senset/vnpy
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

local cache

Browse Source
This commit is contained in:
msincenselee 2015-10-24 01:12:08 +08:00
parent e48ba99820
commit 1324e5ab2d
5 changed files with 159 additions and 11 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

104
vn.strategy/strategydemo/backtestingEngine.py
View File

@ -9,6 +9,9 @@ from pymongo.errors import *
from datetime import datetime, timedelta, time
from strategyEngine import *
import sys
import os
import cPickle
@ -117,6 +120,71 @@ class BacktestingEngine(object):
self.writeLog(u'回测引擎连接MysqlDB成功')
except ConnectionFailure:
self.writeLog(u'回测引擎连接MysqlDB失败')
#----------------------------------------------------------------------
def loadDataHistory(self, symbol, startDate, endDate):
"""载入历史TICK数据,"""
if not endDate:
endDate = datetime.today()
# 看本地缓存是否存在
if self.__loadDataHistoryFromLocalCache(symbol, startDate, endDate):
self.writeLog(u'历史TICK数据从Cache载入')
return
intervalDays = 10
for i in range (0,(endDate - startDate).days +1, intervalDays):
d1 = startDate + timedelta(days = i )
if (endDate - d1).days > 10:
d2 = startDate + timedelta(days = i + intervalDays -1 )
else:
d2 = endDate
self.loadMysqlDataHistory(symbol, d1, d2)
self.writeLog(u'历史TICK数据共载入{0}条'.format(len(self.listDataHistory)))
self.__saveDataHistoryToLocalCache(symbol, startDate, endDate)
def __loadDataHistoryFromLocalCache(self, symbol, startDate, endDate):
"""看本地缓存是否存在"""
cacheFolder = os.getcwd()+'\\cache'
cacheFile = u'{0}\\{1}_{2}_{3}.pickle'.format(cacheFolder,symbol, startDate.strftime('%Y-%m-%d'), endDate.strftime('%Y-%m-%d'))
if not os.path.isfile(cacheFile):
return False
else:
cache = open(cacheFile,mode='r')
self.listDataHistory = cPickle.load(cache)
return True
def __saveDataHistoryToLocalCache(self, symbol, startDate, endDate):
"""保存本地缓存"""
cacheFolder = os.getcwd()+'\\cache'
if not os.path.isdir(cacheFolder):
os.mkdir(cacheFolder)
cacheFile = u'{0}\\{1}_{2}_{3}.pickle'.format(cacheFolder,symbol, startDate.strftime('%Y-%m-%d'), endDate.strftime('%Y-%m-%d'))
if os.path.isfile(cacheFile):
return False
else:
cache= open(cacheFile, mode='w')
cPickle.dump(self.listDataHistory,cache)
cache.close()
return True
#----------------------------------------------------------------------
def loadMysqlDataHistory(self, symbol, startDate, endDate):
"""从Mysql载入历史TICK数据,"""
@ -125,6 +193,7 @@ class BacktestingEngine(object):
if self.__mysqlConnected:
#获取指针
cur = self.__mysqlConnection.cursor(MySQLdb.cursors.DictCursor)
@ -154,7 +223,7 @@ class BacktestingEngine(object):
self.writeLog(sqlstring)
count = cur.execute(sqlstring)
self.writeLog(u'历史TICK数据共{0}条'.format(count))
#self.writeLog(u'历史TICK数据共{0}条'.format(count))
# 将TICK数据读入内存
#self.listDataHistory = cur.fetchall()
@ -168,7 +237,7 @@ class BacktestingEngine(object):
if not results:
break
fetch_counts = fetch_counts+fetch_size
fetch_counts = fetch_counts + len(results)
if not self.listDataHistory:
@ -177,9 +246,8 @@ class BacktestingEngine(object):
else:
self.listDataHistory = self.listDataHistory + results
self.writeLog(u'历史TICK数据载入{0}条'.format(fetch_counts))
self.writeLog(u'{1}~{2}历史TICK数据载入共{0}条'.format(fetch_counts,startDate,endDate))
self.writeLog(u'历史TICK数据载入完成，{1}~{2},共{0}条'.format(count,startDate,endDate))
else:
self.writeLog(u'MysqlDB未连接，请检查')
@ -311,10 +379,14 @@ class BacktestingEngine(object):
event.dict_['data'] = data
self.strategyEngine.updateMarketData(event)
# 保存交易到本地结果
self.saveTradeData()
# 保存交易到数据库中
self.saveTradeDataToMysql()
t2 = datetime.now()
self.writeLog(u'回测结束,{0},耗时:{1}秒'.format(str(t2),(t2-t1).seconds))
@ -370,15 +442,33 @@ class BacktestingEngine(object):
#----------------------------------------------------------------------
def saveTradeData(self):
"""保存交易记录"""
f = shelve.open('result.vn')
f['listTrade'] = self.listTrade
f.close()
#f = shelve.open('result.vn')
#f['listTrade'] = self.listTrade
#f.close()
# 保存本地pickle文件
resultPath=os.getcwd()+'\\result'
if not os.path.isdir(resultPath):
os.mkdir(resultPath)
resultFile = u'{0}\\{1}_Trade.pickle'.format(resultPath, self.Id)
cache= open(resultFile, mode='w')
cPickle.dump(self.listTrade,cache)
cache.close()
"""仿真订阅合约"""
pass
#----------------------------------------------------------------------
def saveTradeDataToMysql(self):
"""保存交易记录到mysql,added by Incense Lee"""
self.connectMysql()
if self.__mysqlConnected:
sql='insert into BackTest.TB_Trade (Id,symbol,orderRef,tradeID,direction,offset,price,volume,tradeTime,amount) values '
values = ''

6
vn.strategy/strategydemo/demoBacktesting.py
View File

@ -8,7 +8,7 @@ import decimal
def main():
"""回测程序主函数"""
# symbol = 'IF1506'
symbol = 'ag'
symbol = 'a'
# 创建回测引擎
be = BacktestingEngine()
@ -22,14 +22,14 @@ def main():
be.connectMysql()
# be.loadMongoDataHistory(symbol, datetime(2015,5,1), datetime.today())
# be.loadMongoDataHistory(symbol, datetime(2012,1,9), datetime(2012,1,14))
be.loadMysqlDataHistory(symbol, datetime(2012,6,9), datetime(2012,7,20))
be.loadDataHistory(symbol, datetime(2012,1,1), datetime(2012,1,30))
# 创建策略对象
setting = {}
setting['fastAlpha'] = 0.2
setting['slowAlpha'] = 0.05
# setting['startDate'] = datetime(year=2015, month=5, day=20)
setting['startDate'] = datetime(year=2012, month=6, day=9)
setting['startDate'] = datetime(year=2012, month=1, day=1)
se.createStrategy(u'EMA演示策略', symbol, SimpleEmaStrategy, setting)

41
vn.strategy/strategydemo/strategyEngine.py
View File

@ -16,6 +16,9 @@ from vtConstant import *
import MySQLdb
import os
import sys
import cPickle
# 常量定义
OFFSET_OPEN = '0' # 开仓
@ -166,6 +169,8 @@ class Order(object):
self.status = '' # 报单状态代码
self.preTradeID = '' # 上一成交单编号（用于平仓）
########################################################################
class StopOrder(object):
@ -436,6 +441,25 @@ class StrategyEngine(object):
id， 回测ID
barList， 对象为Bar的列表
"""
# 保存本地pickle文件
resultPath=os.getcwd()+'\\result'
if not os.path.isdir(resultPath):
os.mkdir(resultPath)
resultFile = u'{0}\\{1}_Bar.pickle'.format(resultPath,id)
cache= open(resultFile, mode='w')
cPickle.dump(barList,cache)
cache.close()
# 保存数据库
self.__connectMysql()
if self.__mysqlConnected:
sql='insert into BackTest.TB_Bar (Id, symbol ,open ,high ,low ,close ,date ,time ,datetime, volume, openInterest) values '
values = ''
@ -491,6 +515,23 @@ class StrategyEngine(object):
保存EMA到数据库
id,回测的编号
"""
# 保存本地pickle文件
resultPath=os.getcwd()+'\\result'
if not os.path.isdir(resultPath):
os.mkdir(resultPath)
resultFile = u'{0}\\{1}_Ema.pickle'.format(resultPath, id)
cache= open(resultFile, mode='w')
cPickle.dump(emaList,cache)
cache.close()
self.__connectMysql()
if self.__mysqlConnected:
sql='insert into BackTest.TB_Ema (Id, symbol ,fastEMA,slowEMA ,date ,time ,datetime) values '
values = ''

17
vn.training/day_test.py Normal file
View File

@ -0,0 +1,17 @@
# encoding: UTF-8
import datetime
startDate = datetime.date(2012,6,1)
endDate = datetime.date(2012,12,31)
for i in range (0,(endDate - startDate).days +1, 10):
d1 = startDate + datetime.timedelta(days= i )
if (endDate - d1).days > 10:
d2 = startDate + datetime.timedelta(days= i+9 )
else:
d2 = endDate
i = i + 10
print str(d1),str(d2)

2
vn.training/draw.py
View File

@ -951,7 +951,7 @@ if __name__ == '__main__':
程序目录= os.getcwd()
pfile= open(file=os.path.join(程序目录, '绘图数据.pickle'), mode='rb')
pfile= open(file=os.path.join(程序目录, 'draw_data.pickle'), mode='rb')
绘图数据= pickle.load(pfile)
pfile.close()