lots of additions

celsopitta · Apr 29, 2011 · 0bd7791 · 0bd7791
1 parent 743498a
commit 0bd7791
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Showing 5 changed files with 96 additions and 30 deletions.
diff --git a/.gitignore b/.gitignore
@@ -0,0 +1 @@
+lib/btc_trader/strategies/*
diff --git a/btc_trader.rb b/btc_trader.rb
@@ -0,0 +1,7 @@
+$LOAD_PATH << File.join(File.dirname(__FILE__), 'lib')
+
+require 'btc_trader/engine'
+
+e = BtcTrader::Engine.new 'data/historical.csv'
+e.run
+puts "ROR: #{'%.2f%' % (e.trader.ror * 100)}, ROR (less fees): #{'%.2f%' % (e.trader.ror_no_fee * 100)}, Trade Count: #{e.trader.trade_count}"
diff --git a/lib/btc_trader/engine.rb b/lib/btc_trader/engine.rb
@@ -1,7 +1,8 @@
 require 'csv'
-require 'metrics_manager'
-require 'indicators_manager'
-require 'trader'
+require 'btc_trader/metrics_manager'
+require 'btc_trader/indicators_manager'
+require 'btc_trader/trader'
+require 'btc_trader/strategies/simple_sma_trader'
 
 module BtcTrader
   class HistoricalRecord
@@ -15,46 +16,35 @@ def initialize(hash)
   end
 
   class HistoricalData
-    def initialize
-      @data = []
+    def initialize(file)
+      @file = file
     end
-
-    def push(record)
-      @data << record
-    end
-
+
     def each
-      @data.each {|rec| yield rec }
+      cutoff = DateTime.parse('2010-11-1')
+      CSV.foreach(@file) do |row|
+        rec = HistoricalRecord.new( :price => row[1].to_f, 
+          :volume => row[2].to_f, :time => DateTime.strptime(row[0], '%s') )
+        next if rec.time < cutoff
+        yield rec
+      end
     end
   end
 
   class Engine
+    attr_reader :trader
+
     def initialize(data)
-      @data = HistoricalData.new
-      @metrics = MetricsManager.new
-      @indicators = IndicatorsManager.new
-      @trader = Trader.new @indicators
-      parse_historical_data(data)
+      @data = HistoricalData.new data
+      @trader = Strategies::SimpleSmaTrader.new 10_000
+#      @trader = Strategies::BuyAndHoldTrader.new 10_000
     end
 
     def run
       @data.each do |rec|
-        @metrics.update! rec
-        @indicators.update! rec
         @trader.execute! rec
       end
     end
 
-    private
-
-    def parse_historical_data(data)
-      CSV.foreach(data) do |row|
-        @data.push HistoricalRecord.new( :price => row[1], :volume => row[2], :time => DateTime.strptime(row[0], '%s') )
-      end
-    end
-
   end
 end
-
-e = BtcTrader::Engine.new 'data/historical.csv'
-e.run
diff --git a/lib/btc_trader/trader.rb b/lib/btc_trader/trader.rb
@@ -0,0 +1,67 @@
+module BtcTrader
+  class Trader
+    attr_reader :cash_balance, :btc_balance, :price, :trade_count
+
+    TRADE_FEE = 0.0065
+    TRADE_FEE_MULTIPLIER = 1 - TRADE_FEE
+
+    def initialize(initial_balance)
+      @cash_balance = initial_balance.to_f
+      @btc_balance = 0.0
+      @initial_balance = @cash_balance
+      @total_fees = 0.0
+      @trade_count = 0
+      initialize_strategy
+    end
+
+    def initialize_strategy; end  # NO-OP
+
+    def execute!(rec)
+      @previous_price = @price
+      @previous_time  = @time
+
+      @price = rec.price
+      @time  = rec.time
+
+      execute_strategy!
+    end
+
+    def buy(amount)
+      raise "Order exceeds balance" if amount > @cash_balance
+      @cash_balance -= amount
+      btc = amount / @price
+      @btc_balance  += btc * TRADE_FEE_MULTIPLIER
+      @total_fees += btc * TRADE_FEE * @price
+      @trade_count += 1
+    end
+
+    def sell(amount)
+      @btc_balance  -= amount
+      cash =  amount * @price
+      @cash_balance += cash * TRADE_FEE_MULTIPLIER
+      @total_fees += cash * TRADE_FEE
+      @trade_count += 1
+    end
+
+    def equity
+      @cash_balance + @btc_balance * @price
+    end
+
+    def ror
+      (equity - @initial_balance).to_f / @initial_balance
+    end
+
+    def ror_no_fee
+      (equity + @total_fees - @initial_balance).to_f / @initial_balance
+    end
+  end
+
+  # A trivial example that buys at the outset and hold until the end
+  module Strategies
+    class BuyAndHoldTrader < Trader
+      def execute_strategy!
+        buy cash_balance if @cash_balance > 0
+      end
+    end    
+  end
+end
diff --git a/test/indicators/simple_moving_average_test.rb b/test/indicators/simple_moving_average_test.rb
@@ -1,4 +1,4 @@
-$LOAD_PATH << File.join(File.dirname(__FILE__), '..', '..', '/lib')
+$LOAD_PATH << File.join(File.dirname(__FILE__), '..', '..', 'lib')
 require 'rubygems'
 require 'minitest/autorun'
 require 'btc_trader/indicators_manager'
@@ -14,6 +14,7 @@ def test_basic
     assert_equal 10, @sma.value
 
     assert_equal 8.8, @sma.update!(4)
+    assert_equal 8.8, @sma.value
   end
 
   def test_partial