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