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Jenkins T. Quantopian, III
111 lines
3.6 KiB
Python
111 lines
3.6 KiB
Python
import datetime
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import zmq
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import pymongo
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import pymongo.json_util
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import json
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import pytz
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import copy
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import multiprocessing
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import logging
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import random
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from pymongo import ASCENDING, DESCENDING
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from simulator.backtest.util import *
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from simulator.qbt_server import * #connect_db
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class DataSource(object):
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def __init__(self, feed, source_id):
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self.source_id = source_id
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self.logger = logging.getLogger()
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self.feed = feed
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self.sync = FeedSync(self.feed, str(source_id))
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self.data_address = self.feed.data_address
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self.logger.info("data address is {ds}".format(ds=self.feed.data_address))
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self.cur_event = None
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def start(self):
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self.proc = multiprocessing.Process(target=self.run)
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self.proc.start()
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def open(self):
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self.logger.info("starting data source:{source_id} on {addr}".format(source_id=self.source_id, addr=self.feed.data_address))
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self.context = zmq.Context()
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#create the data sink. Based on http://zguide.zeromq.org/py:tasksink2
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self.data_socket = self.context.socket(zmq.PUSH)
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self.data_socket.connect(self.data_address)
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#signal we are ready
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self.sync.confirm()
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def run(self):
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try:
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self.open()
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self.send_all()
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self.close()
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except Exception as err:
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self.logger.error(err, "Unexpected failure running datasource - {name}.".format(name=name))
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def send(self, event):
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event['s'] = self.source_id
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event['type'] = 'event'
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self.data_socket.send(json.dumps(event))
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def close(self):
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done_msg = {}
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done_msg['type'] = 'DONE'
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done_msg['s'] = self.source_id
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self.data_socket.send(json.dumps(done_msg))
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self.data_socket.close()
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self.context.term()
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self.logger.info("finished processing data source")
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class EquityMinuteTrades(DataSource):
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def __init__(self, sid, feed, source_id):
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self.sid = sid
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self.connection, self.db = connect_db()
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DataSource.__init__(self, feed, source_id)
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def send_all(self):
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eventQS = self.db.equity.trades.minute.find(fields=["sid","price","volume","dt"],
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spec={"sid":self.sid},
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sort=[("dt",ASCENDING)],
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slave_ok=True)
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self.logger.info("found {count} events".format(count=eventQS.count()))
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for doc in eventQS:
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doc_dt = doc['dt'].replace(tzinfo = pytz.utc)
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doc_dt_str = format_date(doc_dt)
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event = copy.copy(doc)
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event['dt'] = doc_dt_str
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del(event['_id'])
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self.send(event)
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class RandomEquityTrades(DataSource):
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def __init__(self, sid, feed, source_id, count):
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DataSource.__init__(self, feed, source_id)
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self.count = count
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self.sid = sid
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def send_all(self):
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trade_start = datetime.datetime.now()
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minute = datetime.timedelta(minutes=1)
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price = random.uniform(5.0,50.0)
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for i in range(self.count):
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price = price + random.uniform(-0.05,0.05)
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event = {'sid':self.sid, 'dt':format_date(trade_start + (minute * i)),'price':price, 'volume':random.randrange(100,10000,100)}
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self.send(event)
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