changes;

Author: akash-suresh

ADANIENT_F1.xlsx

@@ -28,7 +28,11 @@ def reset(self):
 
     def printOpenTrade(self):
         if self.currentTrade:
-            print 'Enter Price: {}, Enter Time: {}, TradeType: {}'.format(self.currentTrade.enterPrice, self.currentTrade.timeEntered, self.currentTrade.tradeType)
+            print 'OpenTrade - Enter Price: {}, Enter Time: {}, TradeType: {}'.format(self.currentTrade.enterPrice, self.currentTrade.timeEntered, self.currentTrade.tradeType)
+
+    def printAllTrades(self, verbose = False):
+        for trade in self.trades:
+            trade.toString(verbose)
 
     # @property
     # def enterPrice(self):

classes/DayEntry.py

@@ -1,9 +1,12 @@
+from utils.TimeUtil import revConvertTime
+
 class Renko:
-    def __init__(self, low, high, renkoType):
+    def __init__(self, low, high, renkoType, time):
         self.low = low
         self.high = high
         self.renkoType = renkoType
+        self.time = time
 
     def toString(self, verbose):
         if verbose:
-            print('low: {}, high: {}, type: {}'.format(self.low, self.high, self.renkoType))
+            print('time: {}, low: {}, high: {}, type: {}'.format(revConvertTime(self.time), self.low, self.high, self.renkoType))

classes/RenkoEntry.py

@@ -42,8 +42,11 @@ def exitTrade(self, exitType, timeExited, eodPrice, verbose = False):
             self.calculateProfitPercentage(self.enterPrice, self.exitPrice, brokerage)
         elif self.tradeType == -1:
             self.calculateProfitPercentage(self.exitPrice, self.enterPrice, brokerage)
+        self.toString(verbose)
+
+    def toString(self, verbose = False):
         if verbose:
-            print(self.tradeType, self.enterPrice, self.exitPrice, revConvertTime(self.timeEntered), revConvertTime(self.timeExited), self.profitPercentage)
+            print("{:d}, {:.4f}, {:.4f}, {:s}, {:s}, {:.4f}".format(self.tradeType, self.enterPrice, self.exitPrice, revConvertTime(self.timeEntered), revConvertTime(self.timeExited), self.profitPercentage))
 
     def calculateProfitPercentage(self, buyPrice, sellPrice, brokerage):
         self.profitPercentage = 100*(sellPrice*(1-brokerage) - buyPrice)/(1.0*buyPrice)

classes/TradeEntry.py

@@ -0,0 +1,8 @@
+class Year:
+    def __init__(self):
+        self.days = []
+        self.trades = []
+
+    def dayOver(self, day):
+        self.days.append(day)
+        map(lambda trade : self.trades.append(trade), day.trades)

classes/YearEntry.py

@@ -1,7 +1,7 @@
 
 # coding: utf-8
 
-# In[37]:
+# In[12]:
 
 
 import time
@@ -17,10 +17,11 @@
 from utils.FileUtil import getFutureList
 from collections import deque
 from utils.Constants import futuresList
+from classes.YearEntry import Year
 # import copy 
 
 
-# In[38]:
+# In[13]:
 
 
 def getSellEndOfDay(currentDate, stockType):
@@ -35,22 +36,26 @@ def renkoExperiment(paramList, stockType = 'FUTURES', verbose=False):
     newDay = Day(0, money, getSellEndOfDay(dateList[0], stockType))
     renkoDeque = deque(maxlen=paramEntry.stepCount)
     paramEntry.setBrickHeight(df['openingPrice'][0])
+    year = Year()
     for date in dateList:
         new_df = df[(df.date == date)]
         day = renkoScript(new_df, paramEntry, newDay, renkoDeque, stockType, verbose)
-#         if verbose:
-#             print(date, newDay.money, day.money, day.dailyTrades)
-#             day.printOpenTrade()
+        if verbose:
+            print(date, newDay.money, day.money, day.dailyTrades)
+            day.printOpenTrade()
         sellEndOfDay = getSellEndOfDay(date, stockType)
-        newDay = day.initializeNextDay(sellEndOfDay)   
+        newDay = day.initializeNextDay(sellEndOfDay)
+#         day.printAllTrades(True)
+#         year.dayOver(day)
+        
     yearlyProfitPercentage = (day.money - 1) * 100
     paramEntry.profitPercentage = yearlyProfitPercentage
     paramEntry.toString()
-   
+    
     return paramEntry
 
 
-# In[39]:
+# In[14]:
 
 
 def bruteAnalysis(stockName, parameterDict, pool, threadPoolSize):
@@ -79,18 +84,18 @@ def bruteAnalysis(stockName, parameterDict, pool, threadPoolSize):
     return csvList
 
 
-# In[43]:
+# In[15]:
 
 
 def getParameterGrid(parameterDict):
     parameterGrid = ParameterGrid(parameterDict)
     return parameterGrid
 
 def getRenkoParameterDict():
-    brickHeightPercentage = [0.05, 0.1, 0.15, 0.2, 0.25, 0.3]
-    stepCount = [3,4,5,7]
-#     brickHeightPercentage = [0.1]
-#     stepCount = [3]
+#     brickHeightPercentage = [0.05, 0.1, 0.15, 0.2, 0.25, 0.3]
+#     stepCount = [3,4,5,7]
+    brickHeightPercentage = [0.05]
+    stepCount = [3]
 
     parameterDict = {
                     'brickHeightPercentage' : brickHeightPercentage, 
@@ -99,14 +104,14 @@ def getRenkoParameterDict():
     return parameterDict
 
 
-# In[44]:
+# In[16]:
 
 
 # stockList = futuresList
-stockList= ['RELIANCE']
+stockList= ['ADANIENT_F1']
 
 
-# In[45]:
+# In[17]:
 
 
 threadPoolSize = 24
@@ -124,7 +129,7 @@ def getRenkoParameterDict():
 pool.join()
 
 
-# In[6]:
+# In[ ]:
 
 
 # parameterDict = getRenkoParameterDict()
@@ -167,3 +172,40 @@ def getRenkoParameterDict():
 
 len(futuresList)
 
+
+# In[14]:
+
+
+a = [1,2]
+b = [1,3,4]
+
+
+# In[15]:
+
+
+c = []
+
+
+# In[16]:
+
+
+map(lambda x : c.append(x), a)
+
+
+# In[17]:
+
+
+c
+
+
+# In[18]:
+
+
+map(lambda x : c.append(x), b)
+
+
+# In[19]:
+
+
+c
+

eom_renko_multiStock.ipynb

@@ -57,9 +57,9 @@ def dayScript(df, param, day, stockType, verbose = False):
 
 def getNewRenko(lastRenko, minute, brickHeight):
     if minute.high > lastRenko.high + brickHeight:
-        renko = Renko(lastRenko.high, lastRenko.high + brickHeight, 1)
+        renko = Renko(lastRenko.high, lastRenko.high + brickHeight, 1, minute.time)
     elif minute.low < lastRenko.low - brickHeight:
-        renko = Renko(lastRenko.low - brickHeight, lastRenko.low, -1)
+        renko = Renko(lastRenko.low - brickHeight, lastRenko.low, -1, minute.time)
     else:
         return None
     return renko
@@ -77,7 +77,7 @@ def generateRenko(minute, renkoDeque, brickHeight, stepCount, verbose):
     # import pdb;pdb.set_trace()
     size = len(renkoDeque)
     if size == 0:
-        newRenko = Renko(minute.openingPrice, minute.openingPrice, 0)
+        newRenko = Renko(minute.openingPrice, minute.openingPrice, 0, minute.time)
         newRenko.toString(verbose)
         renkoDeque.append(newRenko)
     else:
@@ -111,7 +111,7 @@ def renkoScript(df, param, day, renkoDeque, stockType, verbose = False):
     marketOpen, marketClose = getMarketDetails(stockType)
     for row in df.iterrows():
         minute = Minute(row)
-        minute.toString(verbose)
+        # minute.toString(verbose)
         renkoDeque = generateRenko(minute, renkoDeque, param.brickHeight, param.stepCount, verbose)
         if len(renkoDeque) == param.stepCount:
             if marketOpen <= minute.time < marketClose: