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mhallsmoore
Could not subscribe ticker SPY as no data CSV found for pricing.
I am using python 3.7
from collections import deque import datetime
import numpy as np
from qstrader import settings from qstrader.strategy.base import AbstractStrategy from qstrader.event import SignalEvent, EventType from qstrader.compat import queue from qstrader.trading_session import TradingSession
class MovingAverageCrossStrategy(AbstractStrategy): """ Requires: ticker - The ticker symbol being used for moving averages events_queue - A handle to the system events queue short_window - Lookback period for short moving average long_window - Lookback period for long moving average """ def init( self, ticker, events_queue, short_window=100, long_window=300, base_quantity=100 ): self.ticker = ticker self.events_queue = events_queue self.short_window = short_window self.long_window = long_window self.base_quantity = base_quantity self.bars = 0 self.invested = False self.sw_bars = deque(maxlen=self.short_window) self.lw_bars = deque(maxlen=self.long_window)
def calculate_signals(self, event):
if (
event.type == EventType.BAR and
event.ticker == self.ticker
):
# Add latest adjusted closing price to the
# short and long window bars
self.lw_bars.append(event.adj_close_price)
if self.bars > self.long_window - self.short_window:
self.sw_bars.append(event.adj_close_price)
# Enough bars are present for trading
if self.bars > self.long_window:
# Calculate the simple moving averages
short_sma = np.mean(self.sw_bars)
long_sma = np.mean(self.lw_bars)
# Trading signals based on moving average cross
if short_sma > long_sma and not self.invested:
print("LONG %s: %s" % (self.ticker, event.time))
signal = SignalEvent(
self.ticker, "BOT",
suggested_quantity=self.base_quantity
)
self.events_queue.put(signal)
self.invested = True
elif short_sma < long_sma and self.invested:
print("SHORT %s: %s" % (self.ticker, event.time))
signal = SignalEvent(
self.ticker, "SLD",
suggested_quantity=self.base_quantity
)
self.events_queue.put(signal)
self.invested = False
self.bars += 1
def run(config, testing, tickers, filename): # Backtest information title = ['Moving Average Crossover Example on AAPL: 100x300'] initial_equity = 10000.0 start_date = datetime.datetime(2000, 1, 1) end_date = datetime.datetime(2014, 1, 1)
# Use the MAC Strategy
events_queue = queue.Queue()
strategy = MovingAverageCrossStrategy(
tickers[0], events_queue,
short_window=100,
long_window=300
)
# Set up the backtest
backtest = TradingSession(
config, strategy, tickers,
initial_equity, start_date, end_date,
events_queue, title=title,
benchmark=tickers[0],
)
results = backtest.start_trading(testing=testing)
return results
if name == "main": # Configuration data testing = False config = settings.from_file( settings.DEFAULT_CONFIG_FILENAME, testing ) tickers = ["SPY"] filename = None run(config, testing, tickers, filename)
cffi_ext.c
D:\Anaconda3.7\lib\site-packages\zmq\backend\cffi_pycache_cffi_ext.c(213): fatal error C1083: Cannot open include file: 'sys/un.h': No such file or directory
cffi_ext.c
D:\Anaconda3.7\lib\site-packages\zmq\backend\cffi_pycache_cffi_ext.c(213): fatal error C1083: Cannot open include file: 'sys/un.h': No such file or directory
cffi_ext.c
D:\Anaconda3.7\lib\site-packages\zmq\backend\cffi_pycache_cffi_ext.c(213): fatal error C1083: Cannot open include file: 'sys/un.h': No such file or directory
cffi_ext.c
D:\Anaconda3.7\lib\site-packages\zmq\backend\cffi_pycache_cffi_ext.c(213): fatal error C1083: Cannot open include file: 'sys/un.h': No such file or directory
Traceback (most recent call last):
File "E:/区块链工作/区块链工作总结整理/回测系统开发/qstrader-master/examples/moving_average_cross_backtest.py", line 108, in
Do not know how to solve it
Prob an unsupported pandas version with deprecated functions
On Thu, 20 Dec 2018, 06:26 StudyQuant <[email protected] wrote:
I am using python 3.7
from collections import deque import datetime
import numpy as np
from qstrader import settings from qstrader.strategy.base import AbstractStrategy from qstrader.event import SignalEvent, EventType from qstrader.compat import queue from qstrader.trading_session import TradingSession
class MovingAverageCrossStrategy(AbstractStrategy): """ Requires: ticker - The ticker symbol being used for moving averages events_queue - A handle to the system events queue short_window - Lookback period for short moving average long_window - Lookback period for long moving average """ def init( self, ticker, events_queue, short_window=100, long_window=300, base_quantity=100 ): self.ticker = ticker self.events_queue = events_queue self.short_window = short_window self.long_window = long_window self.base_quantity = base_quantity self.bars = 0 self.invested = False self.sw_bars = deque(maxlen=self.short_window) self.lw_bars = deque(maxlen=self.long_window)
def calculate_signals(self, event):
if ( event.type == EventType.BAR and event.ticker == self.ticker ): # Add latest adjusted closing price to the # short and long window bars self.lw_bars.append(event.adj_close_price) if self.bars > self.long_window - self.short_window: self.sw_bars.append(event.adj_close_price) # Enough bars are present for trading if self.bars > self.long_window: # Calculate the simple moving averages short_sma = np.mean(self.sw_bars) long_sma = np.mean(self.lw_bars) # Trading signals based on moving average cross if short_sma > long_sma and not self.invested: print("LONG %s: %s" % (self.ticker, event.time)) signal = SignalEvent( self.ticker, "BOT", suggested_quantity=self.base_quantity ) self.events_queue.put(signal) self.invested = True elif short_sma < long_sma and self.invested: print("SHORT %s: %s" % (self.ticker, event.time)) signal = SignalEvent( self.ticker, "SLD", suggested_quantity=self.base_quantity ) self.events_queue.put(signal) self.invested = False self.bars += 1def run(config, testing, tickers, filename):
Backtest information
title = ['Moving Average Crossover Example on AAPL: 100x300'] initial_equity = 10000.0 start_date = datetime.datetime(2000, 1, 1) end_date = datetime.datetime(2014, 1, 1)
Use the MAC Strategy
events_queue = queue.Queue()
strategy = MovingAverageCrossStrategy(
tickers[0], events_queue, short_window=100, long_window=300)
Set up the backtest
backtest = TradingSession(
config, strategy, tickers, initial_equity, start_date, end_date, events_queue, title=title, benchmark=tickers[0],)
results = backtest.start_trading(testing=testing)
return results
if name == "main":
Configuration data
testing = False config = settings.from_file( settings.DEFAULT_CONFIG_FILENAME, testing ) tickers = ["SPY"] filename = None run(config, testing, tickers, filename)
cffi_ext.c D:\Anaconda3.7\lib\site-packages\zmq\backend\cffi_pycache_cffi_ext.c(213): fatal error C1083: Cannot open include file: 'sys/un.h': No such file or directory
cffi_ext.c D:\Anaconda3.7\lib\site-packages\zmq\backend\cffi_pycache_cffi_ext.c(213): fatal error C1083: Cannot open include file: 'sys/un.h': No such file or directory
cffi_ext.c D:\Anaconda3.7\lib\site-packages\zmq\backend\cffi_pycache_cffi_ext.c(213): fatal error C1083: Cannot open include file: 'sys/un.h': No such file or directory
cffi_ext.c D:\Anaconda3.7\lib\site-packages\zmq\backend\cffi_pycache_cffi_ext.c(213): fatal error C1083: Cannot open include file: 'sys/un.h': No such file or directory Traceback (most recent call last): File "E:/区块链工作/区块链工作总结整理/回测系统开发/qstrader-master/examples/moving_average_cross_backtest.py", line 108, in run(config, testing, tickers, filename) File "E:/区块链工作/区块链工作总结整理/回测系统开发/qstrader-master/examples/moving_average_cross_backtest.py", line 94, in run benchmark=tickers[0], File "D:\Anaconda3.7\lib\site-packages\qstrader\trading_session.py", line 52, in init self._config_session() File "D:\Anaconda3.7\lib\site-packages\qstrader\trading_session.py", line 68, in _config_session end_date=self.end_date File "D:\Anaconda3.7\lib\site-packages\qstrader\price_handler\yahoo_daily_csv_bar.py", line 38, in init self.bar_stream = self._merge_sort_ticker_data() File "D:\Anaconda3.7\lib\site-packages\qstrader\price_handler\yahoo_daily_csv_bar.py", line 68, in _merge_sort_ticker_data df = pd.concat(self.tickers_data.values()).sort_index() File "D:\Anaconda3.7\lib\site-packages\pandas\core\reshape\concat.py", line 225, in concat copy=copy, sort=sort) File "D:\Anaconda3.7\lib\site-packages\pandas\core\reshape\concat.py", line 259, in init raise ValueError('No objects to concatenate') ValueError: No objects to concatenate Could not subscribe ticker SPY as no data CSV found for pricing.
Do not know how to solve it
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