Fix 0.4 deprecation warnings

Author: multidis

README.md

@@ -4,4 +4,6 @@ An attempt at a unified framework in Julia language for both event-driven backte
 
 The main objective is to be able to backtest and place real-time orders using the same trading strategy functions.
 
+NOTE: The current `master`-branch code requires `Julia >=0.4.0`. See the `julia03` branch for the last version tested with Julia 0.3 before [0.4.0 final release](https://github.com/JuliaLang/julia/releases).
+
 [Documentation](http://tradinglogicjl.readthedocs.org/en/latest/)

REQUIRE

@@ -1,5 +1,4 @@
-julia 0.3-
-Dates
+julia 0.4
 Match
 Reactive
 TimeSeries

docs/api.md

@@ -1,20 +1,10 @@
-if VERSION < v"0.4-"
-    using Dates
-else
-    using Base.Dates
-end
+VERSION >= v"0.4.0" && __precompile__(true)
 
-using Reactive, Match, TimeSeries, Compat
+using Base.Dates, Reactive, Match, TimeSeries, Compat
 
 module TradingLogic
 
-if VERSION < v"0.4-"
-    using Dates
-else
-    using Base.Dates
-end
-
-using Reactive, Match, TimeSeries, Compat
+using Base.Dates, Reactive, Match, TimeSeries, Compat
 
 export runtrading!, runbacktest, runbacktesttarg
 export emptyblotter, printblotter, writeblotter
@@ -76,8 +66,10 @@ function runtrading!(blotter::Blotter,
   position_actual_mut = [position_initial]
 
   # target signal: strategy-specific
-  s_target = apply(targetfun, tuple(s_ohlc, ohlc_inds,
-                                    position_actual_mut, strategy_args...))
+  ##s_target = apply(targetfun, tuple(s_ohlc, ohlc_inds,
+  ##                                  position_actual_mut, strategy_args...))
+  s_target = targetfun(tuple(s_ohlc, ohlc_inds,
+                                    position_actual_mut, strategy_args...)...)
 
   # current time signal from OHLC timestamp
   s_tnow = Reactive.lift(s -> s[1], s_ohlc, typ=DateTime)
@@ -121,8 +113,10 @@ function runtrading!(blotter::Blotter,
   position_actual_mut = [position_initial]
 
   # target signal: strategy-specific
-  s_target = apply(targetfun, tuple(s_ohlc, ohlc_inds,
-                                    position_actual_mut, strategy_args...))
+  ##s_target = apply(targetfun, tuple(s_ohlc, ohlc_inds,
+  ##                                  position_actual_mut, strategy_args...))
+  s_target = targetfun(tuple(s_ohlc, ohlc_inds,
+                                    position_actual_mut, strategy_args...)...)
 
   # current time signal from OHLC timestamp
   s_tnow = Reactive.lift(s -> s[1], s_ohlc, typ=DateTime)
@@ -173,7 +167,7 @@ optimization objective function to improve performance.
 """
 function runbacktest{M}(ohlc_ta::TimeSeries.TimeArray{Float64,2,M},
                         ohlc_inds::Dict{Symbol,Int64},
-                        fileout::Union(Nothing,String),
+                        fileout::Union{Void,AbstractString},
                         dtformat_out,
                         pfill::Symbol,
                         position_initial::Int64,
@@ -220,7 +214,7 @@ determine the latest timestep actions.
 """
 function runbacktesttarg{M}(ohlc_ta::TimeSeries.TimeArray{Float64,2,M},
                             ohlc_inds::Dict{Symbol,Int64},
-                            fileout::Union(Nothing,String),
+                            fileout::Union{Void,AbstractString},
                             dtformat_out,
                             pfill::Symbol,
                             position_initial::Int64,
@@ -262,7 +256,7 @@ function runbacktestcore{M}(ohlc_ta::TimeSeries.TimeArray{Float64,2,M},
                             s_ohlc::Input{OHLC},
                             s_status::Signal{@compat(Tuple{Bool, Float64})},
                             s_perf::Signal{@compat(Tuple{Float64, Float64})},
-                            fileout::Union(Nothing,String),
+                            fileout::Union{Void,AbstractString},
                             dtformat_out)
   nt = length(ohlc_ta)
   vequity = zeros(nt)
@@ -273,7 +267,7 @@ function runbacktestcore{M}(ohlc_ta::TimeSeries.TimeArray{Float64,2,M},
     # prepare file to write to at each timestep
     fout = open(fileout, "w")
     separator = ','; quotemark = '"'
-    rescols = ["Timestamp", ohlc_ta.colnames, "CumPnL", "DDown"]
+    rescols = ["Timestamp"; ohlc_ta.colnames; "CumPnL"; "DDown"]
     printvecstring(fout, rescols, separator, quotemark)
     writeout = true
   end

docs/source/api.rst

@@ -40,7 +40,7 @@ end
 
 "Print blotter transactions. Resembles DataFrames.printtable."
 function printblotter(io::IO, blotter::Blotter;
-                      dtformat::String = "yyyy-mm-ddTHH:MM:SS",
+                      dtformat::AbstractString = "yyyy-mm-ddTHH:MM:SS",
                       separator::Char = ',', quotemark::Char = '"')
   # ordered timestamps
   vt = vtblotter(blotter)
@@ -69,8 +69,8 @@ function printblotter(io::IO, blotter::Blotter;
 end
 
 "Write blotter transactions to file."
-function writeblotter(filename::String, blotter::Blotter;
-                      dtformat::String = "yyy-mm-ddTHH:MM:SS",
+function writeblotter(filename::AbstractString, blotter::Blotter;
+                      dtformat::AbstractString = "yyy-mm-ddTHH:MM:SS",
                       separator::Char = ',', quotemark::Char = '"')
   open(filename, "w") do io
     printblotter(io, blotter,

src/TradingLogic.jl

@@ -40,4 +40,4 @@ end
 Initialization of `nbuff`-size float-elements buffer
 with NaNs and last element `xinit`.
 """
-initbuff(nbuff::Int64, xinit::Float64) = [fill(NaN, nbuff-1), xinit]
+initbuff(nbuff::Int64, xinit::Float64) = [fill(NaN, nbuff-1); xinit]

src/performance.jl

@@ -1,4 +1,4 @@
-rel(path::String) = joinpath(splitdir(@__FILE__)[1], path)
+rel(path::AbstractString) = joinpath(splitdir(@__FILE__)[1], path)
 
 facts("OHLC backtest with timearray input") do
   # using quantstrat goldencross test
@@ -74,7 +74,7 @@ facts("OHLC backtest with timearray input") do
     run(`rm $fileout`)
     @fact length(taf) --> length(ohlc_ta)
     @fact taf.timestamp --> ohlc_ta.timestamp
-    @fact taf.colnames --> [ohlc_ta.colnames, "CumPnL", "DDown"]
+    @fact taf.colnames --> [ohlc_ta.colnames; "CumPnL"; "DDown"]
     @fact taf.values[:,1:end-2] --> roughly(ohlc_ta.values)
     @fact taf["CumPnL"].values[1] --> roughly(0.0)
     @fact taf["DDown"].values[1] --> roughly(0.0)

src/sigutils.jl

@@ -31,7 +31,8 @@ facts("Trading metrics from transactions blotter") do
     @fact rcsv[1,2] --> "Amount"
     @fact rcsv[2,1] --> Dates.format(tlong, dtfmt)
     @fact rcsv[4,1] --> Dates.format(texit, dtfmt)
-    @fact int(rcsv[3,2]) --> -(along + ashort)
+    ##@fact int(rcsv[3,2]) --> -(along + ashort)
+    @fact round(Int64, rcsv[3,2]) --> -(along + ashort)
     @fact float(rcsv[4,3]) --> roughly(p3)
   end
   context("Long enter with partial fill") do

test/backtest.jl

@@ -1,6 +1,8 @@
 using FactCheck
 using MarketData
 using DataFrames
+using Base.Dates
+using Compat
 
 include("signals.jl")
 include("orders.jl")

test/perfmetrics.jl

@@ -17,7 +17,7 @@ facts("Goldencross trading logic") do
     # up, zero position
     @fact ft(:trendup, 0) --> (tq, stlim)
     # up, position less than target (e.g. partial fill)
-    p = int(tq/2)
+    p = round(Int64, tq/2)
     @fact ft(:trendup, p) --> (tq - p, stlim)
 
     # down: sell
@@ -83,7 +83,7 @@ facts("Goldencross strategy backtesting") do
 
     s_ohlc = Reactive.Input((Dates.DateTime(ohlc_test.timestamp[1]),
                              vec(ohlc_test.values[1,:])))
-    ohlc_inds = (Symbol => Int64)[]
+    ohlc_inds = Dict{Symbol,Int64}()
     ohlc_inds[:open] = 1
     ohlc_inds[:close] = 4
 

test/runtests.jl

@@ -17,13 +17,13 @@ facts("Luxor trading logic") do
     # enter long
     @fact ft(:trendup, 0) --> (tq, [165.0, 155.0])
     # enter long partial fill
-    p = int(tq/2)
+    p = round(Int64, tq/2)
     @fact ft(:trendup, p) --> (tq - p, [165.0, 155.0])
 
     # enter short
     @fact ft(:trenddown, 0) --> (-tq, [140.0, 150.0])
     # enter short partial fill
-    p = -int(tq/2)
+    p = -round(Int64, tq/2)
     @fact ft(:trenddown, p) --> (-abs(tq-p), [140.0, 150.0])
 
     # hold position in line with the market state
@@ -32,12 +32,12 @@ facts("Luxor trading logic") do
 
     # exit long position
     @fact ft(:trenddown, tq) --> (-tq, stlim)
-    p = int(tq/2)
+    p = round(Int64, tq/2)
     @fact ft(:trenddown, p) --> (-p, stlim)
 
     # exit short position
     @fact ft(:trendup, -tq) --> (tq, stlim)
-    p = -int(tq/2)
+    p = -round(Int64, tq/2)
     @fact ft(:trendup, p) --> (abs(p), stlim)
 
     # undefined: wait
@@ -57,7 +57,7 @@ facts("Luxor strategy backtesting") do
     ### TODO change data input
     s_ohlc = Reactive.Input((Dates.DateTime(ohlc.timestamp[1]),
                              vec(ohlc.values[1,:])))
-    ohlc_inds = (Symbol => Int64)[]
+    ohlc_inds = Dict{Symbol,Int64}()
     ohlc_inds[:open] = 1
     ohlc_inds[:high] = 2
     ohlc_inds[:low] = 3