Added remaining trading system around portfolio in order to compare with OANDA.

2015-02-03 13:33:33 +00:00
parent dbc973567a
commit b0b19d603d
13 changed files with 255 additions and 15 deletions
@@ -0,0 +1,75 @@
+import copy
+import Queue
+import threading
+import time
+
+from qsforex.execution.execution import Execution
+from qsforex.portfolio.portfolio import Portfolio
+from qsforex.settings import STREAM_DOMAIN, API_DOMAIN, ACCESS_TOKEN, ACCOUNT_ID
+from qsforex.strategy.strategy import TestRandomStrategy
+from qsforex.streaming.streaming import StreamingForexPrices
+
+
+def trade(events, strategy, portfolio, execution):
+    """
+    Carries out an infinite while loop that polls the 
+    events queue and directs each event to either the
+    strategy component of the execution handler. The
+    loop will then pause for "heartbeat" seconds and
+    continue.
+    """
+    while True:
+        try:
+            event = events.get(False)
+        except Queue.Empty:
+            pass
+        else:
+            if event is not None:
+                if event.type == 'TICK':
+                    strategy.calculate_signals(event)
+                elif event.type == 'SIGNAL':
+                    portfolio.execute_signal(event)
+                elif event.type == 'ORDER':
+                    execution.execute_order(event)
+        time.sleep(heartbeat)
+
+
+if __name__ == "__main__":
+    heartbeat = 0.5  # Half a second between polling
+    events = Queue.Queue()
+
+    # Trade "Cable"
+    instrument = "GBP_USD"
+
+    # Create the OANDA market price streaming class
+    # making sure to provide authentication commands
+    prices = StreamingForexPrices(
+        STREAM_DOMAIN, ACCESS_TOKEN, ACCOUNT_ID,
+        instrument, events
+    )
+
+    # Create the strategy/signal generator, passing the 
+    # instrument and the events queue
+    strategy = TestRandomStrategy(instrument, events)
+
+    # Create the portfolio object that will be used to
+    # compare the OANDA positions with the local, to
+    # ensure backtesting integrity.
+    portfolio = Portfolio(prices, events, equity=98505.02)
+
+    # Create the execution handler making sure to
+    # provide authentication commands
+    execution = Execution(API_DOMAIN, ACCESS_TOKEN, ACCOUNT_ID)
+    
+    # Create two separate threads: One for the trading loop
+    # and another for the market price streaming class
+    trade_thread = threading.Thread(
+        target=trade, args=(
+            events, strategy, portfolio, execution
+        )
+    )
+    price_thread = threading.Thread(target=prices.stream_to_queue, args=[])
+    
+    # Start both threads
+    trade_thread.start()
+    price_thread.start()