reorganising projects

--HG--
branch : sandbox

misc/roimatrix.py

@@ -0,0 +1,94 @@
+""" roi matrix 
+"""
+
+import sys
+import re
+import datetime
+
+mol = re.compile("\S+\s(\S+?)\|.{5}(.{6}).\|(.*)\|(.*)")
+
+def main(argv = None):
+    if argv == None:
+        argv = sys.argv
+    ifn = "e:/livefeed/20070829/GDAXI.csv"
+    ofn = "e:/eclipse/workspace/filter/var/GDAXI_roi.csv"
+    tick_list = [ ]
+    roi_list = [ ]
+    print "Converting [%s] to [%s]" % (ifn, ofn)
+    try:
+        ifh = open(ifn, "r")
+        ofh = open(ofn, "w")
+    except IOError:
+        print "open [%s] failed" % ifn
+        return 2
+    try:
+        for line in ifh:
+            tick_list.append(parseCsv(line))
+        for (i, buy_tick) in enumerate(tick_list[0::300]):
+            print buy_tick.time
+            for sell_tick in tick_list[0::300]:
+                if (buy_tick > sell_tick):
+                    continue
+                pnl = ( sell_tick.last - buy_tick.last ) * 25.0 - 11.80
+                # print buy_tick.last, sell_tick.last, pnl  
+                roi_list.append(Roi(buy_tick.time, sell_tick.time, pnl))
+        for roi in roi_list:
+            print >> ofh, str(roi)
+    finally:
+        ifh.close()
+        ofh.close()
+    print "Done."
+
+time_pattern = re.compile("(..):(..):(..).(\d+)")
+
+def parseCsv(line):
+    flds = line.split(',')
+    mot = re.match(time_pattern, flds[0])
+    (hh, mm, ss, ms) = mot.group(1, 2, 3, 4)
+    time = datetime.time(int(hh), int(mm), int(ss), int(ms)*1000)
+    # pid = flds[1]
+    bid = flds[2]
+    ask = flds[3]
+    last = flds[4]
+    return Tick(time, float(bid), float(ask), float(last))
+
+class Tick:
+    """ VDO helper class """
+    def __init__(self, ti, bid, ask, last):
+        self.time = ti
+        self.bid = bid
+        self.ask = ask
+        self.last= last
+        
+    def __cmp__(self, other):
+        return cmp(self.time, other.time)
+
+class Roi:
+    """ VDO helper class """
+    def __init__(self, buy_time, sell_time, pnl):
+        self.buy_time = buy_time
+        self.sell_time = sell_time
+        self.pnl = pnl
+        
+    def pnl_per_minute(self):
+        dt = time_in_minutes(self.sell_time) - time_in_minutes(self.buy_time)
+        try:
+            ppm = self.pnl / dt
+        except ZeroDivisionError:
+            return self.pnl
+        return ppm
+
+    def __cmp__(self, other):
+        return cmp(self.pnl_per_minute(), other.pnl_per_minute())
+    
+    def __repr__(self):
+        return "%s,%s,%.2f,%.2f" % (self.buy_time, self.sell_time, 
+                                    self.pnl, self.pnl_per_minute())
+
+
+def time_in_minutes(ti):
+    return ti.hour * 60 + ti.minute + float(ti.second) / 60  
+        
+
+if __name__ == '__main__':
+    sys.exit(main(sys.argv))