Some API changes, test data

examples/multiple_assets.py

@@ -1,7 +1,7 @@
 
 from naiback.strategy import Strategy
 from naiback.data.feeds import GenericCSVFeed
-from naiback.indicators import SMA, RSI
+from naiback.indicators import EMA, RSI
 
 class MyStrategy(Strategy):
 
@@ -9,22 +9,23 @@ class MyStrategy(Strategy):
         super().__init__()
 
     def execute(self):
-        self.set_context('FOO')
+        self.set_current_ticker('SBER')
         rsi1 = RSI(self.bars.close, 2)
-        self.set_context('BAR')
+        self.set_current_ticker('GAZP')
         rsi2 = RSI(self.bars.close, 2)
         for i in self.bars.index[200:]:
             if self.last_position_is_active():
-                if i - self.last_position().entry_bar > 3:
+                if i - self.last_position().entry_bar() > 3:
                     for position in self.all_positions():
-                        position.exit_at_close(i)
+                        self.exit_at_close(i, position)
             else:
                 if rsi1[i] < 20 and rsi2[i] > 80:
-                    self.buy_at_open(i + 1, 'FOO')
-                    self.short_at_open(i + 1, 'BAR')
+                    self.buy_at_open(i + 1, 'SBER')
+                    self.short_at_open(i + 1, 'GAZP')
 
 if __name__ == "__main__":
     strategy = MyStrategy()
-    strategy.add_feed(FinamCSVFeed('data/SBER_20100101_20161231_daily.csv'))
-    strategy.run(from_time='2012-01-01', to_time='2016-12-31')
+    strategy.add_feed(GenericCSVFeed(open('data/SBER_20100101_20171231_daily.csv', 'r')))
+    strategy.add_feed(GenericCSVFeed(open('data/GAZP_20100101_20171231_daily.csv', 'r')))
+    strategy.run(from_time='2012-01-01', to_time='2017-12-31')
     print(strategy.get_analyzer('stats').generate_plain_text())

src/naiback/broker/broker.py

@@ -18,22 +18,22 @@ class Broker:
     def cash(self):
         return self.cash_
 
-    def add_position(self, ticker, price, amount):
+    def add_position(self, ticker, price, amount, bar_index):
         volume = abs(price * amount)
         if amount > 0:
             if volume * (1 + 0.01 * self.commission_percentage) > self.cash_:
                 return None
         pos = Position(ticker)
-        pos.enter(price, amount)
+        pos.enter(price, amount, bar=bar_index)
         self.cash_ -= price * amount
         self.cash_ -= volume * 0.01 * self.commission_percentage
         self.positions.append(pos)
         return pos
 
-    def close_position(self, pos, price):
+    def close_position(self, pos, price, bar_index):
         volume = abs(price * pos.size())
         size = pos.size()
-        pos.exit(price)
+        pos.exit(price, bar=bar_index)
 
         self.cash_ += price * size
         self.cash_ -= volume * 0.01 * self.commission_percentage

src/naiback/broker/position.py

@@ -38,9 +38,12 @@ class Position:
         for k, v in kwargs.items():
             self.entry_metadata[k] = v
 
-    def exit(self, price):
+    def exit(self, price, **kwargs):
         self.exit_price_ = price
         self.total_pnl += (self.exit_price() - self.entry_price()) * self.size()
         self.size_ = 0
 
+        for k, v in kwargs.items():
+            self.exit_metadata[k] = v
+
 

src/naiback/data/__init__.py

@@ -0,0 +1 @@
+

src/naiback/data/feeds/__init__.py

@@ -0,0 +1,3 @@
+
+from .genericcsvfeed import GenericCSVFeed
+

src/naiback/indicators/__init__.py

@@ -0,0 +1,3 @@
+
+from .ema import EMA
+from .rsi import RSI

src/naiback/strategy/strategy.py

@@ -10,8 +10,8 @@ class Strategy:
     def __init__(self):
         self.feeds = []
         self.all_bars = []
-        self.all_positions = []
         self.broker = Broker()
+        self.bars = None
 
     def add_feed(self, feed):
         """
@@ -33,6 +33,9 @@ class Strategy:
         self._prepare_bars()
         self.execute()
 
+    def set_current_ticker(self, ticker):
+        self.bars = self._get_bars(ticker)
+
     def _prepare_bars(self):
         if len(self.feeds) == 0:
             raise NaibackException('No feeds added to strategy')
@@ -83,15 +86,15 @@ class Strategy:
 
     def buy_at_open(self, bar, ticker):
         bars = self._get_bars(ticker)
-        return self.broker.add_position(ticker, bars.open[bar], 1)
+        return self.broker.add_position(ticker, bars.open[bar], 1, bar)
 
     def buy_at_limit(self, bar, price, ticker):
         bars = self._get_bars(ticker)
         if bars.low[bar] <= price:
             if bars.open[bar] > price:
-                return self.broker.add_position(ticker, price, 1)
+                return self.broker.add_position(ticker, price, 1, bar)
             else:
-                return self.broker.add_position(ticker, bars.open[bar], 1)
+                return self.broker.add_position(ticker, bars.open[bar], 1, bar)
         else:
             return None
 
@@ -99,27 +102,27 @@ class Strategy:
         bars = self._get_bars(ticker)
         if bars.high[bar] >= price:
             if bars.open[bar] < price:
-                return self.broker.add_position(ticker, price, 1)
+                return self.broker.add_position(ticker, price, 1, bar)
             else:
-                return self.broker.add_position(ticker, bars.open[bar], 1)
+                return self.broker.add_position(ticker, bars.open[bar], 1, bar)
         else:
             return None
 
     def buy_at_close(self, bar, ticker):
         bars = self._get_bars(ticker)
-        return self.broker.add_position(ticker, bars.close[bar], 1)
+        return self.broker.add_position(ticker, bars.close[bar], 1, bar)
 
     def short_at_open(self, bar, ticker):
         bars = self._get_bars(ticker)
-        return self.broker.add_position(ticker, bars.open[bar], -1)
+        return self.broker.add_position(ticker, bars.open[bar], -1, bar)
 
     def short_at_limit(self, bar, price, ticker):
         bars = self._get_bars(ticker)
         if bars.high[bar] >= price:
             if bars.open[bar] < price:
-                return self.broker.add_position(ticker, price, -1)
+                return self.broker.add_position(ticker, price, -1, bar)
             else:
-                return self.broker.add_position(ticker, bars.open[bar], -1)
+                return self.broker.add_position(ticker, bars.open[bar], -1, bar)
         else:
             return None
 
@@ -127,36 +130,36 @@ class Strategy:
         bars = self._get_bars(ticker)
         if bars.low[bar] <= price:
             if bars.open[bar] > price:
-                return self.broker.add_position(ticker, price, -1)
+                return self.broker.add_position(ticker, price, -1, bar)
             else:
-                return self.broker.add_position(ticker, bars.open[bar], -1)
+                return self.broker.add_position(ticker, bars.open[bar], -1, bar)
         else:
             return None
 
     def short_at_close(self, bar, ticker):
         bars = self._get_bars(ticker)
-        return self.broker.add_position(ticker, bars.close[bar], -1)
+        return self.broker.add_position(ticker, bars.close[bar], -1, bar)
 
     def exit_at_open(self, bar, pos):
         bars = self._get_bars(pos.ticker)
-        return self.broker.close_position(pos, bars.open[bar])
+        return self.broker.close_position(pos, bars.open[bar], bar)
 
     def exit_at_limit(self, bar, price, pos):
         bars = self._get_bars(pos.ticker)
         if pos.is_long():
             if bars.high[bar] >= price:
                 if bars.open[bar] < price:
-                    return self.broker.close_position(pos, price)
+                    return self.broker.close_position(pos, price, bar)
                 else:
-                    return self.broker.close_position(pos, bars.open[bar])
+                    return self.broker.close_position(pos, bars.open[bar], bar)
             else:
                 return False
         else:
             if bars.low[bar] <= price:
                 if bars.open[bar] > price:
-                    return self.broker.close_position(pos, price)
+                    return self.broker.close_position(pos, price, bar)
                 else:
-                    return self.broker.close_position(pos, bars.open[bar])
+                    return self.broker.close_position(pos, bars.open[bar], bar)
             else:
                 return False
 
@@ -165,21 +168,21 @@ class Strategy:
         if pos.is_long():
             if bars.low[bar] <= price:
                 if bars.open[bar] > price:
-                    return self.broker.close_position(pos, price)
+                    return self.broker.close_position(pos, price, bar)
                 else:
-                    return self.broker.close_position(pos, bars.open[bar])
+                    return self.broker.close_position(pos, bars.open[bar], bar)
             else:
                 return False
         else:
             if bars.high[bar] >= price:
                 if bars.open[bar] < price:
-                    return self.broker.close_position(pos, price)
+                    return self.broker.close_position(pos, price, bar)
                 else:
-                    return self.broker.close_position(pos, bars.open[bar])
+                    return self.broker.close_position(pos, bars.open[bar], bar)
             else:
                 return False
 
     def exit_at_close(self, bar, pos):
         bars = self._get_bars(pos.ticker)
-        return self.broker.close_position(pos, bars.close[bar])
+        return self.broker.close_position(pos, bars.close[bar], bar)
 

tests/test_broker.py

@@ -12,7 +12,7 @@ def test_broker_cash():
 def test_broker_add_position_enough_cash():
     broker = Broker(initial_cash=100)
 
-    pos = broker.add_position('FOO', price=10, amount=1)
+    pos = broker.add_position('FOO', price=10, amount=1, bar_index=0)
 
     assert pos.entry_price() == 10
     assert pos.size() == 1
@@ -20,7 +20,7 @@ def test_broker_add_position_enough_cash():
 def test_broker_add_position_not_enough_cash():
     broker = Broker(initial_cash=100)
 
-    pos = broker.add_position('FOO', price=1000, amount=1)
+    pos = broker.add_position('FOO', price=1000, amount=1, bar_index=0)
 
     assert pos is None
 
@@ -28,7 +28,7 @@ def test_broker_percentage_commissions():
     broker = Broker(initial_cash=100)
     broker.set_commission(percentage=0.05) # 0.05%
 
-    pos = broker.add_position('FOO', price=10, amount=1)
+    pos = broker.add_position('FOO', price=10, amount=1, bar_index=0)
 
     should_be_cash = 100 - 10 - 10 * 0.01 * 0.05
 
@@ -37,15 +37,15 @@ def test_broker_percentage_commissions():
 def test_broker_all_position():
     broker = Broker(initial_cash=100)
 
-    pos = broker.add_position('FOO', price=10, amount=1)
+    pos = broker.add_position('FOO', price=10, amount=1, bar_index=0)
 
     assert pos in broker.all_positions()
 
 def test_broker_close_position():
     broker = Broker(initial_cash=100)
 
-    pos = broker.add_position('FOO', price=10, amount=1)
-    broker.close_position(pos, price=12)
+    pos = broker.add_position('FOO', price=10, amount=1, bar_index=0)
+    broker.close_position(pos, price=12, bar_index=1)
 
     assert broker.cash() == 100 + 2
 
@@ -54,8 +54,8 @@ def test_broker_close_position_with_commission():
     
     broker.set_commission(percentage=1) # 1%
 
-    pos = broker.add_position('FOO', price=10, amount=1)
-    broker.close_position(pos, price=12)
+    pos = broker.add_position('FOO', price=10, amount=1, bar_index=0)
+    broker.close_position(pos, price=12, bar_index=1)
 
     assert broker.cash() == 100 + 2 - (10 + 12) * 0.01