Michael Halls-Moore
80 lines
2.3 KiB
Python
80 lines
2.3 KiB
Python
from __future__ import print_function
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import copy
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try:
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import Queue as queue
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except ImportError:
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import queue
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import threading
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import time
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from decimal import Decimal, getcontext
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from qsforex.execution.execution import SimulatedExecution
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from qsforex.portfolio.portfolio import Portfolio
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from qsforex import settings
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from qsforex.strategy.strategy import TestStrategy, MovingAverageCrossStrategy
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from qsforex.data.price import HistoricCSVPriceHandler
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def backtest(
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events, ticker, strategy, portfolio,
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execution, heartbeat, max_iters=200000
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):
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"""
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Carries out an infinite while loop that polls the
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events queue and directs each event to either the
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strategy component of the execution handler. The
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loop will then pause for "heartbeat" seconds and
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continue unti the maximum number of iterations is
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exceeded.
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"""
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iters = 0
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while True and iters < max_iters:
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ticker.stream_next_tick()
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try:
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event = events.get(False)
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except queue.Empty:
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pass
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else:
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if event is not None:
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if event.type == 'TICK':
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strategy.calculate_signals(event)
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elif event.type == 'SIGNAL':
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portfolio.execute_signal(event)
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elif event.type == 'ORDER':
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execution.execute_order(event)
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time.sleep(heartbeat)
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iters += 1
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portfolio.output_results()
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if __name__ == "__main__":
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heartbeat = 0.0
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events = queue.Queue()
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equity = settings.EQUITY
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# Load the historic CSV tick data files
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pairs = ["GBPUSD"]
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csv_dir = settings.CSV_DATA_DIR
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if csv_dir is None:
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print("No historic data directory provided - backtest terminating.")
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sys.exit()
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# Create the historic tick data streaming class
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ticker = HistoricCSVPriceHandler(pairs, events, csv_dir)
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# Create the strategy/signal generator, passing the
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# instrument and the events queue
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strategy = MovingAverageCrossStrategy(
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pairs, events, 500, 2000
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)
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# Create the portfolio object to track trades
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portfolio = Portfolio(ticker, events, equity=equity)
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# Create the simulated execution handler
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execution = SimulatedExecution()
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# Carry out the backtest loop
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backtest(events, ticker, strategy, portfolio, execution, heartbeat)
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