更新

README.md

@@ -1,4 +1,4 @@
-# “当你想放弃时，想想你为什么开始。”
+# “当你想放弃时，想想你为什么开始。埃隆·马斯克”
 
 ###Fork版本主要改进如下
 - 1、增加CtaLineBar，CtaPosition，CtaPolicy,UtlSinaClient等基础组件

examples/CtaBacktesting/util_branch_testing.py

@@ -0,0 +1,564 @@
+# encoding: UTF-8
+
+"""
+批量测试相关方法
+# 华富资产 李来佳
+"""
+
+import sys, os, platform, gc, copy,multiprocessing
+from datetime import datetime
+from time import sleep
+vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..'))
+
+sys.path.append(vnpy_root)
+
+import numpy as np
+import pandas as pd
+import talib as ta                  # 科学计算库
+import statsmodels.api as sm        # 统计库
+import matplotlib
+import matplotlib.pyplot as plt
+import math                         # 数学计算相关
+matplotlib.rcParams['figure.figsize'] = (20.0, 10.0)
+import  traceback
+from vnpy.trader.setup_logger import *
+from vnpy.trader.app.ctaStrategy.ctaBacktesting import BacktestingEngine, OptimizationSetting, MINUTE_DB_NAME
+
+
+# 合并回测结果
+def combine_results(results_list):
+    result_df = None
+
+    # 判断结果集是否有数据
+    if len(results_list) < 1:
+        print('no records')
+        return None
+
+    effected_results = 0
+
+    for dict in results_list:
+        # 测试项目
+        test_item = dict['test_item']
+        # 测试csv文件
+        file_name = dict['result_file']
+
+        if not os.path.isfile(file_name):
+            continue
+
+        effected_results += 1
+
+        # 读取测试文件
+        df = pd.read_csv(file_name)
+        # 修正索引为时间日期索引
+        df = df.set_index(pd.DatetimeIndex(df['date']))
+
+        if result_df is None:
+            # 首个测试结果，将净值字段设置为周期
+            result_df = df['rate'].to_frame(name=test_item)
+            # 汇总净值
+            result_df['rate'] = result_df[test_item]
+        else:
+            # 增加新的测试结果数据
+            result_df[test_item] = df['rate']
+
+            # 汇总净值
+            result_df['rate'] = result_df['rate'] + result_df[test_item]
+
+        # 释放内存
+        l = [df]
+        del df
+        del l
+
+    if effected_results > 0:
+        # 净值平均
+        result_df['avg_rate'] = result_df['rate'] / effected_results
+        # 组合净值累加（仍然按照1个策略的总资金，累加各策略的收益）
+        result_df['group_rate'] = result_df['rate'] - effected_results + 1
+
+        # 删除累加的rate
+        result_df.drop('rate', axis=1, inplace=True)
+
+    return result_df
+
+
+# 计算最大回撤，单日最大回撤
+def calculate_result(result_df, rate_column):
+    max_rate = 0
+    max_loss = 0
+    max_rate_date = None
+    max_loss_date = None
+    max_loss_info = '-'
+
+    for idx in result_df.index:
+        # 当前日净值
+        cur_rate = result_df[rate_column].loc[idx]
+
+        if cur_rate > max_rate:
+            max_rate = cur_rate
+            max_rate_date = idx.strftime('%Y-%m-%d')
+
+        cur_loss = max_rate - cur_rate
+
+        if cur_loss > max_loss:
+            max_loss = cur_loss
+            max_loss_date = idx.strftime('%Y-%m-%d')
+            max_loss_percent = max_loss / max_rate
+            max_loss_info = u'{} from {} to {},rate {}=>{},max loss rate {}'.format(rate_column, max_rate_date,
+                                                                                    max_loss_date, max_rate, cur_rate,
+                                                                                    max_loss_percent)
+    return max_loss_info
+
+def single_strategy_test(test_settings):
+    """
+    根据设置参数，执行回测品种，
+    :param strategyClass: 策略类
+    :param test_settings: 策略参数设置
+            test_settings['bar_file']: 回测的bar csv文件路径
+            test_settings['bar_interval']: 回测的Bar csv周期
+            test_settings['report_file']: 净值输出报告的保存路径
+    :return: 
+    """
+
+    from vnpy.trader.vtEvent import EventEngine2
+    eventEngine = EventEngine2()
+    eventEngine.start()
+
+    # 创建回测引擎
+    engine = BacktestingEngine(eventEngine=eventEngine)
+    # 设置回测的策略类
+    engine.setStrategyName(test_settings['name'])
+    # 创建日志
+    if 'debug' in test_settings:
+        engine.createLogger(debug=test_settings['debug'])
+    else:
+        engine.createLogger()
+
+        # 设置引擎的回测模式
+        if test_settings['mode'] == 'tick':
+            engine.setBacktestingMode(engine.TICK_MODE)
+        else:
+            engine.setBacktestingMode(engine.BAR_MODE)
+
+    strategy_settings = copy.copy(test_settings)
+    # 设置回测的策略类
+    if 'filenamePrefix' in strategy_settings:
+        engine.setStrategyName(strategy_settings["filenamePrefix"])
+    else:
+        engine.setStrategyName(test_settings['name'])
+
+    if 'is_7x24' in test_settings:
+        engine.is_7x24 = test_settings['is_7x24']
+
+    # del strategy_settings['size']
+    #del strategy_settings['margin_rate']
+    del strategy_settings['initCapital']
+
+    if 'report_file' in strategy_settings:
+        del strategy_settings['report_file']
+
+    # 设置回测用的数据起始日期
+    if 'start_date' in strategy_settings:
+        engine.setStartDate(test_settings['start_date'], initDays = strategy_settings.get('initDays', 10))
+        del strategy_settings['start_date']
+    else:
+        engine.setStartDate('20110101',initDays = strategy_settings.get('initDays',10))
+
+    # 设置回测用的数据结束日期
+    if 'end_date' in test_settings:
+        engine.setEndDate(test_settings['end_date'])
+        del strategy_settings['end_date']
+    else:
+        engine.setEndDate('20171201')
+
+    # engine.connectMysql()
+    engine.setDatabase(dbName=MINUTE_DB_NAME, symbol=test_settings['vtSymbol'])
+
+    # 设置产品相关参数
+    if 'slippage' in test_settings and test_settings['slippage'] > 0:
+        engine.setSlippage(test_settings['slippage'])
+    else:
+        engine.setSlippage(0)
+    engine.setRate(test_settings['rate'] if 'rate' in test_settings else float(0.0001))  # 万1
+    engine.setSize(test_settings['size'])  # 合约大小
+    engine.setMinDiff(test_settings['minDiff']) # 合约价格最小跳动
+    engine.setMarginRate(test_settings['margin_rate']) # 合约保证金率
+    if 'fixCommission' in test_settings:
+        engine.fixCommission = float(test_settings['fixCommission'])  # 固定交易费用（每次开平仓收费）
+
+    # 删除本地json文件
+    data_path = os.path.abspath(os.path.join(os.getcwd(),'data'))
+    if not os.path.exists(data_path):
+        os.mkdir(data_path)
+
+    logs_path = os.path.abspath(os.path.join(os.getcwd(), 'logs'))
+    if not os.path.exists(logs_path):
+        os.mkdir(logs_path)
+
+    up_grid_json_file = os.path.abspath(os.path.join(data_path,'{0}_upGrids.json'.format(test_settings['name'])))
+    dn_grid_json_file = os.path.abspath(os.path.join(data_path,'{0}_dnGrids.json'.format(test_settings['name'])))
+    grid_json_file = os.path.abspath(os.path.join(data_path,'{0}_Grids.json'.format(test_settings['name'])))
+    policy_json_file = os.path.abspath(os.path.join(data_path, '{0}_Policy.json'.format(test_settings['name'])))
+
+    if os.path.isfile(up_grid_json_file):
+        print(u'{0} exist,remove it'.format(up_grid_json_file))
+        try:
+            os.remove(up_grid_json_file)
+        except Exception as ex:
+            print(u'{0}：{1}'.format(Exception, ex))
+            return False
+
+    if os.path.isfile(dn_grid_json_file):
+        print(u'{0}exist,remove it'.format(dn_grid_json_file))
+        try:
+            os.remove(dn_grid_json_file)
+        except Exception as ex:
+            print(u'{0}：{1}'.format(Exception, ex))
+            return False
+
+    if os.path.isfile(grid_json_file):
+        print(u'{0}exist,remove it'.format(grid_json_file))
+        try:
+            os.remove(grid_json_file)
+        except Exception as ex:
+            print(u'{0}：{1}'.format(Exception, ex))
+            return False
+
+    if os.path.isfile(policy_json_file):
+        print(u'{0}exist,remove it'.format(policy_json_file))
+        try:
+            os.remove(policy_json_file)
+        except Exception as ex:
+            print(u'{0}：{1}'.format(Exception, ex))
+            return False
+
+    # 在引擎中创建策略对象
+    print(u'run {} using:{}'.format(test_settings['strategy'],strategy_settings))
+    engine.initStrategy(test_settings['strategy'], setting=strategy_settings)
+
+    # 设置每日净值的报告文档存储路径
+    daily_report_file = 'DailyList.csv' if 'report_file' not in test_settings else test_settings['report_file']
+    engine.setDailyReportName(daily_report_file)
+
+    # 使用简单复利模式计算
+    engine.usageCompounding = False  # True时，只针对FINAL_MODE有效
+
+    # 启用实时计算净值模式REALTIME_MODE / FINAL_MODE 回测结束时统一计算模式
+    engine.calculateMode = engine.REALTIME_MODE
+    engine.capital = test_settings['initCapital']  # 设置期初资金
+    engine.initCapital = test_settings['initCapital']  # 设置期初资金
+    engine.avaliable = test_settings['initCapital']  # 设置期初资金
+    engine.netCapital = test_settings['initCapital']
+    engine.maxCapital = test_settings['initCapital']  # 设置期初资金
+    engine.maxNetCapital = test_settings['initCapital']  # 设置期初资金
+    engine.percentLimit = test_settings['percentLimit']  # 设置资金使用上限比例(%)
+    engine.barTimeInterval = 60 * test_settings['bar_interval']  # 回测文件中，bar的周期秒数，用于csv文件自动减时间
+
+    try:
+        # 前置动作(无参数)
+        pre_functions = test_settings.get('pre_functions',[])
+        for fun_name in pre_functions:
+            try:
+                if not isinstance(fun_name,str):
+                    continue
+                if hasattr(engine.strategy,fun_name):
+                    fun = getattr(engine.strategy,fun_name)
+                    if fun is not None:
+                        fun()
+            except Exception as ex:
+                print(u'调用前置动作异常:{},{}'.format(str(ex),traceback.format_exc()),file=sys.stderr)
+
+        # 开始跑回测
+        if 'bar_file' in test_settings:
+            engine.runBackTestingWithBarFile(test_settings['bar_file'])
+        else:
+            engine.runBackTestingWithDataSource()
+
+        print('{}finished loop bars'.format(test_settings['name']))
+        # 显示回测结果
+        engine.showBacktestingResult()
+
+        # 保存策略得内部数据
+        engine.saveStrategyData()
+
+        print('{} finished'.format(test_settings['name']))
+
+        return True
+    except Exception as ex:
+        print(u'single_strategy_test exception:{}'.format(str(ex)))
+        traceback.print_exc()
+        return False
+
+def multi_period_test(gid, group_setting):
+    """
+    多周期回测品种组合
+    1、对group_settings进行分解，分解出各个运行周期的参数设置
+    2、逐一周期运行测试
+    3、添加回测结果
+    :param gid: 测试组名
+    :param group_setting：dict，包含参数，多周期清单
+     如果多周期，则对每一周期执行回测，并汇总结果。
+     :return 回测的每日净值统计文件
+    """
+
+    # 回测的分钟周期
+    minutes_interval_list = group_setting['minute_list']  # 回测分钟队列（3，5，10等）
+
+    strategyClass = group_setting['strategy']
+
+    # 测试批次时间
+    test_dt = datetime.now().strftime('%Y%m%d_%H%M')
+
+    # 回测结果队列，对应测试分钟队列
+    daily_results = []
+    return_results = []
+
+    # 启动多进程
+    pool = multiprocessing.Pool(multiprocessing.cpu_count())
+    l = []
+
+    # 逐一分钟级别进行回测
+    for m_i in minutes_interval_list:
+        settings = copy.copy(group_setting)
+        del settings['minute_list']
+
+        settings['name'] = '{}_{}_{}_M{}'.format(gid, strategyClass.className, group_setting['symbol'], m_i)
+
+        # 资金占用比例，根据组合内周期数量，进行平均分配
+        settings['percentLimit'] = group_setting['percentLimit']/ len(minutes_interval_list)
+        settings['vtSymbol'] = group_setting['symbol']
+        settings['MinInterval'] = m_i
+
+        settings['mode'] = 'bar'
+        settings['backtesting'] = True
+        settings['bar_interval'] = group_setting['bar_interval'] if 'bar_interval' in group_setting else 1
+        settings['strategy'] = strategyClass
+        # 回测报告文件保存路径: 组合，测试实例名称,测试时间
+        daily_report_file = os.path.abspath(os.path.join(group_setting['report_folder'], u'{}_daily_{}.csv'
+                                                         .format(settings['name'], test_dt)))
+
+        settings['report_file'] = daily_report_file
+
+        #if rt:
+            # 回测报告集登记
+        daily_results.append({'test_item': 'M{}'.format(m_i), 'result_file': daily_report_file})
+
+        l.append(pool.apply_async(single_strategy_test, (settings,)))
+        #rt = single_strategy_test(test_settings=settings)
+
+        # 执行内存回收
+        gc.collect()
+        sleep(10)
+
+    result_list = [res.get() for res in l]
+
+    for idx, rt in enumerate(result_list):
+        if rt:
+            return_results.append(daily_results[idx])
+
+    pool.close()
+    pool.join()
+    return return_results
+
+def run_multiperiod_test(gid, group_settings):
+    """
+    运行多周期的组合测试    
+    :param gid: 组合名称
+    :param group_settings: 
+    :return: 
+    """
+    m = '_'.join(str(e) for e in group_settings['minute_list'])
+    if 'report_folder' in group_settings:
+        final_file = os.path.abspath(os.path.join(group_settings['report_folder'], '{}_{}_Report_{}.csv'.format(gid, group_settings['symbol'], m)))
+    else:
+        # 报告所在目录
+        report_folder = os.path.abspath(os.path.join(os.getcwd(), 'logs', gid))
+        if not os.path.exists(report_folder):
+            os.mkdir(report_folder)
+        # 汇总报告文件
+        final_file = os.path.abspath(
+            os.path.join(report_folder, '{}_{}_Report_{}.csv'.format(gid, group_settings['symbol'], m)))
+        group_settings['report_folder'] = report_folder
+
+    if not os.path.exists(group_settings['report_folder']):
+        os.makedirs(group_settings['report_folder'])
+
+    # 运行回测方法,统计结果
+    daily_results = multi_period_test(gid, group_settings)
+
+    # 统计结果
+    backtest_df = combine_results(daily_results)
+
+    # 保存汇总记录到文件
+    backtest_df.to_csv(final_file)
+
+    # 显示资金曲线汇总
+    fig, ax1 = plt.subplots()
+
+    period_columns = [item['test_item'] for item in daily_results]
+
+    fig.patch.set_facecolor('white')
+    ax1.plot(backtest_df[period_columns])
+    ax1.legend()
+
+    # 释放内存
+    l = [backtest_df]
+    del backtest_df
+    del l
+
+    # 释放内存
+    gc.collect()
+    print( 'finished run_multiparameter_test')
+
+def multi_parameter_test(gid, settings_list):
+    """
+    不同参数的回测组合
+    :param gid: 组合ID
+    :param settings_list: 参数列表 
+    :return: 
+    """
+    # 回测结果队列，对应测试参数队列
+    daily_results = []
+    return_results = []
+
+    # 每个测试的参数名称
+    para_list = [i['paraName'] for i in settings_list]
+
+    if len(para_list) == 0:
+        return daily_results
+
+    # 启动多进程
+    pool = multiprocessing.Pool(multiprocessing.cpu_count())
+    #pool = multiprocessing.Pool(2)
+    l = []
+
+    print('multi_parameter_test,total:{}'.format(len(settings_list)))
+
+    for idx, strategy_settings in enumerate(settings_list):
+        settings = copy.copy(strategy_settings)
+        # 测试时间
+        test_dt = datetime.now().strftime('%Y%m%d_%H%M')
+
+        del settings['log_file']
+        if 'minute_list' in settings:
+            del settings['minute_list']
+        settings['vtSymbol'] = settings['symbol']
+        settings['mode'] = 'bar'
+        settings['backtesting'] = True
+        if 'bar_interval' not in settings:
+            settings['bar_interval'] = 1
+
+        # 回测报告文件保存路径: 组合，测试实例名称,测试时间
+        daily_report_file = os.path.abspath(os.path.join(settings['report_folder'], u'{}_daily_{}.csv'.format(settings['name'], test_dt)))
+
+        settings['report_file'] = daily_report_file
+
+        l.append(pool.apply_async(single_strategy_test, (settings,)))
+
+        # 回测报告集登记
+        daily_results.append({'test_item': settings['paraName'], 'result_file': daily_report_file})
+
+        # 执行内存回收
+        gc.collect()
+        sleep(10)
+
+    result_list = [res.get() for res in l]
+
+    # 返回结果是正确的，才添加到返回列表中
+    for idx, rt in enumerate(result_list):
+        if rt:
+            return_results.append(daily_results[idx])
+
+    pool.close()
+    pool.join()
+
+    return return_results
+
+def run_multiparameter_test(gid, settings_list):
+    """
+    多策略组测试
+    :param gid: 
+    :param settings_list: 
+    :return:     """
+    if len(settings_list) == 0:
+        raise ReferenceError('Zero settings')
+
+    first_setting = settings_list[0]
+
+    paraNames = '_'.join(i['paraName'] for i in settings_list)
+    if 'report_folder' in first_setting:
+        report_folder = first_setting['report_folder']
+        final_file = os.path.abspath(os.path.join(first_setting['report_folder'],
+                                                  '{}_{}_Report_{}.csv'.format(gid, first_setting['symbol'],
+                                                                               paraNames)))
+    else:
+        # 报告所在目录
+        report_folder = os.path.abspath(os.path.join(os.getcwd(), 'logs'))
+        final_file = os.path.abspath(
+            os.path.join(report_folder, '{}_{}_Report_{}.csv'.format(gid, first_setting['symbol'], paraNames)))
+
+    if not os.path.exists(report_folder):
+        os.makedirs(report_folder)
+
+    for settings in settings_list:
+        settings['report_folder'] = report_folder
+
+    # 运行回测方法,统计结果
+    daily_results = multi_parameter_test(gid, settings_list)
+
+    # 统计结果
+    #backtest_df = combine_results(daily_results)
+
+    # 保存汇总记录到文件
+    #backtest_df.to_csv(final_file)
+
+    # 显示资金曲线汇总
+   ##fig, ax = plt.subplots()
+
+    #period_columns = [item['test_item'] for item in daily_results]
+
+    #fig.patch.set_facecolor('white')
+
+    #for column in period_columns:
+    #    ax.plot(backtest_df[column], label=column)
+
+    #ax.legend()
+
+    #title = u'{} {}'.format(gid, paraNames)
+    #plt.title(title)
+
+    #fig.savefig(u'{}/rate.png'.format(report_folder))
+
+    ## 释放内存
+    gc.collect()
+
+    print( 'finished run_multiparameter_test')
+
+def single_func(para):
+    logger=setup_logger('MyLog', name='my{}'.format(para))
+    if para > 5:
+        print( u'more than 5')
+        logger.info('More than 5')
+        return True
+    else:
+        print ('less')
+        logger.info('Less than 5')
+        return False
+
+def multi_func():
+
+    import logging
+    # 启动多进程
+    pool = multiprocessing.Pool(multiprocessing.cpu_count())
+
+    logger = setup_logger('MyLog')
+
+    logger.info('main process')
+    l = []
+
+    for i in range(0,10):
+        l.append(pool.apply_async(single_func,(i,)))
+
+    results = [res.get() for res in l]
+
+    pool.close()
+    pool.join()

examples/Services/service.py

@@ -305,7 +305,7 @@ def start():
     # 往任务表增加定时计划
     operate_crontab("add")
     # 执行启动
-    _start()
+    #_start()
     print(u'启动{}服务执行完毕'.format(base_path))
 
 def _stop():

examples/VnTrader/CTA_setting.json

@@ -0,0 +1,31 @@
+[
+ {
+        "name": "Strategy_TripleMa_01_RB_Min5",
+        "comment": "螺纹05合约三均线策略",
+        "auto_init": true,
+        "auto_start": true,
+        "className": "Strategy_TripleMa_v01",
+        "inputSS": 1,
+        "minDiff": 1,
+        "mode": "tick",
+        "shortSymbol": "RB",
+        "strategy_module": "Strategy_TripleMa_v01",
+        "symbol": "RB1905",
+        "vtSymbol": "rb1905"
+    },
+       {
+        "name": "Strategy_TripleMa_02_HC_Min5",
+        "comment": "热卷05合约三均线策略",
+        "auto_init": true,
+        "auto_start": true,
+        "className": "Strategy_TripleMa_v02",
+        "inputSS": 1,
+        "minDiff": 1,
+        "mode": "tick",
+        "shortSymbol": "HC",
+        "strategy_module": "Strategy_TripleMa_v02",
+        "symbol": "HC1905",
+        "vtSymbol": "hc1905"
+    }
+
+]

examples/VnTrader/run.py

@@ -23,9 +23,9 @@ from vnpy.trader.uiMainWindow import *
 # 加载底层接口
 from vnpy.trader.gateway import ctpGateway
 # 初始化的接口模块，以及其指定的名称,CTP是模块，value，是该模块下的多个连接配置文件,如 CTP_JR_connect.json    'CTP_Prod', 'CTP_JR', , 'CTP_JK', 'CTP_02'
-init_gateway_names = {'CTP': ['CTP','CTP_001','CTP_002']}
+init_gateway_names = {'CTP': ['CTP','CTP01','CTP02']}
 
-from vnpy.trader.app import (ctaStrategy, riskManager, spreadTrading)  #,dataRecorder
+from vnpy.trader.app import (ctaStrategy, riskManager, spreadTrading,dataRecorder)  #,
 
 # 文件路径名
 path = os.path.abspath(os.path.dirname(__file__))
@@ -60,7 +60,7 @@ def main():
     mainEngine.addApp(ctaStrategy)
     mainEngine.addApp(riskManager)
     mainEngine.addApp(spreadTrading)
-    #mainEngine.addApp(dataRecorder)
+    mainEngine.addApp(dataRecorder)
 
     mainWindow = MainWindow(mainEngine, ee)
     mainWindow.showMaximized()

vnpy/trader/app/ctaStrategy/ctaEngine.py

@@ -1432,6 +1432,7 @@ class CtaEngine(object):
             return
 
         for expired_pos in expired_pos_list:
+            self.writeCtaLog(u'执行仓位处理:{}'.format(expired_pos))
             if expired_pos['volume'] == 0:
                 self.writeCtaError(u'clear_dispatch_pos，pos 为空：{},删除'.format(expired_pos))
                 flt = {'_id': expired_pos['_id']}
@@ -1509,7 +1510,7 @@ class CtaEngine(object):
                 else:
                     if curPos.longYd >= expired_pos['volume']:
                         sell_longYd = expired_pos['volume']
-                    if curPos.longYd == 0:
+                    elif curPos.longYd == 0:
                         sell_longToday = expired_pos['volume']
                     else:
                         sell_longYd = curPos.longYd

vnpy/trader/app/ctaStrategy/ctaPolicy.py

@@ -253,9 +253,13 @@ class TurtlePolicy(CtaPolicy):
     def __init__(self, strategy):
         super(TurtlePolicy, self).__init__(strategy)
 
-        self.tns_open_price = 0  # 首次开仓价格
-        self.last_open_price = 0  # 最后一次加仓价格
-        self.stop_price = 0  # 止损价
+        self.allow_add_pos = False  # 是否加仓
+        self.add_pos_on_pips = EMPTY_INT  # 价格超过开仓价多少点时加仓
+
+        self.tns_open_price = 0         # 首次开仓价格
+        self.last_open_price = 0        # 最后一次加仓价格
+        self.stop_price = 0             # 止损价
+        self.exit_on_last_rtn_pips = 0  # 最高价/最低价回撤多少跳动
         self.high_price_in_long = 0  # 多趋势时，最高价
         self.low_price_in_short = 0  # 空趋势时，最低价
         self.last_under_open_price = 0  # 低于首次开仓价的补仓价格
@@ -279,12 +283,15 @@ class TurtlePolicy(CtaPolicy):
         j['tns_open_date'] = self.tns_open_date
         j['tns_open_price'] = self.tns_open_price if self.tns_open_price is not None else 0
 
+        j['allow_add_pos'] = self.allow_add_pos
+        j['add_pos_on_pips'] = self.add_pos_on_pips
+        j['exit_on_last_rtn_pips'] = self.exit_on_last_rtn_pips
+
         j['last_open_price'] = self.last_open_price if self.last_open_price is not None else 0
         j['stop_price'] = self.stop_price if self.stop_price is not None else 0
         j['high_price_in_long'] = self.high_price_in_long if self.high_price_in_long is not None else 0
         j['low_price_in_short'] = self.low_price_in_short if self.low_price_in_short is not None else 0
-        j[
-            'add_pos_count_under_first_price'] = self.add_pos_count_under_first_price if self.add_pos_count_under_first_price is not None else 0
+        j['add_pos_count_under_first_price'] = self.add_pos_count_under_first_price if self.add_pos_count_under_first_price is not None else 0
         j['last_under_open_price'] = self.last_under_open_price if self.last_under_open_price is not None else 0
 
         j['max_pos'] = self.max_pos if self.max_pos is not None else 0
@@ -412,6 +419,9 @@ class TurtlePolicy(CtaPolicy):
                 self.writeCtaError(u'解释last_risk_level异常:{}'.format(str(ex)))
                 self.last_risk_level = 0
 
+        self.allow_add_pos=json_data.get('allow_add_pos',False)
+        self.add_pos_on_pips = json_data.get('add_pos_on_pips',1)
+        self.exit_on_last_rtn_pips = json_data.get('exit_on_last_rtn_pips',0)
 
     def clean(self):
         """
@@ -432,6 +442,9 @@ class TurtlePolicy(CtaPolicy):
         self.tns_has_opened = False
         self.last_risk_level = 0
         self.tns_count = 0
+        self.allow_add_pos = False
+        self.add_pos_on_pips = 1
+        self.exit_on_last_rtn_pips = 0
 
 class TrendPolicy(CtaPolicy):
     """

vnpy/trader/app/dataRecorder/drBase.py

@@ -14,6 +14,7 @@ SETTING_DB_NAME = 'VnTrader_Setting_Db'
 TICK_DB_NAME = 'VnTrader_Tick_Db'
 DAILY_DB_NAME = 'VnTrader_Daily_Db'
 MINUTE_DB_NAME = 'VnTrader_1Min_Db'
+RENKO_DB_NAME = 'Renko_Db'
 
 
 # CTA引擎中涉及的数据类定义

vnpy/trader/app/dataRecorder/drEngine.py

@@ -14,12 +14,15 @@ from datetime import datetime, timedelta
 from queue import Queue
 from threading import Thread
 
+
 from vnpy.trader.vtEvent import *
+from vnpy.trader.vtObject import VtTickData
 from vnpy.trader.vtGateway import VtSubscribeReq, VtLogData
-from vnpy.trader.vtFunction import todayDate,getJsonPath
-
+from vnpy.trader.vtFunction import todayDate,getJsonPath,getShortSymbol
+from vnpy.trader.app.ctaStrategy.ctaRenkoBar import CtaRenkoBar
 from .drBase import *
-
+from vnpy.trader.setup_logger import setup_logger
+from vnpy.trader.data_source import DataSource
 ########################################################################
 class DrEngine(object):
     """数据记录引擎"""
@@ -44,15 +47,39 @@ class DrEngine(object):
         
         # K线对象字典
         self.barDict = {}
-        
+
+        # Renko K线对象字典
+        self.renkoDict = {}
+
         # 负责执行数据库插入的单独线程相关
         self.active = False                     # 工作状态
         self.queue = Queue()                    # 队列
         self.thread = Thread(target=self.run)   # 线程
 
+        self.logger = None
+        self.createLogger()
         # 载入设置，订阅行情
         self.loadSetting()
-        
+
+    def createLogger(self):
+        """
+        创建日志记录
+        :return:
+        """
+        currentFolder = os.path.abspath(os.path.join(os.getcwd(), 'logs'))
+        if os.path.isdir(currentFolder):
+            # 如果工作目录下，存在data子目录，就使用data子目录
+            path = currentFolder
+        else:
+            # 否则，使用缺省保存目录 vnpy/trader/app/ctaStrategy/data
+            path = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..', 'logs'))
+
+        if self.logger is None:
+            filename = os.path.abspath(os.path.join(path, 'drEngine'))
+
+            print(u'create logger:{}'.format(filename))
+            self.logger = setup_logger(filename=filename, name='drEngine', debug=True)
+
     #----------------------------------------------------------------------
     def loadSetting(self):
         """载入设置"""
@@ -111,7 +138,43 @@ class DrEngine(object):
                     
                     bar = DrBarData() 
                     self.barDict[vtSymbol] = bar
-                    
+
+            if 'renko' in drSetting:
+                l = drSetting.get('renko')
+                req_set = set()
+                for setting in l:
+                    # 获取合约，合约短号，renko的高度（多少个跳）
+                    vtSymbol = setting.get('vtSymbol',None)
+                    if vtSymbol is None:
+                        continue
+                    short_symbol = getShortSymbol(vtSymbol).upper()
+                    height = setting.get('height',5)
+                    minDiff = setting.get('minDiff',1)
+
+
+
+                    # 获取vtSymbol的多个renkobar列表，添加新的CtaRenkoBar
+                    renko_list = self.renkoDict.get(vtSymbol,[])
+
+                    bar_setting = {'name':'{}_{}'.format(vtSymbol,height),
+                                   'shortSymbol':short_symbol,
+                                   'vtSymbol':vtSymbol,
+                                   'minDiff':minDiff,
+                                   'height':minDiff*height}
+                    renko_bar = CtaRenkoBar(strategy=None,onBarFunc=self.onRenkoBar,setting=bar_setting)
+                    renko_list.append(renko_bar)
+                    self.renkoDict.update({vtSymbol:renko_list})
+
+                    req = VtSubscribeReq()
+                    req.symbol = vtSymbol
+                    req_set.add((req,setting.get('gateway',None)))
+                # 更新合约的历史数据
+                self.add_gap_ticks()
+
+                # 订阅行情
+                for req,gw in req_set:
+                    self.mainEngine.subscribe(req,gw)
+
             if 'active' in drSetting:
                 d = drSetting['active']
                 
@@ -125,7 +188,7 @@ class DrEngine(object):
             # 注册事件监听
             self.registerEvent()
 
-    #----------------------------------------------------------------------
+    # ----------------------------------------------------------------------
     def procecssTickEvent(self, event):
         """处理行情推送"""
         tick = event.dict_['data']
@@ -137,7 +200,7 @@ class DrEngine(object):
         for key in d.keys():
             if key != 'datetime':
                 d[key] = tick.__getattribute__(key)
-        drTick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')            
+        drTick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y-%m-%d %H:%M:%S.%f')
         
         # 更新Tick数据
         if vtSymbol in self.tickDict:
@@ -190,6 +253,111 @@ class DrEngine(object):
                 bar.close = drTick.lastPrice            
 
     #----------------------------------------------------------------------
+
+        # 更新Renko数据
+        for renko_bar in self.renkoDict.get(vtSymbol,[]):
+           renko_bar.onTick(copy.copy(tick))
+
+    def add_gap_ticks(self):
+        """
+        补充缺失的分时数据
+        :return:
+        """
+        ds = DataSource()
+        for vtSymbol in self.renkoDict.keys():
+            renkobar_list = self.renkoDict.get(vtSymbol,[])
+            cache_bars = None
+            cache_start_date = None
+            cache_end_date = None
+            for renko_bar in renkobar_list:
+                # 通过mongo获取最新一个Renko bar的数据日期close时间
+                last_renko_dt = self.get_last_datetime(renko_bar.name)
+
+                # 根据日期+vtSymbol，像datasource获取分钟数据，以close价格，转化为tick，推送到renko_bar中
+                if last_renko_dt is not None:
+                    start_date =last_renko_dt.strftime('%Y-%m-%d')
+                else:
+                    start_date = (datetime.now() - timedelta(days=90)).strftime('%Y-%m-%d')
+
+                end_date = (datetime.now() + timedelta(days=5)).strftime('%Y-%m-%d')
+                self.writeDrLog(u'从datasource获取{}数据,开始日期:{}'.format(vtSymbol,start_date))
+                if cache_bars is None or cache_start_date!=start_date or cache_end_date!=end_date:
+                    fields = ['open', 'close', 'high', 'low', 'volume', 'open_interest', 'limit_up', 'limit_down',
+                              'trading_date']
+                    cache_bars = ds.get_price(order_book_id=vtSymbol,start_date=start_date,end_date=end_date,
+                                              frequency='1m', fields=fields)
+                    cache_start_date = start_date
+                    cache_end_date = end_date
+                    if cache_bars is not None:
+                        total = len(cache_bars)
+                        self.writeDrLog(u'一共获取{}条{} 1分钟数据'.format(total,vtSymbol))
+
+                if cache_bars is not None:
+                    self.writeDrLog(u'推送分时数据tick:{}到:{}'.format(vtSymbol,renko_bar.name))
+                    for idx in cache_bars.index:
+                        row = cache_bars.loc[idx]
+                        tick = VtTickData()
+                        tick.vtSymbol = vtSymbol
+                        tick.symbol = vtSymbol
+                        last_bar_dt = datetime.strptime(str(idx), '%Y-%m-%d %H:%M:00')
+                        tick.datetime = last_bar_dt - timedelta(minutes=1)
+                        tick.date = tick.datetime.strftime('%Y-%m-%d')
+                        tick.time = tick.datetime.strftime('%H:%M:00')
+
+                        if tick.datetime.hour >= 21:
+                            if tick.datetime.isoweekday() == 5:
+                                # 星期五=》星期一
+                                tick.tradingDay = (tick.datetime + timedelta(days=3)).strftime('%Y-%m-%d')
+                            else:
+                                # 第二天
+                                tick.tradingDay = (tick.datetime + timedelta(days=1)).strftime('%Y-%m-%d')
+                        elif tick.datetime.hour < 8 and tick.datetime.isoweekday() == 6:
+                            # 星期六=>星期一
+                            tick.tradingDay = (tick.datetime + timedelta(days=2)).strftime('%Y-%m-%d')
+                        else:
+                            tick.tradingDay = tick.date
+                        tick.upperLimit = float(row['limit_up'])
+                        tick.lowerLimit = float(row['limit_down'])
+                        tick.lastPrice = float(row['close'])
+                        tick.askPrice1 = float(row['close'])
+                        tick.bidPrice1 = float(row['close'])
+                        tick.volume = int(row['volume'])
+                        tick.askVolume1 = tick.volume
+                        tick.bidVolume1 = tick.volume
+
+                        if last_renko_dt is not None and tick.datetime <= last_renko_dt:
+                            continue
+                        renko_bar.onTick(tick)
+
+    def get_last_datetime(self,renko_name):
+        """
+         通过mongo获取最新一个bar的数据日期
+        :param renko_name:
+        :return:
+        """
+        qryData = self.mainEngine.dbQueryBySort(dbName=RENKO_DB_NAME,
+                                                collectionName=renko_name,
+                                                d={},
+                                                sortName='datetime',
+                                                sortType=-1,
+                                                limitNum=1)
+
+        last_renko_open_dt =None
+        last_renko_close_dt=None
+        for d in qryData:
+            last_renko_open_dt = d.get('datetime',None)
+            if last_renko_open_dt is not None:
+                last_renko_close_dt = last_renko_open_dt + timedelta(seconds=d.get('seconds',0))
+
+            break
+        return last_renko_close_dt
+
+    def onRenkoBar(self,bar,bar_name):
+        newBar = copy.copy(bar)
+        self.insertData(RENKO_DB_NAME, bar_name, newBar)
+        self.writeDrLog(u'new Renko Bar:{},dt:{},open:{},close:{},high:{},low:{}'
+                        .format(bar_name,bar.datetime,bar.open,bar.close, bar.high, bar.low))
+
     def registerEvent(self):
         """注册事件监听"""
         self.eventEngine.register(EVENT_TICK, self.procecssTickEvent)
@@ -206,7 +374,7 @@ class DrEngine(object):
             try:
                 dbName, collectionName, d = self.queue.get(block=True, timeout=1)
                 self.mainEngine.dbInsert(dbName, collectionName, d)
-            except Empty:
+            except Exception as ex:
                 pass
     #----------------------------------------------------------------------
     def start(self):
@@ -228,5 +396,7 @@ class DrEngine(object):
         log.logContent = content
         event = Event(type_=EVENT_DATARECORDER_LOG)
         event.dict_['data'] = log
-        self.eventEngine.put(event)   
-    
+        self.eventEngine.put(event)
+
+        if self.logger:
+            self.logger.info(content)

vnpy/trader/app/dataRecorder/uiDrWidget.py

@@ -29,7 +29,7 @@ class TableCell(QtWidgets.QTableWidgetItem):
         if text == '0' or text == '0.0':
             self.setText('')
         else:
-            self.setText(text)
+            self.setText(str(text))
 
 
 ########################################################################
@@ -60,7 +60,7 @@ class DrEngineManager(QtWidgets.QWidget):
         self.tickTable.setColumnCount(2)
         self.tickTable.verticalHeader().setVisible(False)
         self.tickTable.setEditTriggers(QtWidgets.QTableWidget.NoEditTriggers)
-        self.tickTable.horizontalHeader().setResizeMode(QtWidgets.QHeaderView.Stretch)
+        #self.tickTable.horizontalHeader().setResizeMode(QtWidgets.QHeaderView.Stretch)
         self.tickTable.setAlternatingRowColors(True)
         self.tickTable.setHorizontalHeaderLabels([u'合约代码', u'接口'])
         
@@ -69,16 +69,25 @@ class DrEngineManager(QtWidgets.QWidget):
         self.barTable.setColumnCount(2)
         self.barTable.verticalHeader().setVisible(False)
         self.barTable.setEditTriggers(QtWidgets.QTableWidget.NoEditTriggers)
-        self.barTable.horizontalHeader().setResizeMode(QtWidgets.QHeaderView.Stretch)
+        #self.barTable.horizontalHeader().setResizeMode(QtWidgets.QHeaderView.Stretch)
         self.barTable.setAlternatingRowColors(True)        
         self.barTable.setHorizontalHeaderLabels([u'合约代码', u'接口'])
 
+        renkoLabel = QtWidgets.QLabel(u'RenkoBar')
+        self.renkoTable = QtWidgets.QTableWidget()
+        self.renkoTable.setColumnCount(2)
+        self.renkoTable.verticalHeader().setVisible(False)
+        self.renkoTable.setEditTriggers(QtWidgets.QTableWidget.NoEditTriggers)
+        # self.renkoTable.horizontalHeader().setResizeMode(QtWidgets.QHeaderView.Stretch)
+        self.renkoTable.setAlternatingRowColors(True)
+        self.renkoTable.setHorizontalHeaderLabels([u'合约代码', u'高度'])
+
         activeLabel = QtWidgets.QLabel(u'主力合约')
         self.activeTable = QtWidgets.QTableWidget()
         self.activeTable.setColumnCount(2)
         self.activeTable.verticalHeader().setVisible(False)
         self.activeTable.setEditTriggers(QtWidgets.QTableWidget.NoEditTriggers)
-        self.activeTable.horizontalHeader().setResizeMode(QtWidgets.QHeaderView.Stretch)
+        #self.activeTable.horizontalHeader().setResizeMode(QtWidgets.QHeaderView.Stretch)
         self.activeTable.setAlternatingRowColors(True)        
         self.activeTable.setHorizontalHeaderLabels([u'主力代码', u'合约代码'])
 
@@ -92,10 +101,13 @@ class DrEngineManager(QtWidgets.QWidget):
         
         grid.addWidget(tickLabel, 0, 0)
         grid.addWidget(barLabel, 0, 1)
-        grid.addWidget(activeLabel, 0, 2)
+        grid.addWidget(renkoLabel, 0, 2)
+        grid.addWidget(activeLabel, 0, 3)
+
         grid.addWidget(self.tickTable, 1, 0)
         grid.addWidget(self.barTable, 1, 1)
-        grid.addWidget(self.activeTable, 1, 2)        
+        grid.addWidget(self.renkoTable, 1, 2)
+        grid.addWidget(self.activeTable, 1, 3)
         
         vbox = QtWidgets.QVBoxLayout()
         vbox.addLayout(grid)
@@ -118,7 +130,7 @@ class DrEngineManager(QtWidgets.QWidget):
     #----------------------------------------------------------------------
     def updateSetting(self):
         """显示引擎行情记录配置"""
-        with open(self.drEngine.settingFileName) as f:
+        with open(self.drEngine.settingFilePath) as f:
             drSetting = json.load(f)
     
             if 'tick' in drSetting:
@@ -135,8 +147,15 @@ class DrEngineManager(QtWidgets.QWidget):
                 for setting in l:
                     self.barTable.insertRow(0)
                     self.barTable.setItem(0, 0, TableCell(setting[0]))
-                    self.barTable.setItem(0, 1, TableCell(setting[1])) 
-    
+                    self.barTable.setItem(0, 1, TableCell(setting[1]))
+
+            if 'renko' in drSetting:
+                l = drSetting['renko']
+
+                for setting in l:
+                    self.renkoTable.insertRow(0)
+                    self.renkoTable.setItem(0, 0, TableCell(setting.get('vtSymbol','')))
+                    self.renkoTable.setItem(0, 1, TableCell(setting.get('height',0)))
             if 'active' in drSetting:
                 d = drSetting['active']
     

vnpy/trader/setup_logger.py

@@ -244,7 +244,8 @@ class MultiprocessHandler(logging.FileHandler):
         if not self.suffix:
             raise ValueError(u"指定的日期间隔单位无效: %s" % self.when)
         #拼接文件路径 格式化字符串
-        self.filefmt = "%s_%s.log" % (self.prefix,self.suffix)
+        #self.filefmt = "%s_%s.log" % (self.prefix,self.suffix)
+        self.filefmt = u'{}_{}.log'.format(self.prefix, self.suffix)
         #使用当前时间，格式化文件格式化字符串
         self.filePath = datetime.now().strftime(self.filefmt)
         #获得文件夹路径

vnpy/trader/vtEvent.py

@@ -38,6 +38,10 @@ EVENT_NOTIFICATION = 'eNotification'    # 全局通知
 EVENT_SIGNAL = 'eSignal'                # 信号通知
 EVENT_STATUS = 'eStatus'                # 服务状态
 
+# 股票使用
+EVENT_BAR = 'eBar'                      # 1分钟Bar 行情
+EVENT_BARDICT = 'eBarDict_'             # BarDict事件+策略实例名称
+
 # CTA模块相关
 EVENT_CTA_LOG = 'eCtaLog'               # CTA相关的日志事件
 EVENT_CTA_STRATEGY = 'eCtaStrategy.'    # CTA策略状态变化事件

vnpy/trader/vtGateway.py

@@ -1,6 +1,6 @@
 # encoding: UTF-8
 
-import time,os,sys
+import time,os,sys,copy
 from datetime import datetime
 
 from vnpy.trader.vtEvent import *
@@ -23,6 +23,9 @@ class VtGateway(object):
         self.accountID = 'AccountID'
         self.createLogger()
 
+        # 所有订阅onBar的都会添加
+        self.klines = {}
+
     # ----------------------------------------------------------------------
     def onTick(self, tick):
         """市场行情推送"""
@@ -35,7 +38,14 @@ class VtGateway(object):
         event2 = Event(type_=EVENT_TICK+tick.vtSymbol)
         event2.dict_['data'] = tick
         self.eventEngine.put(event2)
-    
+
+    def onBar(self,bar,type=EVENT_BAR):
+        """市场行情推送"""
+        # bar, 或者 barDict
+        event = Event(type_=type)
+        event.dict_['data'] = bar
+        self.eventEngine.put(event)
+
     # ----------------------------------------------------------------------
     def onTrade(self, trade):
         """成交信息推送"""

vnpy/trader/vtUtility.py

@@ -0,0 +1,283 @@
+# encoding: UTF-8
+
+
+import numpy as np
+import talib
+
+from vnpy.trader.vtObject import VtBarData
+
+
+########################################################################
+class BarGenerator(object):
+    """
+    K线合成器，支持：
+    1. 基于Tick合成1分钟K线
+    2. 基于1分钟K线合成X分钟K线（X可以是2、3、5、10、15、30	）
+    """
+
+    #----------------------------------------------------------------------
+    def __init__(self, onBar, xmin=0, onXminBar=None):
+        """Constructor"""
+        self.bar = None             # 1分钟K线对象
+        self.onBar = onBar          # 1分钟K线回调函数
+        
+        self.xminBar = None         # X分钟K线对象
+        self.xmin = xmin            # X的值
+        self.onXminBar = onXminBar  # X分钟K线的回调函数
+        
+        self.lastTick = None        # 上一TICK缓存对象
+        
+    #----------------------------------------------------------------------
+    def updateTick(self, tick):
+        """TICK更新"""
+        newMinute = False   # 默认不是新的一分钟
+        
+        # 尚未创建对象
+        if not self.bar:
+            self.bar = VtBarData()
+            newMinute = True
+        # 新的一分钟
+        elif self.bar.datetime.minute != tick.datetime.minute:
+            # 生成上一分钟K线的时间戳
+            self.bar.datetime = self.bar.datetime.replace(second=0, microsecond=0)  # 将秒和微秒设为0
+            self.bar.date = self.bar.datetime.strftime('%Y%m%d')
+            self.bar.time = self.bar.datetime.strftime('%H:%M:%S.%f')
+            
+            # 推送已经结束的上一分钟K线
+            self.onBar(self.bar)
+            
+            # 创建新的K线对象
+            self.bar = VtBarData()
+            newMinute = True
+            
+        # 初始化新一分钟的K线数据
+        if newMinute:
+            self.bar.vtSymbol = tick.vtSymbol
+            self.bar.symbol = tick.symbol
+            self.bar.exchange = tick.exchange
+
+            self.bar.open = tick.lastPrice
+            self.bar.high = tick.lastPrice
+            self.bar.low = tick.lastPrice
+        # 累加更新老一分钟的K线数据
+        else:                                   
+            self.bar.high = max(self.bar.high, tick.lastPrice)
+            self.bar.low = min(self.bar.low, tick.lastPrice)
+
+        # 通用更新部分
+        self.bar.close = tick.lastPrice        
+        self.bar.datetime = tick.datetime  
+        self.bar.openInterest = tick.openInterest
+   
+        if self.lastTick:
+            volumeChange = tick.volume - self.lastTick.volume   # 当前K线内的成交量
+            self.bar.volume += max(volumeChange, 0)             # 避免夜盘开盘lastTick.volume为昨日收盘数据，导致成交量变化为负的情况
+            
+        # 缓存Tick
+        self.lastTick = tick
+
+    #----------------------------------------------------------------------
+    def updateBar(self, bar):
+        """1分钟K线更新"""
+        # 尚未创建对象
+        if not self.xminBar:
+            self.xminBar = VtBarData()
+            
+            self.xminBar.vtSymbol = bar.vtSymbol
+            self.xminBar.symbol = bar.symbol
+            self.xminBar.exchange = bar.exchange
+        
+            self.xminBar.open = bar.open
+            self.xminBar.high = bar.high
+            self.xminBar.low = bar.low            
+            
+            self.xminBar.datetime = bar.datetime    # 以第一根分钟K线的开始时间戳作为X分钟线的时间戳
+        # 累加老K线
+        else:
+            self.xminBar.high = max(self.xminBar.high, bar.high)
+            self.xminBar.low = min(self.xminBar.low, bar.low)
+    
+        # 通用部分
+        self.xminBar.close = bar.close        
+        self.xminBar.openInterest = bar.openInterest
+        self.xminBar.volume += int(bar.volume)                
+            
+        # X分钟已经走完
+        if not (bar.datetime.minute + 1) % self.xmin:   # 可以用X整除
+            # 生成上一X分钟K线的时间戳
+            self.xminBar.datetime = self.xminBar.datetime.replace(second=0, microsecond=0)  # 将秒和微秒设为0
+            self.xminBar.date = self.xminBar.datetime.strftime('%Y%m%d')
+            self.xminBar.time = self.xminBar.datetime.strftime('%H:%M:%S.%f')
+            
+            # 推送
+            self.onXminBar(self.xminBar)
+            
+            # 清空老K线缓存对象
+            self.xminBar = None
+
+    #----------------------------------------------------------------------
+    def generate(self):
+        """手动强制立即完成K线合成"""
+        self.onBar(self.bar)
+        self.bar = None
+
+
+
+########################################################################
+class ArrayManager(object):
+    """
+    K线序列管理工具，负责：
+    1. K线时间序列的维护
+    2. 常用技术指标的计算
+    """
+
+    #----------------------------------------------------------------------
+    def __init__(self, size=100):
+        """Constructor"""
+        self.count = 0                      # 缓存计数
+        self.size = size                    # 缓存大小
+        self.inited = False                 # True if count>=size
+        
+        self.openArray = np.zeros(size)     # OHLC
+        self.highArray = np.zeros(size)
+        self.lowArray = np.zeros(size)
+        self.closeArray = np.zeros(size)
+        self.volumeArray = np.zeros(size)
+        
+    #----------------------------------------------------------------------
+    def updateBar(self, bar):
+        """更新K线"""
+        self.count += 1
+        if not self.inited and self.count >= self.size:
+            self.inited = True
+        
+        self.openArray[:-1] = self.openArray[1:]
+        self.highArray[:-1] = self.highArray[1:]
+        self.lowArray[:-1] = self.lowArray[1:]
+        self.closeArray[:-1] = self.closeArray[1:]
+        self.volumeArray[:-1] = self.volumeArray[1:]
+    
+        self.openArray[-1] = bar.open
+        self.highArray[-1] = bar.high
+        self.lowArray[-1] = bar.low        
+        self.closeArray[-1] = bar.close
+        self.volumeArray[-1] = bar.volume
+        
+    #----------------------------------------------------------------------
+    @property
+    def open(self):
+        """获取开盘价序列"""
+        return self.openArray
+        
+    #----------------------------------------------------------------------
+    @property
+    def high(self):
+        """获取最高价序列"""
+        return self.highArray
+    
+    #----------------------------------------------------------------------
+    @property
+    def low(self):
+        """获取最低价序列"""
+        return self.lowArray
+    
+    #----------------------------------------------------------------------
+    @property
+    def close(self):
+        """获取收盘价序列"""
+        return self.closeArray
+    
+    #----------------------------------------------------------------------
+    @property    
+    def volume(self):
+        """获取成交量序列"""
+        return self.volumeArray
+    
+    #----------------------------------------------------------------------
+    def sma(self, n, array=False):
+        """简单均线"""
+        result = talib.SMA(self.close, n)
+        if array:
+            return result
+        return result[-1]
+        
+    #----------------------------------------------------------------------
+    def std(self, n, array=False):
+        """标准差"""
+        result = talib.STDDEV(self.close, n)
+        if array:
+            return result
+        return result[-1]
+    
+    #----------------------------------------------------------------------
+    def cci(self, n, array=False):
+        """CCI指标"""
+        result = talib.CCI(self.high, self.low, self.close, n)
+        if array:
+            return result
+        return result[-1]
+        
+    #----------------------------------------------------------------------
+    def atr(self, n, array=False):
+        """ATR指标"""
+        result = talib.ATR(self.high, self.low, self.close, n)
+        if array:
+            return result
+        return result[-1]
+        
+    #----------------------------------------------------------------------
+    def rsi(self, n, array=False):
+        """RSI指标"""
+        result = talib.RSI(self.close, n)
+        if array:
+            return result
+        return result[-1]
+    
+    #----------------------------------------------------------------------
+    def macd(self, fastPeriod, slowPeriod, signalPeriod, array=False):
+        """MACD指标"""
+        macd, signal, hist = talib.MACD(self.close, fastPeriod,
+                                        slowPeriod, signalPeriod)
+        if array:
+            return macd, signal, hist
+        return macd[-1], signal[-1], hist[-1]
+    
+    #----------------------------------------------------------------------
+    def adx(self, n, array=False):
+        """ADX指标"""
+        result = talib.ADX(self.high, self.low, self.close, n)
+        if array:
+            return result
+        return result[-1]
+    
+    #----------------------------------------------------------------------
+    def boll(self, n, dev, array=False):
+        """布林通道"""
+        mid = self.sma(n, array)
+        std = self.std(n, array)
+        
+        up = mid + std * dev
+        down = mid - std * dev
+        
+        return up, down    
+    
+    #----------------------------------------------------------------------
+    def keltner(self, n, dev, array=False):
+        """肯特纳通道"""
+        mid = self.sma(n, array)
+        atr = self.atr(n, array)
+        
+        up = mid + atr * dev
+        down = mid - atr * dev
+        
+        return up, down
+    
+    #----------------------------------------------------------------------
+    def donchian(self, n, array=False):
+        """唐奇安通道"""
+        up = talib.MAX(self.high, n)
+        down = talib.MIN(self.low, n)
+        
+        if array:
+            return up, down
+        return up[-1], down[-1]