47 lines
1.3 KiB
Python
47 lines
1.3 KiB
Python
from abc import ABC, abstractmethod
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from typing import Generator
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import pandas as pd
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from internal_types.types import Quote
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class TradingGateway(ABC):
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@abstractmethod
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def next_quote(self) -> Generator[Quote, None, None]:
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pass
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@abstractmethod
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def submit_order(self) -> None:
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# todo: submit_order -> async submit_order with callback
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pass
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class BacktestGateway(TradingGateway):
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def __init__(self, csv: str, t0: str, t1: str):
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# [t0, t1)
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# t0 & t1: YYYY-mm-dd
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# todo: download parquet from clickhouse and store locally
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df = pd.read_csv(csv)
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df['date_dt'] = pd.to_datetime(df['time'], unit='s')
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df.rename(columns={'time': 'timestamp', 'Volume': 'volume'}, inplace=True)
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self.df = df[(pd.Timestamp(t0) <= df['date_dt']) & (df['date_dt'] < pd.Timestamp(t1))]
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def next_quote(self) -> Generator[Quote, None, None]:
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for row in self.df.itertuples(index=False):
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yield Quote(
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timestamp=row.timestamp, # type: ignore
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open=row.open, # type: ignore
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high=row.high, # type: ignore
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low=row.low, # type: ignore
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close=row.close, # type: ignore
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volume=row.volume) # type: ignore
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def submit_order(self) -> None:
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# todo: submit_order -> async submit_order with callback
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pass
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