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