# -*-mode: python; py-indent-offset: 4; indent-tabs-mode: nil; encoding: utf-8-dos; coding: utf-8 -*-
"""
"""
import sys
import datetime
import pandas
from OpenTrader.Omlettes.Recipe import Recipe
class SMARecipe(Recipe):
#? should oOm be required?
def __init__(self, oOm=None, oFd=sys.stdout):
Recipe.__init__(self, oOm, oFd)
self.__fVersion__ = 1.0
self.sIniFile = 'SMARecipe.ini'
self.sFile = __file__
# make this a property>
def oEnsureConfigObj(self):
"""
oEnsureConfigObj ensures that the .ini file has been read.
For each recipe, an .ini file is now required and is relied on.
It's only read once, and is stored as self.oConfigObj
"""
if self.oConfigObj is not None:
return self.oConfigObj
self.vReadIniFile()
assert self.oConfigObj is not None
return self.oConfigObj
def dMakeIngredients(self, dFeeds):
"""
dMakeIngredients takes a dictionary of feeds dFeeds
with at least one key from lRequiredFeeds to work on.
It returns a dictionary of ingredients with the keys in lRequiredIngredients
and a copy of the config that it used as the key dIngredientsConfig.
"""
oC = self.oEnsureConfigObj()
assert oC is not None
iLongMa = oC['rLongMa']['iLongMa']
iShortMa = oC['rShortMa']['iShortMa']
bUseTalib = oC['rShortMa']['bUseTalib']
self.vCheckRequiredFeeds(dFeeds)
mFeedOhlc = dFeeds['mFeedOhlc']
iBeginValid = max(iLongMa, iShortMa)-1
iEndOhlc = len(mFeedOhlc)
if bUseTalib:
import talib
aShortMA = talib.SMA(mFeedOhlc.O.values, timeperiod=iShortMa)
aLongMA = talib.SMA(mFeedOhlc.O.values, timeperiod=iLongMa)
rShortMa = pandas.Series(aShortMA, name='O',
index=mFeedOhlc.O.index)
rLongMa = pandas.Series(aLongMA, name='O',
index=mFeedOhlc.O.index)
else:
rShortMa = pandas.rolling_mean(mFeedOhlc.O, iShortMa)
rLongMa = pandas.rolling_mean(mFeedOhlc.O, iLongMa)
rShortMa = rShortMa[iBeginValid:]
rLongMa = rLongMa[iBeginValid:]
mOhlc = mFeedOhlc[iBeginValid:]
self.oOm.vAppendHdf('recipe/ingredients/rShortMa', rShortMa)
self.oOm.vAppendHdf('recipe/ingredients/rLongMa', rLongMa)
self.dIngredients = dict(rShortMa=rShortMa, rLongMa=rLongMa,
mOhlc=mOhlc,
dIngredientsConfig=dict(oC))
return self.dIngredients
def dApplyRecipe(self):
"""dApplyRecipe
returns a dictionary with keys rBuy, rCover, rSell, rShort,
which are pandas timeseries
and a copy of the dDishesParams.
"""
#? copy this
dDishesParams = self.dIngredients
self.vCheckRequiredDishes(dDishesParams)
rShortMa = dDishesParams['rShortMa']
rLongMa = dDishesParams['rLongMa']
assert isinstance(rShortMa, pandas.Series) and len(rShortMa)
assert isinstance(rLongMa, pandas.Series) and len(rLongMa)
self.oFd.write('INFO: Data MA length %d\n' % len(rShortMa))
self.oFd.write('INFO: Date from: %s to: %s\n' % ( str(rShortMa.index[0]), str(rShortMa.index[-1]),))
rBuy = rCover = (rShortMa > rLongMa) & (rShortMa.shift() < rLongMa.shift()) # ma cross up
rSell = rShort = (rShortMa < rLongMa) & (rShortMa.shift() > rLongMa.shift()) # ma cross down
# maybe one day
dDishesParams = dict()
return dict(rBuy=rBuy, rCover=rCover, rSell=rSell, rShort=rShort,
dDishesParams=dDishesParams)
