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