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76 lines
2.2 KiB
76 lines
2.2 KiB
import datetime
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import pandas as pd # type: ignore
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from ..interfaces import DataBroker, CandlesProperties
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class Backtest(DataBroker):
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"""
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Backtest Broker
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"""
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def __init__(self, f_name: str, start: int = 0, **kwargs) -> None:
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"""Read the csv file and store it into a dataframe"""
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super().__init__()
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self.data = self._prepare_data(f_name, **kwargs)
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self.dates = self.data.index.levels[0]
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self._date0 = self.dates[0]
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self.step = self.calc_step()
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self._cursor = start
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self.start = start - 1
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def calc_step(self) -> datetime.datetime:
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return min(self.dates[i] - self.dates[i - 1] for i in range(1, 10))
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@property
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def cursor(self) -> datetime.datetime:
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return self.dates[self._cursor]
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@property
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def change_rate_history(self) -> pd.DataFrame:
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return self.data.close.unstack(level=1)
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@staticmethod
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def _prepare_data(f_name: str, **kwargs) -> pd.DataFrame:
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data = pd.read_csv(f_name, index_col=[0, 1], parse_dates=True, **kwargs)
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data.sort_index(inplace=True)
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data.fillna(method="ffill", inplace=True)
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return data
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@property
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def properties(self) -> CandlesProperties:
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"""Return the properties of the candles for this broker."""
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return CandlesProperties(period=self.step)
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@property
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def current_change(self) -> pd.DataFrame:
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"""Return the current change for each money."""
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return self.data.loc[(self.cursor,)]["close"].to_dict()
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def __iter__(self) -> "DataBroker":
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"""Initialise the iterator."""
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self._cursor = self.start
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return self
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@property
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def __next__(self) -> pd.DataFrame:
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"""Next values.
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Return the dataframe of all stock history for the strategy / indicators.
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Returns:
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DataFrame: Time-Stock valuated candlestick data.
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For each time and each stock give (high, low, open, close).
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"""
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self._cursor += 1
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try:
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return self.data.loc[(self._date0,) : (self.cursor,)].copy # type: ignore
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except IndexError:
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self._cursor -= 1
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raise StopIteration
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def __len__(self) -> int:
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return len(self.dates) - self.start
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