Modified heartbeat comment in trading.py. Also added a script in the /scripts directory that generates simulated forex tick data in the style of Dukascopy.

scripts/generate_simulated_pair.py

@@ -0,0 +1,80 @@
+from __future__ import print_function
+
+import calendar
+import copy
+import datetime
+import os, os.path
+import sys
+
+import numpy as np
+import pandas as pd
+
+from qsforex import settings
+
+
+def month_weekdays(year_int, month_int):
+    """
+    Produces a list of datetime.date objects representing the
+    weekdays in a particular month, given a year.
+    """
+    cal = calendar.Calendar()
+    return [
+        d for d in cal.itermonthdates(year_int, month_int) 
+        if d.weekday() < 5 and d.year == year_int
+    ]
+
+
+if __name__ == "__main__":
+    try:
+        pair = sys.argv[1]
+    except IndexError:
+        print("You need to enter a currency pair, e.g. GBPUSD, as a command line parameter.")
+    else:
+        np.random.seed(42)  # Fix the randomness
+
+        S0 = 1.5000
+        spread = 0.002
+        mu_dt = 1400  # Milliseconds
+        sigma_dt = 100  # Millseconds
+        ask = copy.deepcopy(S0) + spread / 2.0
+        bid = copy.deepcopy(S0) - spread / 2.0
+        days = month_weekdays(2014, 1)  # January 2014
+        current_time = datetime.datetime(
+            days[0].year, days[0].month, days[0].day, 0, 0, 0,
+        )
+
+        # Loop over every day in the month and create a CSV file
+        # for each day, e.g. "GBPUSD_20150101.csv"
+        for d in days:
+            print(d.day)
+            current_time = current_time.replace(day=d.day)
+            outfile = open(
+                os.path.join(
+                    settings.CSV_DATA_DIR, 
+                    "%s_%s.csv" % (
+                        pair, d.strftime("%Y%m%d")
+                    )
+                ), 
+            "w")
+            outfile.write("Time,Ask,Bid,AskVolume,BidVolume\n")     
+            
+            # Create the random walk for the bid/ask prices
+            # with fixed spread between them
+            while True:
+                dt = abs(np.random.normal(mu_dt, sigma_dt))
+                current_time += datetime.timedelta(0, 0, 0, dt)
+                if current_time.day != d.day:
+                    outfile.close()
+                    break
+                else:
+                    W = np.random.standard_normal() * dt / 1000.0 / 86400.0
+                    ask += W
+                    bid += W
+                    ask_volume = 1.0 + np.random.uniform(0.0, 2.0)
+                    bid_volume = 1.0 + np.random.uniform(0.0, 2.0)
+                    line = "%s,%s,%s,%s,%s\n" % (
+                        current_time.strftime("%d.%m.%Y %H:%M:%S.%f")[:-3], 
+                        "%0.5f" % ask, "%0.5f" % bid,
+                        "%0.2f00" % ask_volume, "%0.2f00" % bid_volume
+                    )
+                    outfile.write(line)

trading/trading.py

@@ -43,7 +43,7 @@ if __name__ == "__main__":
     # Set the number of decimal places to 2
     getcontext().prec = 2
 
-    heartbeat = 0.0  # Half a second between polling
+    heartbeat = 0.0  # Time in seconds between polling
     events = queue.Queue()
     equity = settings.EQUITY