201501105
This commit is contained in:
msincenselee
parent
20e18eefa3
commit
43f96b1e05
5
.gitignore
vendored
5
.gitignore
vendored
@ -64,3 +64,8 @@ vn.lts/build/*
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*.pickle
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=======
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>>>>>>> refs/remotes/vnpy/master
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vn.strategy/strategydemo/strategy01.py
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tk.csv
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vn.strategy/strategydemo/backtestingStrategy02.py
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vn.strategy/strategydemo/strategy01.py
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vn.strategy/strategydemo/strategy02.py
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52
vn.data/mysql_createtable.py
Normal file
52
vn.data/mysql_createtable.py
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@ -0,0 +1,52 @@
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# encoding: UTF-8
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import MySQLdb
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#----------------------------------------------------------------------
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def main():
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try:
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#连接数据库
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conn = MySQLdb.connect(host='vnpy.cloudapp.net', user='stockcn', passwd='7uhb*IJN', db='stockcn', port=3306)
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#获取指针
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cur = conn.cursor(MySQLdb.cursors.DictCursor)
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listSymbol = ['ag','al','au','ax','ay','b','bb','bu','c','cf','cs','cu','er','fb','fg','fu','hc','i','j','jd','jm','jr','l','lr','m','ma','me','ni','oi','p','pb','pm','pp','rb','ri','rm','ro','rs','ru','sf','sm','sn','sr9','sr','srx','sry','ta','tc','v','wh','wr','ws9','ws','wt','y','zn']
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strSQL = 'CREATE TABLE if not exists TB_{0}{1}( ' \
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'datetime datetime not null,' \
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' date date Not NULL,' \
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' time time Not NULL,' \
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' open numeric(18, 3) NULL,' \
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' high numeric(18, 3) NULL,' \
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' low numeric(18, 3) NULL,' \
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' close numeric(18, 3) NULL,' \
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' volume int null,' \
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' CONSTRAINT PK_TB_{0}{1} PRIMARY KEY (datetime)' \
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' );'
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for symbol in listSymbol:
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print symbol, 'M1'
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#执行脚本
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cur.execute(strSQL.format(symbol, 'M1'))
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conn.commit
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print symbol, 'M5'
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cur.execute(strSQL.format(symbol, 'M5'))
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conn.commit
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#关闭指针，关闭连接
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cur.close()
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conn.close()
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except MySQLdb.Error, e:
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print "Mysql Error %d: %s" % (e.args[0], e.args[1])
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if __name__ == '__main__':
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main()
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@ -1,25 +1,65 @@
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# encoding: UTF-8
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import tushare as ts
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import pandas as pd
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import ipdb
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data = ts.get_hist_data('600848', start='2015-04-01', end='2015-10-20') #一次性获取全部日k线数据
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print data.tail(10)
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data.plot()
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data.high.plot()
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with pd.plot_params.use('x_compat',True):
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data.open.plot(color = 'g')
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data.close.plot(color = 'y')
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data.high.plot(color = 'r')
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data.low.plot(color = 'b')
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with pd.plot_params.use('x_compat',True):
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data.high.plot(color ='r', figsize = (10,4), grid ='on')
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data.low.plot(color ='b', figsize = (10,4), grid ='on')
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#import ipdb
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import datetime
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#data = ts.get_hist_data('600848', start='2015-04-01', end='2015-10-20') #一次性获取全部日k线数据
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#
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#print data.tail(10)
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#
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#data.plot()
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#
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#data.high.plot()
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#
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#with pd.plot_params.use('x_compat',True):
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# data.open.plot(color = 'g')
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# data.close.plot(color = 'y')
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# data.high.plot(color = 'r')
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# data.low.plot(color = 'b')
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#
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#
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#with pd.plot_params.use('x_compat',True):
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# data.high.plot(color ='r', figsize = (10,4), grid ='on')
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# data.low.plot(color ='b', figsize = (10,4), grid ='on')
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#
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#ipdb.set_trace()
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#
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ts.set_token('21768410ff5c2acb686264fa97635fa917a2ba1ae5122fa187b45849d92cfc70')
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md = ts.Market()
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#data = md.MktFutd(ticker='au1512',beginDate='20151008', endDate='20151028',
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# field='tradeDate,ticker,openPrice,highestPrice,lowestPrice,closePrice,preClosePrice,CHG,CHG1,CHGPct')
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data = md.MktFutd(tradeDate='20140201',
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field='tradeDate,ticker,openPrice,highestPrice,lowestPrice,closePrice,preClosePrice,CHG,CHG1,CHGPct')
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#data['TR'] = abs(data['closePrice']-data['openPrice'])
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#atr = data.tail(10)['TR'].sum()/10
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tradeDate= str(data.tail(1)['tradeDate'].values[0])
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predate = datetime.datetime.strptime(tradeDate, '%Y-%m-%d')
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preOpen = float(data.tail(1)['openPrice'])
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preHigh = float(data.tail(1)['highestPrice'])
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preLow = float(data.tail(1)['lowestPrice'])
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preClose = float(data.tail(1)['closePrice'])
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print data
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#print atr
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print predate
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print preOpen
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print preHigh
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print preLow
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print preClose
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print data.columns
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@ -1,4 +1,6 @@
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# encoding: UTF-8
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from api import *
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import matplotlib.pyplot as plt
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def test_config():
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cfig = Config()
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@ -99,9 +101,38 @@ def test_mktbar_M1_get_interM():
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api = PyApi(Config())
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api.get_equity_M1_interMonth(db=db, id=0, tasks=['000001.XSHE','000002.XSHE'])
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def test_mktfutd():
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api = PyApi(Config())
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data = api.get_future_D1(ticker='au1512',start='20151010', end='20151029',field='tradeDate,ticker,openPrice,highestPrice,lowestPrice,closePrice,preClosePrice,CHG,CHG1,CHGPct').body.tail(10)
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print data
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#data['TR'] = abs(data['closePrice']-data['openPrice'])
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#atr = 0.0
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#atr = (data['TR'].sum())/10
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#print atr
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def test_MktEqudGet():
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api = PyApi(Config())
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# DataAPI.MktEqudGet返回pandas.DataFrame格式
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MarketEqud = api.get_equity_D1(secID = "000002.XSHE",
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field = ["shortNM", "closePrice", "turnoverValue", "capitalInflow"],
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start = "20000106",
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end = "20140110").body
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# 绘制返回的数据
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plt(MarketEqud, settings = {'x':'tradeDate','y':'closePrice', 'title':u'万科历史收盘价格'})
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if __name__ == '__main__':
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#test_config()
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test_mktbar_D1()
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#test_mktbar_D1()
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#test_bond_D1()
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#test_fut_D1()
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#test_fund_D1()
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@ -116,4 +147,6 @@ if __name__ == '__main__':
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#test_mongod_get_all()
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#test_mktbar_M1_get_drudgery()
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#test_mktbar_M1_get_all()
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#test_mktbar_M1_get_interM()
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#test_mktbar_M1_get_interM()
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#test_mktfutd()
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test_MktEqudGet()
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@ -553,15 +553,15 @@ class BacktestingEngine(object):
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if tradeItem['Direction'] == '0':
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if tradeItem['OffsetFlag'] == '0' :
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if tradeItem['OffsetFlag'] == '0': # 开多仓 Buy
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amount = 0-float(tradeItem['Price'])*int(tradeItem['Volume'])
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else:
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else: # 平空仓 Cover
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amount = 0 -float(tradeItem['Price'])*int(tradeItem['Volume'])
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else:
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if tradeItem['OffsetFlag'] == '0': # 开空 Short
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amount = float(tradeItem['Price'])*int(tradeItem['Volume'])
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else :
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if tradeItem['OffsetFlag'] == '0' :
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else: # 平多 sell
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amount = float(tradeItem['Price'])*int(tradeItem['Volume'])
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else:
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amount = 0 - float(tradeItem['Price'])*int(tradeItem['Volume'])
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