support multiple frequency bars in barfeed

.gitignore

@@ -17,3 +17,7 @@ doc/_build
 /notebooks
 
 /testcases/credentials.py
+*.log
+*.sqlite
+.DS_Store
+.vscode/settings.json

.travis.yml

@@ -1,6 +1,6 @@
 language: python
 python:
-  - "2.7"
+  - "3.6.8"
 
 env:
   global:
@@ -18,7 +18,7 @@ services:
   - docker
 
 before_install:
-  - docker pull gbecedillas/pyalgotrade:0.20-py27
+  - docker pull gbecedillas/pyalgotrade:0.20-py37
   - cp travis/Dockerfile .
   - docker build -t pyalgotrade_testcases .
   - sudo pip install coveralls

pyalgotrade/bar.py

@@ -27,23 +27,28 @@ class Frequency(object):
 
     """Enum like class for bar frequencies. Valid values are:
 
+    * **Frequency.UNKNOWN**: The bar represents an unknown frequency trade.
     * **Frequency.TRADE**: The bar represents a single trade.
     * **Frequency.SECOND**: The bar summarizes the trading activity during 1 second.
     * **Frequency.MINUTE**: The bar summarizes the trading activity during 1 minute.
     * **Frequency.HOUR**: The bar summarizes the trading activity during 1 hour.
+    * **Frequency.HOUR_4**: The bar summarizes the trading activity during 4 hour.
     * **Frequency.DAY**: The bar summarizes the trading activity during 1 day.
     * **Frequency.WEEK**: The bar summarizes the trading activity during 1 week.
     * **Frequency.MONTH**: The bar summarizes the trading activity during 1 month.
     """
 
     # It is important for frequency values to get bigger for bigger windows.
-    TRADE = -1
-    SECOND = 1
-    MINUTE = 60
-    HOUR = 60*60
-    DAY = 24*60*60
-    WEEK = 24*60*60*7
-    MONTH = 24*60*60*31
+    UNKNOWN     = -2
+    TRADE       = -1
+    REALTIME    = 0
+    SECOND      = 1
+    MINUTE      = 60
+    HOUR        = 60*60
+    HOUR_4      = 60*60*4
+    DAY         = 24*60*60
+    WEEK        = 24*60*60*7
+    MONTH       = 24*60*60*31
 
 
 @six.add_metaclass(abc.ABCMeta)
@@ -260,20 +265,24 @@ def __init__(self, barDict):
         # Check that bar datetimes are in sync
         firstDateTime = None
         firstInstrument = None
+        firstFreq = None
         for instrument, currentBar in six.iteritems(barDict):
             if firstDateTime is None:
                 firstDateTime = currentBar.getDateTime()
                 firstInstrument = instrument
+                firstFreq = currentBar.getFrequency()
             elif currentBar.getDateTime() != firstDateTime:
                 raise Exception("Bar data times are not in sync. %s %s != %s %s" % (
                     instrument,
                     currentBar.getDateTime(),
                     firstInstrument,
                     firstDateTime
                 ))
+            assert firstFreq == currentBar.getFrequency()
 
         self.__barDict = barDict
         self.__dateTime = firstDateTime
+        self.__frequency = firstFreq
 
     def __getitem__(self, instrument):
         """Returns the :class:`pyalgotrade.bar.Bar` for the given instrument.
@@ -301,3 +310,6 @@ def getDateTime(self):
     def getBar(self, instrument):
         """Returns the :class:`pyalgotrade.bar.Bar` for the given instrument or None if the instrument is not found."""
         return self.__barDict.get(instrument, None)
+
+    def getBarsFrequency(self):
+        return self.__frequency

pyalgotrade/barfeed/__init__.py

@@ -43,16 +43,20 @@ class BaseBarFeed(feed.BaseFeed):
         This is a base class and should not be used directly.
     """
 
-    def __init__(self, frequency, maxLen=None):
+    def __init__(self, frequencies, maxLen=None):
         super(BaseBarFeed, self).__init__(maxLen)
-        self.__frequency = frequency
+        if not isinstance(frequencies, list):
+            raise Exception('only frequencies list is accepted')
+        self.__frequencies = frequencies
         self.__useAdjustedValues = False
         self.__defaultInstrument = None
         self.__currentBars = None
+        self.__currentRealtimeBars = None
         self.__lastBars = {}
 
     def reset(self):
         self.__currentBars = None
+        self.__currentRealtimeBars = None
         self.__lastBars = {}
         super(BaseBarFeed, self).reset()
 
@@ -92,30 +96,38 @@ def createDataSeries(self, key, maxLen):
 
     def getNextValues(self):
         dateTime = None
+        freq = None
         bars = self.getNextBars()
         if bars is not None:
+            freq = bars.getBarsFrequency()
             dateTime = bars.getDateTime()
 
             # Check that current bar datetimes are greater than the previous one.
-            if self.__currentBars is not None and self.__currentBars.getDateTime() >= dateTime:
-                raise Exception(
-                    "Bar date times are not in order. Previous datetime was %s and current datetime is %s" % (
-                        self.__currentBars.getDateTime(),
-                        dateTime
+            if self.__currentBars is not None and self.__currentBars.getDateTime() > dateTime:
+                if freq == self.__currentBars.getBarsFrequency():
+                    raise Exception(
+                        "Bar date times are not in order. Previous datetime was %s and current datetime is %s" % (
+                            self.__currentBars.getDateTime(),
+                            dateTime
+                        )
                     )
-                )
 
             # Update self.__currentBars and self.__lastBars
             self.__currentBars = bars
             for instrument in bars.getInstruments():
                 self.__lastBars[instrument] = bars[instrument]
-        return (dateTime, bars)
+        return (dateTime, bars, freq)
 
-    def getFrequency(self):
-        return self.__frequency
+    def getAllFrequencies(self):
+        return self.__frequencies
 
     def isIntraday(self):
-        return self.__frequency < bar.Frequency.DAY
+        for i in self.__frequencies:
+            if i < bar.Frequency.DAY:
+                return True
+
+    def getCurrentRealtimeBars(self):
+        return self.__currentRealtimeBars
 
     def getCurrentBars(self):
         """Returns the current :class:`pyalgotrade.bar.Bars`."""
@@ -133,11 +145,11 @@ def getRegisteredInstruments(self):
         """Returns a list of registered intstrument names."""
         return self.getKeys()
 
-    def registerInstrument(self, instrument):
+    def registerInstrument(self, instrument, freq):
         self.__defaultInstrument = instrument
-        self.registerDataSeries(instrument)
+        self.registerDataSeries(instrument, freq)
 
-    def getDataSeries(self, instrument=None):
+    def getDataSeries(self, instrument=None, freq=None):
         """Returns the :class:`pyalgotrade.dataseries.bards.BarDataSeries` for a given instrument.
 
         :param instrument: Instrument identifier. If None, the default instrument is returned.
@@ -146,7 +158,7 @@ def getDataSeries(self, instrument=None):
         """
         if instrument is None:
             instrument = self.__defaultInstrument
-        return self[instrument]
+        return self[instrument, freq] if freq is not None else self[instrument]
 
     def getDispatchPriority(self):
         return dispatchprio.BAR_FEED
@@ -158,7 +170,7 @@ class OptimizerBarFeed(BaseBarFeed):
     def __init__(self, frequency, instruments, bars, maxLen=None):
         super(OptimizerBarFeed, self).__init__(frequency, maxLen)
         for instrument in instruments:
-            self.registerInstrument(instrument)
+            self.registerInstrument(instrument, frequency)
         self.__bars = bars
         self.__nextPos = 0
         self.__currDateTime = None

pyalgotrade/barfeed/csvfeed.py

@@ -286,8 +286,9 @@ def addBarsFromCSV(self, instrument, path, timezone=None, skipMalformedBars=Fals
         if timezone is None:
             timezone = self.__timezone
 
+        assert len(self.getAllFrequencies()) == 1
         rowParser = GenericRowParser(
-            self.__columnNames, self.__dateTimeFormat, self.getDailyBarTime(), self.getFrequency(),
+            self.__columnNames, self.__dateTimeFormat, self.getDailyBarTime(), self.getAllFrequencies()[0],
             timezone, self.__barClass
         )
 

pyalgotrade/barfeed/dbfeed.py

@@ -26,9 +26,10 @@ def addBars(self, bars, frequency):
             self.addBar(instrument, bar, frequency)
 
     def addBarsFromFeed(self, feed):
-        for dateTime, bars in feed:
+        assert len(feed.getAllFrequencies()) == 1
+        for dateTime, bars, _ in feed:
             if bars:
-                self.addBars(bars, feed.getFrequency())
+                self.addBars(bars, feed.getAllFrequencies()[0])
 
     def addBar(self, instrument, bar, frequency):
         raise NotImplementedError()

pyalgotrade/barfeed/googlefeed.py

@@ -145,6 +145,8 @@ def addBarsFromCSV(self, instrument, path, timezone=None, skipMalformedBars=Fals
 
         if timezone is None:
             timezone = self.__timezone
+
+        assert len(self.getAllFrequencies()) == 1
 
-        rowParser = RowParser(self.getDailyBarTime(), self.getFrequency(), timezone, self.__sanitizeBars)
+        rowParser = RowParser(self.getDailyBarTime(), self.getAllFrequencies()[0], timezone, self.__sanitizeBars)
         super(Feed, self).addBarsFromCSV(instrument, path, rowParser, skipMalformedBars=skipMalformedBars)

pyalgotrade/barfeed/membf.py

@@ -72,7 +72,10 @@ def addBarsFromSequence(self, instrument, bars):
         self.__bars[instrument].extend(bars)
         self.__bars[instrument].sort(key=lambda b: b.getDateTime())
 
-        self.registerInstrument(instrument)
+        assert len(self.getAllFrequencies()) == 1
+        for i in bars:
+            assert i.getFrequency() == self.getAllFrequencies()[0]
+        self.registerInstrument(instrument, self.getAllFrequencies()[0])
 
     def eof(self):
         ret = True
@@ -115,5 +118,5 @@ def getNextBars(self):
         return bar.Bars(ret)
 
     def loadAll(self):
-        for dateTime, bars in self:
+        for dateTime, bars, freq in self:
             pass

pyalgotrade/barfeed/ninjatraderfeed.py

@@ -145,5 +145,6 @@ def addBarsFromCSV(self, instrument, path, timezone=None):
         if timezone is None:
             timezone = self.__timezone
 
-        rowParser = RowParser(self.getFrequency(), self.getDailyBarTime(), timezone)
+        assert len(self.getAllFrequencies()) == 1
+        rowParser = RowParser(self.getAllFrequencies()[0], self.getDailyBarTime(), timezone)
         super(Feed, self).addBarsFromCSV(instrument, path, rowParser)

pyalgotrade/barfeed/resampled.py

@@ -62,7 +62,7 @@ def __init__(self, barFeed, frequency, maxLen=None):
 
         # Register the same instruments as in the underlying barfeed.
         for instrument in barFeed.getRegisteredInstruments():
-            self.registerInstrument(instrument)
+            self.registerInstrument(instrument, frequency)
 
         self.__values = []
         self.__barFeed = barFeed
@@ -72,15 +72,16 @@ def __init__(self, barFeed, frequency, maxLen=None):
         barFeed.getNewValuesEvent().subscribe(self.__onNewValues)
 
     def __onNewValues(self, dateTime, value):
+        assert len(self.getAllFrequencies()) == 1
         if self.__range is None:
-            self.__range = resamplebase.build_range(dateTime, self.getFrequency())
-            self.__grouper = BarsGrouper(self.__range.getBeginning(), value, self.getFrequency())
+            self.__range = resamplebase.build_range(dateTime, self.getAllFrequencies()[0])
+            self.__grouper = BarsGrouper(self.__range.getBeginning(), value, self.getAllFrequencies()[0])
         elif self.__range.belongs(dateTime):
             self.__grouper.addValue(value)
         else:
             self.__values.append(self.__grouper.getGrouped())
-            self.__range = resamplebase.build_range(dateTime, self.getFrequency())
-            self.__grouper = BarsGrouper(self.__range.getBeginning(), value, self.getFrequency())
+            self.__range = resamplebase.build_range(dateTime, self.getAllFrequencies()[0])
+            self.__grouper = BarsGrouper(self.__range.getBeginning(), value, self.getAllFrequencies()[0])
 
     def getCurrentDateTime(self):
         return self.__barFeed.getCurrentDateTime()

pyalgotrade/barfeed/sqlitefeed.py

@@ -152,5 +152,6 @@ def getDatabase(self):
         return self.__db
 
     def loadBars(self, instrument, timezone=None, fromDateTime=None, toDateTime=None):
-        bars = self.__db.getBars(instrument, self.getFrequency(), timezone, fromDateTime, toDateTime)
+        assert len(self.getAllFrequencies()) == 1
+        bars = self.__db.getBars(instrument, self.getAllFrequencies()[0], timezone, fromDateTime, toDateTime)
         self.addBarsFromSequence(instrument, bars)

pyalgotrade/barfeed/yahoofeed.py

@@ -146,7 +146,8 @@ def addBarsFromCSV(self, instrument, path, timezone=None):
         if timezone is None:
             timezone = self.__timezone
 
+        assert len(self.getAllFrequencies()) == 1
         rowParser = RowParser(
-            self.getDailyBarTime(), self.getFrequency(), timezone, self.__sanitizeBars, self.__barClass
+            self.getDailyBarTime(), self.getAllFrequencies()[0], timezone, self.__sanitizeBars, self.__barClass
         )
         super(Feed, self).addBarsFromCSV(instrument, path, rowParser)

pyalgotrade/bitstamp/livebroker.py

@@ -218,7 +218,7 @@ def stop(self):
         self.__tradeMonitor.stop()
 
     def join(self):
-        if self.__tradeMonitor.isAlive():
+        if self.__tradeMonitor.is_alive():
             self.__tradeMonitor.join()
 
     def eof(self):

pyalgotrade/bitstamp/livefeed.py

@@ -112,7 +112,7 @@ class LiveTradeFeed(barfeed.BaseBarFeed):
     def __init__(self, maxLen=None):
         super(LiveTradeFeed, self).__init__(bar.Frequency.TRADE, maxLen)
         self.__barDicts = []
-        self.registerInstrument(common.btc_symbol)
+        self.registerInstrument(common.btc_symbol, bar.Frequency.TRADE)
         self.__prevTradeDateTime = None
         self.__thread = None
         self.__wsClientConnected = False

pyalgotrade/broker/backtesting.py

@@ -423,9 +423,10 @@ def __preProcessOrder(self, order, bar_):
     def __postProcessOrder(self, order, bar_):
         # For non-GTC orders and daily (or greater) bars we need to check if orders should expire right now
         # before waiting for the next bar.
+        assert len(self.__barFeed.getAllFrequencies()) == 1
         if not order.getGoodTillCanceled():
             expired = False
-            if self.__barFeed.getFrequency() >= pyalgotrade.bar.Frequency.DAY:
+            if self.__barFeed.getAllFrequencies()[0] >= pyalgotrade.bar.Frequency.DAY:
                 expired = bar_.getDateTime().date() >= order.getAcceptedDateTime().date()
 
             # Cancel the order if it will expire in the next bar.

pyalgotrade/dataseries/__init__.py

@@ -135,7 +135,8 @@ def appendWithDateTime(self, dateTime, value):
         """
 
         if dateTime is not None and len(self.__dateTimes) != 0 and self.__dateTimes[-1] >= dateTime:
-            raise Exception("Invalid datetime. It must be bigger than that last one")
+            raise Exception("Invalid datetime. "
+                            "It must be bigger than that last one {0} {1}".format(self.__dateTimes[-1], dateTime))
 
         assert(len(self.__values) == len(self.__dateTimes))
         self.__dateTimes.append(dateTime)

pyalgotrade/eventprofiler.py

@@ -218,7 +218,7 @@ def run(self, feed, useAdjustedCloseForReturns=True):
             feed.getNewValuesEvent().unsubscribe(self.__onBars)
 
 
-def build_plot(profilerResults):
+def build_plot(profilerResults, alpha):
     # Calculate each value.
     x = []
     mean = []
@@ -231,6 +231,7 @@ def build_plot(profilerResults):
 
     # Cleanup
     plt.clf()
+
     # Plot a line with the mean cumulative returns.
     plt.plot(x, mean, color='#0000FF')
 
@@ -255,12 +256,12 @@ def build_plot(profilerResults):
     plt.ylabel('Cumulative returns')
 
 
-def plot(profilerResults):
+def plot(profilerResults, alpha=0):
     """Plots the result of the analysis.
 
     :param profilerResults: The result of the analysis
     :type profilerResults: :class:`Results`.
     """
 
-    build_plot(profilerResults)
+    build_plot(profilerResults, alpha)
     plt.show()