def testCliDonchianAlgorithm2014(self):
api = PytradeApi(dbfilepah=self.db)
api.reinitializeUser(username=self.username, cash=self.initialCash)
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(feed, broker, 9, 26, 0.05)
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
days = feed.getAllDays()
for i in range(len(days)):
day = days[i]
cli = PytradeCli(dbfilepah=self.db, date=day, maxlen=self.maxLen, codes=self.codes, tradingAlgorithmGenerator=tradingAlgorithmGenerator)
orders = cli.executeAnalysis()
if i == (len(days) - 1):
continue
nextDay = days[i+1]
for order in orders:
open = cli.getLastValuesForInstrument(order.getInstrument(), nextDay)[1]
if not cli.confirmOrder(orderId=order.getId(), quantity=order.getQuantity(), price=open, commission=10,
date=nextDay):
cli.cancelOrder(order.getId())
cli.save()
maxlen=(datetime.datetime.now() - datetime.datetime(2014, 12, 1)).days
cli = PytradeCli(dbfilepah=self.db, maxlen=maxlen)
self.assertEqual(cli.getAccountInfo()[1], 36922.16)
def testCliDonchianAlgorithmWithSpecificDates(self):
api = PytradeApi(dbfilepah=self.db)
api.reinitializeUser(username=self.username, cash=self.initialCash)
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(feed, broker, 9, 26, 0.05)
utc = pytz.utc
specificdays = [
utc.localize(datetime.datetime(2014, 2, 7)),
utc.localize(datetime.datetime(2014, 2, 11)),
utc.localize(datetime.datetime(2014, 9, 18)),
utc.localize(datetime.datetime(2014, 10, 23)),
utc.localize(datetime.datetime(2014, 10, 28)),
utc.localize(datetime.datetime(2014, 12, 29))]
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
alldays = feed.getAllDays()
for day in specificdays:
cli = PytradeCli(dbfilepah=self.db, date=day, maxlen=self.maxLen, codes=self.codes,
tradingAlgorithmGenerator=tradingAlgorithmGenerator)
orders = cli.executeAnalysis()
nextDay = alldays[alldays.index(day) + 1]
for order in orders:
open = cli.getLastValuesForInstrument(order.getInstrument(), nextDay)[1]
if not cli.confirmOrder(orderId=order.getId(), quantity=order.getQuantity(), price=open, commission=10,
date=nextDay):
cli.cancelOrder(order.getId())
cli.save()
maxlen = (datetime.datetime.now() - datetime.datetime(2014, 12, 1)).days
cli = PytradeCli(dbfilepah=self.db, maxlen=maxlen)
self.assertEqual(cli.getAccountInfo()[1], 36922.16)
def testApiDonchianAlgorithm2014WithSQLiteDataProvider(self):
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
days = feed.getAllDays()
api = PytradeApi(dbfilepah=self.db)
api.reinitializeUser(username=self.username, cash=self.initialCash)
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(feed, broker, self.donchianEntry, self.donchianExit, self.riskFactor)
for i in range(len(days)):
day = days[i]
api = PytradeApi(dbfilepah=self.db, username=self.username, tradingAlgorithmGenerator=tradingAlgorithmGenerator, codes=None, date=day, maxlen=self.maxLen, debugmode=False)
api.executeAnalysis()
api.persistData()
if i == (len(days) - 1):
continue
day = days[i + 1]
api = PytradeApi(dbfilepah=self.db, username=self.username, tradingAlgorithmGenerator=tradingAlgorithmGenerator, codes=None, date=day, maxlen=self.maxLen, debugmode=False)
for order in api.getActiveMarketOrders() + api.getStopOrdersToConfirm():
bar = api.getCurrentBarForInstrument(order.getInstrument())
if bar is None:
continue
if not api.confirmOrder(order, bar.getDateTime(), order.getQuantity(), bar.getOpen(), 10):
api.cancelOrder(order)
api.persistData()
self.assertEqual(api.getEquity(), 36922.16)
def testLiveBrokerDonchianAlgorithm2014WithMemoryDataProvider(self):
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
days = feed.getAllDays()
dataProvider = MemoryDataProvider()
dataProvider.persistCash(cash=self.initialCash)
for day in days:
fromDate = day - timedelta(days=self.maxLen)
toDate = day + timedelta(days=5)
feed = DynamicFeed(self.db,
self.codes,
fromDateTime=fromDate,
toDateTime=toDate,
maxLen=self.maxLen)
feed.positionFeed(day)
broker = PytradeBroker(feed,
cash=dataProvider.loadCash(),
orders=dataProvider.loadOrders(),
shares=dataProvider.loadShares())
self.runDonchianAlgorithm(broker, feed, self.donchianEntry,
self.donchianExit, self.riskFactor)
dataProvider.persistCash(cash=broker.getAvailableCash())
dataProvider.persistShares(shares=broker.getAllShares())
dataProvider.persistOrders(orders=broker.getAllActiveOrders())
self.assertEqual(broker.getEquity(), 36922.16)
def testLiveBrokerDonchianAlgorithm2014WithoutDataProvider(self):
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
days = feed.getAllDays()
cash = self.initialCash
shares = {}
orders = {}
for day in days:
fromDate = day - timedelta(days=self.maxLen)
toDate = day + timedelta(days=5)
feed = DynamicFeed(self.db,
self.codes,
fromDateTime=fromDate,
toDateTime=toDate,
maxLen=self.maxLen)
feed.positionFeed(day)
broker = PytradeBroker(feed,
cash=cash,
orders=orders,
shares=shares)
self.runDonchianAlgorithm(broker, feed, self.donchianEntry,
self.donchianExit, self.riskFactor)
cash = broker.getAvailableCash()
shares = broker.getAllShares()
orders = broker.getAllActiveOrders()
self.assertEqual(broker.getEquity(), 36922.16)
def setUpClass(cls):
feed = DynamicFeed(cls.db, cls.codes)
days = feed.getAllDays()
if len(days) == 247:
return
rowFilter = lambda row: row["Close"] == "-" or row["Open"] == "-" or row["High"] == "-" or row["Low"] == "-" or \
row["Volume"] == "-"
googleFeed = googlefinance.build_feed(cls.codes, 2014, 2014, storage=cls.csvStorage, skipErrors=True,
rowFilter=rowFilter)
feed = DynamicFeed(cls.db, cls.codes, maxLen=10)
feed.getDatabase().addBarsFromFeed(googleFeed)
def testApiDonchianAlgorithmWithSpecificDatesAndSQLiteDataProvider(self):
utc = pytz.utc
specificdays = [
utc.localize(datetime.datetime(2014, 2, 7)),
utc.localize(datetime.datetime(2014, 2, 11)),
utc.localize(datetime.datetime(2014, 9, 18)),
utc.localize(datetime.datetime(2014, 10, 23)),
utc.localize(datetime.datetime(2014, 10, 28)),
utc.localize(datetime.datetime(2014, 12, 29))]
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
alldays = feed.getAllDays()
api = PytradeApi(dbfilepah=self.db)
api.reinitializeUser(username=self.username, cash=self.initialCash)
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(feed, broker, self.donchianEntry,
self.donchianExit, self.riskFactor)
for day in specificdays:
api = PytradeApi(dbfilepah=self.db, username=self.username, tradingAlgorithmGenerator=tradingAlgorithmGenerator, codes=None, date=day,
maxlen=self.maxLen, debugmode=False)
api.executeAnalysis()
api.persistData()
index = alldays.index(day)
day = alldays[index+1]
api = PytradeApi(dbfilepah=self.db, username=self.username, tradingAlgorithmGenerator=tradingAlgorithmGenerator, codes=None, date=day,
maxlen=self.maxLen, debugmode=False)
for order in api.getActiveMarketOrders() + api.getStopOrdersToConfirm():
bar = api.getCurrentBarForInstrument(order.getInstrument())
if bar is None:
continue
if not api.confirmOrder(order, bar.getDateTime(), order.getQuantity(), bar.getOpen(), 10):
api.cancelOrder(order)
api.persistData()
self.assertEqual(api.getEquity(), 36922.16)
############################################################################################################################
# rowFilter = lambda row: row["Close"] == "-" or row["Open"] == "-" or row["High"] == "-" or row["Low"] == "-" or \
# row["Volume"] == "-"
# instruments = ["PETR4", "PETR3"]
# googleFeed = googlefinance.build_feed(codes, 2014, 2014, storage="./googlefinance", skipErrors=True,
# rowFilter=rowFilter)
db = "./sqliteddb"
# feed = DynamicFeed(db, codes, maxLen=10)
# feed.getDatabase().addBarsFromFeed(googleFeed)
################################################################################################
feed = DynamicFeed(db, codes, maxLen=60)
#$36922.16
days = feed.getAllDays()
cash = 10000
shares = {}
activeOrders = {}
nextOrderId = 1
for day in days:
feed = DynamicFeed(db, codes, maxLen=60)
feed.positionFeed(day)
broker = PytradeBroker(cash, feed, backtesting.FixedPerTrade(10), shares, activeOrders, nextOrderId)
strategy = TradingSystem(feed, broker, debugMode=True)
strategy.setAlgorithm(DonchianTradingAlgorithm(feed, broker, 9, 26, 0.05))
feed.dispatch()
cash = broker.getAvailableCash()
backtest.generateHtmlReport('/tmp/stock_analysis.html')
############################################################################################################################
# rowFilter = lambda row: row["Close"] == "-" or row["Open"] == "-" or row["High"] == "-" or row["Low"] == "-" or \
# row["Volume"] == "-"
# instruments = ["PETR4", "PETR3"]
# googleFeed = googlefinance.build_feed(codes, 2014, 2014, storage="./googlefinance", skipErrors=True,
# rowFilter=rowFilter)
db = "./sqliteddb"
# feed = DynamicFeed (db, codes, maxLen=10)
# feed.getDatabase().addBarsFromFeed(googleFeed)
################################################################################################
maxLen=int(26*1.4)
feed = DynamicFeed(db, codes, maxLen=maxLen)
days = feed.getAllDays()
username="******"
api = pytradeapi.PytradeApi(dbfilepah=db)
api.reinitializeUser(username=username, cash=10000)
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(feed, broker, 9, 26, 0.05)
# utc = pytz.utc
# days = [
# utc.localize(datetime.datetime(2014, 2, 7)),
# utc.localize(datetime.datetime(2014, 2, 11))]
for i in range(len(days)):
day = days[i]
api = pytradeapi.PytradeApi(dbfilepah=db, username=username, tradingAlgorithmGenerator=tradingAlgorithmGenerator, codes=None, date=day, maxlen=maxLen, debugmode=False)
