From 0d1c787389a23a7fdf5f1cf9f8d398c80969ddb4 Mon Sep 17 00:00:00 2001 From: msincenselee Date: Mon, 28 Sep 2015 15:29:48 +0800 Subject: [PATCH] mongodb=>mysqldb --- vn.strategy/strategydemo/demoStrategy.py | 108 ++++++++++++++--------- 1 file changed, 65 insertions(+), 43 deletions(-) diff --git a/vn.strategy/strategydemo/demoStrategy.py b/vn.strategy/strategydemo/demoStrategy.py index b5d46748..5a7269ea 100644 --- a/vn.strategy/strategydemo/demoStrategy.py +++ b/vn.strategy/strategydemo/demoStrategy.py @@ -23,7 +23,7 @@ from strategyEngine import * ######################################################################## class SimpleEmaStrategy(StrategyTemplate): - """简单双指数移动均线EMA策略""" + """简单双指数移动均线EMA演示策略""" #---------------------------------------------------------------------- def __init__(self, name, symbol, engine): @@ -31,8 +31,10 @@ class SimpleEmaStrategy(StrategyTemplate): super(SimpleEmaStrategy, self).__init__(name, symbol, engine) # 策略在外部设置的参数 - self.fastAlpha = 0.2 # 快速EMA的参数 - self.slowAlpha = 0.05 # 慢速EMA的参数 + #self.fastAlpha = 0.2 # 快速EMA的参数 + self.fastAlpha = 0.2 + #self.slowAlpha = 0.05 # 慢速EMA的参数 + self.fastAlpha = 0.05 # 最新TICK数据（市场报价） self.currentTick = None @@ -88,56 +90,75 @@ class SimpleEmaStrategy(StrategyTemplate): #---------------------------------------------------------------------- def initStrategy(self, startDate=None): """初始化""" - td = timedelta(days=3) # 读取3天的历史TICK数据 + self.engine.writeLog(u'读取3天的历史TICK数据') + td = timedelta(days=1) + if startDate: - cx = self.engine.loadTick(self.symbol, startDate-td) + #读取历史Tick数据 + #cx = self.engine.loadTickFromMongo(self.symbol, startDate-td) + historyStartDate=self.engine.getMysqlDeltaDate(self.symbol,startDate,3) + cx = self.engine.loadTickFromMysql(self.symbol, historyStartDate, startDate-td) + else: today = datetime.today().replace(hour=0, minute=0, second=0, microsecond=0) - cx = self.engine.loadTick(self.symbol, today-td) - + #cx = self.engine.loadTickFromMongo(self.symbol, today-td) + historyStartDate=self.engine.getMysqlDeltaDate(self.symbol,today,3) + cx = self.engine.loadTickFromMysql(self.symbol, historyStartDate,today-td) + if cx: for data in cx: + #InstrumentID, UpdateTime, LastPrice, Volume, OpenInterest, BidPrice1, BidVolume1, AskPrice1, AskVolume1 = data + tick = Tick(data['InstrumentID']) - - tick.openPrice = data['OpenPrice'] - tick.highPrice = data['HighestPrice'] - tick.lowPrice = data['LowestPrice'] - tick.lastPrice = data['LastPrice'] + #tick = Tick(InstrumentID) + + #tick.openPrice = data['OpenPrice'] + #tick.highPrice = data['HighestPrice'] + #tick.lowPrice = data['LowestPrice'] + tick.lastPrice = float(data['LastPrice']) + #tick.lastPrice = LastPrice tick.volume = data['Volume'] tick.openInterest = data['OpenInterest'] + #tick.volume = Volume + #tick.openInterest = OpenInterest - tick.upperLimit = data['UpperLimitPrice'] - tick.lowerLimit = data['LowerLimitPrice'] + #tick.upperLimit = data['UpperLimitPrice'] + #tick.lowerLimit = data['LowerLimitPrice'] tick.time = data['UpdateTime'] - tick.ms = data['UpdateMillisec'] + #tick.ms = data['UpdateMillisec'] + #tick.time = UpdateTime - tick.bidPrice1 = data['BidPrice1'] - tick.bidPrice2 = data['BidPrice2'] - tick.bidPrice3 = data['BidPrice3'] - tick.bidPrice4 = data['BidPrice4'] - tick.bidPrice5 = data['BidPrice5'] - - tick.askPrice1 = data['AskPrice1'] - tick.askPrice2 = data['AskPrice2'] - tick.askPrice3 = data['AskPrice3'] - tick.askPrice4 = data['AskPrice4'] - tick.askPrice5 = data['AskPrice5'] + tick.bidPrice1 =float(data['BidPrice1']) + #tick.bidPrice2 = data['BidPrice2'] + #tick.bidPrice3 = data['BidPrice3'] + #tick.bidPrice4 = data['BidPrice4'] + #tick.bidPrice5 = data['BidPrice5'] + #tick.bidPrice1 = BidPrice1 + + tick.askPrice1 = float(data['AskPrice1']) + #tick.askPrice2 = data['AskPrice2'] + #tick.askPrice3 = data['AskPrice3'] + #tick.askPrice4 = data['AskPrice4'] + #tick.askPrice5 = data['AskPrice5'] + #tick.askPrice1 = AskPrice1 tick.bidVolume1 = data['BidVolume1'] - tick.bidVolume2 = data['BidVolume2'] - tick.bidVolume3 = data['BidVolume3'] - tick.bidVolume4 = data['BidVolume4'] - tick.bidVolume5 = data['BidVolume5'] - + #tick.bidVolume2 = data['BidVolume2'] + #tick.bidVolume3 = data['BidVolume3'] + #tick.bidVolume4 = data['BidVolume4'] + #tick.bidVolume5 = data['BidVolume5'] + #tick.bidVolume1 = BidVolume1 + tick.askVolume1 = data['AskVolume1'] - tick.askVolume2 = data['AskVolume2'] - tick.askVolume3 = data['AskVolume3'] - tick.askVolume4 = data['AskVolume4'] - tick.askVolume5 = data['AskVolume5'] - + #tick.askVolume2 = data['AskVolume2'] + #tick.askVolume3 = data['AskVolume3'] + #tick.askVolume4 = data['AskVolume4'] + #tick.askVolume5 = data['AskVolume5'] + #tick.askVolume1 = AskVolume1 + self.onTick(tick) self.initCompleted = True @@ -151,8 +172,9 @@ class SimpleEmaStrategy(StrategyTemplate): self.currentTick = tick # 首先生成datetime.time格式的时间（便于比较） - ticktime = self.strToTime(tick.time, tick.ms) - + #ticktime = self.strToTime(tick.time, tick.ms) + ticktime = tick.time + # 假设是收到的第一个TICK if self.barOpen == 0: # 初始化新的K线数据 @@ -282,11 +304,11 @@ def main(): me.ee.register(EVENT_LOG, print_log) # 登录 - userid = '' - password = '' - brokerid = '' - mdAddress = '' - tdAddress = '' + userid = '033513' + password = 'jiajia' + brokerid = '9999' + mdAddress = 'tcp://180.168.146.187:10010' + tdAddress = 'tcp://180.168.146.187:10000' me.login(userid, password, brokerid, mdAddress, tdAddress)