Merge pull request #93 from femtotrader/femtotrader-random

Random sample data

docs/src/test_data.md

@@ -4,12 +4,23 @@ Test data `const` objects are smaller datasets designed to be used in
 tests for other packages. They include both `Date` and `DateTime`
 objects. All but one of the objects has an empty TimeArray `meta` field.
 
-| `const`   | Description                          | First timestamp     |   Number of rows
-|-----------|--------------------------------------|---------------------|-----------------
-| op        | single column `Date` data            | 2000-01-03          |   500
-| cl        | single column `Date` data            | 2000-01-03          |   500
-| ohlc      | four-column `Date` data              | 2000-01-03          |   500
-| ohlcv     | five-column `Date` data              | 2000-01-03          |   500
-| mdata     | 1-column `Date` data with meta field | 2000-01-03          |   500
-| datetime1 | 1-column `DateTime` data             | 2013-12-31T00:00:00 |   5
-| datetime2 | 1-column `DateTim`e data             | 1961-12-31 00:00:00 |   5
+| `const`     | Description                          | First timestamp     |   Number of rows
+|-------------|--------------------------------------|---------------------|-----------------
+| `op`        | single column `Date` data            | 2000-01-03          |   500
+| `cl`        | single column `Date` data            | 2000-01-03          |   500
+| `ohlc`      | four-column `Date` data              | 2000-01-03          |   500
+| `ohlcv`     | five-column `Date` data              | 2000-01-03          |   500
+| `mdata`     | 1-column `Date` data with meta field | 2000-01-03          |   500
+| `datetime1` | 1-column `DateTime` data             | 2013-12-31T00:00:00 |   5
+| `datetime2` | 1-column `DateTim`e data             | 1961-12-31 00:00:00 |   5
+
+## Random
+
+| `Function`     | Description                                      | First timestamp(*)  |   Number of rows(*)
+|----------------|--------------------------------------------------|---------------------|-----------------
+| `random_cl`    | random `Close` price                             | 2020-01-01          |   500
+| `random_vol`   | random `Volume`                                  | 2020-01-01          |   500
+| `random_ohlc`  | random `Open`/`High`/`Low`/`Close` price data    | 2020-01-01          |   500
+| `random_ohlcv` | random `Open`/`High`/`Low`/`Close`/`Volume` data | 2020-01-01          |   500
+
+(*) these values are default values but can be changed passing a keyword argument such as `start=Dates.DateTime(2024, 1, 1)` and `length=1000`.

src/MarketData.jl

@@ -14,6 +14,7 @@ using JSON3
 export AAPL, BA, CAT, DELL, EBAY, F, GE, TX,
        cl, op, ohlc, ohlcv, datetime1, datetime2, mdata,
        o, h, l, c, v
+export random_cl, random_vol, random_ohlc, random_ohlcv
 # downloads.jl
 export AbstractQueryOpt,
        YahooOpt,
@@ -23,6 +24,7 @@ export AbstractQueryOpt,
 
 include("utils.jl")
 include("const.jl")
+include("random.jl")
 include("helpers.jl")
 include("downloads.jl")
 

src/random.jl

@@ -0,0 +1,116 @@
+using Random
+
+
+function random_cl(rng::AbstractRNG = Random.GLOBAL_RNG;
+    start = Dates.DateTime(2020, 1, 1),
+    step = Dates.Minute(1),
+    length = 500,
+    price_init = nothing,
+    price_init_min = 1.00,
+    price_init_step = 0.01,
+    price_init_max = 1000.00,
+    price_var_min = -1.0,
+    price_var_step = 0.01,
+    price_var_max = 1.0,
+)
+    idx = range(start, length = length, step = step)
+    if isnothing(price_init)
+        price_init = rand(rng, price_init_min:price_init_step:price_init_max)
+    end
+    return TimeArray(
+        collect(idx),
+        price_init .+ cumsum(rand(rng, price_var_min:price_var_step:price_var_max, length)),
+        [:Close],
+    )
+end
+
+function random_vol(rng::AbstractRNG = Random.GLOBAL_RNG;
+    start = Dates.DateTime(2020, 1, 1),
+    step = Dates.Minute(1),
+    length = 500,
+    vol_init_min = 0.0,
+    vol_init_step = 0.1,
+    vol_init_max = 100.0,
+)
+    idx = range(start, length = length, step = step)
+    return TimeArray(
+        collect(idx),
+        rand(rng, vol_init_min:vol_init_step:vol_init_max, length),
+        [:Volume],
+    )
+end
+
+function random_ohlc(rng::AbstractRNG = Random.GLOBAL_RNG;
+    start = Dates.DateTime(2020, 1, 1),
+    step = Dates.Hour(1),
+    sub_step = Dates.Minute(1),
+    length = 500,
+    price_init = nothing,
+    price_init_min = 1.00,
+    price_init_step = 0.01,
+    price_init_max = 1000.00,
+    price_var_min = -1.0,
+    price_var_step = 0.01,
+    price_var_max = 1.0
+)
+    nsub = ceil(Int, step / sub_step)
+    price = random_cl(rng,
+        start = start,
+        step = sub_step,
+        length = length * nsub,
+        price_init = price_init,
+        price_init_min = price_init_min,
+        price_init_step = price_init_step,
+        price_init_max = price_init_max,
+        price_var_min = price_var_min,
+        price_var_step = price_var_step,
+        price_var_max = price_var_max,
+    )
+    ta_o = collapse(price, step, first, first)
+    ta_h = collapse(price, step, first, maximum)
+    ta_l = collapse(price, step, first, minimum)
+    ta_c = collapse(price, step, first, last)
+    a_ohlc = hcat(values(ta_o), values(ta_h), values(ta_l), values(ta_c))
+    return TimeArray(timestamp(ta_o), a_ohlc, [:Open, :High, :Low, :Close])
+end
+
+
+function random_ohlcv(rng::AbstractRNG = Random.GLOBAL_RNG;
+    start = Dates.DateTime(2020, 1, 1),
+    step = Dates.Hour(1),
+    sub_step = Dates.Minute(1),
+    length = 500,
+    price_init = nothing,
+    price_init_min = 1.00,
+    price_init_step = 0.01,
+    price_init_max = 1000.00,
+    price_var_min = -1.0,
+    price_var_step = 0.01,
+    price_var_max = 1.0,
+    vol_init_min = 0.0,
+    vol_init_step = 0.1,
+    vol_init_max = 100.0,
+)
+    ta_ohlc = random_ohlc(rng;
+        start = start,
+        step = step,
+        sub_step = sub_step,
+        length = length,
+        price_init = price_init,
+        price_init_min = price_init_min,
+        price_init_step = price_init_step,
+        price_init_max = price_init_max,
+        price_var_min = price_var_min,
+        price_var_step = price_var_step,
+        price_var_max = price_var_max
+    )
+    ta_vol = random_vol(rng;
+        start = start,
+        step = step,
+        length = Base.length(ta_ohlc),
+        vol_init_min = vol_init_min,
+        vol_init_step = vol_init_step,
+        vol_init_max = vol_init_max,
+    )
+    hcat(ta_ohlc, ta_vol)
+end

test/const.jl

@@ -50,3 +50,32 @@ end
         @test length(GE)   == 13090
     end
 end
+
+
+@testset "random data have expected length" begin
+
+    @testset "test random_cl" begin
+        data = random_cl()
+        @test length(data) == 500
+        @test colnames(data) == [:Close]
+    end
+
+    @testset "test random_vol" begin
+        data = random_vol()
+        @test length(data) == 500
+        @test colnames(data) == [:Volume]
+    end
+
+    @testset "test random_ohlc" begin
+        data = random_ohlc()
+        @test length(data) == 500
+        @test colnames(data) == [:Open, :High, :Low, :Close]
+    end
+
+    @testset "test random_ohlcv" begin
+        data = random_ohlcv()
+        @test length(data) == 500
+        @test colnames(data) == [:Open, :High, :Low, :Close, :Volume]
+    end
+
+end