Michael Halls-Moore
77 lines
2.4 KiB
Python
77 lines
2.4 KiB
Python
import copy
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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
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from qsforex.data.price import HistoricCSVPriceHandler
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def trade(events, strategy, portfolio, execution, heartbeat):
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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.
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"""
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while True:
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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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if __name__ == "__main__":
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# Set the number of decimal places to 2
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getcontext().prec = 2
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heartbeat = 0.0 # Half a second between polling
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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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prices = 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 = TestStrategy(pairs[0], events)
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# Create the portfolio object to track trades
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portfolio = Portfolio(prices, events, equity=equity)
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# Create the simulated execution handler
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execution = SimulatedExecution()
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# Create two separate threads: One for the trading loop
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# and another for the market price streaming class
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trade_thread = threading.Thread(
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target=trade, args=(
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events, strategy, portfolio, execution, heartbeat
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)
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)
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price_thread = threading.Thread(target=prices.stream_to_queue, args=[])
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# Start both threads
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trade_thread.start()
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price_thread.start() |