1#!/usr/bin/env python
2# -*- coding: utf-8; py-indent-offset:4 -*-
3###############################################################################
4#
5# Copyright (C) 2017 Daniel Rodriguez
6#
7# This program is free software: you can redistribute it and/or modify
8# it under the terms of the GNU General Public License as published by
9# the Free Software Foundation, either version 3 of the License, or
10# (at your option) any later version.
11#
12# This program is distributed in the hope that it will be useful,
13# but WITHOUT ANY WARRANTY; without even the implied warranty of
14# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
15# GNU General Public License for more details.
16#
17# You should have received a copy of the GNU General Public License
18# along with this program.  If not, see <http://www.gnu.org/licenses/>.
19#
20###############################################################################
21from __future__ import (absolute_import, division, print_function,
22                        unicode_literals)
23
24
25import argparse
26import datetime
27
28import backtrader as bt
29
30
31class TestSizer(bt.Sizer):
32    params = dict(stake=1)
33
34    def _getsizing(self, comminfo, cash, data, isbuy):
35        dt, i = self.strategy.datetime.date(), data._id
36        s = self.p.stake * (1 + (not isbuy))
37        print('{} Data {} OType {} Sizing to {}'.format(
38            dt, data._name, ('buy' * isbuy) or 'sell', s))
39
40        return s
41
42
43class St(bt.Strategy):
44    params = dict(
45        enter=[1, 3, 4],  # data ids are 1 based
46        hold=[7, 10, 15],  # data ids are 1 based
47        usebracket=True,
48        rawbracket=True,
49        pentry=0.015,
50        plimits=0.03,
51        valid=10,
52    )
53
54    def notify_order(self, order):
55        if order.status == order.Submitted:
56            return
57
58        dt, dn = self.datetime.date(), order.data._name
59        print('{} {} Order {} Status {}'.format(
60            dt, dn, order.ref, order.getstatusname())
61        )
62
63        whichord = ['main', 'stop', 'limit', 'close']
64        if not order.alive():  # not alive - nullify
65            dorders = self.o[order.data]
66            idx = dorders.index(order)
67            dorders[idx] = None
68            print('-- No longer alive {} Ref'.format(whichord[idx]))
69
70            if all(x is None for x in dorders):
71                dorders[:] = []  # empty list - New orders allowed
72
73    def __init__(self):
74        self.o = dict()  # orders per data (main, stop, limit, manual-close)
75        self.holding = dict()  # holding periods per data
76
77    def next(self):
78        for i, d in enumerate(self.datas):
79            dt, dn = self.datetime.date(), d._name
80            pos = self.getposition(d).size
81            print('{} {} Position {}'.format(dt, dn, pos))
82
83            if not pos and not self.o.get(d, None):  # no market / no orders
84                if dt.weekday() == self.p.enter[i]:
85                    if not self.p.usebracket:
86                        self.o[d] = [self.buy(data=d)]
87                        print('{} {} Buy {}'.format(dt, dn, self.o[d][0].ref))
88
89                    else:
90                        p = d.close[0] * (1.0 - self.p.pentry)
91                        pstp = p * (1.0 - self.p.plimits)
92                        plmt = p * (1.0 + self.p.plimits)
93                        valid = datetime.timedelta(self.p.valid)
94
95                        if self.p.rawbracket:
96                            o1 = self.buy(data=d, exectype=bt.Order.Limit,
97                                          price=p, valid=valid, transmit=False)
98
99                            o2 = self.sell(data=d, exectype=bt.Order.Stop,
100                                           price=pstp, size=o1.size,
101                                           transmit=False, parent=o1)
102
103                            o3 = self.sell(data=d, exectype=bt.Order.Limit,
104                                           price=plmt, size=o1.size,
105                                           transmit=True, parent=o1)
106
107                            self.o[d] = [o1, o2, o3]
108
109                        else:
110                            self.o[d] = self.buy_bracket(
111                                data=d, price=p, stopprice=pstp,
112                                limitprice=plmt, oargs=dict(valid=valid))
113
114                        print('{} {} Main {} Stp {} Lmt {}'.format(
115                            dt, dn, *(x.ref for x in self.o[d])))
116
117                    self.holding[d] = 0
118
119            elif pos:  # exiting can also happen after a number of days
120                self.holding[d] += 1
121                if self.holding[d] >= self.p.hold[i]:
122                    o = self.close(data=d)
123                    self.o[d].append(o)  # manual order to list of orders
124                    print('{} {} Manual Close {}'.format(dt, dn, o.ref))
125                    if self.p.usebracket:
126                        self.cancel(self.o[d][1])  # cancel stop side
127                        print('{} {} Cancel {}'.format(dt, dn, self.o[d][1]))
128
129
130def runstrat(args=None):
131    args = parse_args(args)
132
133    cerebro = bt.Cerebro()
134
135    # Data feed kwargs
136    kwargs = dict()
137
138    # Parse from/to-date
139    dtfmt, tmfmt = '%Y-%m-%d', 'T%H:%M:%S'
140    for a, d in ((getattr(args, x), x) for x in ['fromdate', 'todate']):
141        if a:
142            strpfmt = dtfmt + tmfmt * ('T' in a)
143            kwargs[d] = datetime.datetime.strptime(a, strpfmt)
144
145    # Data feed
146    data0 = bt.feeds.YahooFinanceCSVData(dataname=args.data0, **kwargs)
147    cerebro.adddata(data0, name='d0')
148
149    data1 = bt.feeds.YahooFinanceCSVData(dataname=args.data1, **kwargs)
150    data1.plotinfo.plotmaster = data0
151    cerebro.adddata(data1, name='d1')
152
153    data2 = bt.feeds.YahooFinanceCSVData(dataname=args.data2, **kwargs)
154    data2.plotinfo.plotmaster = data0
155    cerebro.adddata(data2, name='d2')
156
157    # Broker
158    cerebro.broker = bt.brokers.BackBroker(**eval('dict(' + args.broker + ')'))
159    cerebro.broker.setcommission(commission=0.001)
160
161    # Sizer
162    # cerebro.addsizer(bt.sizers.FixedSize, **eval('dict(' + args.sizer + ')'))
163    cerebro.addsizer(TestSizer, **eval('dict(' + args.sizer + ')'))
164
165    # Strategy
166    cerebro.addstrategy(St, **eval('dict(' + args.strat + ')'))
167
168    # Execute
169    cerebro.run(**eval('dict(' + args.cerebro + ')'))
170
171    if args.plot:  # Plot if requested to
172        cerebro.plot(**eval('dict(' + args.plot + ')'))
173
174
175def parse_args(pargs=None):
176    parser = argparse.ArgumentParser(
177        formatter_class=argparse.ArgumentDefaultsHelpFormatter,
178        description=(
179            'Multiple Values and Brackets'
180        )
181    )
182
183    parser.add_argument('--data0', default='../../datas/nvda-1999-2014.txt',
184                        required=False, help='Data0 to read in')
185
186    parser.add_argument('--data1', default='../../datas/yhoo-1996-2014.txt',
187                        required=False, help='Data1 to read in')
188
189    parser.add_argument('--data2', default='../../datas/orcl-1995-2014.txt',
190                        required=False, help='Data1 to read in')
191
192    # Defaults for dates
193    parser.add_argument('--fromdate', required=False, default='2001-01-01',
194                        help='Date[time] in YYYY-MM-DD[THH:MM:SS] format')
195
196    parser.add_argument('--todate', required=False, default='2007-01-01',
197                        help='Date[time] in YYYY-MM-DD[THH:MM:SS] format')
198
199    parser.add_argument('--cerebro', required=False, default='',
200                        metavar='kwargs', help='kwargs in key=value format')
201
202    parser.add_argument('--broker', required=False, default='',
203                        metavar='kwargs', help='kwargs in key=value format')
204
205    parser.add_argument('--sizer', required=False, default='',
206                        metavar='kwargs', help='kwargs in key=value format')
207
208    parser.add_argument('--strat', required=False, default='',
209                        metavar='kwargs', help='kwargs in key=value format')
210
211    parser.add_argument('--plot', required=False, default='',
212                        nargs='?', const='{}',
213                        metavar='kwargs', help='kwargs in key=value format')
214
215    return parser.parse_args(pargs)
216
217
218if __name__ == '__main__':
219    runstrat()
220