bugfixes

forex/events.py

@@ -29,6 +29,7 @@ def __init__(self, instrument, units, order_type, side):
 
 class SignalEvent(Event):
     def __init__(self, instrument, order_type, side):
+        self.type = 'SIGNAL'
         self.instrument = instrument
         self.order_type = order_type
         self.side =side

forex/position.py

@@ -24,18 +24,18 @@ def calc_pips(self):
             mult = -1
         return mult * (self.cur_price - self.avg_price)
 
-    def cal_profit_base(self):
+    def calc_profit_base(self):
         # calc nominal pnl of total position
         pips = self.calc_pips()
         return pips * self.exposure / self.cur_price
 
-    def cal_profit_perc(self):
+    def calc_profit_perc(self):
         # calc relative pnl of total position
         return self.profit_base / self.exposure * 100.
 
     def update_position_price(self, cur_price):
         # update pnl metrics to current instrument price
         self.cur_price = cur_price
-        self.profit_base = self.cal_profit_base()
-        self.profit_perc = self.cal_profit_perc()
+        self.profit_base = self.calc_profit_base()
+        self.profit_perc = self.calc_profit_perc()
 

forex/strategy.py

@@ -21,11 +21,11 @@ def calc_signals(self, event):
             self.ticks += 1
             if self.ticks % 5 == 0:
                 if self.invested == False:
-                    signal = SignalEvent(instrument, 'market', 'buy')
+                    signal = SignalEvent(self.instrument, 'market', 'buy')
                     self.events.put(signal)
                     self.invested = True
                 else:
-                    signal = SignalEvent(instrument, 'market', 'sell')
+                    signal = SignalEvent(self.instrument, 'market', 'sell')
                     self.events.put(signal)
                     self.invested = False
 

forex/streaming.py

@@ -51,11 +51,13 @@ def stream_to_queue(self):
                     print 'Error converting into json:\n' + str(e)
                     return
                 if msg.has_key('instrument') or msg.has_key('tick'):
-                    print msg
                     instrument = msg['tick']['instrument']
                     time = msg['tick']['time']
                     bid = msg['tick']['bid']
                     ask = msg['tick']['ask']
+                    print instrument + '  ' + str(bid) + '  --  ' + str(ask) +\
+                          '  ' + str(time)
+
                     self.cur_bid = bid
                     self.cur_ask = ask
                     tev = TickEvent(instrument, time, bid, ask)

helper_classes.py

@@ -12,7 +12,7 @@ class GetData(object):
         IN: all strings; symbol, interval in secs, time period, open/close/etc
         OUT: data frame with historical minute prices
     '''
-    def __init__(self, interval='60', period='1d', dat='d,o,h,l,c,v'):
+    def __init__(self, interval='60', period='5d', dat='d,o,h,l,c,v'):
         self.interval = interval  # default is 60 seconds
         self.period = period  # number of days history, default is 5
         self.dat = dat  # 'date', 'open', 'high', etc
@@ -98,15 +98,18 @@ def get_rt_quote(self, symbol):
 
 
 if __name__ == '__main__':
-    a = GetData()
-    lst = ['EURUSD']
+    a = GetData(period='1d')
+    lst = 'JNPR'
+    quotes = a.get_minute_data(lst)
     #test = a.get_minute_data('EURUSD')
 
-    for i in range(5):
-        for sym in ['EURUSD',2]:
-            print time.ctime()
-            print sym + ' ' + a.get_rt_quote(sym)[0]
-
-        print '========================'
-        time.sleep(60)
+#==============================================================================
+#     for i in range(5):
+#         for sym in ['EURUSD',2]:
+#             print time.ctime()
+#             print sym + ' ' + a.get_rt_quote(sym)[0]
+#             
+#         print '========================'
+#         time.sleep(60)
+#==============================================================================
 

vol_measures.py

@@ -17,7 +17,6 @@ def __init__(self, data, window=30, total_days=252):
     def close_close(self):
         log_return = (self.data['Close']/self.data['Close'].shift(1)).apply(np.log)
         vol = pd.rolling_std(log_return, self.window) * np.sqrt(self.total_days)
-        vol.index = self.data['Date']
 
         return vol
 
@@ -30,7 +29,6 @@ def rs(self):
 
         rsy = log_hc * log_ho + log_lc * log_lo
         out = self.annualise(rsy)
-        out.index = self.data['Date']
 
         return out
 
@@ -39,7 +37,6 @@ def parkinson(self):
 
         park = (1/(4*np.log(2))) * log_hl**2
         out = self.annualise(park)
-        out.index = self.data['Date']
 
         return out
 
@@ -50,7 +47,6 @@ def gk(self):
 
         gk = 1./2 * log_hl**2 - (2 * np.log(2) - 1) * log_co**2
         out = self.annualise(gk)
-        out.index = self.data['Date']
 
         return out
 
@@ -66,7 +62,6 @@ def gkyz(self):
         gkyz = log_oc**2 + 1./2 * log_hl**2 - (2*np.log(2) - 1)*log_co**2
 
         out = self.annualise(gkyz)
-        out.index = self.data['Date']
 
         return out
 
@@ -87,7 +82,6 @@ def yz(self):
         k = 0.34/(1. + (self.window + 1.)/(self.window - 1.))
 
         out = (s2o + k * s2c + (1-k)*s2rs).apply(np.sqrt)
-        out.index = self.data['Date']
 
         return out