Ultimate Algorithmic Trading System

Python has a ton of reusable code and helper modules. This little bit of code relies
on the built-in csv.Reader. If you noticed the dot notation, then you realize that
csv is class and .Reader is a method from that class. Before using the csv class, it
had to be imported. If you look back at the source code, you will see it is the first
module to be imported. After the file is opened using with open(fileName) as f: ,
the file pointer (f) is passed to the csv.Reader method. The f_csv is then utilized
to read each row of data in the file. The columns in each row are demarked by using
a subscript. So row[0] is the commName, row[1] is the big point value, and row[2]
is the minimum move. Since we are inside a definite for loop, the loops ends when
the last row of data is read. Once the loop has terminated, the file is closed. These
six or seven lines of code open the file, loop through each row of data, read the data
into predefined lists, and then close the file. Pretty simple and concise!
This next snippet of code does a lot and is a little more sophisticated, so only
the most important parts will be discussed.
184
USING PYTHON TO BACKTEST YOUR ALGORITHM
root = tk.Tk()
root.withdraw()
cnt = 0
files = askopenfilenames(filetypes=(('CSV files', '*.txt'),
('All files', '*.*')),
title='Select Markets To Test')
fileList = root.tk.splitlist(files)
fileListLen = len(fileList)
for marketCnt in range(0,fileListLen):
head,tail = os.path.split(fileList[marketCnt])
tempStr = tail[0:2]
for i in range(totComms):
if tempStr == commName[i]:
commIndex = i
newDataClass = marketDataClass()
newDataClass.setDataAttributes(commName[commIndex],
bigPtVal[commIndex],minMove[commIndex])
with open(fileList[marketCnt]) as f:
f_csv = csv.reader(f)
for row in f_csv:
newDataClass.readData(int(row[0]),float(row[1]),
float(row[2]),float(row[3]), float(row[4]),
0.0,0.0)
cnt = cnt + 1
dataClassList.append(newDataClass)
f.close
return(dataClassList)
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