Updating to work with new toolbox

chandinijain · web-flow · commit d568e7e006ab · 2018-12-31T15:41:25.000Z
diff --git a/Covariance, Correlation and Confidence Intervals.ipynb b/Covariance, Correlation and Confidence Intervals.ipynb
@@ -241,25 +241,30 @@
      ]
     }
    ],
-   "source": [
-    "import auquanToolbox.dataloader as dl\n",
+"source": [
+    "from backtester.dataSource.yahoo_data_source import YahooStockDataSource\n",
     "# Pull the pricing data for our two stocks and S&P 500\n",
-    "start = '2013-01-01'\n",
-    "end = '2015-12-31'\n",
-    "exchange = 'nasdaq'\n",
-    "base = 'SPX'\n",
+    "startDateStr = '2014/12/31'\n",
+    "endDateStr = '2017/12/31'\n",
+    "cachedFolderName = 'yahooData/'\n",
+    "dataSetId = 'testPairsTrading'\n",
+    "instrumentIds = ['AAPL', '^GSPC', 'LRCX']\n",
+    "ds = YahooStockDataSource(cachedFolderName=cachedFolderName,\n",
+    "                            dataSetId=dataSetId,\n",
+    "                            instrumentIds=instrumentIds,\n",
+    "                            startDateStr=startDateStr,\n",
+    "                            endDateStr=endDateStr,\n",
+    "                            event='history')\n",
+    "base = '^GSPC'\n",
     "m1 = 'AAPL'\n",
     "m2= 'LRCX'\n",
-    "\n",
-    "data = dl.load_data_nologs(exchange, [base,m1,m2], start, end)\n",
-    "bench = data['ADJ CLOSE'][base]\n",
-    "a1= data['ADJ CLOSE'][m1]\n",
-    "a2 = data['ADJ CLOSE'][m2]\n",
-    "\n",
+    "bench = ds.getBookDataByFeature()['adjClose'][base]\n",
+    "a1= ds.getBookDataByFeature()['adjClose'][m1]\n",
+    "a2 = ds.getBookDataByFeature()['adjClose'][m2]\n",
     "plt.scatter(a1,a2)\n",
     "plt.xlabel('LRCX')\n",
     "plt.ylabel('AAPL')\n",
-    "plt.title('Stock prices from ' + start + ' to ' + end)\n",
+    "plt.title('Stock prices from ' + startDateStr + ' to ' + endDateStr)\n",
     "plt.show()\n",
     "print('Correlation coefficients')\n",
     "print('Correlation of %s and %s: %.2f'%(m1, m2, np.corrcoef(a1,a2)[0, 1]))\n",
