Added Python 2.7.x and 3.4.x compatibility to the code. Disabled HTTPS security warning in urllib3 package of 'requests' package.

.gitignore

@@ -1,5 +1,6 @@
 *~
 *.py[co]
+__pycache__
 
 # Packages
 *.egg

backtest/backtest.py

@@ -1,5 +1,10 @@
+from __future__ import print_function
+
 import copy
-import Queue
+try:
+    import Queue as queue
+except ImportError:
+    import queue
 import threading
 import time
 from decimal import Decimal, getcontext
@@ -28,7 +33,7 @@ def backtest(
         ticker.stream_next_tick()
         try:
             event = events.get(False)
-        except Queue.Empty:
+        except queue.Empty:
             pass
         else:
             if event is not None:
@@ -45,14 +50,14 @@ def backtest(
 
 if __name__ == "__main__":
     heartbeat = 0.0
-    events = Queue.Queue()
+    events = queue.Queue()
     equity = settings.EQUITY
 
     # Load the historic CSV tick data files
     pairs = ["GBPUSD"]
     csv_dir = settings.CSV_DATA_DIR
     if csv_dir is None:
-        print "No historic data directory provided - backtest terminating."
+        print("No historic data directory provided - backtest terminating.")
         sys.exit()
 
     # Create the historic tick data streaming class

data/price.py

@@ -1,5 +1,5 @@
 import datetime
-from decimal import Decimal, ROUND_HALF_DOWN
+from decimal import Decimal, getcontext, ROUND_HALF_DOWN
 import os
 import os.path
 import time
@@ -59,12 +59,13 @@ class PriceHandler(object):
         This will turn the bid/ask of "GBPUSD" into bid/ask for
         "USDGBP" and place them in the prices dictionary.
         """
+        getcontext().rounding = ROUND_HALF_DOWN
         inv_pair = "%s%s" % (pair[3:], pair[:3])
         inv_bid = (Decimal("1.0")/bid).quantize(
-            Decimal("0.00001", ROUND_HALF_DOWN)
+            Decimal("0.00001")
         )
         inv_ask = (Decimal("1.0")/ask).quantize(
-            Decimal("0.00001", ROUND_HALF_DOWN)
+            Decimal("0.00001")
         )
         return inv_pair, inv_bid, inv_ask
 
@@ -129,16 +130,17 @@ class HistoricCSVPriceHandler(PriceHandler):
         well as updating the current bid/ask and inverse bid/ask.
         """
         try:
-            index, row = self.all_pairs.next()
+            index, row = next(self.all_pairs)
         except StopIteration:
             return
         else:
+            getcontext().rounding = ROUND_HALF_DOWN
             pair = row["Pair"]
             bid = Decimal(str(row["Bid"])).quantize(
-                Decimal("0.00001", ROUND_HALF_DOWN)
+                Decimal("0.00001")
             )
             ask = Decimal(str(row["Ask"])).quantize(
-                Decimal("0.00001", ROUND_HALF_DOWN)
+                Decimal("0.00001")
             )
 
             # Create decimalised prices for traded pair

data/streaming.py

@@ -1,4 +1,6 @@
-from decimal import Decimal, ROUND_HALF_DOWN
+from __future__ import print_function
+
+from decimal import Decimal, getcontext, ROUND_HALF_DOWN
 import requests
 import json
 
@@ -24,18 +26,20 @@ class StreamingForexPrices(PriceHandler):
         This will turn the bid/ask of "GBPUSD" into bid/ask for
         "USDGBP" and place them in the prices dictionary.
         """
+        getcontext().rounding = ROUND_HALF_DOWN
         inv_pair = "%s%s" % (pair[3:], pair[:3])
         inv_bid = (Decimal("1.0")/bid).quantize(
-            Decimal("0.00001", ROUND_HALF_DOWN)
+            Decimal("0.00001")
         )
         inv_ask = (Decimal("1.0")/ask).quantize(
-            Decimal("0.00001", ROUND_HALF_DOWN)
+            Decimal("0.00001")
         )
         return inv_pair, inv_bid, inv_ask
 
     def connect_to_stream(self):
         pairs_oanda = ["%s_%s" % (p[:3], p[3:]) for p in self.pairs]
         try:
+            requests.packages.urllib3.disable_warnings()
             s = requests.Session()
             url = "https://" + self.domain + "/v1/prices"
             headers = {'Authorization' : 'Bearer ' + self.access_token}
@@ -46,7 +50,7 @@ class StreamingForexPrices(PriceHandler):
             return resp
         except Exception as e:
             s.close()
-            print "Caught exception when connecting to stream\n" + str(e) 
+            print("Caught exception when connecting to stream\n" + str(e))
 
     def stream_to_queue(self):
         response = self.connect_to_stream()
@@ -55,19 +59,21 @@ class StreamingForexPrices(PriceHandler):
         for line in response.iter_lines(1):
             if line:
                 try:
-                    msg = json.loads(line)
+                    dline = line.decode('utf-8')
+                    msg = json.loads(dline)
                 except Exception as e:
-                    print "Caught exception when converting message into json\n" + str(e)
+                    print("Caught exception when converting message into json\n" + str(e))
                     return
-                if msg.has_key("instrument") or msg.has_key("tick"):
+                if "instrument" in msg or "tick" in msg:
-                    print msg
+                    print(msg)
+                    getcontext().rounding = ROUND_HALF_DOWN 
                     instrument = msg["tick"]["instrument"].replace("_", "")
                     time = msg["tick"]["time"]
                     bid = Decimal(str(msg["tick"]["bid"])).quantize(
-                        Decimal("0.00001", ROUND_HALF_DOWN)
+                        Decimal("0.00001")
                     )
                     ask = Decimal(str(msg["tick"]["ask"])).quantize(
-                        Decimal("0.00001", ROUND_HALF_DOWN)
+                        Decimal("0.00001")
                     )
                     self.prices[instrument]["bid"] = bid
                     self.prices[instrument]["ask"] = ask

execution/execution.py

@@ -1,6 +1,16 @@
+from __future__ import print_function
+
 from abc import ABCMeta, abstractmethod
-import httplib
+try:
-import urllib
+    import httplib
+except ImportError:
+    import http.client as httplib
+try:
+    from urllib import urlencode
+except ImportError:
+    from urllib.parse import urlencode
+import urllib3
+urllib3.disable_warnings()
 
 
 class ExecutionHandler(object):
@@ -47,7 +57,7 @@ class OANDAExecutionHandler(ExecutionHandler):
             "Content-Type": "application/x-www-form-urlencoded",
             "Authorization": "Bearer " + self.access_token
         }
-        params = urllib.urlencode({
+        params = urlencode({
             "instrument" : instrument,
             "units" : event.units,
             "type" : event.order_type,
@@ -59,5 +69,5 @@ class OANDAExecutionHandler(ExecutionHandler):
             params, headers
         )
         response = self.conn.getresponse().read()
-        print response
+        print(response)
         

portfolio/portfolio.py

@@ -1,3 +1,5 @@
+from __future__ import print_function
+
 from copy import deepcopy
 from decimal import Decimal, getcontext, ROUND_HALF_DOWN
 import os
@@ -73,7 +75,7 @@ class Portfolio(object):
         out_file = os.path.join(OUTPUT_RESULTS_DIR, filename)
         df_equity = pd.DataFrame.from_records(self.equity, index='time')
         df_equity.to_csv(out_file)
-        print "Simulation complete and results exported to %s" % filename
+        print("Simulation complete and results exported to %s" % filename)
 
     def execute_signal(self, signal_event):       
         side = signal_event.side
@@ -123,5 +125,6 @@ class Portfolio(object):
         order = OrderEvent(currency_pair, units, "market", side)
         self.events.put(order)
 
-        print "Balance: %0.2f" % self.balance
+        print("Balance: %0.2f" % self.balance)
-        self.append_equity_row(time, self.balance)
+        self.append_equity_row(time, self.balance)
+        

portfolio/position.py

@@ -92,7 +92,8 @@ class Position(object):
         self.update_position_price()
         # Calculate PnL
         pnl = self.calculate_pips() * qh_close * dec_units
-        return pnl.quantize(Decimal("0.01", ROUND_HALF_DOWN))
+        getcontext().rounding = ROUND_HALF_DOWN
+        return pnl.quantize(Decimal("0.01"))
 
     def close_position(self):
         ticker_cp = self.ticker.prices[self.currency_pair]
@@ -106,4 +107,5 @@ class Position(object):
         self.update_position_price()
         # Calculate PnL
         pnl = self.calculate_pips() * qh_close * self.units
-        return pnl.quantize(Decimal("0.01", ROUND_HALF_DOWN))
+        getcontext().rounding = ROUND_HALF_DOWN
+        return pnl.quantize(Decimal("0.01"))

portfolio/position_test.py

@@ -1,4 +1,4 @@
-from decimal import Decimal, getcontext
+from decimal import Decimal
 import unittest
 
 from position import Position
@@ -28,7 +28,6 @@ class TestLongGBPUSDPosition(unittest.TestCase):
     denominated currency of GBP, using 2,000 units of GBP/USD.
     """
     def setUp(self):
-        getcontext.prec = 2
         home_currency = "GBP"
         position_type = "long"
         currency_pair = "GBPUSD"
@@ -78,7 +77,6 @@ class TestShortGBPUSDPosition(unittest.TestCase):
     denominated currency of GBP, using 2,000 units of GBP/USD.
     """
     def setUp(self):
-        getcontext.prec = 2
         home_currency = "GBP"
         position_type = "short"
         currency_pair = "GBPUSD"
@@ -132,7 +130,6 @@ class TestLongEURUSDPosition(unittest.TestCase):
     denominated currency of GBP, using 2,000 units of EUR/USD.
     """
     def setUp(self):
-        getcontext.prec = 2
         home_currency = "GBP"
         position_type = "long"
         currency_pair = "EURUSD"
@@ -183,7 +180,6 @@ class TestLongEURUSDPosition(unittest.TestCase):
     denominated currency of GBP, using 2,000 units of EUR/USD.
     """
     def setUp(self):
-        getcontext.prec = 2
         home_currency = "GBP"
         position_type = "short"
         currency_pair = "EURUSD"

trading/trading.py

@@ -1,8 +1,11 @@
 import copy
-import Queue
+from decimal import Decimal, getcontext
+try:
+    import Queue as queue
+except ImportError:
+    import queue
 import threading
 import time
-from decimal import Decimal, getcontext
 
 from qsforex.execution.execution import OANDAExecutionHandler
 from qsforex.portfolio.portfolio import Portfolio
@@ -22,7 +25,7 @@ def trade(events, strategy, portfolio, execution, heartbeat):
     while True:
         try:
             event = events.get(False)
-        except Queue.Empty:
+        except queue.Empty:
             pass
         else:
             if event is not None:
@@ -40,7 +43,7 @@ if __name__ == "__main__":
     getcontext().prec = 2
 
     heartbeat = 0.0  # Half a second between polling
-    events = Queue.Queue()
+    events = queue.Queue()
     equity = settings.EQUITY
 
     # Trade "Cable"
@@ -81,4 +84,4 @@ if __name__ == "__main__":
     
     # Start both threads
     trade_thread.start()
-    price_thread.start()
+    price_thread.start()