Ultimate Algorithmic Trading System

186
USING PYTHON TO BACKTEST YOUR ALGORITHM
class marketDataClass(object):
def __init__(self):
self.symbol = ""
self.minMove = 0
self.bigPtVal = 0
self.seed = 0
self.date = list()
self.open = list()
self.high = list()
self.low = list()
self.close = list()
self.volume = list()
self.opInt = list()
self.dataPoints = 0
def setDataAttributes(self,symbol,bigPtVal,minMove):
self.symbol = symbol
self.minMove = minMove
self.bigPtVal = bigPtVal
def readData(self,date,open,high,low,close,volume,opInt):
self.date.append(date)
self.open.append(open)
self.high.append(high)
self.low.append(low)
self.close.append(close)
self.volume.append(volume)
self.opInt.append(opInt)
self.dataPoints += 1
This class acts like a container that holds all of the price data and market attributes
for each file selected by the user. It also contains the methods for gathering that data.
The init method creates all of the storage needed to handle years and years of data.
Other than the single variables self.symbol, self.minMove, self.bigPtVal, the
rest of the data holders are lists. Each list is capable of holding tremendous amounts
of data. The other two methods, setDataAttributes and readData, areusedto
set the market specifications and fill up the lists with price data. Notice Python uses
the .append method to add values to an existing list. Lists act like arrays, but are
much more powerful due to their associated methods. If I want to know the number
of elements in a list, all I have to do is: listLen = len(myList). Len() is simply a
method of the list class.
Now keep in mind all of this code is inside a for loop. The number of loops
is determined by the number of markets selected by the user. If the user selected
five files, then this loop would be performed five times. You would have five
instantiations of the marketDataClass objects, and each would be used to set the
market specifications for the five markets and read in the different price data from
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