mongodb=>mysqldb
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msincenselee
parent
ccde440dd1
commit
0d1c787389
@ -23,7 +23,7 @@ from strategyEngine import *
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########################################################################
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class SimpleEmaStrategy(StrategyTemplate):
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"""简单双指数移动均线EMA策略"""
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"""简单双指数移动均线EMA演示策略"""
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#----------------------------------------------------------------------
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def __init__(self, name, symbol, engine):
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@ -31,8 +31,10 @@ class SimpleEmaStrategy(StrategyTemplate):
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super(SimpleEmaStrategy, self).__init__(name, symbol, engine)
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# 策略在外部设置的参数
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self.fastAlpha = 0.2 # 快速EMA的参数
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self.slowAlpha = 0.05 # 慢速EMA的参数
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#self.fastAlpha = 0.2 # 快速EMA的参数
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self.fastAlpha = 0.2
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#self.slowAlpha = 0.05 # 慢速EMA的参数
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self.fastAlpha = 0.05
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# 最新TICK数据（市场报价）
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self.currentTick = None
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@ -88,56 +90,75 @@ class SimpleEmaStrategy(StrategyTemplate):
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#----------------------------------------------------------------------
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def initStrategy(self, startDate=None):
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"""初始化"""
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td = timedelta(days=3) # 读取3天的历史TICK数据
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self.engine.writeLog(u'读取3天的历史TICK数据')
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td = timedelta(days=1)
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if startDate:
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cx = self.engine.loadTick(self.symbol, startDate-td)
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#读取历史Tick数据
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#cx = self.engine.loadTickFromMongo(self.symbol, startDate-td)
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historyStartDate=self.engine.getMysqlDeltaDate(self.symbol,startDate,3)
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cx = self.engine.loadTickFromMysql(self.symbol, historyStartDate, startDate-td)
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else:
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today = datetime.today().replace(hour=0, minute=0, second=0, microsecond=0)
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cx = self.engine.loadTick(self.symbol, today-td)
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#cx = self.engine.loadTickFromMongo(self.symbol, today-td)
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historyStartDate=self.engine.getMysqlDeltaDate(self.symbol,today,3)
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cx = self.engine.loadTickFromMysql(self.symbol, historyStartDate,today-td)
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if cx:
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for data in cx:
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#InstrumentID, UpdateTime, LastPrice, Volume, OpenInterest, BidPrice1, BidVolume1, AskPrice1, AskVolume1 = data
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tick = Tick(data['InstrumentID'])
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tick.openPrice = data['OpenPrice']
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tick.highPrice = data['HighestPrice']
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tick.lowPrice = data['LowestPrice']
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tick.lastPrice = data['LastPrice']
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#tick = Tick(InstrumentID)
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#tick.openPrice = data['OpenPrice']
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#tick.highPrice = data['HighestPrice']
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#tick.lowPrice = data['LowestPrice']
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tick.lastPrice = float(data['LastPrice'])
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#tick.lastPrice = LastPrice
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tick.volume = data['Volume']
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tick.openInterest = data['OpenInterest']
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#tick.volume = Volume
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#tick.openInterest = OpenInterest
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tick.upperLimit = data['UpperLimitPrice']
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tick.lowerLimit = data['LowerLimitPrice']
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#tick.upperLimit = data['UpperLimitPrice']
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#tick.lowerLimit = data['LowerLimitPrice']
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tick.time = data['UpdateTime']
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tick.ms = data['UpdateMillisec']
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#tick.ms = data['UpdateMillisec']
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#tick.time = UpdateTime
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tick.bidPrice1 = data['BidPrice1']
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tick.bidPrice2 = data['BidPrice2']
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tick.bidPrice3 = data['BidPrice3']
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tick.bidPrice4 = data['BidPrice4']
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tick.bidPrice5 = data['BidPrice5']
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tick.askPrice1 = data['AskPrice1']
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tick.askPrice2 = data['AskPrice2']
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tick.askPrice3 = data['AskPrice3']
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tick.askPrice4 = data['AskPrice4']
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tick.askPrice5 = data['AskPrice5']
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tick.bidPrice1 =float(data['BidPrice1'])
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#tick.bidPrice2 = data['BidPrice2']
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#tick.bidPrice3 = data['BidPrice3']
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#tick.bidPrice4 = data['BidPrice4']
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#tick.bidPrice5 = data['BidPrice5']
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#tick.bidPrice1 = BidPrice1
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tick.askPrice1 = float(data['AskPrice1'])
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#tick.askPrice2 = data['AskPrice2']
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#tick.askPrice3 = data['AskPrice3']
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#tick.askPrice4 = data['AskPrice4']
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#tick.askPrice5 = data['AskPrice5']
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#tick.askPrice1 = AskPrice1
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tick.bidVolume1 = data['BidVolume1']
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tick.bidVolume2 = data['BidVolume2']
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tick.bidVolume3 = data['BidVolume3']
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tick.bidVolume4 = data['BidVolume4']
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tick.bidVolume5 = data['BidVolume5']
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#tick.bidVolume2 = data['BidVolume2']
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#tick.bidVolume3 = data['BidVolume3']
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#tick.bidVolume4 = data['BidVolume4']
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#tick.bidVolume5 = data['BidVolume5']
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#tick.bidVolume1 = BidVolume1
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tick.askVolume1 = data['AskVolume1']
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tick.askVolume2 = data['AskVolume2']
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tick.askVolume3 = data['AskVolume3']
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tick.askVolume4 = data['AskVolume4']
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tick.askVolume5 = data['AskVolume5']
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#tick.askVolume2 = data['AskVolume2']
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#tick.askVolume3 = data['AskVolume3']
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#tick.askVolume4 = data['AskVolume4']
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#tick.askVolume5 = data['AskVolume5']
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#tick.askVolume1 = AskVolume1
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self.onTick(tick)
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self.initCompleted = True
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@ -151,8 +172,9 @@ class SimpleEmaStrategy(StrategyTemplate):
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self.currentTick = tick
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# 首先生成datetime.time格式的时间（便于比较）
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ticktime = self.strToTime(tick.time, tick.ms)
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#ticktime = self.strToTime(tick.time, tick.ms)
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ticktime = tick.time
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# 假设是收到的第一个TICK
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if self.barOpen == 0:
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# 初始化新的K线数据
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@ -282,11 +304,11 @@ def main():
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me.ee.register(EVENT_LOG, print_log)
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# 登录
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userid = ''
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password = ''
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brokerid = ''
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mdAddress = ''
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tdAddress = ''
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userid = '033513'
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password = 'jiajia'
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brokerid = '9999'
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mdAddress = 'tcp://180.168.146.187:10010'
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tdAddress = 'tcp://180.168.146.187:10000'
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me.login(userid, password, brokerid, mdAddress, tdAddress)
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