Added BarEvent event object to encapsulate OHLCV data at various peri…

…od resolutions. Modified the PriceHandler base class hierarchy such that subsequent PriceHandler objects can now have a TICK_HANDLER or BAR_HANDLER type. Modified remainder of code to work with TickEvent and BarEvent objects.

backtest/backtest.py

@@ -92,11 +92,15 @@ def _run_backtest(self):
         print("Running Backtest...")
         iters = 0
         ticks = 0
+        bars = 0
         while iters < self.max_iters and self.price_handler.continue_backtest:
             try:
                 event = self.events_queue.get(False)
             except queue.Empty:
-                self.price_handler.stream_next_tick()
+                if self.price_handler.type == "TICK_HANDLER":
+                    self.price_handler.stream_next_tick()
+                else:
+                    self.price_handler.stream_next_bar()
             else:
                 if event is not None:
                     if event.type == 'TICK':
@@ -106,6 +110,13 @@ def _run_backtest(self):
                         self.strategy.calculate_signals(event)
                         self.portfolio_handler.update_portfolio_value()
                         ticks += 1
+                    elif event.type == 'BAR':
+                        self.cur_time = event.time
+                        print("Bar %s, at %s" % (bars, self.cur_time))
+                        self._append_equity_state()
+                        self.strategy.calculate_signals(event)
+                        self.portfolio_handler.update_portfolio_value()
+                        bars += 1
                     elif event.type == 'SIGNAL':
                         self.portfolio_handler.on_signal(event)
                     elif event.type == 'ORDER':
@@ -124,4 +135,5 @@ def simulate_trading(self):
         print("Backtest complete.")
         statistics = Statistics()
         statistics.generate_results()
-        statistics.plot_results()
+        statistics.plot_results()
+

event/event.py

@@ -44,6 +44,99 @@ def __repr__(self):
         return str(self)
 
 
+class BarEvent(Event):
+    """
+    Handles the event of receiving a new market
+    open-high-low-close-volume bar, as would be generated 
+    via common data providers such as Yahoo Finance.
+    """
+    def __init__(
+        self, ticker, time, period, 
+        open_price, high_price, low_price, 
+        close_price, volume, adj_close_price=None
+    ):
+        """
+        Initialises the BarEvent.
+
+        Parameters:
+        ticker - The ticker symbol, e.g. 'GOOG'.
+        time - The timestamp of the bar
+        period - The time period covered by the bar in seconds
+        open_price - The unadjusted opening price of the bar
+        high_price - The unadjusted high price of the bar
+        low_price - The unadjusted low price of the bar
+        close_price - The unadjusted close price of the bar
+        volume - The volume of trading within the bar
+        adj_close_price - The vendor adjusted closing price 
+            (e.g. back-adjustment) of the bar
+
+        Note: It is not advised to use 'open', 'close' instead
+        of 'open_price', 'close_price' as 'open' is a reserved
+        word in Python.
+        """
+        self.type = 'BAR'
+        self.ticker = ticker
+        self.time = time
+        self.period = period
+        self.open_price = open_price
+        self.high_price = high_price
+        self.low_price = low_price
+        self.close_price = close_price
+        self.volume = volume
+        self.adj_close_price = adj_close_price
+        self.period_readable = self._readable_period()
+
+    def _readable_period(self):
+        """
+        Creates a human-readable period from the number
+        of seconds specified for 'period'.
+
+        For instance, converts:
+        * 1 -> '1sec'
+        * 5 -> '5secs'
+        * 60 -> '1min'
+        * 300 -> '5min'
+
+        If no period is found in the lookup table, the human
+        readable period is simply passed through from period,
+        in seconds.
+        """
+        lut = {
+            1: "1sec",
+            5: "5sec",
+            10: "10sec",
+            15: "15sec",
+            30: "30sec",
+            60: "1min",
+            300: "5min",
+            600: "10min",
+            900: "15min",
+            1800: "30min",
+            3600: "1hr",
+            86400: "1day",
+            604800: "1wk"
+        }
+        if self.period in lut:
+            return lut[self.period]
+        else:
+            return "%ssec" % str(self.period)
+
+    def __str__(self):
+        format_str = "Type: %s, Ticker: %s, Time: %s, Period: %s, " \
+            "Open: %s, High: %s, Low: %s, Close: %s, " \
+            "Adj Close: %s, Volume: %s" % (
+                str(self.type), str(self.ticker), str(self.time),
+                str(self.period_readable), str(self.open_price),
+                str(self.high_price), str(self.low_price),
+                str(self.close_price), str(self.adj_close_price),
+                str(self.volume)
+            )
+        return format_str
+
+    def __repr__(self):
+        return str(self)
+
+
 class SignalEvent(Event):
     """
     Handles the event of sending a Signal from a Strategy object.

examples/test_sp500tr_buy_and_hold_backtest.py

@@ -4,7 +4,7 @@
 from qstrader.execution_handler.execution_handler import IBSimulatedExecutionHandler
 from qstrader.portfolio_handler.portfolio_handler import PortfolioHandler
 from qstrader.position_sizer.position_sizer import TestPositionSizer
-from qstrader.price_handler.price_handler import YahooDailyBarPriceHandler
+from qstrader.price_handler.yahoo_price_handler import YahooDailyBarPriceHandler
 from qstrader.risk_manager.risk_manager import TestRiskManager
 from qstrader import settings
 from qstrader.strategy.strategy import BuyAndHoldStrategy

execution_handler/execution_handler.py

@@ -81,11 +81,15 @@ def execute_order(self, event):
             quantity = event.quantity
 
             # Obtain the fill price
-            bid, ask = self.price_handler.get_best_bid_ask(ticker)
-            if event.action == "BOT":
-                fill_price = Decimal(str(ask))
+            if self.price_handler.type == "TICK_HANDLER":
+                bid, ask = self.price_handler.get_best_bid_ask(ticker)
+                if event.action == "BOT":
+                    fill_price = Decimal(str(ask))
+                else:
+                    fill_price = Decimal(str(bid))
             else:
-                fill_price = Decimal(str(bid))
+                close_price = self.price_handler.get_last_close(ticker)
+                fill_price = Decimal(str(close_price))
 
             # Set a dummy exchange and calculate trade commission
             exchange = "ARCA"

portfolio/portfolio.py

@@ -40,7 +40,12 @@ def _update_portfolio(self):
         """
         for ticker in self.positions:
             pt = self.positions[ticker]
-            bid, ask = self.price_handler.get_best_bid_ask(ticker)
+            if self.price_handler.type == "TICK_HANDLER":
+                bid, ask = self.price_handler.get_best_bid_ask(ticker)
+            else:
+                close_price = self.price_handler.get_last_close(ticker)
+                bid = close_price
+                ask = close_price
             pt.update_market_value(bid, ask)
             self.unrealised_pnl += pt.unrealised_pnl
             self.realised_pnl += pt.realised_pnl
@@ -66,7 +71,12 @@ def _add_position(
         """
         self._reset_values()
         if ticker not in self.positions:
-            bid, ask = self.price_handler.get_best_bid_ask(ticker)
+            if self.price_handler.type == "TICK_HANDLER":
+                bid, ask = self.price_handler.get_best_bid_ask(ticker)
+            else:
+                close_price = self.price_handler.get_last_close(ticker)
+                bid = close_price
+                ask = close_price
             position = Position(
                 action, ticker, quantity,
                 price, commission, bid, ask
@@ -97,7 +107,12 @@ def _modify_position(
             self.positions[ticker].transact_shares(
                 action, quantity, price, commission
             )
-            bid, ask = self.price_handler.get_best_bid_ask(ticker)
+            if self.price_handler.type == "TICK_HANDLER":
+                bid, ask = self.price_handler.get_best_bid_ask(ticker)
+            else:
+                close_price = self.price_handler.get_last_close(ticker)
+                bid = close_price
+                ask = close_price
             self.positions[ticker].update_market_value(bid, ask)
             self._update_portfolio()
         else:

portfolio/portfolio_test.py

@@ -6,7 +6,7 @@
 
 class PriceHandlerMock(object):
     def __init__(self):
-        pass
+        self.type = "TICK_HANDLER"
 
     def get_best_bid_ask(self, ticker):
         prices = {

portfolio_handler/portfolio_handler_test.py

@@ -9,7 +9,7 @@
 
 class PriceHandlerMock(object):
     def __init__(self):
-        pass
+        self.type = "TICK_HANDLER"
 
     def get_best_bid_ask(self, ticker):
         prices = {