Python qsdateutil.getNYSEdays函数代码示例

def alloc_backtest(alloc, start):
    """
    @summary: Back tests an allocation from a pickle file. Uses a starting
              portfolio value of start.
    @param alloc: Name of allocation pickle file. Pickle file contains a
                  DataMatrix with timestamps as indexes and stock symbols as
                  columns, with the last column being the _CASH symbol,
                  indicating how much
    of the allocation is in cash.
    @param start: integer specifying the starting value of the portfolio
    @return funds: List of fund values indicating the value of the portfolio
                   throughout the back test.
    @rtype timeSeries
    """

    #read in alloc table from command line arguements
    alloc_input_file = open(alloc, "r")
    alloc = cPickle.load(alloc_input_file)

    # Get the data from the data store
    dataobj = da.DataAccess('Norgate')
    startday = alloc.index[0] - dt.timedelta(days=10)
    endday = alloc.index[-1]

    # Get desired timestamps
    timeofday = dt.timedelta(hours=16)
    timestamps = du.getNYSEdays(startday, endday, timeofday)
    historic = dataobj.get_data(timestamps, list(alloc.columns[0:-1]), "close")
    #backtestx
    [fund, leverage, commissions, slippage] = qs.tradesim(alloc, historic, int(start), 1, True, 0.02, 5, 0.02)

    return [fund, leverage, commissions, slippage]

    def _generate_data(self):

        year = 2009        
        startday = dt.datetime(year-1, 12, 1)
        endday = dt.datetime(year+1, 1, 31)

        l_symbols = ['$SPX']

        #Get desired timestamps
        timeofday = dt.timedelta(hours = 16)
        ldt_timestamps = du.getNYSEdays(startday, endday, timeofday)

        dataobj = da.DataAccess('Norgate')
        self.df_close = dataobj.get_data( \
                        ldt_timestamps, l_symbols, "close", verbose=True)

        self.df_alloc = pand.DataFrame( \
                        index=[dt.datetime(year, 1, 1)], \
                                data=[1], columns=l_symbols)

        for i in range(11):
            self.df_alloc = self.df_alloc.append( \
                     pand.DataFrame(index=[dt.datetime(year, i+2, 1)], \
                                      data=[1], columns=l_symbols))

        self.df_alloc['_CASH'] = 0.0

        #Based on hand calculation using the transaction costs and slippage.
        self.i_open_result = 1.15921341122

 def load_from_csv(self, tickers, index, fields=Fields.QUOTES, **kwargs):
     ''' Return a quote panel '''
     #TODO Replace adj_close with actual_close
     #TODO Add reindex methods, and start, end, delta parameters
     reverse = kwargs.get('reverse', False)
     verbose = kwargs.get('verbose', False)
     if self.connected['database']:
         symbols, markets = self.db.getTickersCodes(tickers)
     elif not symbols:
         self._logger.error('** No database neither informations provided')
         return None
     timestamps = du.getNYSEdays(index[0], index[-1], dt.timedelta(hours=16))
     csv = da.DataAccess('Yahoo')
     df = csv.get_data(timestamps, symbols.values(), fields, verbose=verbose)
     quotes_dict = dict()
     for ticker in tickers:
         j = 0
         quotes_dict[ticker] = dict()
         for field in fields:
             serie = df[j][symbols[ticker]].groupby(index.freq.rollforward).aggregate(np.mean)
             #TODO add a function parameter to decide what to do about it
             clean_serie = serie.fillna(method='pad')
             quotes_dict[ticker][field] = clean_serie
             j += 1
     if reverse:
         return Panel.from_dict(quotes_dict, intersect=True, orient='minor')
     return Panel.from_dict(quotes_dict, intersect=True)

def strat_backtest2(strat, start, end, diff, dur, startval):
    """
    @summary: Back tests a strategy defined in a python script that takes in a
             start and end date along with a starting value over a given
             period.
    @param strat: filename of python script strategy
    @param start: starting date in a datetime object
    @param end: ending date in a datetime object
    @param diff: offset in days of the tests
    @param dur: length of a test
    @param startval: starting value of fund during back tests
    @return fundsmatrix: Datamatrix of fund values returned from each test
    @rtype datamatrix
    """
    fundsmatrix = []
    startdates = du.getNYSEdays(start, end, dt.timedelta(hours=16))
    for i in range(0, len(startdates), diff):
        if(i + dur >= len(startdates)):
            enddate = startdates[-1]
        else:
            enddate = startdates[i + dur]
        cmd = "python %s %s %s temp_alloc.pkl" % (
            strat,
            startdates[i].strftime("%m-%d-%Y"),
            enddate.strftime("%m-%d-%Y")
        )
        os.system(cmd)
        funds = alloc_backtest('temp_alloc.pkl', startval)
        fundsmatrix.append(funds)
    return fundsmatrix

def findEvents(symbols, startday,endday, marketSymbol):
	# Reading the Data for the list of Symbols.
	timeofday=dt.timedelta(hours=16)
	timestamps = du.getNYSEdays(startday,endday,timeofday)
	dataobj = da.DataAccess('Yahoo')

	# Reading the Data
	close = dataobj.get_data(timestamps, symbols, closefield)
	    
	np_eventmat = copy.deepcopy(close)
	for sym in symbols:
		for time in timestamps:
			np_eventmat[sym][time]=np.NAN
	f = open('order.csv','w')
	totaldays = len(timestamps)
	for symbol in symbols:
		for i in range(1,totaldays):
			if close[symbol][i-1] >= 6. and close[symbol][i] < 6. :
				#print timestamps[i].year,',',timestamps[i].month,',',timestamps[i].day,',Buy,',symbol,',100'
				soutput = str(timestamps[i].year)+','+str(timestamps[i].month)+','+str(timestamps[i].day)+','+symbol+',Buy,100\n'
				f.write(soutput)
				j = i+5
				if j >= totaldays:
					j = totaldays-1
				soutput = str(timestamps[j].year)+','+str(timestamps[j].month)+','+str(timestamps[j].day)+','+symbol+',Sell,100\n'
                		f.write(soutput)
	f.close()

def findEvents(symbols, startday,endday, marketSymbol,verbose=False):

	# Reading the Data for the list of Symbols.	
	timeofday=dt.timedelta(hours=16)
	timestamps = du.getNYSEdays(startday,endday,timeofday)
	dataobj = da.DataAccess('Yahoo')
	if verbose:
            print __name__ + " reading data"
	# Reading the Data
	close = dataobj.get_data(timestamps, symbols, closefield)
	
	# Calculating the Returns of the Stock Relative to the Market 
	# So if a Stock went up 5% and the Market rised 3%. The the return relative to market is 2% 
	#mktneutDM = close - close[marketSymbol]
	np_eventmat = copy.deepcopy(close)
	for sym in symbols:
		for time in timestamps:
			np_eventmat[sym][time]=np.NAN

	if verbose:
            print __name__ + " finding events"

	# Generating the Event Matrix
	# Event described is : Market falls more than 3% plus the stock falls 5% more than the Market
	# Suppose : The market fell 3%, then the stock should fall more than 8% to mark the event.
	# And if the market falls 5%, then the stock should fall more than 10% to mark the event.

	for symbol in symbols:
		
	    for i in range(1,len(close[symbol])):
	        if close[symbol][i] < 25.0 and close[symbol][i-1] >= 30.0 : # When market fall is more than 3% and also the stock compared to market is also fell by more than 5%.
             		np_eventmat[symbol][i] = 1.0  #overwriting by the bit, marking the event
			
	return np_eventmat

def findEvents(symbols,startday,endday,marketSymbol,verbose = False):
    
    timeofday = dt.timedelta(hours = 16)
    timestamps = du.getNYSEdays(startday,endday,timeofday)
  
    if verbose: 
        print  __name__ + " reading data"
    
    close = dataobj.get_data(timestamps,symbols,closefield)
    close = (close.fillna(method="ffill")).fillna(method="backfill")
    
    np_eventmat = copy.deepcopy(close)
    for sym in symbols:
        for time in timestamps:
            np_eventmat[sym][time] = np.NAN
            
    if verbose:
        print __name__ + " finding events"
    
    price = 7.0     
    for symbol in symbols:
        for i in range(1,len(close[symbol])):
            if close[symbol][i-1] >= price and close[symbol][i] < price:
                np_eventmat[symbol][i] = 1.0
    
    return np_eventmat

def marketsim(cash, orders_file, data_item):
    # Read orders
    orders = defaultdict(list)
    symbols = set([])
    for year, month, day, sym, action, num in csv.reader(open(orders_file, "rU")):
        orders[date(int(year), int(month), int(day))].append((sym, action, int(num)))
        symbols.add(sym)
    
    days = orders.keys()
    days.sort()
    day, end = days[0], days[-1]
    
    # Reading the Data for the list of Symbols.
    timestamps = getNYSEdays(datetime(day.year,day.month,day.day),
                             datetime(end.year,end.month,end.day+1),
                             timedelta(hours=16))
    
    dataobj = DataAccess('Yahoo')
    close = dataobj.get_data(timestamps, symbols, data_item)
    
    values = []
    portfolio = Portfolio(cash)
    for i, t in enumerate(timestamps):
        for sym, action, num in orders[date(t.year, t.month, t.day)]:
            if action == 'Sell': num *= -1
            portfolio.update(sym, num, close[sym][i])
        
        entry = (t.year, t.month, t.day, portfolio.value(close, i))
        values.append(entry)
    
    return values

def log500(sLog):
    '''
    @summary: Loads cached features.
    @param sLog: Filename of features.
    @return: Nothing, logs features to desired location
    '''

    lsSym = ['A', 'AA', 'AAPL', 'ABC', 'ABT', 'ACE', 'ACN', 'ADBE', 'ADI', 'ADM', 'ADP', 'ADSK', 'AEE', 'AEP', 'AES', 'AET', 'AFL', 'AGN', 'AIG', 'AIV', 'AIZ', 'AKAM', 'AKS', 'ALL', 'ALTR', 'AMAT', 'AMD', 'AMGN', 'AMP', 'AMT', 'AMZN', 'AN', 'ANF', 'ANR', 'AON', 'APA', 'APC', 'APD', 'APH', 'APOL', 'ARG', 'ATI', 'AVB', 'AVP', 'AVY', 'AXP', 'AZO', 'BA', 'BAC', 'BAX', 'BBBY', 'BBT', 'BBY', 'BCR', 'BDX', 'BEN', 'BF.B', 'BHI', 'BIG', 'BIIB', 'BK', 'BLK', 'BLL', 'BMC', 'BMS', 'BMY', 'BRCM', 'BRK.B', 'BSX', 'BTU', 'BXP', 'C', 'CA', 'CAG', 'CAH', 'CAM', 'CAT', 'CB', 'CBG', 'CBS', 'CCE', 'CCL', 'CEG', 'CELG', 'CERN', 'CF', 'CFN', 'CHK', 'CHRW', 'CI', 'CINF', 'CL', 'CLF', 'CLX', 'CMA', 'CMCSA', 'CME', 'CMG', 'CMI', 'CMS', 'CNP', 'CNX', 'COF', 'COG', 'COH', 'COL', 'COP', 'COST', 'COV', 'CPB', 'CPWR', 'CRM', 'CSC', 'CSCO', 'CSX', 'CTAS', 'CTL', 'CTSH', 'CTXS', 'CVC', 'CVH', 'CVS', 'CVX', 'D', 'DD', 'DE', 'DELL', 'DF', 'DFS', 'DGX', 'DHI', 'DHR', 'DIS', 'DISCA', 'DNB', 'DNR', 'DO', 'DOV', 'DOW', 'DPS', 'DRI', 'DTE', 'DTV', 'DUK', 'DV', 'DVA', 'DVN', 'EBAY', 'ECL', 'ED', 'EFX', 'EIX', 'EL', 'EMC', 'EMN', 'EMR', 'EOG', 'EP', 'EQR', 'EQT', 'ERTS', 'ESRX', 'ETFC', 'ETN', 'ETR', 'EW', 'EXC', 'EXPD', 'EXPE', 'F', 'FAST', 'FCX', 'FDO', 'FDX', 'FE', 'FFIV', 'FHN', 'FII', 'FIS', 'FISV', 'FITB', 'FLIR', 'FLR', 'FLS', 'FMC', 'FO', 'FRX', 'FSLR', 'FTI', 'FTR', 'GAS', 'GCI', 'GD', 'GE', 'GILD', 'GIS', 'GLW', 'GME', 'GNW', 'GOOG', 'GPC', 'GPS', 'GR', 'GS', 'GT', 'GWW', 'HAL', 'HAR', 'HAS', 'HBAN', 'HCBK', 'HCN', 'HCP', 'HD', 'HES', 'HIG', 'HNZ', 'HOG', 'HON', 'HOT', 'HP', 'HPQ', 'HRB', 'HRL', 'HRS', 'HSP', 'HST', 'HSY', 'HUM', 'IBM', 'ICE', 'IFF', 'IGT', 'INTC', 'INTU', 'IP', 'IPG', 'IR', 'IRM', 'ISRG', 'ITT', 'ITW', 'IVZ', 'JBL', 'JCI', 'JCP', 'JDSU', 'JEC', 'JNJ', 'JNPR', 'JNS', 'JOYG', 'JPM', 'JWN', 'K', 'KEY', 'KFT', 'KIM', 'KLAC', 'KMB', 'KMX', 'KO', 'KR', 'KSS', 'L', 'LEG', 'LEN', 'LH', 'LIFE', 'LLL', 'LLTC', 'LLY', 'LM', 'LMT', 'LNC', 'LO', 'LOW', 'LSI', 'LTD', 'LUK', 'LUV', 'LXK', 'M', 'MA', 'MAR', 'MAS', 'MAT', 'MCD', 'MCHP', 'MCK', 'MCO', 'MDT', 'MET', 'MHP', 'MHS', 'MJN', 'MKC', 'MMC', 'MMI', 'MMM', 'MO', 'MOLX', 'MON', 'MOS', 'MPC', 'MRK', 'MRO', 'MS', 'MSFT', 'MSI', 'MTB', 'MU', 'MUR', 'MWV', 'MWW', 'MYL', 'NBL', 'NBR', 'NDAQ', 'NE', 'NEE', 'NEM', 'NFLX', 'NFX', 'NI', 'NKE', 'NOC', 'NOV', 'NRG', 'NSC', 'NTAP', 'NTRS', 'NU', 'NUE', 'NVDA', 'NVLS', 'NWL', 'NWSA', 'NYX', 'OI', 'OKE', 'OMC', 'ORCL', 'ORLY', 'OXY', 'PAYX', 'PBCT', 'PBI', 'PCAR', 'PCG', 'PCL', 'PCLN', 'PCP', 'PCS', 'PDCO', 'PEG', 'PEP', 'PFE', 'PFG', 'PG', 'PGN', 'PGR', 'PH', 'PHM', 'PKI', 'PLD', 'PLL', 'PM', 'PNC', 'PNW', 'POM', 'PPG', 'PPL', 'PRU', 'PSA', 'PWR', 'PX', 'PXD', 'QCOM', 'QEP', 'R', 'RAI', 'RDC', 'RF', 'RHI', 'RHT', 'RL', 'ROK', 'ROP', 'ROST', 'RRC', 'RRD', 'RSG', 'RTN', 'S', 'SAI', 'SBUX', 'SCG', 'SCHW', 'SE', 'SEE', 'SHLD', 'SHW', 'SIAL', 'SJM', 'SLB', 'SLE', 'SLM', 'SNA', 'SNDK', 'SNI', 'SO', 'SPG', 'SPLS', 'SRCL', 'SRE', 'STI', 'STJ', 'STT', 'STZ', 'SUN', 'SVU', 'SWK', 'SWN', 'SWY', 'SYK', 'SYMC', 'SYY', 'T', 'TAP', 'TDC', 'TE', 'TEG', 'TEL', 'TER', 'TGT', 'THC', 'TIE', 'TIF', 'TJX', 'TLAB', 'TMK', 'TMO', 'TROW', 'TRV', 'TSN', 'TSO', 'TSS', 'TWC', 'TWX', 'TXN', 'TXT', 'TYC', 'UNH', 'UNM', 'UNP', 'UPS', 'URBN', 'USB', 'UTX', 'V', 'VAR', 'VFC', 'VIA.B', 'VLO', 'VMC', 'VNO', 'VRSN', 'VTR', 'VZ', 'WAG', 'WAT', 'WDC', 'WEC', 'WFC', 'WFM', 'WFR', 'WHR', 'WIN', 'WLP', 'WM', 'WMB', 'WMT', 'WPI', 'WPO', 'WU', 'WY', 'WYN', 'WYNN', 'X', 'XEL', 'XL', 'XLNX', 'XOM', 'XRAY', 'XRX', 'YHOO', 'YUM', 'ZION', 'ZMH']
    lsSym.append('$SPX')
    lsSym.sort()

    ''' Max lookback is 6 months '''
    dtEnd = dt.datetime.now()
    dtEnd = dtEnd.replace(hour=16, minute=0, second=0, microsecond=0)
    dtStart = dtEnd - relativedelta(months=6)

    ''' Pull in current data '''
    norObj = da.DataAccess('Norgate')
    ''' Get 2 extra months for moving averages and future returns '''
    ldtTimestamps = du.getNYSEdays(dtStart - relativedelta(months=2),
                                   dtEnd + relativedelta(months=2), dt.timedelta(hours=16))

    dfPrice = norObj.get_data(ldtTimestamps, lsSym, 'close')
    dfVolume = norObj.get_data(ldtTimestamps, lsSym, 'volume')

    ''' Imported functions from qstkfeat.features, NOTE: last function is classification '''
    lfcFeatures, ldArgs, lsNames = getFeatureFuncs()

    ''' Generate a list of DataFrames, one for each feature, with the same index/column structure as price data '''
    applyFeatures(dfPrice, dfVolume, lfcFeatures, ldArgs, sLog=sLog)

def simulate(symbols, allocations, startday, endday):
  """
  @symbols: list of symbols
  @allocations: list of weights
  @startday: ...
  @endday: ...
  """
  timeofday = dt.timedelta(hours=16)
  timestamps = du.getNYSEdays(startday,endday,timeofday)

  dataobj = da.DataAccess('Yahoo')
  close = dataobj.get_data(timestamps, symbols, "close", verbose=False)
  close = close.values
  norm_close = close / close[0, :]

  allocations = allocations / np.sum(allocations)

  portfolio_value = np.dot(norm_close, allocations)
  portfolio_return = portfolio_value.copy()
  tsu.returnize0(portfolio_return)

  sharpe = tsu.get_sharpe_ratio(portfolio_return)
  accum = portfolio_value[-1] / portfolio_value[0]
  average = np.mean(portfolio_return)
  stddev = np.std(portfolio_return)

  result = {"sharpe":sharpe, "cumulative_return":accum, "average":average, "stddev":stddev}

  return result

def print_industry_coer(fund_ts, ostream):
    """
    @summary prints standard deviation of returns for a fund
    @param fund_ts: pandas fund time series
    @param years: list of years to print out
    @param ostream: stream to print to
    """
    industries = [['$DJUSBM', 'Materials'],
    ['$DJUSNC', 'Goods'],
    ['$DJUSCY', 'Services'],
    ['$DJUSFN', 'Financials'],
    ['$DJUSHC', 'Health'],
    ['$DJUSIN', 'Industrial'],
    ['$DJUSEN', 'Oil & Gas'],
    ['$DJUSTC', 'Technology'],
    ['$DJUSTL', 'TeleComm'],
    ['$DJUSUT', 'Utilities']]
    for i in range(0, len(industries) ):
        if(i%2==0):
            ostream.write("\n")
        #load data
        norObj = de.DataAccess('mysql')
        ldtTimestamps = du.getNYSEdays( fund_ts.index[0], fund_ts.index[-1], dt.timedelta(hours=16) )
        ldfData = norObj.get_data( ldtTimestamps, [industries[i][0]], ['close'] )
        #get corelation
        ldfData[0]=ldfData[0].fillna(method='pad')
        ldfData[0]=ldfData[0].fillna(method='bfill')
        a=np.corrcoef(np.ravel(tsu.daily(ldfData[0][industries[i][0]])),np.ravel(tsu.daily(fund_ts.values)))
        b=np.ravel(tsu.daily(ldfData[0][industries[i][0]]))
        f=np.ravel(tsu.daily(fund_ts))
        fBeta, unused = np.polyfit(b,f,1)
        ostream.write("%10s(%s):%+6.2f,   %+6.2f   " % (industries[i][1], industries[i][0], a[0,1], fBeta))

def print_other_coer(fund_ts, ostream):
    """
    @summary prints standard deviation of returns for a fund
    @param fund_ts: pandas fund time series
    @param years: list of years to print out
    @param ostream: stream to print to
    """
    industries = [['$SPX', '    S&P Index'],
    ['$DJI', '    Dow Jones'],
    ['$DJUSEN', 'Oil & Gas'],
    ['$DJGSP', '     Metals']]
    for i in range(0, len(industries) ):
        if(i%2==0):
            ostream.write("\n")
        #load data
        norObj =de.DataAccess('mysql')
        ldtTimestamps = du.getNYSEdays( fund_ts.index[0], fund_ts.index[-1], dt.timedelta(hours=16) )
        ldfData = norObj.get_data( ldtTimestamps, [industries[i][0]], ['close'] )
        #get corelation
        ldfData[0]=ldfData[0].fillna(method='pad')
        ldfData[0]=ldfData[0].fillna(method='bfill')
        a=np.corrcoef(np.ravel(tsu.daily(ldfData[0][industries[i][0]])),np.ravel(tsu.daily(fund_ts.values)))
        b=np.ravel(tsu.daily(ldfData[0][industries[i][0]]))
        f=np.ravel(tsu.daily(fund_ts))
        fBeta, unused = np.polyfit(b,f,1)
        ostream.write("%10s(%s):%+6.2f,   %+6.2f   " % (industries[i][1], industries[i][0], a[0,1], fBeta))

def findEvents(symbols, startday,endday, marketSymbol,verbose=False):

	# Reading the Data for the list of Symbols.	
	timeofday=dt.timedelta(hours=16)
	timestamps = du.getNYSEdays(startday,endday,timeofday)
	dataobj = da.DataAccess(storename)
	if verbose:
            print __name__ + " reading data"
	# Reading the Data
	close = dataobj.get_data(timestamps, symbols, closefield)
	
	# Completing the Data - Removing the NaN values from the Matrix
	#close = (close.fillna(method='ffill')).fillna(method='backfill')

	if verbose:
            print __name__ + " finding events"

	# Generating the orders
	# Event described is : when the actual close of the stock price drops below $5.00

	f = open('orders.csv', 'wt')
	writer = csv.writer(f)

	for symbol in symbols:
		
		for i in range(2,len(close[symbol])):
			if close[symbol][i-1] >=5.0 and close[symbol][i] < 5.0 : 
				writer.writerow( (close.index[i].year, close.index[i].month, close.index[i].day, symbol, 'BUY', 100) )

				j = i + 5
				if (j > len(close[symbol])) : 
					j = len(close[ysmbol])

				writer.writerow( (close.index[j].year, close.index[j].month, close.index[j].day, symbol, 'SELL', 100) )
	f.close()

def findEvents(symbols, startday,endday, marketSymbol,verbose=False):

	# Reading the Data for the list of Symbols.	
	timeofday=dt.timedelta(hours=16)
	timestamps = du.getNYSEdays(startday,endday,timeofday)
	dataobj = da.DataAccess(storename)
	if verbose:
            print __name__ + " reading data"
	# Reading the Data
	close = dataobj.get_data(timestamps, symbols, closefield)
	
	# Completing the Data - Removing the NaN values from the Matrix
	#close = (close.fillna(method='ffill')).fillna(method='backfill')

	# Calculating the Returns of the Stock Relative to the Market 
	# So if a Stock went up 5% and the Market rose 3%, the return relative to market is 2% 
	np_eventmat = copy.deepcopy(close)
	for sym in symbols:
		for time in timestamps:
			np_eventmat[sym][time]=np.NAN

	if verbose:
            print __name__ + " finding events"

	# Generating the Event Matrix
	# Event described is : when the actual close of the stock price drops below $5.00

	for symbol in symbols:
		
	    for i in range(2,len(close[symbol])):
	        if close[symbol][i-1] >=7.0 and close[symbol][i] < 7.0 : 
             		np_eventmat[symbol][i] = 1.0  #overwriting by the bit, marking the event
			
	return np_eventmat

def readdata(valuefile,closefield='close',stores='Yahoo'):
	
	funddata = nu.loadtxt(valuefile, delimiter=',', dtype='i4,i4,i4,f8') #  values = readcsv(valuefile)
	datelist = []
	fundvalue = []
	for record in funddata:
		fundvalue.append(record[3])
		date = dt.datetime(record[0],record[1],record[2])
		datelist.append(date)
	
	# read in the $SPX data	
	timeofday = dt.timedelta(hours=16)
	startdate = datelist[0]
	enddate   = datelist[-1] + dt.timedelta(days=1)  # fix the off-by-1 error
	#enddate = datelist[-1]
	timestamps = du.getNYSEdays(startdate,enddate, timeofday)

	# get the value for benchmark
	dataobj = da.DataAccess(stores)
	symbols = [bench_symbol]
	close = dataobj.get_data(timestamps,symbols,closefield)
	
	benchmark_price = []
	benchmark_value = []
	for time in timestamps:
		benchmark_price.append(close[bench_symbol][time])
	bench_shares = fundvalue[0]/benchmark_price[0]
	for i in range(len(benchmark_price)):
		benchmark_value.append(bench_shares*benchmark_price[i])
	
	return timestamps,fundvalue,benchmark_value