updated
This commit is contained in:
msincenselee
parent
973a627dd1
commit
5143e952db
@ -6,6 +6,10 @@
|
||||
'''
|
||||
from __future__ import division
|
||||
|
||||
import sys
|
||||
import os
|
||||
cta_engine_path = os.path.abspath(os.path.dirname(__file__))
|
||||
|
||||
from datetime import datetime, timedelta
|
||||
from collections import OrderedDict
|
||||
from itertools import product
|
||||
@ -19,7 +23,7 @@ from vtFunction import loadMongoSetting
|
||||
|
||||
from eventEngine import *
|
||||
|
||||
import MySQLdb
|
||||
#import MySQLdb
|
||||
import json
|
||||
import os
|
||||
import sys
|
||||
@ -706,7 +710,8 @@ class BacktestingEngine(object):
|
||||
|
||||
dtStr = tick.date + ' ' + tick.time
|
||||
if dtStr in leg2Ticks:
|
||||
self.writeCtaError(u'日内数据重复，异常,数据时间为:{0}'.format(dtStr))
|
||||
pass
|
||||
#self.writeCtaError(u'日内数据重复，异常,数据时间为:{0}'.format(dtStr))
|
||||
else:
|
||||
leg2Ticks[dtStr] = tick
|
||||
|
||||
@ -823,8 +828,152 @@ class BacktestingEngine(object):
|
||||
cache.close()
|
||||
return True
|
||||
|
||||
def runBackTestingWithNonStrArbTickFile(self, leg1MainPath, leg2MainPath, leg1Symbol,leg2Symbol):
|
||||
# ----------------------------------------------------------------------
|
||||
|
||||
def runBackTestingWithArbTickFile2(self, leg1MainPath,leg2MainPath, arbSymbol):
|
||||
"""运行套利回测（使用本地tick csv数据)
|
||||
参数：套利代码 SP rb1610&rb1701
|
||||
added by IncenseLee
|
||||
原始的tick，存放在相应市场下每天的目录中，目录包含市场各个合约的数据
|
||||
E:\ticks\SQ\201606\20160601\
|
||||
RB10.csv
|
||||
RB01.csv
|
||||
....
|
||||
|
||||
目录为交易日。
|
||||
按照回测的开始日期，到结束日期，循环每一天。
|
||||
|
||||
读取eg1（如RB1610），读取Leg2（如RB701），合并成价差tick，灌输到策略的onTick中。
|
||||
"""
|
||||
self.capital = self.initCapital # 更新设置期初资金
|
||||
|
||||
if len(arbSymbol) < 1:
|
||||
self.writeCtaLog(u'套利合约为空')
|
||||
return
|
||||
|
||||
if not (arbSymbol.upper().index("SP") == 0 and arbSymbol.index(" ") > 0 and arbSymbol.index("&") > 0):
|
||||
self.writeCtaLog(u'套利合约格式不符合')
|
||||
return
|
||||
|
||||
# 获得Leg1，leg2
|
||||
legs = arbSymbol[arbSymbol.index(" "):]
|
||||
leg1 = legs[1:legs.index("&")]
|
||||
leg2 = legs[legs.index("&") + 1:]
|
||||
self.writeCtaLog(u'Leg1:{0},Leg2:{1}'.format(leg1, leg2))
|
||||
|
||||
if not self.dataStartDate:
|
||||
self.writeCtaLog(u'回测开始日期未设置。')
|
||||
return
|
||||
# RB
|
||||
if len(self.symbol) < 1:
|
||||
self.writeCtaLog(u'回测对象未设置。')
|
||||
return
|
||||
|
||||
if not self.dataEndDate:
|
||||
self.dataEndDate = datetime.today()
|
||||
|
||||
# 首先根据回测模式，确认要使用的数据类
|
||||
if self.mode == self.BAR_MODE:
|
||||
self.writeCtaLog(u'本回测仅支持tick模式')
|
||||
return
|
||||
|
||||
testdays = (self.dataEndDate - self.dataStartDate).days
|
||||
|
||||
if testdays < 1:
|
||||
self.writeCtaLog(u'回测时间不足')
|
||||
return
|
||||
|
||||
for i in range(0, testdays):
|
||||
testday = self.dataStartDate + timedelta(days=i)
|
||||
|
||||
self.output(u'回测日期:{0}'.format(testday))
|
||||
|
||||
# 白天数据
|
||||
self.__loadArbTicks2(leg1MainPath, leg2MainPath, testday, leg1, leg2)
|
||||
|
||||
def __loadArbTicks2(self, leg1MainPath, leg2MainPath, testday, leg1Symbol, leg2Symbol):
|
||||
"""加载taobao csv格式tick产生的价差合约"""
|
||||
|
||||
self.writeCtaLog(u'加载回测日期:{0}\{1}的价差tick'.format(leg1MainPath, testday))
|
||||
p = re.compile(r"([A-Z]+)[0-9]+", re.I)
|
||||
|
||||
leg1_shortSymbol = p.match(leg1Symbol)
|
||||
leg2_shortSymbol = p.match(leg2Symbol)
|
||||
|
||||
if leg1_shortSymbol is None or leg2_shortSymbol is None:
|
||||
self.writeCtaLog(u'{0},{1}不能正则分解'.format(leg1Symbol, leg2Symbol))
|
||||
return
|
||||
|
||||
leg1_shortSymbol = leg1_shortSymbol.group(1)
|
||||
leg2_shortSymbol = leg2_shortSymbol.group(1)
|
||||
|
||||
arbTicks = []
|
||||
|
||||
leg1File = os.path.abspath(
|
||||
os.path.join(leg1MainPath, testday.strftime('%Y'), testday.strftime('%Y%m'), testday.strftime('%Y%m%d'),
|
||||
'{0}{1}_{2}.csv'.format(leg1_shortSymbol, leg1Symbol[-2:], testday.strftime('%Y%m%d'))))
|
||||
|
||||
if not os.path.isfile(leg1File):
|
||||
self.writeCtaLog(u'{0}文件不存在'.format(leg1File))
|
||||
return
|
||||
|
||||
leg2File = os.path.abspath(
|
||||
os.path.join(leg2MainPath, testday.strftime('%Y'), testday.strftime('%Y%m'), testday.strftime('%Y%m%d'),
|
||||
'{0}{1}_{2}.csv'.format(leg2_shortSymbol, leg2Symbol[-2:], testday.strftime('%Y%m%d'))))
|
||||
|
||||
if not os.path.isfile(leg2File):
|
||||
self.writeCtaLog(u'{0}文件不存在'.format(leg2File))
|
||||
return
|
||||
|
||||
# 先读取leg2的数据到目录，以日期时间为key
|
||||
leg2Ticks = self.__loadTicksFromFile2(filepath=leg2File,tickDate=testday,vtSymbol=leg2Symbol)
|
||||
|
||||
leg1Ticks = self.__loadTicksFromFile2(filepath=leg1File, tickDate=testday, vtSymbol=leg1Symbol)
|
||||
|
||||
for dtStr,leg1_tick in leg1Ticks.iteritems():
|
||||
|
||||
if dtStr in leg2Ticks:
|
||||
arbTick = CtaTickData()
|
||||
|
||||
leg2_tick = leg2Ticks[dtStr]
|
||||
|
||||
arbTick.vtSymbol = self.symbol
|
||||
arbTick.symbol = self.symbol
|
||||
arbTick.date = leg1_tick.date
|
||||
arbTick.time = leg1_tick.time
|
||||
arbTick.datetime = leg1_tick.datetime
|
||||
arbTick.tradingDay = leg1_tick.tradingDay
|
||||
|
||||
arbTick.lastPrice = EMPTY_FLOAT
|
||||
arbTick.volume = EMPTY_INT
|
||||
|
||||
# 排除涨停/跌停的数据
|
||||
if ((leg1_tick.askPrice1 == float('1.79769E308') or leg1_tick.askPrice1 == 0) and leg1_tick.askVolume1 == 0) \
|
||||
or ((leg1_tick.bidPrice1 == float('1.79769E308') or leg1_tick.bidPrice1 == 0) and leg1_tick.bidVolume1 == 0):
|
||||
continue
|
||||
|
||||
if ((leg2_tick.askPrice1 == float('1.79769E308') or leg2_tick.askPrice1 == 0) and leg2_tick.askVolume1 == 0) \
|
||||
or ((leg2_tick.bidPrice1 == float('1.79769E308') or leg2_tick.bidPrice1 == 0) and leg2_tick.bidVolume1 == 0):
|
||||
continue
|
||||
|
||||
# 叫卖价差=leg1.askPrice1 - leg2.bidPrice1，volume为两者最小
|
||||
arbTick.askPrice1 = leg1_tick.askPrice1 - leg2_tick.bidPrice1
|
||||
arbTick.askVolume1 = min(leg1_tick.askVolume1, leg2_tick.bidVolume1)
|
||||
|
||||
# 叫买价差=leg1.bidPrice1 - leg2.askPrice1，volume为两者最小
|
||||
arbTick.bidPrice1 = leg1_tick.bidPrice1 - leg2_tick.askPrice1
|
||||
arbTick.bidVolume1 = min(leg1_tick.bidVolume1, leg2_tick.askVolume1)
|
||||
|
||||
arbTicks.append(arbTick)
|
||||
|
||||
del leg2Ticks[dtStr]
|
||||
|
||||
for t in arbTicks:
|
||||
# 推送到策略中
|
||||
self.newTick(t)
|
||||
|
||||
def runBackTestingWithNonStrArbTickFile(self, leg1MainPath, leg2MainPath, leg1Symbol,leg2Symbol):
|
||||
"""运行套利回测（使用本地tick txt数据)
|
||||
参数：
|
||||
leg1MainPath： leg1合约所在的市场路径
|
||||
leg2MainPath： leg2合约所在的市场路径
|
||||
@ -941,7 +1090,8 @@ class BacktestingEngine(object):
|
||||
|
||||
dtStr = tick.date + ' ' + tick.time
|
||||
if dtStr in ticks:
|
||||
self.writeCtaError(u'日内数据重复，异常,数据时间为:{0}'.format(dtStr))
|
||||
pass
|
||||
#self.writeCtaError(u'日内数据重复，异常,数据时间为:{0}'.format(dtStr))
|
||||
else:
|
||||
ticks[dtStr] = tick
|
||||
|
||||
@ -1077,7 +1227,7 @@ class BacktestingEngine(object):
|
||||
return ticks
|
||||
dt = None
|
||||
csvReadFile = file(filepath, 'rb')
|
||||
df = pd.read_csv(filepath, encoding='gbk')
|
||||
df = pd.read_csv(filepath, encoding='gbk',parse_dates=False)
|
||||
df.columns = ['date', 'time', 'lastPrice', 'lastVolume', 'totalInterest', 'position',
|
||||
'bidPrice1', 'bidVolume1', 'bidPrice2', 'bidVolume2', 'bidPrice3', 'bidVolume3',
|
||||
'askPrice1', 'askVolume1', 'askPrice2', 'askVolume2', 'askPrice3', 'askVolume3','BS']
|
||||
@ -1129,7 +1279,9 @@ class BacktestingEngine(object):
|
||||
|
||||
dtStr = tick.date + ' ' + tick.time
|
||||
if dtStr in ticks:
|
||||
self.writeCtaError(u'日内数据重复，异常,数据时间为:{0}'.format(dtStr))
|
||||
pass
|
||||
|
||||
#self.writeCtaError(u'日内数据重复，异常,数据时间为:{0}'.format(dtStr))
|
||||
else:
|
||||
ticks[dtStr] = tick
|
||||
|
||||
@ -1151,14 +1303,23 @@ class BacktestingEngine(object):
|
||||
|
||||
|
||||
# E:\Ticks\SQ\2014\201401\20140102\ag01_20140102.csv
|
||||
leg1File = u'e:\\ticks\\{0}\\{1}\\{2}\\{3}\\{4}{5}_{3}.csv' \
|
||||
.format(leg1MainPath, testday.strftime('%Y'), testday.strftime('%Y%m'), testday.strftime('%Y%m%d'), leg1_shortSymbol, leg1Symbol[-2:])
|
||||
#leg1File = u'e:\\ticks\\{0}\\{1}\\{2}\\{3}\\{4}{5}_{3}.csv' \
|
||||
# .format(leg1MainPath, testday.strftime('%Y'), testday.strftime('%Y%m'), testday.strftime('%Y%m%d'), leg1_shortSymbol, leg1Symbol[-2:])
|
||||
|
||||
leg1File = os.path.abspath(
|
||||
os.path.join(leg1MainPath, testday.strftime('%Y'), testday.strftime('%Y%m'), testday.strftime('%Y%m%d'),
|
||||
'{0}{1}_{2}.csv'.format(leg1_shortSymbol,leg1Symbol[-2:],testday.strftime('%Y%m%d'))))
|
||||
|
||||
if not os.path.isfile(leg1File):
|
||||
self.writeCtaLog(u'{0}文件不存在'.format(leg1File))
|
||||
return
|
||||
|
||||
leg2File = u'e:\\ticks\\{0}\\{1}\\{2}\\{3}\\{4}{5}_{3}.csv' \
|
||||
.format(leg2MainPath,testday.strftime('%Y'), testday.strftime('%Y%m'), testday.strftime('%Y%m%d'), leg2_shortSymbol, leg2Symbol[-2:])
|
||||
#leg2File = u'e:\\ticks\\{0}\\{1}\\{2}\\{3}\\{4}{5}_{3}.csv' \
|
||||
# .format(leg2MainPath,testday.strftime('%Y'), testday.strftime('%Y%m'), testday.strftime('%Y%m%d'), leg2_shortSymbol, leg2Symbol[-2:])
|
||||
leg2File = os.path.abspath(
|
||||
os.path.join(leg1MainPath, testday.strftime('%Y'), testday.strftime('%Y%m'), testday.strftime('%Y%m%d'),
|
||||
'{0}{1}_{2}.csv'.format(leg2_shortSymbol, leg2Symbol[-2:], testday.strftime('%Y%m%d'))))
|
||||
|
||||
if not os.path.isfile(leg2File):
|
||||
self.writeCtaLog(u'{0}文件不存在'.format(leg2File))
|
||||
return
|
||||
@ -1779,11 +1940,14 @@ class BacktestingEngine(object):
|
||||
while coverVolume > 0:
|
||||
if len(shortTrade)==0:
|
||||
self.writeCtaError(u'异常，没有开空仓的数据')
|
||||
break
|
||||
raise RuntimeError(u'realtimeCalculate() Exception,没有开空仓的数据')
|
||||
|
||||
|
||||
pop_indexs = [i for i, val in enumerate(shortTrade) if val.vtSymbol == trade.vtSymbol]
|
||||
if len(pop_indexs) < 1:
|
||||
self.writeCtaError(u'没有对应的symbol:{0}开空仓数据'.format(trade.vtSymbol))
|
||||
break
|
||||
raise RuntimeError(u'realtimeCalculate() Exception,没有对应的symbol:{0}开空仓数据'.format(trade.vtSymbol))
|
||||
|
||||
pop_index = pop_indexs[0]
|
||||
# 从未平仓的空头交易
|
||||
entryTrade = shortTrade.pop(pop_index)
|
||||
@ -1946,12 +2110,14 @@ class BacktestingEngine(object):
|
||||
while sellVolume > 0:
|
||||
if len(longTrade) == 0:
|
||||
self.writeCtaError(u'异常，没有开多单')
|
||||
break
|
||||
raise RuntimeError(u'realtimeCalculate() Exception,没有开多单')
|
||||
return
|
||||
|
||||
pop_indexs = [i for i, val in enumerate(longTrade) if val.vtSymbol == trade.vtSymbol]
|
||||
if len(pop_indexs) < 1:
|
||||
self.writeCtaError(u'没有对应的symbol{0}开多仓数据,'.format(trade.vtSymbol))
|
||||
break
|
||||
raise RuntimeError(u'realimeCalculate() Exception,没有对应的symbol{0}开多仓数据,'.format(trade.vtSymbol))
|
||||
return
|
||||
|
||||
pop_index = pop_indexs[0]
|
||||
|
||||
@ -2159,27 +2325,19 @@ class BacktestingEngine(object):
|
||||
"""实时计算交易结果2
|
||||
支持多空仓位并存"""
|
||||
|
||||
if len(self.tradeDict) <1:
|
||||
return
|
||||
if len(self.tradeDict) < 1: return
|
||||
|
||||
tradeids = self.tradeDict.keys()
|
||||
|
||||
resultDict = OrderedDict() # 交易结果记录
|
||||
|
||||
longTrade = [] # 未平仓的多头交易
|
||||
shortTrade = [] # 未平仓的空头交易
|
||||
longid = EMPTY_STRING
|
||||
shortid = EMPTY_STRING
|
||||
|
||||
no_match_shortTrade = False
|
||||
no_match_longTrade = False
|
||||
|
||||
# 对交易记录逐一处理
|
||||
for tradeid in tradeids:
|
||||
try:
|
||||
trade = self.tradeDict[tradeid]
|
||||
except:
|
||||
self.output(u'没有{0}的成交单'.format(tradeid))
|
||||
self.writeCtaError(u'没有{0}的成交单'.format(tradeid))
|
||||
continue
|
||||
|
||||
# buy trade
|
||||
@ -2191,7 +2349,6 @@ class BacktestingEngine(object):
|
||||
|
||||
# cover trade，
|
||||
elif trade.direction == DIRECTION_LONG and trade.offset == OFFSET_CLOSE:
|
||||
|
||||
gId = trade.tradeID # 交易组（多个平仓数为一组）
|
||||
gr = None # 组合的交易结果
|
||||
|
||||
@ -2200,11 +2357,13 @@ class BacktestingEngine(object):
|
||||
while coverVolume > 0:
|
||||
if len(self.shortPosition) == 0:
|
||||
self.writeCtaError(u'异常!没有开空仓的数据')
|
||||
break
|
||||
raise Exception(u'realtimeCalculate2() Exception,没有开空仓的数据')
|
||||
return
|
||||
pop_indexs = [i for i, val in enumerate(self.shortPosition) if val.vtSymbol == trade.vtSymbol]
|
||||
if len(pop_indexs) < 1:
|
||||
self.writeCtaError(u'异常，没有对应symbol:{0}的空单持仓'.format(trade.vtSymbol))
|
||||
break
|
||||
raise Exception(u'realtimeCalculate2() Exception,没有对应symbol:{0}的空单持仓'.format(trade.vtSymbol))
|
||||
return
|
||||
|
||||
pop_index = pop_indexs[0]
|
||||
# 从未平仓的空头交易
|
||||
@ -2245,7 +2404,6 @@ class BacktestingEngine(object):
|
||||
trade.tradeTime, tradeid, trade.price,
|
||||
entryTrade.volume, result.pnl)
|
||||
self.output(msg)
|
||||
|
||||
self.writeCtaLog(msg)
|
||||
|
||||
if type(gr) == type(None):
|
||||
@ -2256,7 +2414,6 @@ class BacktestingEngine(object):
|
||||
else:
|
||||
# 不属于组合
|
||||
resultDict[entryTrade.dt] = result
|
||||
|
||||
# 删除平空交易单，
|
||||
del self.tradeDict[trade.tradeID]
|
||||
|
||||
@ -2336,7 +2493,6 @@ class BacktestingEngine(object):
|
||||
|
||||
# Short Trade
|
||||
elif trade.direction == DIRECTION_SHORT and trade.offset == OFFSET_OPEN:
|
||||
|
||||
self.output(u'{0}空开:{1},{2}'.format(trade.vtSymbol, trade.volume, trade.price))
|
||||
self.writeCtaLog(u'{0}空开:{1},{2}'.format(trade.vtSymbol, trade.volume, trade.price))
|
||||
self.shortPosition.append(trade)
|
||||
@ -2353,17 +2509,17 @@ class BacktestingEngine(object):
|
||||
while sellVolume > 0:
|
||||
if len(self.longPosition) == 0:
|
||||
self.writeCtaError(u'异常，没有开多单')
|
||||
break
|
||||
raise RuntimeError(u'realtimeCalculate2() Exception,没有开多单')
|
||||
return
|
||||
|
||||
pop_indexs = [i for i, val in enumerate(self.longPosition) if val.vtSymbol == trade.vtSymbol]
|
||||
if len(pop_indexs) < 1:
|
||||
self.writeCtaError(u'没有对应的symbol{0}开多仓数据,'.format(trade.vtSymbol))
|
||||
break
|
||||
self.writeCtaError(u'没有对应的symbol{0}多单数据,'.format(trade.vtSymbol))
|
||||
raise RuntimeError(u'realtimeCalculate2() Exception,没有对应的symbol{0}多单数据,'.format(trade.vtSymbol))
|
||||
return
|
||||
|
||||
pop_index = pop_indexs[0]
|
||||
|
||||
entryTrade = self.longPosition.pop(pop_index)
|
||||
|
||||
# 开多volume，不大于平仓volume
|
||||
if sellVolume >= entryTrade.volume:
|
||||
self.writeCtaLog(u'{0}Sell Volume:{1} >= Entry Volume:{2}'.format(entryTrade.vtSymbol, sellVolume, entryTrade.volume))
|
||||
@ -2429,7 +2585,8 @@ class BacktestingEngine(object):
|
||||
# 开多volume,大于平仓volume，需要更新减少tradeDict的数量。
|
||||
else:
|
||||
longVolume = entryTrade.volume -sellVolume
|
||||
self.writeCtaLog(u'Long Volume:{0} > sell Volume:{1}'.format(entryTrade.volume,sellVolume))
|
||||
self.writeCtaLog(u'Entry Long Volume:{0} > Sell Volume:{1},Remain:{2}'
|
||||
.format(entryTrade.volume, sellVolume, longVolume))
|
||||
|
||||
result = TradingResult(entryPrice=entryTrade.price,
|
||||
entryDt=entryTrade.dt,
|
||||
@ -2453,10 +2610,11 @@ class BacktestingEngine(object):
|
||||
t['Profit'] = result.pnl
|
||||
self.exportTradeList.append(t)
|
||||
|
||||
self.writeCtaLog(u'Gid:{0} {1}[{2}:开多tid={3}:{4}]-[{5}.平多tid={6},{7},vol:{8}],净盈亏：{9}'
|
||||
msg = u'Gid:{0} {1}[{2}:开多tid={3}:{4}]-[{5}.平多tid={6},{7},vol:{8}],净盈亏：{9}'\
|
||||
.format(gId, entryTrade.vtSymbol,entryTrade.tradeTime, longid, entryTrade.price,
|
||||
trade.tradeTime, tradeid, trade.price,
|
||||
sellVolume, result.pnl))
|
||||
trade.tradeTime, tradeid, trade.price, sellVolume, result.pnl)
|
||||
self.output(msg)
|
||||
self.writeCtaLog(msg)
|
||||
|
||||
# 减少开多volume,重新推进多单持仓列表中
|
||||
entryTrade.volume = longVolume
|
||||
@ -2557,9 +2715,11 @@ class BacktestingEngine(object):
|
||||
self.totalCommission += result.commission
|
||||
self.totalSlippage += result.slippage
|
||||
|
||||
self.output(u'[{5}],{6} Vol:{0},盈亏:{1},回撤:{2}/{3},权益:{4}'.
|
||||
format(abs(result.volume), result.pnl, drawdown,
|
||||
drawdownRate, self.capital, result.groupId, time))
|
||||
msg =u'[{0}] {1} 盈亏:{2},回撤:{3}/{4},权益:{5}'\
|
||||
.format(result.groupId, time, result.pnl, drawdown,
|
||||
drawdownRate, self.capital, )
|
||||
self.output(msg)
|
||||
self.writeCtaLog(msg)
|
||||
|
||||
# 重新计算一次avaliable
|
||||
self.avaliable = self.capital - occupyMoney
|
||||
@ -2961,7 +3121,8 @@ class BacktestingEngine(object):
|
||||
datetime.now().strftime('%Y%m%d_%H%M'))))
|
||||
fig = plt.gcf()
|
||||
fig.savefig(fig_file_name)
|
||||
plt.show()
|
||||
print (u'图表保存至：{0}'.format(fig_file_name))
|
||||
#plt.show()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def putStrategyEvent(self, name):
|
||||
|
||||
@ -608,6 +608,14 @@ class CtaEngine(object):
|
||||
# modifid by Incenselee 支持多个Symbol的订阅
|
||||
symbols = strategy.vtSymbol.split(';')
|
||||
|
||||
# 判断是否有Leg1Symbol,Leg2Symbol 两个合约属性
|
||||
if hasattr(strategy, 'Leg1Symbol'):
|
||||
if strategy.Leg1Symbol not in symbols:
|
||||
symbols.append(strategy.Leg1Symbol)
|
||||
if hasattr(strategy, 'Leg2Symbol'):
|
||||
if strategy.Leg2Symbol not in symbols:
|
||||
symbols.append(strategy.Leg2Symbol)
|
||||
|
||||
for symbol in symbols:
|
||||
self.writeCtaLog(u'添加合约{0}与策略的匹配目录'.format(symbol))
|
||||
if symbol in self.tickStrategyDict:
|
||||
@ -829,6 +837,7 @@ class CtaEngine(object):
|
||||
# ----------------------------------------------------------------------
|
||||
def loadPosition(self):
|
||||
"""从数据库载入策略的持仓情况"""
|
||||
try:
|
||||
for strategy in self.strategyDict.values():
|
||||
flt = {'name': strategy.name,
|
||||
'vtSymbol': strategy.vtSymbol}
|
||||
@ -836,7 +845,8 @@ class CtaEngine(object):
|
||||
|
||||
for d in posData:
|
||||
strategy.pos = d['pos']
|
||||
|
||||
except:
|
||||
self.writeCtaLog(u'loadPosition Exception')
|
||||
# ----------------------------------------------------------------------
|
||||
def roundToPriceTick(self, priceTick, price):
|
||||
"""取整价格到合约最小价格变动"""
|
||||
|
||||
@ -41,6 +41,8 @@ class CtaGrid(object):
|
||||
self.openDatetime = None
|
||||
self.orderDatetime = None # 委托时间
|
||||
|
||||
self.lockGrids = [] # 锁单的网格，[openPrice,openPrice]
|
||||
|
||||
def toJson(self):
|
||||
"""输出JSON"""
|
||||
|
||||
@ -58,6 +60,7 @@ class CtaGrid(object):
|
||||
j['orderRef'] = self.orderRef # OrderId
|
||||
j['openStatus'] = self.openStatus # 开仓状态
|
||||
j['closeStatus'] = self.closeStatus # 平仓状态
|
||||
j['lockGrids'] = self.lockGrids # 对锁的网格
|
||||
|
||||
if type(self.openDatetime) == type(None):
|
||||
j['openDatetime'] = EMPTY_STRING
|
||||
@ -325,6 +328,26 @@ class CtaGridTrade(object):
|
||||
self.writeCtaLog(u'异常，找不到网格[{0},{1},{2},{3},{4}]'.format(direction, openPrice, closePrice, orderRef, t))
|
||||
return None
|
||||
|
||||
def getLastOpenedGrid(self, direction):
|
||||
"""获取最后一个开仓的网格"""
|
||||
if direction == DIRECTION_SHORT:
|
||||
opened_short_grids = self.getGrids(direction=direction, opened=True)
|
||||
if opened_short_grids is None or len(opened_short_grids) ==0 :
|
||||
return None
|
||||
if len(opened_short_grids) > 1:
|
||||
sortedGrids = sorted(opened_short_grids, key=lambda g:g.openPrice)
|
||||
opened_short_grids = sortedGrids[-1:]
|
||||
return opened_short_grids[0]
|
||||
|
||||
if direction == DIRECTION_LONG:
|
||||
opened_long_grids = self.getGrids(direction=direction, opened=True)
|
||||
if opened_long_grids is None or len(opened_long_grids) ==0:
|
||||
return None
|
||||
if len(opened_long_grids) > 1:
|
||||
sortedGrids = sorted(opened_long_grids, key=lambda g: g.openPrice)
|
||||
opened_long_grids = sortedGrids[0:1]
|
||||
return opened_long_grids[0]
|
||||
|
||||
def closeGrid(self, direction, closePrice, closeVolume):
|
||||
"""网格交易结束"""
|
||||
if direction == DIRECTION_LONG:
|
||||
@ -495,7 +518,6 @@ class CtaGridTrade(object):
|
||||
|
||||
# 更新开仓均价
|
||||
self.recount_avg_open_price()
|
||||
|
||||
path = os.path.abspath(os.path.dirname(__file__))
|
||||
|
||||
# 保存上网格列表
|
||||
@ -507,7 +529,6 @@ class CtaGridTrade(object):
|
||||
l.append(grid.toJson())
|
||||
|
||||
with open(jsonFileName, 'w') as f:
|
||||
|
||||
jsonL = json.dumps(l, indent=4)
|
||||
f.write(jsonL)
|
||||
|
||||
@ -522,7 +543,6 @@ class CtaGridTrade(object):
|
||||
l.append(grid.toJson())
|
||||
|
||||
with open(jsonFileName, 'w') as f:
|
||||
|
||||
jsonL = json.dumps(l, indent=4)
|
||||
f.write(jsonL)
|
||||
|
||||
@ -552,7 +572,6 @@ class CtaGridTrade(object):
|
||||
|
||||
# 解析json文件
|
||||
l = json.load(f)
|
||||
|
||||
grids = []
|
||||
|
||||
if len(l) > 0:
|
||||
@ -570,6 +589,7 @@ class CtaGridTrade(object):
|
||||
grid.orderRef = i['orderRef'] # OrderId
|
||||
grid.openStatus = i['openStatus'] # 开仓状态
|
||||
grid.closeStatus = i['closeStatus'] # 平仓状态
|
||||
|
||||
strTime = i['openDatetime']
|
||||
if strTime == EMPTY_STRING or type(strTime)==type(None):
|
||||
grid.openDatetime = None
|
||||
@ -580,6 +600,10 @@ class CtaGridTrade(object):
|
||||
grid.tradedVolume = i['tradedVolume'] # 已交易的合约数量
|
||||
except KeyError:
|
||||
grid.tradedVolume = EMPTY_INT
|
||||
try:
|
||||
grid.lockGrids = i['lockGrids']
|
||||
except KeyError:
|
||||
grid.lockGrids = []
|
||||
|
||||
self.writeCtaLog(grid.toStr())
|
||||
|
||||
|
||||
@ -4,12 +4,16 @@
|
||||
本模块中主要包含：
|
||||
1. 从通联数据下载历史行情的引擎
|
||||
2. 用来把MultiCharts导出的历史数据载入到MongoDB中用的函数
|
||||
3、从淘宝购买的tick csv数据导入mongodb
|
||||
"""
|
||||
|
||||
from datetime import datetime, timedelta
|
||||
from time import time
|
||||
import pymongo
|
||||
from time import time
|
||||
from multiprocessing.pool import ThreadPool
|
||||
from collections import OrderedDict
|
||||
import pandas as pd
|
||||
|
||||
from ctaBase import *
|
||||
from vtConstant import *
|
||||
@ -349,6 +353,106 @@ def loadMcCsv(fileName, dbName, symbol):
|
||||
|
||||
print u'插入完毕，耗时：%s' % (time()-start)
|
||||
|
||||
def load_ticks_from_file(file_name,symbol,trading_day):
|
||||
"""从csv tick文件中UnicodeDictReader读取tick
|
||||
file_name,文件全路径
|
||||
symbol，合约代码，RB01, RBMI 等
|
||||
trading_day,交易日字符串
|
||||
"""
|
||||
# 先读取数据到Dict，以日期时间为key
|
||||
ticks = OrderedDict()
|
||||
|
||||
if not os.path.isfile(file_name):
|
||||
print u'{0}文件不存在'.format(file_name)
|
||||
return ticks
|
||||
dt = None
|
||||
csvReadFile = file(file_name, 'rb')
|
||||
|
||||
start_time = time.clock()
|
||||
df = pd.read_csv(file_name, encoding='gbk', parse_dates=False)
|
||||
df.columns = ['date', 'time', 'lastPrice', 'lastVolume', 'totalInterest', 'position',
|
||||
'bidPrice1', 'bidVolume1', 'bidPrice2', 'bidVolume2', 'bidPrice3', 'bidVolume3',
|
||||
'askPrice1', 'askVolume1', 'askPrice2', 'askVolume2', 'askPrice3', 'askVolume3', 'BS']
|
||||
readed_ticks = len(df)
|
||||
|
||||
for i in range(0, len(df)):
|
||||
# 日期, 时间, 成交价, 成交量, 总量, 属性(持仓增减), B1价, B1量, B2价, B2量, B3价, B3量, S1价, S1量, S2价, S2量, S3价, S3量, BS
|
||||
# 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18
|
||||
row = df.iloc[i].to_dict()
|
||||
tick = CtaTickData()
|
||||
|
||||
tick.vtSymbol = symbol
|
||||
tick.symbol = symbol
|
||||
|
||||
tick.date = row['date']
|
||||
tick.tradingDay = trading_day
|
||||
tick.time = row['time']
|
||||
|
||||
try:
|
||||
tick.datetime = datetime.strptime(tick.date + ' ' + tick.time, '%Y-%m-%d %H:%M:%S')
|
||||
except Exception as ex:
|
||||
print u'日期转换错误:{0},{1}:{2}'.format(tick.date + ' ' + tick.time, Exception, ex)
|
||||
continue
|
||||
|
||||
tick.date = tick.datetime.strftime('%Y%m%d')
|
||||
# 修正毫秒
|
||||
if tick.datetime.replace(microsecond=0) == dt:
|
||||
# 与上一个tick的时间（去除毫秒后）相同,修改为500毫秒
|
||||
tick.datetime = tick.datetime.replace(microsecond=500)
|
||||
tick.time = tick.datetime.strftime('%H:%M:%S.%f')
|
||||
|
||||
else:
|
||||
tick.datetime = tick.datetime.replace(microsecond=0)
|
||||
tick.time = tick.datetime.strftime('%H:%M:%S.%f')
|
||||
|
||||
dt = tick.datetime
|
||||
|
||||
tick.lastPrice = float(row['lastPrice'])
|
||||
tick.volume = int(float(row['lastVolume']))
|
||||
tick.bidPrice1 = float(row['bidPrice1']) # 叫买价（价格低）
|
||||
tick.bidVolume1 = int(float(row['bidVolume1']))
|
||||
tick.askPrice1 = float(row['askPrice1']) # 叫卖价（价格高）
|
||||
tick.askVolume1 = int(float(row['askVolume1']))
|
||||
|
||||
# 排除涨停/跌停的数据
|
||||
if (tick.bidPrice1 == float('1.79769E308') and tick.bidVolume1 == 0) :
|
||||
tick.bidPrice1 = 0
|
||||
|
||||
if (tick.askPrice1 == float('1.79769E308') and tick.askVolume1 == 0):
|
||||
tick.askPrice1 = 0
|
||||
|
||||
dtStr = tick.date + ' ' + tick.time
|
||||
if dtStr not in ticks:
|
||||
ticks[dtStr] = tick
|
||||
if len(ticks)!= readed_ticks:
|
||||
print u'分析tick对象数量{0}与读取数据数量{1}不一致'.format(len(ticks),readed_ticks)
|
||||
|
||||
print u'读取{0},共加载{1}条数据，耗时:{2}seconds}'.format(file_name, readed_ticks, str(time.clock()-start_time))
|
||||
|
||||
return ticks
|
||||
|
||||
def impot_ticks_from_folder(folder_path):
|
||||
|
||||
for dirpath, _, file_names in os.walk(folder_path):
|
||||
for file_name in file_names:
|
||||
file_path = os.path.join(dirpath, file_name)
|
||||
|
||||
if file_name.lower().find('.csv') != -1:
|
||||
s = file_name.replace('.csv', '').split('_')
|
||||
if len(s)!=2:
|
||||
print u'{0} not match format'.format(file_path)
|
||||
continue
|
||||
|
||||
symbol = s[0]
|
||||
trading_day = s[1]
|
||||
|
||||
if len(trading_day)!=8:
|
||||
print u'{0} trading_day not match format'.format(file_path)
|
||||
continue
|
||||
|
||||
ticks = load_ticks_from_file(file_name=file_path,symbol=symbol,trading_day=trading_day)
|
||||
|
||||
print ('finish.')
|
||||
|
||||
if __name__ == '__main__':
|
||||
## 简单的测试脚本可以写在这里
|
||||
@ -358,4 +462,7 @@ if __name__ == '__main__':
|
||||
#e.downloadEquityDailyBar('000001')
|
||||
|
||||
# 这里将项目中包含的股指日内分钟线csv导入MongoDB，作者电脑耗时大约3分钟
|
||||
loadMcCsv('IF0000_1min.csv', MINUTE_DB_NAME, 'IF0000')
|
||||
#loadMcCsv('IF0000_1min.csv', MINUTE_DB_NAME, 'IF0000')
|
||||
|
||||
csv_ticks_folder_path = '/home/ubuntu/Ticks/SQ/2017'
|
||||
impot_ticks_from_folder()
|
||||
@ -317,21 +317,34 @@ class CtaLineBar(object):
|
||||
|
||||
self.curTradingDay = bar.tradingDay
|
||||
|
||||
if (self.period == PERIOD_SECOND and (bar.datetime-lastBar.datetime).seconds >= self.barTimeInterval) \
|
||||
or (self.period == PERIOD_MINUTE and bar.datetime.minute % self.barTimeInterval == 0
|
||||
and bar.datetime.minute != lastBar.datetime.minute) \
|
||||
or (self.period == PERIOD_HOUR and self.barTimeInterval == 1 and bar.datetime
|
||||
and bar.datetime.hour != lastBar.datetime.hour) \
|
||||
or (self.period == PERIOD_HOUR and self.barTimeInterval == 2 and bar.datetime
|
||||
and bar.datetime.hour != lastBar.datetime.hour
|
||||
and bar.datetime.hour in {1, 9, 11, 13, 21, 23}) \
|
||||
or (self.period == PERIOD_HOUR and self.barTimeInterval == 4 and bar.datetime
|
||||
and bar.datetime.hour != lastBar.datetime.hour
|
||||
and bar.datetime.hour in {1, 9, 13, 21}) \
|
||||
or (self.period == PERIOD_DAY and bar.datetime.date != lastBar.datetime.date ):
|
||||
is_new_bar = False
|
||||
|
||||
if self.period == PERIOD_SECOND and (bar.datetime-lastBar.datetime).seconds >= self.barTimeInterval:
|
||||
is_new_bar = True
|
||||
|
||||
elif self.period == PERIOD_MINUTE and (bar.datetime - lastBar.datetime).seconds >= self.barTimeInterval*60:
|
||||
is_new_bar = True
|
||||
|
||||
elif self.period == PERIOD_HOUR:
|
||||
if self.barTimeInterval == 1 and bar.datetime.hour != lastBar.datetime.hour :
|
||||
is_new_bar = True
|
||||
|
||||
elif self.barTimeInterval == 2 and bar.datetime.hour != lastBar.datetime.hour \
|
||||
and bar.datetime.hour in {1, 9, 11, 13, 15, 21, 23}:
|
||||
is_new_bar = True
|
||||
|
||||
elif self.barTimeInterval == 4 and bar.datetime.hour != lastBar.datetime.hour \
|
||||
and bar.datetime.hour in {1, 9, 13, 21}:
|
||||
is_new_bar = True
|
||||
|
||||
elif self.period == PERIOD_DAY and bar.datetime.date != lastBar.datetime.date :
|
||||
is_new_bar = True
|
||||
|
||||
if is_new_bar:
|
||||
# 添加新的bar
|
||||
self.lineBar.append(bar)
|
||||
self.onBar(bar)
|
||||
# 将上一个Bar推送至OnBar事件
|
||||
self.onBar(lastBar)
|
||||
return
|
||||
|
||||
# 更新最后一个bar
|
||||
@ -535,6 +548,8 @@ class CtaLineBar(object):
|
||||
# 2，分钟、小时周期，取整=0
|
||||
# 3、日周期，开盘时间
|
||||
# 4、不是最后一个结束tick
|
||||
is_new_bar = False
|
||||
|
||||
if ((self.period == PERIOD_SECOND and (tick.datetime-lastBar.datetime).seconds >= self.barTimeInterval) \
|
||||
or
|
||||
(self.period == PERIOD_MINUTE and tick.datetime.minute % self.barTimeInterval == 0
|
||||
@ -1153,9 +1168,9 @@ class CtaLineBar(object):
|
||||
|
||||
l = len(self.lineBar)
|
||||
|
||||
if l < min(7, self.inputBollLen)+1:
|
||||
if l < min(14, self.inputBollLen)+1:
|
||||
self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算Boll需要：{1}'.
|
||||
format(len(self.lineBar), min(7, self.inputBollLen)+1))
|
||||
format(len(self.lineBar), min(14, self.inputBollLen)+1))
|
||||
return
|
||||
|
||||
if l < self.inputBollLen+2:
|
||||
|
||||
Loading…
Reference in New Issue
Block a user