暂时注释Mysql
更新Mongodbh回测单品种/套利品种。
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msincenselee
parent
9ab3b0df8d
commit
11926f6f6f
@ -234,45 +234,6 @@ class BacktestingEngine(object):
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self.priceTick = priceTick
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self.minDiff = priceTick
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#----------------------------------------------------------------------
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def loadHistoryDataFromMongo(self):
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"""载入历史数据"""
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host, port, log = loadMongoSetting()
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self.dbClient = pymongo.MongoClient(host, port)
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collection = self.dbClient[self.dbName][self.symbol]
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self.output(u'开始载入数据')
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# 首先根据回测模式，确认要使用的数据类
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if self.mode == self.BAR_MODE:
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dataClass = CtaBarData
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func = self.newBar
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else:
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dataClass = CtaTickData
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func = self.newTick
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# 载入初始化需要用的数据
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flt = {'datetime':{'$gte':self.dataStartDate,
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'$lt':self.strategyStartDate}}
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initCursor = collection.find(flt)
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# 将数据从查询指针中读取出，并生成列表
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self.initData = [] # 清空initData列表
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for d in initCursor:
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data = dataClass()
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data.__dict__ = d
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self.initData.append(data)
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# 载入回测数据
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if not self.dataEndDate:
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flt = {'datetime':{'$gte':self.strategyStartDate}} # 数据过滤条件
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else:
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flt = {'datetime':{'$gte':self.strategyStartDate,
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'$lte':self.dataEndDate}}
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self.dbCursor = collection.find(flt)
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self.output(u'载入完成，数据量：%s' %(initCursor.count() + self.dbCursor.count()))
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#----------------------------------------------------------------------
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def connectMysql(self):
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@ -1358,6 +1319,143 @@ class BacktestingEngine(object):
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else:
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self.newTick(leg2)
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leg2_tick = None
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def runBackTestingWithNonStrArbTickFromMongoDB(self, leg1Symbol, leg2Symbol):
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"""运行套利回测（使用服务器数据，数据从taobao标普购买)
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参数：
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leg1Symbol： leg1合约
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Leg2Symbol：leg2合约
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added by IncenseLee
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目录为交易日。
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按照回测的开始日期，到结束日期，循环每一天。
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读取eg1（如RB1610），读取Leg2（如RB1701），根据两者tick的时间优先顺序，逐一tick灌输到策略的onTick中。
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"""
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# 连接数据库
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host, port, log = loadMongoSetting()
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self.dbClient = pymongo.MongoClient(host, port)
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self.capital = self.initCapital # 更新设置期初资金
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if not self.dataStartDate:
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self.writeCtaLog(u'回测开始日期未设置。')
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return
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# RB
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if len(self.symbol) < 1:
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self.writeCtaLog(u'回测对象未设置。')
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return
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if not self.dataEndDate:
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self.dataEndDate = datetime.today()
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# 首先根据回测模式，确认要使用的数据类
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if self.mode == self.BAR_MODE:
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self.writeCtaLog(u'本回测仅支持tick模式')
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return
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testdays = (self.dataEndDate - self.dataStartDate).days
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if testdays < 1:
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self.writeCtaLog(u'回测时间不足')
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return
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for i in range(0, testdays):
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testday = self.dataStartDate + timedelta(days=i)
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self.output(u'回测日期:{0}'.format(testday))
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# 加载运行每天数据
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self.__loadNotStdArbTicksFromMongoDB( testday, leg1Symbol, leg2Symbol)
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self.savingDailyData(testday, self.capital, self.maxCapital)
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def __loadNotStdArbTicksFromMongoDB(self,testday, leg1Symbol, leg2Symbol):
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self.writeCtaLog(u'从MongoDB加载回测日期:{0}的{1}-{2}价差tick'.format(testday,leg1Symbol, leg2Symbol))
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leg1Ticks = self.__loadTicksFromMongoDB(tickDate=testday, vtSymbol=leg1Symbol)
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if len(leg1Ticks) == 0:
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self.writeCtaLog(u'读取{0}tick数为空'.format(leg1Symbol))
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return
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leg2Ticks = self.__loadTicksFromMongoDB(tickDate=testday, vtSymbol=leg2Symbol)
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if len(leg2Ticks) == 0:
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self.writeCtaLog(u'读取{0}tick数为空'.format(leg1Symbol))
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return
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leg1_tick = None
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leg2_tick = None
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while not (len(leg1Ticks) == 0 or len(leg2Ticks) == 0):
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if leg1_tick is None and len(leg1Ticks) > 0:
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leg1_tick = leg1Ticks.popitem(last=False)
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if leg2_tick is None and len(leg2Ticks) > 0:
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leg2_tick = leg2Ticks.popitem(last=False)
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if leg1_tick is None and leg2_tick is not None:
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self.newTick(leg2_tick[1])
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leg2_tick = None
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elif leg1_tick is not None and leg2_tick is None:
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self.newTick(leg1_tick[1])
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leg1_tick = None
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elif leg1_tick is not None and leg2_tick is not None:
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leg1 = leg1_tick[1]
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leg2 = leg2_tick[1]
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if leg1.datetime <= leg2.datetime:
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self.newTick(leg1)
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leg1_tick = None
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else:
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self.newTick(leg2)
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leg2_tick = None
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def __loadTicksFromMongoDB(self, tickDate, vtSymbol):
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"""从mongodb读取tick"""
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# 先读取数据到Dict，以日期时间为key
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ticks = OrderedDict()
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p = re.compile(r"([A-Z]+)[0-9]+", re.I)
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shortSymbol = p.match(vtSymbol)
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if shortSymbol is None :
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self.writeCtaLog(u'{0}不能正则分解'.format(vtSymbol))
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return
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shortSymbol = shortSymbol.group(1)
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shortSymbol = shortSymbol + vtSymbol[-2:] # 例如 AU01
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testday_monrning = tickDate.replace(hour=0, minute=0, second=0, microsecond=0)
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testday_midnight = tickDate.replace(hour=23, minute=59, second=59, microsecond=999999)
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# 载入初始化需要用的数据
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flt = {'datetime': {'$gte': testday_monrning,
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'$lt': testday_midnight}}
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db = self.dbClient['ticks']
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collection = db[shortSymbol]
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initCursor = collection.find(flt).sort('datetime', pymongo.ASCENDING)
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# 将数据从查询指针中读取出，并生成列表
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count_ticks = 0
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for d in initCursor:
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tick = CtaTickData()
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tick.__dict__ = d
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# 更新symbol
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tick.vtSymbol = vtSymbol
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tick.symbol = vtSymbol
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# 排除涨停/跌停的数据
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if (tick.bidPrice1 == float('1.79769E308') and tick.bidVolume1 == 0) \
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or (tick.askPrice1 == float('1.79769E308') and tick.askVolume1 == 0):
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continue
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dtStr = tick.date + ' ' + tick.time
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if dtStr not in ticks:
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ticks[dtStr] = tick
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count_ticks += 1
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return ticks
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#----------------------------------------------------------------------
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def runBackTestingWithBarFile(self, filename):
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"""运行回测（使用本地csv数据)
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@ -1523,9 +1621,6 @@ class BacktestingEngine(object):
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self.capital = self.initCapital # 更新设置期初资金
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# 载入历史数据
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#self.loadHistoryData()
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self.loadHistoryDataFromMongo()
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# 首先根据回测模式，确认要使用的数据类
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if self.mode == self.BAR_MODE:
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@ -1547,12 +1642,63 @@ class BacktestingEngine(object):
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self.output(u'开始回放数据')
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for d in self.dbCursor:
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self.loadHistoryDataFromMongo()
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self.output(u'数据回放结束')
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# ----------------------------------------------------------------------
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def loadHistoryDataFromMongo(self):
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"""载入历史数据"""
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host, port, log = loadMongoSetting()
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self.dbClient = pymongo.MongoClient(host, port)
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collection = self.dbClient[self.dbName][self.symbol]
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self.output(u'开始载入数据')
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# 首先根据回测模式，确认要使用的数据类
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if self.mode == self.BAR_MODE:
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dataClass = CtaBarData
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func = self.newBar
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else:
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dataClass = CtaTickData
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func = self.newTick
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# 载入回测数据
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if not self.dataEndDate:
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self.dataEndDate = datetime.now()
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testdays = (self.dataEndDate - self.dataStartDate).days
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if testdays < 1:
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self.writeCtaLog(u'回测时间不足')
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return
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for i in range(0, testdays):
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testday = self.dataStartDate + timedelta(days=i)
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testday_monrning = testday.replace(hour=0, minute=0, second=0, microsecond=0)
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testday_midnight = testday.replace(hour=23, minute=59, second=59, microsecond=999999)
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query_time = datetime.now()
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# 载入初始化需要用的数据
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flt = {'datetime': {'$gte': testday_monrning,
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'$lt': testday_midnight}}
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initCursor = collection.find(flt).sort('datetime', pymongo.ASCENDING)
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process_time = datetime.now()
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# 将数据从查询指针中读取出，并生成列表
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count_ticks = 0
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for d in initCursor:
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data = dataClass()
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data.__dict__ = d
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func(data)
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count_ticks += 1
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self.output(u'数据回放结束')
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self.output(u'回测日期{0}，数据量：{1}，查询耗时:{2},回测耗时:{3}'
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.format(testday.strftime('%Y-%m-%d'), count_ticks, str(datetime.now() - query_time),
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str(datetime.now() - process_time)))
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def __sendOnBarEvent(self, bar):
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"""发送Bar的事件"""
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