Modified the Position handling to use long/short instead of buy/sell for side/position_type. Also modified the unit tests for both Portfolio and Position to reflect these changes. Added a basic historical backtesting capability via backtest.py and using CSV tick data for currency pairs.

data/price.py

@@ -0,0 +1,86 @@
+from abc import ABCMeta, abstractmethod
+import datetime
+from decimal import Decimal, getcontext, ROUND_HALF_DOWN
+import os
+import os.path
+import numpy as np
+import pandas as pd
+
+from qsforex.event.event import TickEvent
+
+
+class PriceHandler(object):
+    """
+    PriceHandler is an abstract base class providing an interface for
+    all subsequent (inherited) data handlers (both live and historic).
+
+    The goal of a (derived) PriceHandler object is to output a set of
+    bid/ask/timestamp "ticks" for each currency pair and place them into
+    an event queue.
+
+    This will replicate how a live strategy would function as current
+    tick data would be streamed via a brokerage. Thus a historic and live
+    system will be treated identically by the rest of the QSForex 
+    backtesting suite.
+    """
+
+    __metaclass__ = ABCMeta
+
+    @abstractmethod
+    def stream_to_queue(self):
+        """
+        Streams a sequence of tick data events (timestamp, bid, ask)
+        tuples to the events queue.
+        """
+        raise NotImplementedError("Should implement stream_to_queue()")
+
+
+class HistoricCSVPriceHandler(PriceHandler):
+    """
+    HistoricCSVPriceHandler is designed to read CSV files of
+    tick data for each requested currency pair and stream those
+    to the provided events queue.
+    """
+
+    def __init__(self, pairs, events_queue, csv_dir):
+        """
+        Initialises the historic data handler by requesting
+        the location of the CSV files and a list of symbols.
+
+        It will be assumed that all files are of the form
+        'pair.csv', where "pair" is the currency pair. For
+        GBP/USD the filename is GBPUSD.csv.
+
+        Parameters:
+        pairs - The list of currency pairs to obtain.
+        events_queue - The events queue to send the ticks to.
+        csv_dir - Absolute directory path to the CSV files.
+        """
+        self.pairs = pairs
+        self.events_queue = events_queue
+        self.csv_dir = csv_dir
+        self.cur_bid = None
+        self.cur_ask = None
+
+    def _open_convert_csv_files(self):
+        """
+        Opens the CSV files from the data directory, converting
+        them into pandas DataFrames within a pairs dictionary.
+        """
+        pair_path = os.path.join(self.csv_dir, '%s.csv' % self.pairs[0])
+        self.pair = pd.io.parsers.read_csv(
+            pair_path, header=True, index_col=0, parse_dates=True,
+            names=("Time", "Ask", "Bid", "AskVolume", "BidVolume")
+        ).iterrows()
+
+    def stream_to_queue(self):
+        self._open_convert_csv_files()
+        for index, row in self.pair:
+            self.cur_bid = Decimal(str(row["Bid"])).quantize(
+                Decimal("0.00001", ROUND_HALF_DOWN)
+            )
+            self.cur_ask = Decimal(str(row["Ask"])).quantize(
+                Decimal("0.00001", ROUND_HALF_DOWN)
+            )
+            tev = TickEvent(self.pairs[0], index, row["Bid"], row["Ask"])
+            self.events_queue.put(tev)