201501105

.gitignore

@@ -64,3 +64,8 @@ vn.lts/build/*
 *.pickle
 =======
 >>>>>>> refs/remotes/vnpy/master
+vn.strategy/strategydemo/strategy01.py
+tk.csv
+vn.strategy/strategydemo/backtestingStrategy02.py
+vn.strategy/strategydemo/strategy01.py
+vn.strategy/strategydemo/strategy02.py

vn.data/mysql_createtable.py

@@ -0,0 +1,52 @@
+# encoding: UTF-8
+
+import MySQLdb
+
+#----------------------------------------------------------------------
+
+
+
+
+def main():
+
+    try:
+        #连接数据库
+        conn = MySQLdb.connect(host='vnpy.cloudapp.net', user='stockcn', passwd='7uhb*IJN', db='stockcn', port=3306)
+
+        #获取指针
+        cur = conn.cursor(MySQLdb.cursors.DictCursor)
+
+        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']
+
+        strSQL = 'CREATE TABLE if not exists TB_{0}{1}(	' \
+                 'datetime datetime not null,' \
+                 '	date date Not NULL,' \
+                 '	time time Not NULL,' \
+                 '	open numeric(18, 3) NULL,' \
+                 '	high numeric(18, 3) NULL,' \
+                 '	low numeric(18, 3) NULL,' \
+                 '	close numeric(18, 3) NULL,' \
+                 '	volume int null,' \
+                 ' CONSTRAINT  PK_TB_{0}{1}  PRIMARY KEY (datetime)' \
+                 ' );'
+
+        for symbol in listSymbol:
+
+            print symbol, 'M1'
+            #执行脚本
+            cur.execute(strSQL.format(symbol, 'M1'))
+            conn.commit
+
+            print symbol, 'M5'
+            cur.execute(strSQL.format(symbol, 'M5'))
+            conn.commit
+
+
+        #关闭指针，关闭连接
+        cur.close()
+        conn.close()
+    except MySQLdb.Error, e:
+         print "Mysql Error %d: %s" % (e.args[0], e.args[1])
+
+if __name__ == '__main__':
+    main()

vn.data/test_tushare.py

@@ -1,25 +1,65 @@
 # encoding: UTF-8
 import tushare as ts
 import pandas as pd
-import ipdb
+#import ipdb
-
+import datetime
-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
-
-print data.tail(10)
-
-data.plot()
-
-data.high.plot()
-
-with pd.plot_params.use('x_compat',True):
-    data.open.plot(color = 'g')
-    data.close.plot(color = 'y')
-    data.high.plot(color = 'r')
-    data.low.plot(color = 'b')
-
-
-with pd.plot_params.use('x_compat',True):
-    data.high.plot(color ='r', figsize = (10,4), grid ='on')
-    data.low.plot(color ='b', figsize = (10,4), grid ='on')
 
+#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
+#
+#print data.tail(10)
+#
+#data.plot()
+#
+#data.high.plot()
+#
+#with pd.plot_params.use('x_compat',True):
+#    data.open.plot(color = 'g')
+#    data.close.plot(color = 'y')
+#    data.high.plot(color = 'r')
+#    data.low.plot(color = 'b')
+#
+#
+#with pd.plot_params.use('x_compat',True):
+#    data.high.plot(color ='r', figsize = (10,4), grid ='on')
+#    data.low.plot(color ='b', figsize = (10,4), grid ='on')
+#
 #ipdb.set_trace()
+#
+
+ts.set_token('21768410ff5c2acb686264fa97635fa917a2ba1ae5122fa187b45849d92cfc70')
+
+md = ts.Market()
+
+#data = md.MktFutd(ticker='au1512',beginDate='20151008', endDate='20151028',
+#                  field='tradeDate,ticker,openPrice,highestPrice,lowestPrice,closePrice,preClosePrice,CHG,CHG1,CHGPct')
+
+data = md.MktFutd(tradeDate='20140201',
+                  field='tradeDate,ticker,openPrice,highestPrice,lowestPrice,closePrice,preClosePrice,CHG,CHG1,CHGPct')
+
+
+#data['TR'] = abs(data['closePrice']-data['openPrice'])
+
+#atr = data.tail(10)['TR'].sum()/10
+
+tradeDate= str(data.tail(1)['tradeDate'].values[0])
+
+predate = datetime.datetime.strptime(tradeDate, '%Y-%m-%d')
+
+preOpen = float(data.tail(1)['openPrice'])
+preHigh = float(data.tail(1)['highestPrice'])
+preLow = float(data.tail(1)['lowestPrice'])
+preClose = float(data.tail(1)['closePrice'])
+
+print data
+
+#print atr
+
+print predate
+print preOpen
+print preHigh
+print preLow
+print preClose
+
+print data.columns
+
+

vn.datayes/tests.py

@@ -1,4 +1,6 @@
+# encoding: UTF-8
 from api import *
+import matplotlib.pyplot as plt
 
 def test_config():
 	cfig = Config()
@@ -99,9 +101,38 @@ def test_mktbar_M1_get_interM():
 	api = PyApi(Config())
 	api.get_equity_M1_interMonth(db=db, id=0, tasks=['000001.XSHE','000002.XSHE'])
 
+def test_mktfutd():
+
+	api = PyApi(Config())
+
+	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)
+
+	print data
+
+	#data['TR'] = abs(data['closePrice']-data['openPrice'])
+
+    #atr = 0.0
+
+	#atr = (data['TR'].sum())/10
+
+	#print atr
+
+def test_MktEqudGet():
+
+	api = PyApi(Config())
+
+	# DataAPI.MktEqudGet返回pandas.DataFrame格式
+	MarketEqud =  api.get_equity_D1(secID = "000002.XSHE",
+                  field = ["shortNM", "closePrice", "turnoverValue", "capitalInflow"],
+                  start = "20000106",
+                  end = "20140110").body
+
+	# 绘制返回的数据
+	plt(MarketEqud, settings = {'x':'tradeDate','y':'closePrice', 'title':u'万科历史收盘价格'})
+
 if __name__ == '__main__':
 	#test_config()
-	test_mktbar_D1()
+	#test_mktbar_D1()
 	#test_bond_D1()
 	#test_fut_D1()
 	#test_fund_D1()
@@ -117,3 +148,5 @@ if __name__ == '__main__':
 	#test_mktbar_M1_get_drudgery()
 	#test_mktbar_M1_get_all()
 	#test_mktbar_M1_get_interM()
+	#test_mktfutd()
+	test_MktEqudGet()

vn.strategy/strategydemo/backtestingEngine.py

@@ -553,15 +553,15 @@ class BacktestingEngine(object):
 
                 if tradeItem['Direction'] == '0':
 
-                    if tradeItem['OffsetFlag'] == '0' :
+                    if tradeItem['OffsetFlag'] == '0':      # 开多仓 Buy
                         amount = 0-float(tradeItem['Price'])*int(tradeItem['Volume'])
-                    else:
+                    else:                                   # 平空仓 Cover
+                        amount = 0 -float(tradeItem['Price'])*int(tradeItem['Volume'])
+                else:
+                    if tradeItem['OffsetFlag'] == '0':      # 开空 Short
                         amount = float(tradeItem['Price'])*int(tradeItem['Volume'])
-                else :
+                    else:                                   # 平多 sell
-                    if tradeItem['OffsetFlag'] == '0' :
                         amount = float(tradeItem['Price'])*int(tradeItem['Volume'])
-                    else:
-                        amount = 0 - float(tradeItem['Price'])*int(tradeItem['Volume'])