conf.pm

package conf;

use Cache::Memcached::Fast;
require Exporter;
use Getopt::Long;

use vars qw/@ISA @EXPORT $VERSION/;
@ISA = qw/Exporter/;
@EXPORT = qw/process_commandline/;
$VERSION = 1.0;
my $start_time;
my $progress;

#my $ROW_SIZE = 470; #for sql rows
my $ROW_SIZE = 420; #for tokyo cabinet rows

$~ = 'HELPTEXT';

sub process_commandline {

    if(@_ == 0) {
	write;
	exit();
    }

    $start_time = time();

    GetOptions('date=s' => \$date, 'screen=s' => \$screenfile, 'list=s' => \$tickers, 'entry=s' => \$entryfile,
	'exit=s' => \$exitfile, 'start=s' => \$startdate, 'finish=s' => \$enddate, 'replay=s' => \$replay_list,
	'short-entry=s' => \$short_entry, 'short-exit=s' => \$short_exit, 'showreward' => \$showreward, 
	'init-margin=s' => \$initial_margin, 'maint-margin' => \$maint_margin, 'portfolio=s' => \$portfolio,
	'benchmark=s' => \$benchmark, 'start-with=s' => \$startwith, 'risk=s' => \$risk, 'curve' => \$curve,
	'connect-string=s' => \$connect_string, 'connect-user=s' => \$connect_user, 
	'skip-progress' => \$skip_progress, 'nocache' => \$disable_cache, 'skip-trades' => \$skip_trades,
	'tickers=s' => \$tickerlist, 'cgi-handle=s' => \$cgi_handle, 'timer' => \$use_timer, 
	'filter=s' => \$long_filter, 'short-filter=s' => \$short_filter, 'stop=s' => \$stopfile, 'trail=s' => \$trailfile,
	'short-stop=s' => \$short_stopfile, 'short-trail=s' => \$short_trailfile, 'periods=s' => \$period_count,
	'slip=s' => \$slip_file, 'stop-equity' => \$stop_equity, 'cachemax=s' => \$cache_max, 'randomize' => \$randomize,
	'blacklist=s' => \$blacklist);

    die "Couldn't open $tickers" if (! $tickerlist && ! -e $tickers);
    die "Couldn't open $screenfile" if $screenfile && ! -e $screenfile;
    die "Couldn't open $short_entry" if $short_entry && ! -e $short_entry;
    die "Couldn't open $replay_list" if $replay_list && ! -e $replay_list;
    die "Coudln't open $short_exit" if $short_exit && ! -e $short_exit;
    die "Couldn't open $entryfile" if $entryfile && ! -e $entryfile;
    die "Couldn't open $exitfile" if $exitfile && ! -e $exitfile;
    die "Couldn't open $long_filter" if $long_filter && ! -e $long_filter;
    die "Couldn't open $short_filter" if $short_filter && ! -e $short_filter;
    die "Couldn't open $stopfile" if $stopfile && ! -e $stopfile;
    die "Couldn't open $trailfile" if $trailfile && ! -e $trailfile;
    die "Couldn't open $short_stopfile" if $short_stopfile && ! -e $short_stopfile;
    die "Couldn't open $short_trailfile" if $short_trailfile && ! -e $short_trailfile;
    die "Couldn't open $slip_file" if $slip_file && ! -e $slip_file;

    process_period_count();
    init_cgi() if $cgi_handle;
    compute_cache_size() if not $disable_cache;
}

sub date { return $date; }
sub screen { return $screenfile; }
sub list { return $tickers; }
sub enter_sig { return $entryfile; }
sub exit_sig { return $exitfile; }
sub start { return $startdate; }
sub finish { return $enddate; }
sub replay_list { return $replay_list; }
sub short_enter_sig { return $short_entry; }
sub short_exit_sig { return $short_exit; }
sub long_positions { return $entryfile || $exitfile; }
sub short_positions { return $short_entry || $short_exit; }
sub long_filter { return $long_filter; }
sub short_filter { return $short_filter; }
sub show_reward_ratio { return $showreward; }
sub noprogress { return $skip_progress; }
sub draw_curve { return $curve; }
sub usecache { return not $disable_cache; }
sub show_trades { return not $skip_trades; }
sub ticker_list { return $tickerlist; }
sub short_trail { return $short_trailfile; }
sub long_trail { return $trailfile; }
sub timer { return $use_timer; }
sub stop_equity { return $stop_equity; }
sub randomize_list { return $randomize; }
sub blacklist { return $blacklist; }

sub cache_size {
    return $row_count;
}

sub slippage { 
    return $slip_file if $slip_file;
}

sub short_stop { 
    return $short_stopfile if $short_stopfile;
    return "strategies/default_short_stop";
}

sub long_stop { 
    return $stopfile if $stopfile;
    return "strategies/default_long_stop";
}

sub connect_string {
    return $connect_string if $connect_string;
    return "DBI:mysql:finance";
}

sub connect_user {
    return $connect_user if $connect_user;
    return "perldb";
}

sub initial_margin {
    return (1 + $initial_margin) if $initial_margin;
    return 1.5;
}

sub maint_margin {
    return (1 + $maint_margin) if $maint_margin;
    return 1.25;
}

sub portfolio { 
    return $portfolio if $portfolio;
    return "portfolio";
}

sub benchmark { 
    return $benchmark if $benchmark;
    return "QQQQ";
}

sub startwith {

    return $startwith if $startwith;
    return 5000;
}

sub risk_percent {

    return ($risk / 100) if $risk;
    return 0.01;
}

sub check_backtest_args {

    die "You are using the same entry and exit" if $exitfile eq $entryfile && $exitfile;
    die "missing -list (ticker list file)" if not $tickers and not $tickerlist;
    die "missing -start (start date)" if not $startdate;
    die "missing -entry (entry signal)" if not $entryfile and long_positions();
    die "missing -exit (exit signal)" if not $exitfile and long_positions();
    die "missing -short-exit (exit signal)" if not $short_exit and $short_entry and short_positions();
    die "missing -short-entry (entry signal)" if not $short_entry and $short_exit and short_positions();
    die "Please specify -periods and either -finish or -start, not both" if $period_count and $enddate and $startdate;
}

sub override_date_range {

    $startdate = shift;
    $enddate = shift;
}

sub elapsed_time {
    return time() - $start_time;
}

sub process_period_count {

    if($period_count) {
	
	if($startdate) {
	    process_from_start();
	} else {
	    process_from_end();
	}
    }
}

sub process_from_start {

    my $d = $startdate;
    $d =~ s/-//g;
    my $end = new Date::Business(DATE => $d);
    $end->addb($period_count);

    my $rval = $end->image();
    substr $rval, 4, 0, "-";
    substr $rval, 7, 0, "-";  
    $enddate = $rval;
}

sub process_from_end {

    my $d = $enddate;
    $d =~ s/-//g;
    my $start = new Date::Business(DATE => $d);
    $start->subb($period_count);

    my $rval = $start->image();
    substr $rval, 4, 0, "-";
    substr $rval, 7, 0, "-";  
    $startdate = $rval;
}


sub init_cgi {

    $cache_handle = new Cache::Memcached::Fast({servers => [{address => '/tmp/mcd.sock', noreply => 1}]});
}

sub output {

    my $data = shift;
    my $dieflag = shift;

    if($cgi_handle) {

	if(length $data > 10 && ! $dieflag) {
	    $data = "###$data###";
	} else {
	    $data = "$data===";
	}

	$cache_handle->set($cgi_handle, $data);

    } else {
	
	my $slen = rindex($data, "^^^^^");
	$data = substr $data, 0, $slen;
	$data =~ tr/^/ /;
	print "$data";
    }

    die if $dieflag;
}

sub compute_cache_size {

    my $msize = $cache_max ? $cache_max : 40;
    $msize *= 1000000;
    $row_count = int($msize / $ROW_SIZE);
}

format HELPTEXT =

OPTIONS FOR BACKTESTER:

   -list <ticker list file>
   -start <starting date in YYYY-MM-DD>
   -finish <end date in YYYY-MM-DD>
   -entry <rule file>
   -exit <rule file>
   -short-exit <rule file>
   -short-entry <rule file>


OPTIONS FOR SCREENER:

   -list <ticker list file>
   -screen <rule file>
   -date <screen date in YYYY-MM-DD>
   

AVAILABLE INDICATORS:
  

   Relative Strength Index      RSI<period>
   Bollinger Bands              BOLLINGER_UPPER | BOLLINGER_LOWER<period>,<deviations>
   Average True Range           ATR<period>
   Williams %R                  WILLIAMS_R<period>
.


1;