Screener

class src.boatwright.Screener.Screener(strategy, universe, data_granularity, trade_period=1, debug=False)

A Screener applies a strategy (or list of strategies) to a universe of stocks to identify whether any buy or sell orders were generated within a given trade period.

Parameters:

• strategy (Strategy) – The strategy to apply. Also accepts a list of strategies to screen with multiple strategies at once.

• universe (list) – list of strings assets to screen, e.g. [“AAPL”, “MSFT”, “GOOG”] or [“BTC/USD”, “ETH/USD”]. Assumes all assets are available from same data source.

• data_granularity (str) – the granularity of the data to screen on (e.g. “DAY”, “HOUR”, “MINUTE”)

• trade_period (int) – The period over which to evaluate for orders.

• debug (bool) – boolean toggle to print out additional information during the screening process.

calc_total_orders()

Calculate the total number of buy and sell orders generated by all strategies for each asset in the screener results.

Returns:

DataFrame with index of screened assets and columns for the total number of buy/sell orders generated by all strategies

collect_data(start_date=None, source=None, save_loc=None)

Collects historical data for the stocks in the universe.

Parameters:

• start_date (datetime) – optional start date for the historical data collection, which can be nice to have if you decide to take a closer look at the charts after the screening. If None, the minimum necesary data will be collected

• source (str) – data source to collect from, defaults to config DEFAULT_DATA_SOURCE

• save_loc (str) – directory to save data to, defaults to config DATA_DIR

classmethod load_strategies(strategies_file)

Load strategy info from a file

Parameters: :param strategies_file: json file with strategy files and parameters

strategies_file should be a json file with the following structure:
{
    "strategy1": {
        "file": "path/to/strategy1.py",
        "parameters": {
            "param1": value1,
            "param2": value2
            ...
        }
    },
    "strategy2": {
        "file": "path/to/strategy2.py",
        "parameters": {
            "param1": value1,
            "param2": value2
            ...
        }
    }

Returns:

List of instantiated Strategy objects

Parameters:

strategies_file (str)

classmethod load_universe(universe_file)

Load universe of stocks from a file Parameters: :param universe_file: path to the csv file containing the universe of stocks to screen.

Parameters:

universe_file (str)

screen(verbose=False)

Screen the universe of assets using the strategy (or strategies)

Returns:

DataFrame with index of screened assets and columns for the number of buy/sell orders generated by each strategy within the trade period

Parameters:

verbose (bool)