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Live Environment
Raw
buyLow.py
import sys
import live
import datetime
highlowPeriods = 10
longMA = 200
shortMA = 50
portfolioFile = 'buyLow.txt'
comission = 3.95
slippage = 0
tickerList = live.importTickers('SP500.txt')
def buySignal(histData, liveQuote):
longMovingAve = live.sMA(histData, longMA)
shortMovingAve = live.sMA(histData, shortMA)
low = live.histLow(histData, highlowPeriods)
price = liveQuote['Price']
if price > longMovingAve and price > shortMovingAve and price < low:
print ''
print 'Ticker:', liveQuote['Ticker']
print 'Long MA:', longMovingAve
print 'Short MA:', shortMovingAve
print 'Low:', low
print 'Price:', price
print ''
return True
else:
return False
def sellSignal(histData, liveQuote, portDict):
shortMovingAverage = live.sMA(histData, shortMA)
high = live.histHigh(histData, highlowPeriods)
# if price sets new high or crosses MA
if (liveQuote['Price']<shortMovingAverage) or (liveQuote['Price'] > high):
return True
#if we run out of days
buyDate = portDict['Open Trades'][liveQuote['Ticker']]['Buy Date']
buyDate = datetime.date(int(buyDate[0:4]), int(buyDate[5:7]), int(buyDate[8:10]))
if (datetime.date.today() - buyDate >= datetime.timedelta(14)) and (datetime.datetime.now().time() > datetime.time(14, 30, 0, 0)):
return True
return False
def quoteDict(quote):
quote = quote.split('\t')
qDict = {'Time': quote[0],
'Ticker': quote[1],
'Price': float(quote[2]),
'Volume': int(quote[3][:len(quote[3])-1])
}
return qDict
def main(quote, portDict, histDataDict):
quote = quoteDict(quote)
#check if ticker has enough hitorical data
ticker = quote['Ticker']
try:
histDataDict[ticker]
TickerData = True
except KeyError:
TickerData = False
if TickerData:
#if we're holding the security
if ticker in portDict['Open Trades']:
#update position market value
portDict = live.updateMarketValues(portDict, quote, 'Portfolios\\' + portfolioFile)
#sell if signal is triggered
if sellSignal(histDataDict[ticker], quote, portDict):
portDict = live.sell(quote, portDict, comission, slippage)
live.updatePortfolio(portDict, 'Portfolios\\' + portfolioFile)
#if we're not holding
if not(ticker in portDict['Open Trades']) and portDict['Avail Trades']:
#if the buy signal is triggered
if buySignal(histDataDict[ticker], quote):
#buy security
portDict = live.buy(quote, portDict, comission, slippage)
live.updatePortfolio(portDict, 'Portfolios\\' + portfolioFile)
return portDict
Raw
buyLow.txt
Max Positions: 3.0
Open Positions: 3.0
Cost Basis: 9723.81
Market Value: 9771.40
Buying Power: 75.68
Portfolio Value: 99847.08
Return:
Open Trades:
BSX 2013-09-23 11.42 284 3243.28 3271.68 28.4
STZ 2013-09-23 57.03 57 3250.71 3247.86 -2.85
MUR 2013-09-23 60.94 53 3229.82 3247.31 17.49
Closed Trades:
SEE 2013-09-20 28.87 113.0 2013-09-20 28.75 -13.56
CI 2013-09-19 79.94 41.0 2013-09-19 78.63 -53.71
UNH 2013-09-19 72.25 45.0 2013-09-19 71.93 -14.4
LNC 2013-09-19 42.75 77.0 2013-09-19 42.67 -6.16
AAPL 2013-09-11 469.68 7.0 2013-09-16 459.54 -70.98
COG 2013-09-10 38.02 89.0 2013-09-13 37.55 -41.83
SYMC 2013-09-04 25.25 134.0 2013-09-12 24.38 -116.58
TSN 2013-08-26 30.85 116.0 2013-09-09 29.89 -111.36
FOSL 2013-09-05 112.9 29.0 2013-09-06 112.68 -6.38
FDO 2013-09-04 69.47 49.0 2013-09-04 68.43 -50.96
DD 2013-08-20 57.46 59.0 2013-09-03 56.27 -70.21
ACT 2013-08-28 130.77 25.0 2013-09-03 137.08 157.75
LLTC 2013-08-21 38.58 87.0 2013-08-27 38.26 -27.84
CCL 2013-08-09 36.69 96.0 2013-08-23 37.28 56.64
USB 2013-08-15 36.88 91.0 2013-08-20 36.63 -22.75
RF 2013-08-12 9.85 350.0 2013-08-19 9.76 -31.5
GPC 2013-08-13 81.35 41.0 2013-08-14 80.65 -28.7
ADP 2013-08-01 70.27 47.0 2013-08-12 72.79 118.44
GPS 2013-08-09 44.43 80.0 2013-08-09 43.15 -102.4
CVX 2013-08-02 124.75 29.0 2013-08-08 122.1 -76.85
AMAT 2013-08-08 15.87 227.0 2013-08-08 15.65 -49.94
BDX 2013-08-05 101.05 36.0 2013-08-07 100.06 -35.64
ETN 2013-08-02 66.36 55.0 2013-08-02 66.01 -19.25
DLPH 2013-07-31 53.91 65.0 2013-08-01 55.88 128.05
DLTR 2013-07-26 52.44 67.0 2013-08-01 54.3 124.62
VNO 2013-07-31 85.69 40.0 2013-07-31 83.73 -78.4
NRG 2013-07-24 27.57 128.0 2013-07-30 27.01 -71.68
NDAQ 2013-07-24 32.84 107.0 2013-07-30 32.29 -58.85
SYY 2013-07-25 34.43 103.0 2013-07-25 34.32 -11.33
BA 2013-07-12 100.7 33.0 2013-07-24 108.9 270.6
MU 2013-07-09 13.14 253.0 2013-07-23 13.69 139.15
SCHW 2013-07-16 20.98 159.0 2013-07-23 22.45 233.73
Raw
dataCollector.py
#theBrokeQuant
#Last Modified: 6/08/2013
import os
import urllib
import sys
import datetime
StartDay = 1
StartMonth = 'January'
StartYear = 2005
EndDay = 24
EndMonth = 'September'
EndYear = 2013
TimeInterval = "Day"
adjustPrices = True
fromFile = True
fileName = 'SP500.txt'
isUsersTickers = False
usersTickerList = ['ABT']
def importData(StartDay, StartMonth, StartYear, EndDay, EndMonth, EndYear, Ticker, TimeInterval):
#Obtaining index value for months
OutputList = []
Months = ['January', 'February', 'March', 'April', 'May', 'June', 'July', 'August', 'September', 'October', 'November', 'December']
beginmonth = 0
endmonth = 0
for i in range (0,12):
if Months[i] == StartMonth:
beginmonth = i
if Months[i] == EndMonth:
endmonth = i
#first list element is the beginmonth index, second is endmonth
OutputList.append(beginmonth)
OutputList.append(endmonth)
#construct the URL
URL = "http://ichart.finance.yahoo.com/table.csv?s=" + Ticker + "&a=" + str(OutputList[0]) + "&b=" + str(StartDay) + "&c=" + str(StartYear) + "&d=" + str(OutputList[1]) + "&e=" + str(EndDay) + "&f=" + str(EndYear)+ "&g=" + TimeInterval[0] + "&ignore=.txt"
f = urllib.urlopen(URL)
#save to a temp file
file("temp.txt", "w").write(f.read())
#import temp contents into list L
L = []
File = open('temp.txt','rt')
FileList = File.readlines()
for filerow in range (0, len(FileList)):
L.append(str(FileList[filerow]).split(","))
File.close()
#delete temp file
os.remove('temp.txt')
return L
#write the list to a tab seperated file
def listToTabSeperatedFile(L, filename):
f = open(filename, "w+")
for entry in L:
string = ""
i = 0
while i < len(entry):
if i == 0:
string = string + str(entry[i])
else:
string = string +" " + str(entry[i])
i = i + 1
if string[0] == 'D':
f.write(string)
else:
f.write(string + '\n')
f.close()
def main():
tickerList = []
if fromFile:
#open SP500 list and import tickers
f= open(fileName,"r")
lines = f.readline()
while lines:
tickerList.append((lines.split('\n'))[0])
lines = f.readline()
f.close()
if isUsersTickers:
tickerList = usersTickerList
for Ticker in tickerList:
try:
#import the data for the ticker
L = importData(StartDay, StartMonth, StartYear, EndDay, EndMonth, EndYear, Ticker, TimeInterval)
#if we're adjusting prices
if adjustPrices:
newL = []
for entry in L:
if entry[0][0] != 'D':
adjClose = float((entry[6].split("/n"))[0])
#open = nonadjOpen/nonadjustClose * adjClose
adjOpen = str(round((float(entry[1])/float(entry[4]))*adjClose,2))
#high = nonadjHigh/nonadjustClose * adjClose
adjHigh = str(round((float(entry[2])/float(entry[4]))*adjClose,2))
#low = nonadjLow/nonadjustClose * adjClose
adjLow = str(round((float(entry[3])/float(entry[4]))*adjClose,2))
tempL = [entry[0], adjOpen, adjHigh, adjLow, adjClose, entry[5], adjClose]
newL.append(tempL)
else:
newL.append(entry)
L = newL
#save data to file Ticker.txt in the folder Tickers asa tab seperated file
filename = "Daily\\" + Ticker + ".txt"
listToTabSeperatedFile(L, filename)
print Ticker
except:
print "Unknown error, skipped", Ticker
return True
main()
Raw
live.py
import sys
import os
import random
import datetime
import time
##import tradeLive
#Returns a simple moving average
def sMA(historicalData, periods):
numerator = 0
for entry in historicalData[:periods]:
numerator = numerator + entry['Close']
return numerator/periods
#Returns the historical low
def histLow(historicalData, periods):
low = sys.maxint
for entry in historicalData[:periods]:
if entry['Low'] < low:
low = entry['Low']
return low
#Returns the historical high
def histHigh(historicalData, periods):
high = 0
for entry in historicalData[:periods]:
if entry['High'] > high:
high = entry['High']
return high
def retrieveFromFile(filename):
dataFeed = []
f = open(filename,'r')
line = f.readline()
while line:
line = line.split('\t')
lineDict = {}
## print line
Ticker = line[1]
lineDict.update({'Ticker': Ticker})
Price = float(line[2])
lineDict.update({'Price': Price})
Volume = int(line[3][:len(line[3])])
lineDict.update({'Volume': Volume})
Time = line[0]
Time = Time[:len(Time)-1]
lineDict.update({'Time': Time})
dataFeed.append(lineDict)
line = f.readline()
f.close()
return dataFeed
def importData(ticker, beginDate, endDate, trailingPeriods):
beginDayFound = False
endDayFound = False
dataList = []
#create data file path
workingDirectory = str(os.getcwd())
dataDirectory = ''
for i in range(0, len(workingDirectory) - 4):
if workingDirectory[i:i+4] != 'Home':
dataDirectory = dataDirectory + workingDirectory[i]
else:
dataDirectory = dataDirectory + workingDirectory[i:i+4] + '\\Data\\Daily\\'
break
f = open(dataDirectory + ticker + ".txt", "r")
#Skip header line
line = f.readline().split()
line = f.readline().split()
while line:
#Start collecting on beginDate
if int(line[0][:4]+line[0][5:7]+line[0][8:11]) <= int(beginDate[:4]+beginDate[5:7]+beginDate[8:11]):
beginDayFound = True
#If end date found collect trailing period data
if int(line[0][:4]+line[0][5:7]+line[0][8:11]) < int(endDate[:4]+endDate[5:7]+endDate[8:11]):
endDayFound = True
i = 0
while i < trailingPeriods:
#If there is not enough data to support trailing periods return nothing
try:
tempDict= {}
tempDict.update({'Date':line[0]})
tempDict.update({'Open':float(line[1])})
tempDict.update({'High':float(line[2])})
tempDict.update({'Low':float(line[3])})
tempDict.update({'Close':float(line[4])})
tempDict.update({'Volume':float(line[5])})
tempDict.update({'AdjClose':float(line[6])})
dataList.append(tempDict)
except IndexError:
endDayFound = False
line = f.readline().split()
i = i + 1
break
#If end date found and begin date not found collect data
else:
tempDict= {}
tempDict.update({'Date':line[0]})
tempDict.update({'Open':float(line[1])})
tempDict.update({'High':float(line[2])})
tempDict.update({'Low':float(line[3])})
tempDict.update({'Close':float(line[4])})
tempDict.update({'Volume':float(line[5])})
tempDict.update({'AdjClose':float(line[6])})
dataList.append(tempDict)
line = f.readline().split()
if beginDayFound and endDayFound:
return dataList
else:
return []
def importTickers(filename):
#import tickers from file
tickerList = []
f = open(filename, 'r')
line = f.readline()
while line:
if line[len(line)-1] == '\n':
tickerList.append(line[:len(line)-1])
else:
tickerList.append(line)
line = f.readline()
f.close()
## if tickerList:
## tickerList = random.shuffle(tickerList)
return tickerList
def stringToFloat(string):
newString = ''
for char in string:
if (char >= '0' and char <='9') or (char == '.'):
newString = newString + char
return float(newString)
def importPortfolio(portfolioFile):
portfolioDict = {}
f = open('Portfolios\\' + portfolioFile, 'r')
line = f.readline()
while line:
line = line.split(':')
#collect Max Positions
if line[0] == 'Max Positions' and line[1] == '\n':
portfolioDict.update({'Max Positions': 0})
elif line[0] == 'Max Positions':
portfolioDict.update({'Max Positions': stringToFloat(line[1][:len(line[1])-1])})
#collect Open Positions
if line[0] == 'Open Positions' and line[1] == '\n':
portfolioDict.update({'Open Positions': 0})
elif line[0] == 'Open Positions':
portfolioDict.update({'Open Positions': stringToFloat(line[1][:len(line[1])-1])})
#collect Cost Basis
if line[0] == 'Cost Basis' and line[1] == '\n':
portfolioDict.update({'Cost Basis': 0})
elif line[0] == 'Cost Basis':
portfolioDict.update({'Cost Basis': stringToFloat(line[1][:len(line[1])-1])})
#collect Market Value
if line[0] == 'Market Value' and line[1] == '\n':
portfolioDict.update({'Market Value':0})
elif line[0] == 'Market Value':
portfolioDict.update({'Market Value':stringToFloat(line[1][:len(line[1])-1])})
#collect Buying Power
if line[0] == 'Buying Power' and line[1] == '\n':
portfolioDict.update({'Buying Power':0})
elif line[0] == 'Buying Power':
portfolioDict.update({'Buying Power': stringToFloat(line[1][:len(line[1])-1])})
#collect Portfolio Value
if line[0] == 'Portfolio Value' and line[1] == '\n':
portfolioDict.update({'Portfolio Value':0})
elif line[0] == 'Portfolio Value':
portfolioDict.update({'Portfolio Value':stringToFloat(line[1][:len(line[1])-1])})
#collect Open Trades and place in dict
if line[0] == 'Open Trades':
openTradesDict = {}
line = f.readline()
line = f.readline()
while len(line) > 1:
line = line.split('\t')
tempDict = {
'Ticker': line[0],
'Buy Date': line[1],
'Buy Price': float(line[2]),
'Shares': int(line[3]),
'Cost Basis': float(line[4]),
'Market Value': float(line[5]),
'Net Gain': float(line[6][:len(line[6])-1])
}
openTradesDict.update({line[0]: tempDict})
line = f.readline()
portfolioDict.update({'Open Trades': openTradesDict})
#collect Closed Trades and place in dict
if line[0] == 'Closed Trades':
closedTradesList = []
line = f.readline()
line = f.readline()
while len(line) > 1:
line = line.split('\t')
tempDict = {
'Ticker': line[0],
'Buy Date': line[1],
'Buy Price': float(line[2]),
'Shares': float(line[3]),
'Sell Date': line[4],
'Sell Price': float(line[5]),
'Net Gain': float(line[6][:len(line[6])-1])
}
closedTradesList.append(tempDict)
line = f.readline()
portfolioDict.update({'Closed Trades': closedTradesList})
line = f.readline()
#Available trades
availTrades = portfolioDict['Max Positions'] - portfolioDict['Open Positions']
portfolioDict.update({'Avail Trades': availTrades})
#Trade Buffer
portfolioDict.update({'Trade Buffer':0})
f.close()
return portfolioDict
def buy(quote, portfolioDict, comission, slippage):
#how much money per available trade
moneyAvail = portfolioDict['Buying Power'] / (portfolioDict['Avail Trades'] + portfolioDict['Trade Buffer'])
#price adjusted for slippage
slipPrice = quote['Price']
#number of shares able to purchase
shareQuant = int(moneyAvail / slipPrice)
costBasis = shareQuant * slipPrice
#take out comission
buyingPower = portfolioDict['Buying Power'] - comission
#take out cost basis
buyingPower = buyingPower - costBasis
#newmarket value
marketValue = costBasis + portfolioDict['Market Value']
#new cost basis
costBasis = costBasis + portfolioDict['Cost Basis']
#new portfolio value
portfolioValue = marketValue + buyingPower
#update Open Trades
dictionary = portfolioDict['Open Trades']
dictionary.update(
{quote['Ticker']:
{
'Ticker': quote['Ticker'],
'Buy Date': str(datetime.date.today()),
'Buy Price': slipPrice,
'Shares': shareQuant,
'Cost Basis': shareQuant * slipPrice,
'Market Value': shareQuant * slipPrice,
'Net Gain': 0
}
}
)
portfolioDict.update({'Open Trades':dictionary})
portfolioDict.update({'Cost Basis': costBasis})
portfolioDict.update({'Portfolio Value': portfolioValue})
portfolioDict.update({'Buying Power': buyingPower})
portfolioDict.update({'Market Value': marketValue})
availPos = portfolioDict['Avail Trades'] - 1
portfolioDict.update({'Avail Trades': availPos})
openPositions = portfolioDict['Open Positions'] + 1
portfolioDict.update({'Open Positions': openPositions})
return portfolioDict
def sell(quote, portfolioDict, comission, slippage):
Ticker = quote['Ticker']
tradesDict = portfolioDict['Open Trades']
openTrade = tradesDict[Ticker]
#trade info
buyDate = openTrade['Buy Date']
buyPrice = openTrade['Buy Price']
shares = openTrade['Shares']
sellDate = str(datetime.date.today())
sellPrice = quote['Price']
netGain = (sellPrice - buyPrice) * shares
tradeDict = {
'Ticker': Ticker,
'Buy Date': buyDate,
'Buy Price': buyPrice,
'Shares': shares,
'Sell Date': sellDate,
'Sell Price': sellPrice,
'Net Gain': netGain
}
#portfolio info
openPositions = portfolioDict['Open Positions'] - 1
portfolioDict.update({'Open Positions': openPositions})
costBasis = portfolioDict['Cost Basis'] - (buyPrice * shares)
portfolioDict.update({'Cost Basis': costBasis})
marketValue = portfolioDict['Market Value'] - openTrade['Market Value']
portfolioDict.update({'Market Value': marketValue})
buyingPower = portfolioDict['Buying Power'] + openTrade['Market Value'] - comission
portfolioDict.update({'Buying Power': buyingPower})
portfolioValue = marketValue + buyingPower
portfolioDict.update({'Portfolio Value': portfolioValue})
closedTrades = portfolioDict['Closed Trades']
closedTrades = [tradeDict] + closedTrades
portfolioDict.update({'Closed Trades': closedTrades})
del tradesDict[Ticker]
portfolioDict.update({'Open Trades': tradesDict})
tradeBuffer = portfolioDict['Trade Buffer'] + 1
portfolioDict.update({'Trade Buffer': tradeBuffer})
return portfolioDict
def updatePortfolio(portfolioDict, filename):
f = open(filename, 'w')
f.write('Max Positions:' + ' ' + str(portfolioDict['Max Positions']) + '\n')
f.write('Open Positions:' + ' ' + str(portfolioDict['Open Positions']) + '\n')
f.write('\n')
f.write('Cost Basis:' + ' ' + str(portfolioDict['Cost Basis']) + '\n')
f.write('Market Value:' + ' ' + str(portfolioDict['Market Value']) + '\n')
f.write('Buying Power:' + ' ' + str(portfolioDict['Buying Power']) + '\n')
f.write('\n')
f.write('Portfolio Value:' + ' ' + str(portfolioDict['Portfolio Value']) + '\n')
f.write('Return:\n')
f.write('\n')
f.write('Open Trades:\n')
f.write('\n')
for key in portfolioDict['Open Trades']:
subdict = portfolioDict['Open Trades'][key]
f.write(subdict['Ticker']+ '\t' + subdict['Buy Date'] + '\t' + str(subdict['Buy Price']) + '\t' + str(subdict['Shares']) + '\t'+ str(subdict['Cost Basis']) + '\t' + str(subdict['Market Value']) + '\t' + str(subdict['Net Gain']) + '\n')
f.write('\n')
f.write('Closed Trades:\n')
f.write('\n')
for trade in portfolioDict['Closed Trades']:
f.write(trade['Ticker'] + '\t' + trade['Buy Date']+ '\t' + str(trade['Buy Price'])+ '\t' + str(trade['Shares'])+ '\t' + str(trade['Sell Date'])+ '\t' + str(trade['Sell Price'])+ '\t' + str(trade['Net Gain'])+ '\n')
##
##
## f.write('')
f.close()
return False
#import historical data and store in dictionary with key ticker and value histdata
def histData(tickerList, beginDate, endDate, trailingPeriods):
tickerDict = {}
for ticker in tickerList:
tickerData = importData(ticker, beginDate, endDate, trailingPeriods)
if tickerData:
tickerDict.update({ticker:tickerData})
else:
a = 0
return tickerDict
def updateMarketValues(portfolioDict, quote, portfolioFile):
ticker = quote['Ticker']
shares = portfolioDict['Open Trades'][ticker]['Shares']
price = quote['Price']
costBasis = portfolioDict['Open Trades'][ticker]['Cost Basis']
marketValue = round(shares * price, 2)
netGain = round(marketValue - costBasis, 2)
portfolioMKT = portfolioDict['Market Value'] - portfolioDict['Open Trades'][ticker]['Net Gain']
openTradeDict = portfolioDict['Open Trades'][ticker]
openTradeDict.update({'Market Value': marketValue, 'Net Gain': netGain})
portfolioDict['Open Trades'].update({ticker:openTradeDict})
portfolioMKT = portfolioMKT + netGain
portfolioDict.update({'Market Value'import sys
import live
import datetime
highlowPeriods = 10
longMA = 200
shortMA = 50
portfolioFile = 'buyLow.txt'
comission = 3.95
slippage = 0
tickerList = live.importTickers('SP500.txt')
def buySignal(histData, liveQuote):
longMovingAve = live.sMA(histData, longMA)
shortMovingAve = live.sMA(histData, shortMA)
low = live.histLow(histData, highlowPeriods)
price = liveQuote['Price']
if price > longMovingAve and price > shortMovingAve and price < low:
print ''
print 'Ticker:', liveQuote['Ticker']
print 'Long MA:', longMovingAve
print 'Short MA:', shortMovingAve
print 'Low:', low
print 'Price:', price
print ''
return True
else:
return False
def sellSignal(histData, liveQuote, portDict):
shortMovingAverage = live.sMA(histData, shortMA)
high = live.histHigh(histData, highlowPeriods)
# if price sets new high or crosses MA
if (liveQuote['Price']<shortMovingAverage) or (liveQuote['Price'] > high):
return True
#if we run out of days
buyDate = portDict['Open Trades'][liveQuote['Ticker']]['Buy Date']
buyDate = datetime.date(int(buyDate[0:4]), int(buyDate[5:7]), int(buyDate[8:10]))
if (datetime.date.today() - buyDate >= datetime.timedelta(14)) and (datetime.datetime.now().time() > datetime.time(14, 30, 0, 0)):
return True
return False
def quoteDict(quote):
quote = quote.split('\t')
qDict = {'Time': quote[0],
'Ticker': quote[1],
'Price': float(quote[2]),
'Volume': int(quote[3][:len(quote[3])-1])
}
return qDict
def main(quote, portDict, histDataDict):
quote = quoteDict(quote)
#check if ticker has enough hitorical data
ticker = quote['Ticker']
try:
histDataDict[ticker]
TickerData = True
except KeyError:
TickerData = False
if TickerData:
#if we're holding the security
if ticker in portDict['Open Trades']:
#update position market value
portDict = live.updateMarketValues(portDict, quote, 'Portfolios\\' + portfolioFile)
#sell if signal is triggered
if sellSignal(histDataDict[ticker], quote, portDict):
portDict = live.sell(quote, portDict, comission, slippage)
live.updatePortfolio(portDict, 'Portfolios\\' + portfolioFile)
#if we're not holding
if not(ticker in portDict['Open Trades']) and portDict['Avail Trades']:
#if the buy signal is triggered
if buySignal(histDataDict[ticker], quote):
#buy security
portDict = live.buy(quote, portDict, comission, slippage)
live.updatePortfolio(portDict, 'Portfolios\\' + portfolioFile)
return portDict
: portfolioMKT})
portfolioValue = portfolioDict['Market Value'] + portfolioDict['Buying Power']
portfolioDict.update({'Portfolio Value': portfolioValue})
updatePortfolio(portfolioDict, portfolioFile)
return portfolioDict
Raw
Main Program
import httplib
import time
import datetime
import re
import random
import live
import buyLow
import buySMA
import buyLMA
import buyRand
import buyLow2
import buyLow3
runTime = 7.0
marketOpen = 8.3
marketClose = 15.00
def initializePortfolios():
portDict = {
'buyLow': live.importPortfolio('buyLow.txt'),
'buyLow2': live.importPortfolio('buyLow2.txt'),
'buyLow3': live.importPortfolio('buyLow3.txt'),
'buyLMA': live.importPortfolio('buyLMA.txt'),
'buySMA': live.importPortfolio('buySMA.txt'),
'buyRand': live.importPortfolio('buyRand.txt')
}
return portDict
def passQuote(quote, portDict, histDataDict):
print quote
buyLowPort = buyLow.main(quote, portDict['buyLow'], histDataDict)
portDict.update({'buyLow': buyLowPort})
buyLow2Port = buyLow2.main(quote, portDict['buyLow2'], histDataDict)
portDict.update({'buyLow2': buyLow2Port})
buyLow3Port = buyLow3.main(quote, portDict['buyLow3'], histDataDict)
portDict.update({'buyLow3': buyLow3Port})
buyLMAPort = buyLMA.main(quote, portDict['buyLMA'], histDataDict)
portDict.update({'buyLMA': buyLMAPort})
buySMAPort = buySMA.main(quote, portDict['buySMA'], histDataDict)
portDict.update({'buySMA': buySMAPort})
buyRandPort = buyRand.main(quote, portDict['buyRand'], histDataDict)
portDict.update({'buyRand': buyRandPort})
return portDict
#returns price and volume data as str(Price + '\t' + Volume )
def parseHTMLSource(htmlSource, Ticker):
Price = None
Volume = None
sourceList = htmlSource.split('\n')
for line in sourceList:
#split line by common characters
line = re.split('\W+', line)
#loop through keywords in line
i = 0
while i < len(line):
#price keyword found
if line[i] == 'time_rtq_ticker':
## print line[i:i+6]
#collect price
nonAlphChar = False
for char in Ticker:
if not((char >= 'A' and char <= 'Z') or (char >= 'a' and char <= 'z')):
nonAlphChar = True
if nonAlphChar:
Price = line[i+5] +'.' + line[i+6]
else:
Price = line[i+4] +'.' + line[i+5]
#volume keyword found
if line[i] == 'Volume' and line[i+3] == 'class':
Volume = ''
i = i + 1
#start macro to collect volume data
beginVolume = True
while beginVolume:
if line[i] == 'span':
#begin collecting volume data
collect = True
i = i + 1
while collect:
#end collection
if line[i] == 'span':
collect = False
beginVolume = False
break
#collect volume
if line[i][0] >= '0' and line[i][0] <= '9':
Volume = Volume + line[i]
i = i + 1
else:
i = i + 1
i = i + 1
if Price and Volume:
return str((time.strftime('%X')) + '\t' + Ticker + '\t' + Price + '\t' + Volume)
else:
return False
def collectHTMLSource(Ticker):
conn.request('GET', '/q?s=' + Ticker)
r1 = conn.getresponse()
htmlSource = r1.read()
return htmlSource
def collectDataFromSource(htmlSource, Ticker):
#collect data, try 10 times upon error
htmlFound = False
for trys in range(0,10):
if parseHTMLSource(htmlSource, Ticker):
return parseHTMLSource(htmlSource, Ticker)
htmlFound = True
break
else:
htmlSource = collectHTMLSource(Ticker)
if not(htmlFound):
print Ticker
return False
while True:
firstRound = True
firstRound = True
#while the time is between runTime and marketClose. Start program
#if time is after market open
currentTime = float(str(time.strftime('%X'))[0:2] + str(time.strftime('%X'))[3:5])/100
conn = httplib.HTTPConnection('finance.yahoo.com', timeout = 10)
while runTime < currentTime and currentTime < marketClose:
currentTime = float(str(time.strftime('%X'))[0:2] + str(time.strftime('%X'))[3:5])/100
if marketOpen <= currentTime:
if firstRound:
beginDate = str(datetime.date.today())
endDate = '2013-06-10' ##if you're reading this, this is bad naming but I promise it's correct. endDate is the 'from' and beginDate is the 'to.'
trailingPeriods = 300
tickerList = live.importTickers('SP500.txt')
random.shuffle(tickerList)
histDataDict = live.histData(tickerList, beginDate, endDate, trailingPeriods)
#import portfolios
portDict = initializePortfolios()
#first thing to do
conn = httplib.HTTPConnection('finance.yahoo.com', timeout = 10)
firstRound = False
#select a Ticker
for Ticker in tickerList:
#establish connection and collect quote, retry if connection
#wasnt found
htmlSource = None
connEstablished = True
while connEstablished:
try:
htmlSource = collectHTMLSource(Ticker)
connEstablished = False
quote = collectDataFromSource(htmlSource, Ticker)
if quote:
#update portfolio
portDict = passQuote(quote, portDict, histDataDict)
break
except:
conn.close()
conn = httplib.HTTPConnection('finance.yahoo.com', timeout = 10)
if not(htmlSource):
print time.strftime('%X'), "Connection Error", Ticker
#close connection
conn.close()
Raw
VBA Script (show data in excel)
Sub collectDaily()
Dim worksheetname As String
Application.ScreenUpdating = False
Application.DisplayAlerts = False
For Each ws In Worksheets
ws.Activate
If Mid(ActiveSheet.Name, 1, 2) = "D." Then
ActiveSheet.Delete
End If
Next ws
For Each ticker In Sheets("Home").Cells.Range("K6:N8")
If ticker <> "" Then
For Each c In Sheets("Home").Cells.Range("K10,K12,K14,K16")
fromDateText = CStr(c.Offset(0, 1)) + "." + CStr(c.Offset(0, 2)) + "." + CStr(c.Offset(0, 3))
toDateText = CStr(c.Offset(1, 1)) + "." + CStr(c.Offset(1, 2)) + "." + CStr(c.Offset(1, 3))
fromDate = DateSerial(c.Offset(0, 1), c.Offset(0, 2), c.Offset(0, 3))
toDate = DateSerial(c.Offset(1, 1), c.Offset(1, 2), c.Offset(1, 3))
If c.Offset(0, 1) <> "" Then
'''IMPORT Ticker Data
'import to new sheet
ActiveWorkbook.Worksheets.Add
With ActiveSheet.QueryTables.Add(Connection:= _
"TEXT;" + ActiveWorkbook.Path + "\Data\Daily\" + ticker + ".txt", _
Destination:=Range("$A$1"))
.Name = "D. " + ticker
.FieldNames = True
.RowNumbers = False
.FillAdjacentFormulas = False
.PreserveFormatting = True
.RefreshOnFileOpen = False
.RefreshStyle = xlInsertDeleteCells
.SavePassword = False
.SaveData = True
.AdjustColumnWidth = True
.RefreshPeriod = 0
.TextFilePromptOnRefresh = False
.TextFilePlatform = 437
.TextFileStartRow = 1
.TextFileParseType = xlDelimited
.TextFileTextQualifier = xlTextQualifierDoubleQuote
.TextFileConsecutiveDelimiter = True
.TextFileTabDelimiter = False
.TextFileSemicolonDelimiter = False
.TextFileCommaDelimiter = False
.TextFileSpaceDelimiter = True
.TextFileColumnDataTypes = Array(1, 1, 1, 1, 1, 1, 1)
.TextFileTrailingMinusNumbers = True
.Refresh BackgroundQuery:=False
End With
'fix adj close
Cells.Range("G1:G1").Value = "Adj Close"
Cells.Range("H1:H1").ClearContents
'rename sheet
worksheetname = "D. " + ticker + " " + fromDateText + "-" + toDateText
ActiveSheet.Name = worksheetname
'move to end
ActiveSheet.Move _
After:=ActiveWorkbook.Sheets("Home")
beginCell = 0
endCell = 0
i = 0
For Each d In ActiveSheet.Cells.Range("A:A")
If d <> "Date" Then
If d < toDate Then
If beginCell = 0 Then
beginCell = i
End If
End If
If d < fromDate Then
If endCell = 0 Then
endCell = i + 1
Exit For
End If
End If
End If
i = i + 1
Next d
If beginCell > 2 Then
ActiveSheet.Cells.Range("A2:G" + CStr(beginCell - 1)).Select
Selection.ClearContents
End If
If endCell > 2 Then
ActiveSheet.Cells.Range("A" + CStr(endCell) + ":G1000000").ClearContents
End If
Columns("A:G").Select
ActiveSheet.Sort.SortFields.Clear
ActiveSheet.Sort.SortFields.Add Key:=Range("A1:A1000000") _
, SortOn:=xlSortOnValues, Order:=xlDescending, DataOption:=xlSortNormal
With ActiveSheet.Sort
.SetRange Range("A1:G1000000")
.Header = xlGuess
.MatchCase = False
.Orientation = xlTopToBottom
.SortMethod = xlPinYin
.Apply
End With
'Resize row 1
Rows("1:1").RowHeight = 30
' Adjust columns A:G
Columns("A:G").Select
Selection.ColumnWidth = 10
Selection.HorizontalAlignment = xlCenter
Selection.VerticalAlignment = xlCenter
' Add price chart
ActiveSheet.Shapes.AddChart.Select
ActiveChart.ChartType = xlLine
ActiveChart.SetSourceData Source:=Range("='" + worksheetname + "'" + "!$G$2:$G$" + CStr(endCell - beginCell + 1))
ActiveChart.Legend.Delete
ActiveChart.SeriesCollection(1).XValues = _
"='" + worksheetname + "'!$A$2:$A$" + CStr(endCell - beginCell + 1)
ActiveChart.Axes(xlValue).TickLabels.NumberFormat = "$#,##0.00"
ActiveSheet.Shapes("Chart 1").Line.Visible = msoFalse
minValue = WorksheetFunction.Min(ActiveSheet.Range("G2:G" + CStr(endCell - beginCell + 1)))
maxValue = WorksheetFunction.Max(ActiveSheet.Range("G2:G" + CStr(endCell - beginCell + 1)))
ActiveChart.Axes(xlValue).MinimumScale = minValue * 0.98
ActiveChart.Axes(xlValue).MaximumScale = maxValue * 1.02
ActiveChart.ChartArea.Width = 590
ActiveChart.ChartArea.Height = 175
With ActiveSheet
.ChartObjects(1).Top = .Range("H2").Top
.ChartObjects(1).Left = .Range("H2").Left
.Shapes("Chart 1").IncrementLeft 3
End With
' Add volume chart
ActiveSheet.Shapes.AddChart.Select
ActiveChart.ChartType = xlColumnClustered
ActiveChart.SetSourceData Source:=Range("='" + worksheetname + "'" + "!$F$2:$F$" + CStr(endCell - beginCell + 1))
ActiveChart.Legend.Delete
ActiveChart.SeriesCollection(1).XValues = _
"='" + worksheetname + "'!$A$2:$A$" + CStr(endCell - beginCell + 1)
ActiveChart.Axes(xlValue).TickLabels.NumberFormat = "0.E+00"
ActiveChart.ChartArea.Width = 590
ActiveChart.ChartArea.Height = 160
With ActiveSheet
.Shapes("Chart 2").Line.Visible = msoFalse
.ChartObjects(2).Top = .Range("H14").Top
.ChartObjects(2).Left = .Range("H14").Left
.Shapes("Chart 2").IncrementLeft 3
End With
' Make background white
ActiveSheet.Cells.Select
With Selection.Interior
.Pattern = xlSolid
.PatternColorIndex = xlAutomatic
.ThemeColor = xlThemeColorDark1
.TintAndShade = 0
.PatternTintAndShade = 0
End With
'Modify table body
Range("A1:G" + CStr(endCell - beginCell + 1)).Select
With Selection.Borders(xlEdgeLeft)
.LineStyle = xlContinuous
.ThemeColor = 5
.TintAndShade = -0.499984740745262
.Weight = xlMedium
End With
With Selection.Borders(xlEdgeTop)
.LineStyle = xlContinuous
.ThemeColor = 5
.TintAndShade = -0.499984740745262
.Weight = xlMedium
End With
With Selection.Borders(xlEdgeBottom)
.LineStyle = xlContinuous
.ThemeColor = 5
.TintAndShade = -0.499984740745262
.Weight = xlMedium
End With
With Selection.Borders(xlEdgeRight)
.LineStyle = xlContinuous
.ThemeColor = 5
.TintAndShade = -0.499984740745262
.Weight = xlMedium
End With
With Selection.Borders(xlInsideVertical)
.LineStyle = xlContinuous
.ThemeColor = 5
.TintAndShade = 0.399945066682943
.Weight = xlMedium
End With
With Selection.Borders(xlInsideHorizontal)
.LineStyle = xlContinuous
.ThemeColor = 5
.TintAndShade = 0.599963377788629
.Weight = xlThin
End With
With Selection.Interior
.Pattern = xlSolid
.PatternColorIndex = xlAutomatic
.ThemeColor = xlThemeColorAccent1
.TintAndShade = 0.799981688894314
.PatternTintAndShade = 0
End With
ActiveWindow.SmallScroll Down:=-242
Range("E12").Select
' Format header
Range("A1:G1").Select
With Selection
Selection.Font.Bold = True
Selection.Font.Size = 12
End With
With Selection.Borders(xlEdgeLeft)
.LineStyle = xlContinuous
.ThemeColor = 5
.TintAndShade = -0.499984740745262
.Weight = xlMedium
End With
With Selection.Borders(xlEdgeTop)
.LineStyle = xlContinuous
.ThemeColor = 5
.TintAndShade = -0.499984740745262
.Weight = xlMedium
End With
With Selection.Borders(xlEdgeBottom)
.LineStyle = xlContinuous
.ThemeColor = 5
.TintAndShade = -0.499984740745262
.Weight = xlMedium
End With
With Selection.Borders(xlEdgeRight)
.LineStyle = xlContinuous
.ThemeColor = 5
.TintAndShade = -0.499984740745262
.Weight = xlMedium
End With
With Selection.Borders(xlInsideVertical)
.LineStyle = xlContinuous
.ThemeColor = 5
.TintAndShade = 0.399914548173467
.Weight = xlMedium
End With
Selection.Borders(xlInsideHorizontal).LineStyle = xlNone
With Selection.Interior
.Pattern = xlSolid
.PatternColorIndex = xlAutomatic
.ThemeColor = xlThemeColorAccent1
.TintAndShade = 0.399945066682943
.PatternTintAndShade = 0
End With
'Freeze top row
Rows("1:1").Select
With ActiveWindow
.SplitColumn = 0
.SplitRow = 1
End With
ActiveWindow.FreezePanes = True
' Format ticker date header
ActiveSheet.Cells.Range("I1:I1").Value = ticker + " " + CStr(c.Offset(0, 1)) + "/" + CStr(c.Offset(0, 2)) + "/" + CStr(c.Offset(0, 3)) + " - " + CStr(c.Offset(1, 1)) + "/" + CStr(c.Offset(1, 2)) + "/" + CStr(c.Offset(1, 3))
Range("I1").Select
With Selection
.Font.Bold = True
.HorizontalAlignment = xlLeft
.VerticalAlignment = xlCenter
.Font.Size = 12
End With
ActiveSheet.Cells.Range("A2:A2").Select
End If
Next c
End If
Next ticker
Sheets("Home").Activate
End Sub
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