def testResampleMtGoxMinute(self):
# Resample.
feed = mtgoxfeed.CSVTradeFeed()
feed.addBarsFromCSV(
common.get_data_file_path("trades-mgtox-usd-2013-01-01.csv"))
resampledBarDS = resampled.ResampledBarDataSeries(
feed["BTC"], barfeed.Frequency.MINUTE)
resample.resample_to_csv(feed, barfeed.Frequency.MINUTE,
"minute-mgtox-usd-2013-01-01.csv")
resampledBarDS.pushLast(
) # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(barfeed.Frequency.MINUTE)
feed.addBarsFromCSV("BTC", "minute-mgtox-usd-2013-01-01.csv")
feed.loadAll()
self.assertEqual(len(feed["BTC"]), 537)
self.assertEqual(feed["BTC"][0].getDateTime(),
datetime.datetime(2013, 01, 01, 00, 04, 59))
self.assertEqual(feed["BTC"][-1].getDateTime(),
datetime.datetime(2013, 01, 01, 23, 58, 59))
self.assertEqual(len(resampledBarDS), len(feed["BTC"]))
self.assertEqual(resampledBarDS[0].getDateTime(),
dt.as_utc(feed["BTC"][0].getDateTime()))
self.assertEqual(resampledBarDS[-1].getDateTime(),
dt.as_utc(feed["BTC"][-1].getDateTime()))
def testResampleNinjaTraderDay(self):
with common.TmpDir() as tmp_path:
# Resample.
feed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
feed.addBarsFromCSV(
"spy", common.get_data_file_path("nt-spy-minute-2011.csv"))
resampledBarDS = resampled_ds.ResampledBarDataSeries(
feed["spy"], bar.Frequency.DAY)
resampledFile = os.path.join(tmp_path,
"day-nt-spy-minute-2011.csv")
resample.resample_to_csv(feed, bar.Frequency.DAY, resampledFile)
resampledBarDS.pushLast(
) # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(bar.Frequency.DAY)
feed.addBarsFromCSV("spy", resampledFile,
marketsession.USEquities.getTimezone())
feed.loadAll()
self.assertEqual(len(feed["spy"]), 25)
self.assertEqual(
feed["spy"][0].getDateTime(),
dt.localize(datetime.datetime(2011, 1, 3),
marketsession.USEquities.getTimezone()))
self.assertEqual(
feed["spy"][-1].getDateTime(),
dt.localize(datetime.datetime(2011, 2, 1),
marketsession.USEquities.getTimezone()))
self.assertEqual(len(resampledBarDS), len(feed["spy"]))
self.assertEqual(resampledBarDS[0].getDateTime(),
dt.as_utc(datetime.datetime(2011, 1, 3)))
self.assertEqual(resampledBarDS[-1].getDateTime(),
dt.as_utc(datetime.datetime(2011, 2, 1)))
def testResample(self):
barDs = bards.BarDataSeries()
resampledBarDS = resampled.ResampledBarDataSeries(
barDs, barfeed.Frequency.MINUTE)
barDs.append(
bar.BasicBar(datetime.datetime(2011, 1, 1, 1, 1, 1), 2.1, 3, 1, 2,
10, 1))
barDs.append(
bar.BasicBar(datetime.datetime(2011, 1, 1, 1, 1, 2), 2, 3, 1, 2.3,
10, 2))
barDs.append(
bar.BasicBar(datetime.datetime(2011, 1, 1, 1, 2, 1), 2, 3, 1, 2,
10, 2))
self.assertEqual(len(resampledBarDS), 1)
self.assertEqual(resampledBarDS[0].getDateTime(),
datetime.datetime(2011, 1, 1, 1, 1, 59))
self.assertEqual(resampledBarDS[0].getOpen(), 2.1)
self.assertEqual(resampledBarDS[0].getHigh(), 3)
self.assertEqual(resampledBarDS[0].getLow(), 1)
self.assertEqual(resampledBarDS[0].getClose(), 2.3)
self.assertEqual(resampledBarDS[0].getVolume(), 20)
self.assertEqual(resampledBarDS[0].getAdjClose(), 2)
resampledBarDS.pushLast()
self.assertEqual(len(resampledBarDS), 2)
self.assertEqual(resampledBarDS[1].getDateTime(),
datetime.datetime(2011, 1, 1, 1, 2, 59))
self.assertEqual(resampledBarDS[1].getOpen(), 2)
self.assertEqual(resampledBarDS[1].getHigh(), 3)
self.assertEqual(resampledBarDS[1].getLow(), 1)
self.assertEqual(resampledBarDS[1].getClose(), 2)
self.assertEqual(resampledBarDS[1].getVolume(), 10)
self.assertEqual(resampledBarDS[1].getAdjClose(), 2)
def testResampleMtGoxHour(self):
# Resample.
feed = mtgoxfeed.CSVTradeFeed()
feed.addBarsFromCSV(
common.get_data_file_path("trades-mgtox-usd-2013-01-01.csv"))
resampledBarDS = resampled.ResampledBarDataSeries(
feed["BTC"], barfeed.Frequency.HOUR)
resampledFile = os.path.join(common.get_temp_path(),
"hour-mgtox-usd-2013-01-01.csv")
resample.resample_to_csv(feed, barfeed.Frequency.HOUR, resampledFile)
resampledBarDS.pushLast(
) # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(barfeed.Frequency.HOUR)
feed.addBarsFromCSV("BTC", resampledFile)
feed.loadAll()
self.assertEqual(len(feed["BTC"]), 24)
self.assertEqual(feed["BTC"][0].getDateTime(),
datetime.datetime(2013, 01, 01, 00, 59, 59))
self.assertEqual(feed["BTC"][-1].getDateTime(),
datetime.datetime(2013, 01, 01, 23, 59, 59))
self.assertEqual(len(resampledBarDS), len(feed["BTC"]))
self.assertEqual(resampledBarDS[0].getDateTime(),
dt.as_utc(feed["BTC"][0].getDateTime()))
self.assertEqual(resampledBarDS[-1].getDateTime(),
dt.as_utc(feed["BTC"][-1].getDateTime()))
def testResampleNinjaTraderHour(self):
with common.TmpDir() as tmp_path:
# Resample.
feed = ninjatraderfeed.Feed(ninjatraderfeed.Frequency.MINUTE)
feed.addBarsFromCSV("spy", common.get_data_file_path("nt-spy-minute-2011.csv"))
resampledBarDS = resampled_ds.ResampledBarDataSeries(feed["spy"], bar.Frequency.HOUR)
resampledFile = os.path.join(tmp_path, "hour-nt-spy-minute-2011.csv")
resample.resample_to_csv(feed, bar.Frequency.HOUR, resampledFile)
resampledBarDS.pushLast() # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(bar.Frequency.HOUR, marketsession.USEquities.getTimezone())
feed.addBarsFromCSV("spy", resampledFile)
feed.loadAll()
self.assertEqual(len(feed["spy"]), 340)
self.assertEqual(feed["spy"][0].getDateTime(), dt.localize(datetime.datetime(2011, 1, 3, 9), marketsession.USEquities.getTimezone()))
self.assertEqual(feed["spy"][-1].getDateTime(), dt.localize(datetime.datetime(2011, 2, 1, 1), marketsession.USEquities.getTimezone()))
self.assertEqual(feed["spy"][0].getOpen(), 126.35)
self.assertEqual(feed["spy"][0].getHigh(), 126.45)
self.assertEqual(feed["spy"][0].getLow(), 126.3)
self.assertEqual(feed["spy"][0].getClose(), 126.4)
self.assertEqual(feed["spy"][0].getVolume(), 3397.0)
self.assertEqual(feed["spy"][0].getAdjClose(), None)
self.assertEqual(len(resampledBarDS), len(feed["spy"]))
self.assertEqual(resampledBarDS[0].getDateTime(), dt.as_utc(datetime.datetime(2011, 1, 3, 9)))
self.assertEqual(resampledBarDS[-1].getDateTime(), dt.as_utc(datetime.datetime(2011, 2, 1, 1)))
def testCheckNow(self):
barDs = bards.BarDataSeries()
resampledBarDS = resampled_ds.ResampledBarDataSeries(barDs, bar.Frequency.MINUTE)
barDateTime = datetime.datetime(2014, 7, 7, 22, 46, 28, 10000)
barDs.append(bar.BasicBar(barDateTime, 2.1, 3, 1, 2, 10, 1, bar.Frequency.MINUTE))
self.assertEqual(len(resampledBarDS), 0)
resampledBarDS.checkNow(barDateTime + datetime.timedelta(minutes=1))
self.assertEqual(len(resampledBarDS), 1)
self.assertEqual(barDs[0].getOpen(), resampledBarDS[0].getOpen())
self.assertEqual(barDs[0].getHigh(), resampledBarDS[0].getHigh())
self.assertEqual(barDs[0].getLow(), resampledBarDS[0].getLow())
self.assertEqual(barDs[0].getClose(), resampledBarDS[0].getClose())
self.assertEqual(barDs[0].getVolume(), resampledBarDS[0].getVolume())
self.assertEqual(barDs[0].getAdjClose(), resampledBarDS[0].getAdjClose())
self.assertEqual(resampledBarDS[0].getDateTime(), datetime.datetime(2014, 7, 7, 22, 46))
def resample_impl(barFeed, frequency, csvFile):
instruments = barFeed.getRegisteredInstruments()
if len(instruments) != 1:
raise Exception("Only barfeeds with 1 instrument can be resampled")
csvWriter = CSVFileWriter(csvFile)
def on_bar(ds, dateTime, value):
csvWriter.writeBar(value)
insrumentDS = barFeed[instruments[0]]
resampledDS = resampled.ResampledBarDataSeries(insrumentDS, frequency)
resampledDS.getNewValueEvent().subscribe(on_bar)
# Process all bars.
disp = dispatcher.Dispatcher()
disp.addSubject(barFeed)
disp.run()
resampledDS.pushLast()
def testResampleMtGoxDay(self):
# Resample.
feed = mtgoxfeed.CSVTradeFeed()
feed.addBarsFromCSV(
common.get_data_file_path("trades-mgtox-usd-2013-01-01.csv"))
resampledBarDS = resampled.ResampledBarDataSeries(
feed["BTC"], barfeed.Frequency.DAY)
resampledFile = os.path.join(common.get_temp_path(),
"day-mgtox-usd-2013-01-01.csv")
resample.resample_to_csv(feed, barfeed.Frequency.DAY, resampledFile)
resampledBarDS.pushLast(
) # Need to manually push the last stot since time didn't change.
# Load the resampled file.
feed = csvfeed.GenericBarFeed(barfeed.Frequency.DAY)
feed.addBarsFromCSV("BTC", resampledFile)
feed.loadAll()
self.assertEqual(len(feed["BTC"]), 1)
self.assertEqual(feed["BTC"][0].getDateTime(),
datetime.datetime(2013, 01, 01, 23, 59, 59))
self.assertEqual(feed["BTC"][0].getOpen(), 13.51001)
self.assertEqual(feed["BTC"][0].getHigh(), 13.56)
self.assertEqual(feed["BTC"][0].getLow(), 13.16123)
self.assertEqual(feed["BTC"][0].getClose(), 13.30413)
self.assertEqual(feed["BTC"][0].getVolume(), 28168.9114596)
self.assertEqual(feed["BTC"][0].getAdjClose(), 13.30413)
self.assertEqual(len(resampledBarDS), len(feed["BTC"]))
self.assertEqual(resampledBarDS[0].getDateTime(),
dt.as_utc(feed["BTC"][0].getDateTime()))
self.assertEqual(resampledBarDS[-1].getDateTime(),
dt.as_utc(feed["BTC"][-1].getDateTime()))
self.assertEqual(resampledBarDS[0].getOpen(), feed["BTC"][0].getOpen())
self.assertEqual(resampledBarDS[0].getHigh(), feed["BTC"][0].getHigh())
self.assertEqual(resampledBarDS[0].getLow(), feed["BTC"][0].getLow())
self.assertEqual(resampledBarDS[0].getClose(),
feed["BTC"][0].getClose())
self.assertEqual(round(resampledBarDS[0].getVolume(), 5),
round(feed["BTC"][0].getVolume(), 5))
self.assertEqual(resampledBarDS[0].getAdjClose(),
feed["BTC"][0].getAdjClose())
