Priorities

backtest/backtest.py

@@ -23,8 +23,9 @@ def __init__(
         """
         Initialises the backtest.
         """
+        import ipdb; ipdb.set_trace()
         self.pairs = pairs
-        self.events = queue.Queue()
+        self.events = queue.PriorityQueue()
         self.csv_dir = settings.CSV_DATA_DIR
         self.ticker = data_handler(self.pairs, self.events, self.csv_dir)
         self.strategy_params = strategy_params
@@ -57,13 +58,13 @@ def _run_backtest(self):
                 self.ticker.stream_next_tick()
             else:
                 if event is not None:
-                    if event.type == 'TICK':
-                        self.strategy.calculate_signals(event)
-                        self.portfolio.update_portfolio(event)
-                    elif event.type == 'SIGNAL':
-                        self.portfolio.execute_signal(event)
-                    elif event.type == 'ORDER':
-                        self.execution.execute_order(event)
+                    if event[1].type == 'TICK':
+                        self.strategy.calculate_signals(event[1])
+                        self.portfolio.update_portfolio(event[1])
+                    elif event[1].type == 'SIGNAL':
+                        self.portfolio.execute_signal(event[1])
+                    elif event[1].type == 'ORDER':
+                        self.execution.execute_order(event[1])
             time.sleep(self.heartbeat)
             iters += 1
 

data/price.py

@@ -138,7 +138,7 @@ def _open_convert_csv_files_for_day(self, date_str):
         for p in self.pairs:
             pair_path = os.path.join(self.csv_dir, '%s_%s.csv' % (p, date_str))
             self.pair_frames[p] = pd.io.parsers.read_csv(
-                pair_path, header=True, index_col=0, 
+                pair_path, header=0, index_col=0, 
                 parse_dates=True, dayfirst=True,
                 names=("Time", "Ask", "Bid", "AskVolume", "BidVolume")
             )
@@ -199,4 +199,4 @@ def stream_next_tick(self):
 
         # Create the tick event for the queue
         tev = TickEvent(pair, index, bid, ask)
-        self.events_queue.put(tev)
+        self.events_queue.put((30, tev))

data/streaming.py

@@ -89,4 +89,4 @@ def stream_to_queue(self):
                     self.prices[inv_pair]["ask"] = inv_ask
                     self.prices[inv_pair]["time"] = time
                     tev = TickEvent(instrument, time, bid, ask)
-                    self.events_queue.put(tev)
+                    self.events_queue.put((50, tev))

event/event.py

@@ -1,9 +1,16 @@
+from datetime import datetime
+
+
 class Event(object):
-    pass
+    def __lt__(self, other):
+        return self.time < other.time
 
 
 class TickEvent(Event):
     def __init__(self, instrument, time, bid, ask):
+        '''
+        This will have priority value of 30
+        '''
         self.type = 'TICK'
         self.instrument = instrument
         self.time = time
@@ -21,6 +28,10 @@ def __repr__(self):
 
 
 class SignalEvent(Event):
+    '''
+    This will have priority value of 20 for buy event
+    This will have priority value of 20 for sell event
+    '''
     def __init__(self, instrument, order_type, side, time):
         self.type = 'SIGNAL'
         self.instrument = instrument
@@ -39,12 +50,16 @@ def __repr__(self):
 
 
 class OrderEvent(Event):
+    '''
+    This will have priority value of 10
+    '''
     def __init__(self, instrument, units, order_type, side):
         self.type = 'ORDER'
         self.instrument = instrument
         self.units = units
         self.order_type = order_type
         self.side = side
+        self.time = datetime.now()
 
     def __str__(self):
         return "Type: %s, Instrument: %s, Units: %s, Order Type: %s, Side: %s" % (
@@ -53,4 +68,4 @@ def __str__(self):
         )
 
     def __repr__(self):
-        return str(self)
+        return str(self)

examples/mac.py

@@ -26,4 +26,4 @@
         Portfolio, SimulatedExecution, 
         equity=settings.EQUITY
     )
-    backtest.simulate_trading()
+    backtest.simulate_trading()

logging.conf

@@ -2,27 +2,33 @@
 keys=root,qsforex.trading.trading
 
 [handlers]
-keys=consoleHandler
+keys=consoleHandler, fileHandler
 
 [formatters]
 keys=simpleFormatter
 
 [logger_root]
 level=DEBUG
-handlers=consoleHandler
+handlers=consoleHandler,fileHandler
 
 [logger_qsforex.trading.trading]
 level=DEBUG
-handlers=consoleHandler
+handlers=consoleHandler,fileHandler
 qualname=qsforex.trading.trading
 propagate=0
 
 [handler_consoleHandler]
 class=StreamHandler
-level=DEBUG
+level=INFO
 formatter=simpleFormatter
 args=(sys.stdout,)
 
+[handler_fileHandler]
+class=FileHandler
+level=DEBUG
+formatter=simpleFormatter
+args=("output.log",)
+
 [formatter_simpleFormatter]
 format=%(asctime)s - %(name)s - %(levelname)s - %(message)s
 datefmt=

portfolio/portfolio.py

@@ -185,9 +185,8 @@ def execute_signal(self, signal_event):
                     add_position_units(currency_pair, units)
 
             order = OrderEvent(currency_pair, units, "market", side)
-            self.events.put(order)
+            self.events.put((10, order))
 
             self.logger.info("Portfolio Balance: %s" % self.balance)
         else:
             self.logger.info("Unable to execute order as price data was insufficient.")
-

strategy/strategy.py

@@ -24,11 +24,11 @@ def calculate_signals(self, event):
             if self.ticks % 5 == 0:
                 if self.invested == False:
                     signal = SignalEvent(self.pairs[0], "market", "buy", event.time)
-                    self.events.put(signal)
+                    self.events.put((20, signal))
                     self.invested = True
                 else:
                     signal = SignalEvent(self.pairs[0], "market", "sell", event.time)
-                    self.events.put(signal)
+                    self.events.put((20, signal))
                     self.invested = False
             self.ticks += 1
 
@@ -99,4 +99,4 @@ def calculate_signals(self, event):
                     signal = SignalEvent(pair, "market", "sell", event.time)
                     self.events.put(signal)
                     pd["invested"] = False
-            pd["ticks"] += 1
+            pd["ticks"] += 1

trading/trading.py

@@ -31,16 +31,16 @@ def trade(events, strategy, portfolio, execution, heartbeat):
             pass
         else:
             if event is not None:
-                if event.type == 'TICK':
-                    logger.info("Received new tick event: %s", event)
-                    strategy.calculate_signals(event)
-                    portfolio.update_portfolio(event)
-                elif event.type == 'SIGNAL':
-                    logger.info("Received new signal event: %s", event)
-                    portfolio.execute_signal(event)
-                elif event.type == 'ORDER':
-                    logger.info("Received new order event: %s", event)
-                    execution.execute_order(event)
+                if event[1].type == 'TICK':
+                    logger.info("Received new tick event: %s", event[1])
+                    strategy.calculate_signals(event[1])
+                    portfolio.update_portfolio(event[1])
+                elif event[1].type == 'SIGNAL':
+                    logger.info("Received new signal event: %s", event[1])
+                    portfolio.execute_signal(event[1])
+                elif event[1].type == 'ORDER':
+                    logger.info("Received new order event: %s", event[1])
+                    execution.execute_order(event[1])
         time.sleep(heartbeat)
 
 
@@ -53,7 +53,7 @@ def trade(events, strategy, portfolio, execution, heartbeat):
     getcontext().prec = 2
 
     heartbeat = 0.0  # Time in seconds between polling
-    events = queue.Queue()
+    events = queue.PriorityQueue()
     equity = settings.EQUITY
 
     # Pairs to include in streaming data set