self.sl = 2
self.trl = 2
self.min_seq = 3
self.use_mac = True
logger = Logger(0, "TST_SYM", 30)
self.intelligence = Intelligence(0, 0, logger, self.distance, self.tp,
self.sl, self.trl, self.min_seq,
self.use_mac)
def __init__(self,
id,
output,
logger,
init_candles,
atr_len,
ma_len,
continuation=1,
reversal=2):
self.id = id
self.output = [int(x) for x in output.split(",")]
self.logger = logger
self.logger.log_info(self.name, "Starting...")
# increment atr_len by 1 so first
# can be used to calculate the TR
self.atr_len = atr_len + 1
self.ma_len = ma_len
self.continuation = continuation
self.reversal = reversal
# check number of candles is enough to build
if len(init_candles) < max(self.atr_len, self.ma_len):
error_message = "%d is not enough to build model" % len(
init_candles)
logger.log_fail(self.name, error_message)
raise Exception(error_message)
# the number of candles needed to create ATR and MA
self.retention = max(self.atr_len, self.ma_len)
self.candles = init_candles[0:self.retention]
atr = utils.get_candles_atr(init_candles[-self.atr_len:])
ma = utils.get_candles_ema(init_candles[-self.ma_len:])
self.state = State(init_candles[self.retention - 1], atr, ma,
self.continuation, self.reversal)
for candle in init_candles[self.retention:]:
self.input(candle)
startup_str = "Started successfully with: parameters: atr_len=%d, ma_len=%d continuation=%d, reversal=%d" \
%(atr_len, ma_len, continuation, reversal)
self.logger.log_info(self.name, startup_str)
class IntelligenceTestCase(unittest.TestCase):
def setUp(self):
now = str(
datetime.datetime.now().strftime("%Y-%m-%dT%H:%M:%S.000000000Z"))
candle = Candle(now, 200, 200, 100, 150, 100)
self.state = State(candle, 5, 100)
self.distance = 1
self.tp = 2
self.sl = 2
self.trl = 2
self.min_seq = 3
self.use_mac = True
logger = Logger(0, "TST_SYM", 30)
self.intelligence = Intelligence(0, 0, logger, self.distance, self.tp,
self.sl, self.trl, self.min_seq,
self.use_mac)
def testBuyOrders(self):
# no order for sequence of 1
order = self.intelligence.input(self.state)
self.assertIsNone(order)
# order for sequence of 3 and above ma
self.state.sequence = 3
self.state.ma = self.state.position - 1
order = self.intelligence.input(self.state)
self.assertIsNotNone(order)
self.assertEqual(order.direction, 1)
self.assertEqual(order.open, self.state.level(self.distance))
self.assertEqual(order.tp, self.state.level(self.distance + self.tp))
self.assertEqual(order.sl, self.state.level(self.distance - self.sl))
self.assertEqual(order.trl, order.open - order.sl)
# no order for sequence of 3 and below ma
self.state.ma = self.state.position + 1
order = self.intelligence.input(self.state)
self.assertIsNone(order)
# no take profit
self.intelligence.tp = 0
self.state.ma = self.state.position - 1
order = self.intelligence.input(self.state)
self.assertIsNotNone(order)
def testSellOrders(self):
# order for sequence of -3 and below ma
self.state.sequence = -3
self.state.ma = self.state.position + 1
order = self.intelligence.input(self.state)
self.assertIsNotNone(order)
self.assertEqual(order.direction, -1)
self.assertEqual(order.tp, self.state.level(-self.distance - self.tp))
self.assertEqual(order.sl, self.state.level(-self.distance + self.sl))
self.assertEqual(order.trl, order.sl - order.open)
# No order for sequence of -3 and above ma
self.state.ma = self.state.position - 1
order = self.intelligence.input(self.state)
self.assertIsNone(order)
def testStateDownSequenceUpdateContinuation(self):
now = str(
datetime.datetime.now().strftime("%Y-%m-%dT%H:%M:%S.000000000Z"))
candle = Candle(now, 200, 200, 100, 150, 100)
state = State(candle, 5, 100)
candle.close -= 5
state.update(candle, 5, 100)
self.assertEqual(state.sequence, -2)
candle.close = state.position - 11
state.update(candle, 5, 100)
self.assertEqual(state.sequence, -4)
candle.close = state.position - 4
state.update(candle, 5, 100)
self.assertEqual(state.sequence, -4)
candle.close = state.position - 9
state.update(candle, 5, 100)
self.assertEqual(state.sequence, -5)
candle.close = state.position - 17
state.update(candle, 5, 100)
self.assertEqual(state.sequence, -8)
def testStateUpSequenceUpdateReversal(self):
now = str(
datetime.datetime.now().strftime("%Y-%m-%dT%H:%M:%S.000000000Z"))
candle = Candle(now, 150, 200, 100, 200, 100)
state = State(candle, 5, 100)
candle.close -= 5
state.update(candle, 5, 100)
self.assertEqual(state.sequence, 1)
candle.close = state.position - 9
state.update(candle, 5, 100)
self.assertEqual(state.sequence, 1)
candle.close = state.position - 11
state.update(candle, 5, 100)
self.assertEqual(state.sequence, -1)
candle = Candle(now, 150, 200, 100, 200, 100)
state = State(candle, 5, 100)
candle.close = state.position - 100
state.update(candle, 5, 100)
self.assertEqual(state.sequence, -19)
def testStateUpSequenceUpdateContinuation(self):
now = str(
datetime.datetime.now().strftime("%Y-%m-%dT%H:%M:%S.000000000Z"))
candle = Candle(now, 150, 200, 100, 200, 100)
state = State(candle, 5, 100)
candle.close += 5
state.update(candle, 5, 100)
self.assertEqual(state.sequence, 2)
candle.close = state.position + 11
state.update(candle, 5, 100)
self.assertEqual(state.sequence, 4)
candle.close = state.position + 4
state.update(candle, 5, 100)
self.assertEqual(state.sequence, 4)
candle.close = state.position + 9
state.update(candle, 5, 100)
self.assertEqual(state.sequence, 5)
candle.close = state.position + 17
state.update(candle, 5, 100)
self.assertEqual(state.sequence, 8)
candle = Candle(now, 150, 200, 100, 200, 100)
state = State(candle, 5, 100)
candle.close = state.position + 100
state.update(candle, 5, 100)
self.assertEqual(state.sequence, 21)