Packaging

.travis.yml

@@ -0,0 +1,46 @@
+sudo: false
+
+language: python
+
+env:
+  - PYTHON=2.7 PANDAS=0.17.1
+  - PYTHON=3.4 PANDAS=0.17.1
+  - PYTHON=3.5 PANDAS=0.17.1
+
+#matrix:
+#    allow_failures:
+#        - env: PYTHON=2.7 PANDAS=0.13.0
+#        - env: PYTHON=2.7 PANDAS=0.12.0
+#        - env: PYTHON=2.7 PANDAS=0.11.0
+
+install:
+  - pip install -qq flake8
+  # You may want to periodically update this, although the conda update
+  # conda line below will keep everything up-to-date.  We do this
+  # conditionally because it saves us some downloading if the version is
+  # the same.
+  - if [[ "$PYTHON" == "2.7" ]]; then
+      wget http://repo.continuum.io/miniconda/Miniconda-latest-Linux-x86_64.sh -O miniconda.sh;
+    else
+      wget http://repo.continuum.io/miniconda/Miniconda3-latest-Linux-x86_64.sh -O miniconda.sh;
+    fi
+  - bash miniconda.sh -b -p $HOME/miniconda
+  - export PATH="$HOME/miniconda/bin:$PATH"
+  - hash -r
+  - conda config --set always_yes yes --set changeps1 no
+  - conda config --add channels pandas
+  - conda update -q conda
+  # Useful for debugging any issues with conda
+  - conda info -a
+  - conda create -q -n test-environment python=$PYTHON pandas=$PANDAS nose coverage setuptools
+  - source activate test-environment
+  - pip install coveralls --quiet
+  - conda list
+  - python setup.py install
+
+script:
+    - flake8 --ignore E501 qstrader
+    - nosetests -v --with-coverage --cover-package=qstrader
+
+after_success:
+  - coveralls

examples/test_mac_backtest.py → examples/mac_backtest.py

@@ -10,18 +10,15 @@
 from qstrader.compliance.compliance import TestCompliance
 from qstrader import settings
 from qstrader.strategy.moving_average_cross_strategy import MovingAverageCrossStrategy
-try:
-        import Queue as queue
-except ImportError:
-        import queue
+from qstrader.compat.compat import queue
 
 
-if __name__ == "__main__":
+def main(config, testing=False):
     tickers = ["SP500TR"]
 
     # Set up variables needed for backtest
     events_queue = queue.Queue()
-    csv_dir = settings.CSV_DATA_DIR
+    csv_dir = config.CSV_DATA_DIR
     initial_equity = Decimal("500000.00")
     heartbeat = 0.0
     max_iters = 10000000000
@@ -66,4 +63,7 @@
         statistics,
         initial_equity
     )
-    backtest.simulate_trading()
+    backtest.simulate_trading(testing=testing)
+
+if __name__ == "__main__":
+    main(settings.DEFAULT, testing=False)

examples/test_sp500tr_buy_and_hold_backtest.py → examples/sp500tr_buy_and_hold_backtest.py

@@ -10,17 +10,15 @@
 from qstrader.compliance.compliance import TestCompliance
 from qstrader import settings
 from qstrader.strategy.strategy import BuyAndHoldStrategy
-try:
-	import Queue as queue
-except ImportError:
-	import queue
+from qstrader.compat.compat import queue
 
-if __name__ == "__main__":
+
+def main(config, testing=False):
     tickers = ["SP500TR"]
 
     # Set up variables needed for backtest
     events_queue = queue.Queue()
-    csv_dir = settings.CSV_DATA_DIR
+    csv_dir = config.CSV_DATA_DIR
     initial_equity = Decimal("500000.00")
     heartbeat = 0.0
     max_iters = 10000000000
@@ -65,4 +63,7 @@
         statistics,
         initial_equity
     )
-    backtest.simulate_trading()
+    backtest.simulate_trading(testing=testing)
+
+if __name__ == "__main__":
+    main(settings.DEFAULT, testing=False)

examples/test_strategy_backtest.py → examples/strategy_backtest.py

@@ -10,17 +10,15 @@
 from qstrader.compliance.compliance import TestCompliance
 from qstrader import settings
 from qstrader.strategy.strategy import TestStrategy
-try:
-		import Queue as queue
-except ImportError:
-		import queue
+from qstrader.compat.compat import queue
 
-if __name__ == "__main__":
+
+def main(config, testing=False):
     tickers = ["GOOG"]
 
     # Set up variables needed for backtest
     events_queue = queue.Queue()
-    csv_dir = settings.CSV_DATA_DIR
+    csv_dir = config.CSV_DATA_DIR
     initial_equity = Decimal("500000.00")
     heartbeat = 0.0
     max_iters = 10000000000
@@ -45,13 +43,13 @@
         position_sizer, risk_manager
     )
 
-	# Use the TestCompliance component
-	compliance = TestCompliance();
+    # Use the TestCompliance component
+    compliance = TestCompliance();
 
-	# Use a simulated IB Execution Handler
-	execution_handler = IBSimulatedExecutionHandler(
-		events_queue, price_handler, compliance
-	)
+    # Use a simulated IB Execution Handler
+    execution_handler = IBSimulatedExecutionHandler(
+        events_queue, price_handler, compliance
+    )
     # Use the default Statistics
     statistics = SimpleStatistics(portfolio_handler)
 
@@ -64,4 +62,7 @@
         statistics,
         initial_equity
     )
-    backtest.simulate_trading()
+    backtest.simulate_trading(testing=testing)
+
+if __name__ == "__main__":
+    main(settings.DEFAULT, testing=False)

backtest/backtest.py → qstrader/backtest/backtest.py

@@ -102,7 +102,7 @@ def _run_backtest(self):
             iters += 1
 
 
-    def simulate_trading(self):
+    def simulate_trading(self, testing=False):
         """
         Simulates the backtest and outputs portfolio performance.
         """
@@ -112,4 +112,5 @@ def simulate_trading(self):
         print("Sharpe Ratio: %s" % results["sharpe"])
         print("Max Drawdown: %s" % results["max_drawdown"])
         print("Max Drawdown Pct: %s" % results["max_drawdown_pct"])
-        self.statistics.plot_results()
+        if not testing:
+            self.statistics.plot_results()

qstrader/compat/compat.py

@@ -0,0 +1,4 @@
+try:
+    import Queue as queue
+except ImportError:
+    import queue

qstrader/settings.py

@@ -0,0 +1,44 @@
+import os
+import warnings
+
+
+ENV_VAR_ROOT = 'QSTRADER'
+
+
+def get_info(key, default_value=None):
+    """Returns a value (url, login, password)
+    using either default_value or using environment variable"""
+    ENV_VAR_KEY = ENV_VAR_ROOT + "_" + key.upper()
+    if default_value == '' or default_value is None:
+        try:
+            return(os.environ[ENV_VAR_KEY])
+        except:
+            warnings.warn("You should pass %s using --%s or using environment variable %r" % (key, key, ENV_VAR_KEY))
+            return(default_value)
+    else:
+        return(default_value)
+
+
+class SettingsDefault(object):
+    _CSV_DATA_DIR = "~/data"
+    _OUTPUT_DIR = "~/qstrader"
+
+    @property
+    def CSV_DATA_DIR(self):
+        return get_info("CSV_DATA_DIR", os.path.expanduser(self._CSV_DATA_DIR))
+
+    @property
+    def OUTPUT_DIR(self):
+        return get_info("OUTPUT_DIR", os.path.expanduser(self._CSV_DATA_DIR))
+
+
+class SettingsTest(SettingsDefault):
+    _CSV_DATA_DIR = "data"
+    _OUTPUT_DIR = "out"
+
+
+DEFAULT = SettingsDefault()
+TEST = SettingsTest()
+
+CSV_DATA_DIR = DEFAULT.CSV_DATA_DIR
+OUTPUT_DIR = DEFAULT.OUTPUT_DIR

statistics/statistics.py → qstrader/statistics/statistics.py

@@ -10,7 +10,6 @@
     pass
 import matplotlib.pyplot as plt
 import seaborn as sns
-from qstrader import settings
 
 class Statistics(object):
     """

qstrader/version.py

@@ -0,0 +1,8 @@
+__author__ = "Michael Halls-Moore"
+__copyright__ = "Copyright 2016"
+__license__ = "MIT"
+__version__ = "0.0.1"
+__maintainer__ = "mhallsmoore"
+__email__ = ""
+__status__ = "Development"
+__url__ = "https://github.com/mhallsmoore/qstrader"

setup.py

@@ -0,0 +1,119 @@
+#!/usr/bin/env python
+# -*- coding: utf-8 -*-
+
+from setuptools import setup, find_packages  # Always prefer setuptools over distutils
+from os import path
+import io
+
+here = path.abspath(path.dirname(__file__))
+
+try:
+    import pypandoc
+    long_description = pypandoc.convert('README.md', 'rst')
+except(IOError, ImportError):
+    print("Can't import pypandoc - using README.md without converting to RST")
+    long_description = open('README.md').read()
+
+NAME = 'qstrader'
+with io.open(path.join(here, NAME, 'version.py'), 'rt', encoding='UTF-8') as f:
+    exec(f.read())
+
+setup(
+    name=NAME,
+
+    # Versions should comply with PEP440.  For a discussion on single-sourcing
+    # the version across setup.py and the project code, see
+    # https://packaging.python.org/en/latest/development.html#single-sourcing-the-version
+    #version='0.0.2',
+    version=__version__,
+
+    description='QuantStart.com - Advanced Trading Infrastructure',
+    long_description=long_description,
+
+    # The project's main homepage.
+    url=__url__,
+
+    # Author details
+    author=__author__,
+    author_email=__email__,
+
+    # Choose your license
+    license=__license__,
+
+    # See https://pypi.python.org/pypi?%3Aaction=list_classifiers
+    classifiers=[
+        # How mature is this project? Common values are
+        #   3 - Alpha
+        #   4 - Beta
+        #   5 - Production/Stable
+        'Development Status :: 3 - Alpha',
+
+        # Indicate who your project is intended for
+        'Environment :: Console',
+        #'Topic :: Software Development :: Build Tools',
+        'Intended Audience :: Developers',
+        'Operating System :: OS Independent',
+
+        # Specify the Python versions you support here. In particular, ensure
+        # that you indicate whether you support Python 2, Python 3 or both.
+        'Programming Language :: Cython',
+
+        'Programming Language :: Python',
+        #'Programming Language :: Python :: 2',
+        #'Programming Language :: Python :: 2.6',
+        'Programming Language :: Python :: 2.7',
+        #'Programming Language :: Python :: 3',
+        #'Programming Language :: Python :: 3.2',
+        'Programming Language :: Python :: 3.3',
+        'Programming Language :: Python :: 3.4',
+
+        # Pick your license as you wish (should match "license" above)
+        'License :: OSI Approved :: MIT License',
+
+    ],
+
+    # What does your project relate to?
+    keywords='python trading technical analysis backtesting',
+
+    # You can just specify the packages manually here if your project is
+    # simple. Or you can use find_packages().
+    packages=find_packages(exclude=['contrib', 'docs', 'tests*']),
+
+    # List run-time dependencies here.  These will be installed by pip when your
+    # project is installed. For an analysis of "install_requires" vs pip's
+    # requirements files see:
+    # https://packaging.python.org/en/latest/technical.html#install-requires-vs-requirements-files
+    install_requires=['pandas'],
+
+    # List additional groups of dependencies here (e.g. development dependencies).
+    # You can install these using the following syntax, for example:
+    # $ pip install -e .[dev,test]
+    extras_require = {
+        'dev': ['check-manifest', 'nose'],
+        'test': ['coverage', 'nose'],
+    },
+
+    # If there are data files included in your packages that need to be
+    # installed, specify them here.  If using Python 2.6 or less, then these
+    # have to be included in MANIFEST.in as well.
+    #package_data={
+    #    'samples': ['samples/*.py'],
+    #},
+
+    # Although 'package_data' is the preferred approach, in some case you may
+    # need to place data files outside of your packages.
+    # see http://docs.python.org/3.4/distutils/setupscript.html#installing-additional-files
+    # In this case, 'data_file' will be installed into '<sys.prefix>/my_data'
+    #data_files=[('my_data', ['data/data_file'])],
+
+    # To provide executable scripts, use entry points in preference to the
+    # "scripts" keyword. Entry points provide cross-platform support and allow
+    # pip to create the appropriate form of executable for the target platform.
+    #entry_points={
+    #    'console_scripts': [
+    #        'sample=sample:main',
+    #    ],
+    #},
+    #tests_require=['xlrd'],
+    #test_suite='tests',
+)