[新模块] 选股引擎
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msincenselee
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15
vnpy/app/stock_screener/__init__.py
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15
vnpy/app/stock_screener/__init__.py
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# encoding: UTF-8
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import os
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from pathlib import Path
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from vnpy.trader.app import BaseApp
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from .engine import StockScreenerEngine, APP_NAME
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class ScreenerApp(BaseApp):
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""""""
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app_name = APP_NAME
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app_module = __module__
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app_path = Path(__file__).parent
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display_name = u'选股引擎'
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engine_class = StockScreenerEngine
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698
vnpy/app/stock_screener/engine.py
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vnpy/app/stock_screener/engine.py
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# encoding: UTF-8
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# 选股引擎
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import os
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import sys
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import logging
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import importlib
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import traceback
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import pandas as pd
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import numpy as np
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from collections import OrderedDict
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from typing import List, Any, Callable
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from datetime import datetime, timedelta
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from functools import lru_cache
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from concurrent.futures import ThreadPoolExecutor
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# 华富资产
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from vnpy.event import EventEngine, Event
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from vnpy.trader.constant import Exchange, Interval # noqa
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from vnpy.trader.engine import BaseEngine, MainEngine
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from vnpy.trader.event import EVENT_TIMER # noqa
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from vnpy.trader.util_wechat import send_wx_msg
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from vnpy.trader.util_logger import setup_logger
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from vnpy.trader.constant import Exchange, StockType
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from vnpy.trader.object import LogData, BarData
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from vnpy.data.tdx.tdx_common import get_tdx_market_code
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from vnpy.data.common import stock_to_adj
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from vnpy.trader.utility import load_json, save_json, get_csv_last_dt, extract_vt_symbol, get_folder_path, TRADER_DIR, \
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append_data
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from vnpy.data.stock.stock_base import get_stock_base
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from vnpy.data.stock.adjust_factor import get_all_adjust_factor
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from vnpy.app.stock_screener.template import ScreenerTemplate
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APP_NAME = 'StockScreenerEngine'
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# 选股器日志
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EVENT_SCR = 'eScrLog'
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class StockScreenerEngine(BaseEngine):
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"""
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选股引擎
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"""
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# 策略配置文件
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setting_filename = "screener_setting.json"
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def __init__(self, main_engine: MainEngine, event_engine: EventEngine):
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""""""
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super().__init__(main_engine, event_engine, APP_NAME)
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self.main_engine = main_engine
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self.event_engine = event_engine
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self.strategies = {} # 所有运行选股策略实例
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self.classes = {} # 选股策略得类
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self.class_module_map = {} # 策略模块与策略映射
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# 是否激活 write_log写入event bus(比较耗资源）
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self.event_log = False
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self.strategy_loggers = {} # strategy_name: logger
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self.thread_executor = ThreadPoolExecutor(max_workers=1)
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self.thread_tasks = []
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self.create_logger(logger_name=APP_NAME)
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# 获取全量股票信息
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self.write_log(f'获取全量股票信息')
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self.symbol_dict = get_stock_base()
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self.write_log(f'共{len(self.symbol_dict)}个股票')
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# 除权因子
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self.write_log(f'获取所有除权因子')
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self.adjust_factor_dict = get_all_adjust_factor()
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self.write_log(f'共{len(self.adjust_factor_dict)}条除权信息')
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# 寻找数据文件所在目录
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vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..', '..'))
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self.write_log(f'项目所在目录:{vnpy_root}')
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self.bar_data_folder = os.path.abspath(os.path.join(vnpy_root, 'bar_data'))
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if os.path.exists(self.bar_data_folder):
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SSE_folder = os.path.abspath(os.path.join(vnpy_root, 'bar_data', 'SSE'))
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if os.path.exists(SSE_folder):
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self.write_log(f'上交所bar数据目录:{SSE_folder}')
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else:
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self.write_error(f'不存在上交所数据目录:{SSE_folder}')
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SZSE_folder = os.path.abspath(os.path.join(vnpy_root, 'bar_data', 'SZSE'))
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if os.path.exists(SZSE_folder):
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self.write_log(f'深交所bar数据目录:{SZSE_folder}')
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else:
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self.write_error(f'不存在深交所数据目录:{SZSE_folder}')
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else:
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self.write_error(f'不存在bar数据目录:{self.bar_data_folder}')
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self.bar_data_folder = None
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def get_all_vt_symbols(self, exchange: Exchange = None, stock_types: List[StockType] = [StockType.STOCK]):
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"""
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获取所有股票列表
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:param exchange: 交易所过滤器
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:param stock_types: 合约类型：stock_cn, index_cn,etf_cn,bond_cn,cb_cn
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:return:
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"""
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vt_symbols = []
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if len(stock_types) > 0:
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stock_type_values = [s.value for s in stock_types]
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else:
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stock_type_values = []
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for symbol_marketid, info in self.symbol_dict.items():
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if exchange:
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if info.get('exchange', None) != exchange.value:
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continue
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if len(stock_type_values) > 0:
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if info.get('type', None) not in stock_type_values:
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continue
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vt_symbols.append('{}.{}'.format(info.get('code'), info.get('exchange')))
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return vt_symbols
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def write_log(self, msg: str, strategy_name: str = '', level: int = logging.INFO):
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"""
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Create cta engine log event.
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"""
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if self.event_log:
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# 推送至全局CTA_LOG Event
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log = LogData(msg=f"{strategy_name}: {msg}" if strategy_name else msg,
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gateway_name="Screener",
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level=level)
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event = Event(type=EVENT_SCR, data=log)
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self.event_engine.put(event)
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# 保存单独的策略日志
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if strategy_name:
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strategy_logger = self.strategy_loggers.get(strategy_name, None)
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if not strategy_logger:
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log_path = get_folder_path('log')
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log_filename = str(log_path.joinpath(str(strategy_name)))
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print(u'create logger:{}'.format(log_filename))
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self.strategy_loggers[strategy_name] = setup_logger(file_name=log_filename,
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name=str(strategy_name))
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strategy_logger = self.strategy_loggers.get(strategy_name)
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if strategy_logger:
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strategy_logger.log(level, msg)
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else:
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if self.logger:
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self.logger.log(level, msg)
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# 如果日志数据异常，错误和告警，输出至sys.stderr
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if level in [logging.CRITICAL, logging.ERROR, logging.WARNING]:
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print(f"{strategy_name}: {msg}" if strategy_name else msg, file=sys.stderr)
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def write_error(self, msg: str, strategy_name: str = '', level: int = logging.ERROR):
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"""写入错误日志"""
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self.write_log(msg=msg, strategy_name=strategy_name, level=level)
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@lru_cache()
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def get_data_path(self):
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data_path = os.path.abspath(os.path.join(TRADER_DIR, 'data'))
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return data_path
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@lru_cache()
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def get_logs_path(self):
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log_path = os.path.abspath(os.path.join(TRADER_DIR, 'log'))
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return log_path
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@lru_cache()
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def get_price_tick(self, vt_symbol: str):
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"""查询价格最小跳动"""
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contract = self.main_engine.get_contract(vt_symbol)
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if contract is None:
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self.write_error(f'查询不到{vt_symbol}合约信息，缺省使用0.01作为价格跳动')
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return 0.01
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return contract.pricetick
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@lru_cache()
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def get_name(self, vt_symbol: str):
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"""查询合约的name"""
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contract = self.main_engine.get_contract(vt_symbol)
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if contract is None:
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symbol_info = self.symbol_dict.get(vt_symbol, None)
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if symbol_info:
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name = symbol_info.get('name', None)
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if name:
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return name
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self.write_error(f'查询不到{vt_symbol}合约信息')
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return vt_symbol
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return contract.name
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def get_bars(
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self,
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vt_symbol: str,
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days: int,
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interval: Interval,
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interval_num: int = 1
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):
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"""获取历史记录"""
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symbol, exchange = extract_vt_symbol(vt_symbol)
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end = datetime.now()
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start = end - timedelta(days)
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bars = []
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# 检查股票代码
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if vt_symbol not in self.symbol_dict:
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self.write_error(f'{vt_symbol}不在基础配置股票信息中')
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return bars
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# 检查数据文件目录
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if not self.bar_data_folder:
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self.write_error(f'没有bar数据目录')
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return bars
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# 按照交易所的存放目录
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bar_file_folder = os.path.abspath(os.path.join(self.bar_data_folder, f'{exchange.value}'))
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resample_min = False
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resample_hour = False
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resample_day = False
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file_interval_num = 1
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# 只有1,5,15,30分钟，日线数据
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if interval == Interval.MINUTE:
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# 如果存在相应的分钟文件，直接读取
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bar_file_path = os.path.abspath(os.path.join(bar_file_folder, f'{symbol}_{interval_num}m.csv'))
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if interval_num in [1, 5, 15, 30] and os.path.exists(bar_file_path):
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file_interval_num = interval
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# 需要resample
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else:
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resample_min = True
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if interval_num > 5:
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file_interval_num = 5
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elif interval == Interval.HOUR:
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file_interval_num = 5
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resample_hour = True
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bar_file_path = os.path.abspath(os.path.join(bar_file_folder, f'{symbol}_{file_interval_num}m.csv'))
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elif interval == Interval.DAILY:
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bar_file_path = os.path.abspath(os.path.join(bar_file_folder, f'{symbol}_{interval_num}d.csv'))
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if not os.path.exists(bar_file_path):
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file_interval_num = 5
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resample_day = True
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bar_file_path = os.path.abspath(os.path.join(bar_file_folder, f'{symbol}_{file_interval_num}m.csv'))
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else:
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self.write_error(f'目前仅支持分钟,小时，日线数据')
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return bars
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bar_interval_seconds = interval_num * 60
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if not os.path.exists(bar_file_path):
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self.write_error(f'没有bar数据文件：{bar_file_path}')
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return bars
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try:
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data_types = {
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"datetime": str,
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"open": float,
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"high": float,
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"low": float,
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"close": float,
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"volume": float,
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"amount": float,
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"symbol": str,
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"trading_day": str,
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"date": str,
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"time": str
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}
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symbol_df = None
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qfq_bar_file_path = bar_file_path.replace('.csv', '_qfq.csv')
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use_qfq_file = False
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last_qfq_dt = get_csv_last_dt(qfq_bar_file_path)
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if last_qfq_dt is not None:
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last_dt = get_csv_last_dt(bar_file_path)
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if last_qfq_dt == last_dt:
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use_qfq_file = True
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if use_qfq_file:
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self.write_log(f'使用前复权文件:{qfq_bar_file_path}')
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symbol_df = pd.read_csv(qfq_bar_file_path, dtype=data_types)
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else:
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# 加载csv文件 =》 dateframe
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self.write_log(f'使用未复权文件:{bar_file_path}')
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symbol_df = pd.read_csv(bar_file_path, dtype=data_types)
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# 转换时间，str =》 datetime
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symbol_df["datetime"] = pd.to_datetime(symbol_df["datetime"], format="%Y-%m-%d %H:%M:%S")
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# 设置时间为索引
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symbol_df = symbol_df.set_index("datetime")
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# 裁剪数据
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symbol_df = symbol_df.loc[start:end]
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if resample_day:
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self.write_log(f'{vt_symbol} resample:{file_interval_num}m => {interval}day')
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symbol_df = self.resample_bars(df=symbol_df, to_day=True)
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elif resample_hour:
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self.write_log(f'{vt_symbol} resample:{file_interval_num}m => {interval}hour')
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symbol_df = self.resample_bars(df=symbol_df, x_hour=interval_num)
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elif resample_min:
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self.write_log(f'{vt_symbol} resample:{file_interval_num}m => {interval}m')
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symbol_df = self.resample_bars(df=symbol_df, x_min=interval_num)
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if len(symbol_df) == 0:
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return bars
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if not use_qfq_file:
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# 复权转换
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adj_list = self.adjust_factor_dict.get(vt_symbol, [])
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# 按照结束日期，裁剪复权记录
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adj_list = [row for row in adj_list if
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row['dividOperateDate'].replace('-', '') <= end.strftime('%Y%m%d')]
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if len(adj_list) > 0:
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self.write_log(f'需要对{vt_symbol}进行前复权处理')
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for row in adj_list:
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row.update({'dividOperateDate': row.get('dividOperateDate')[:10] + ' 09:30:00'})
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# list -> dataframe, 转换复权日期格式
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adj_data = pd.DataFrame(adj_list)
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adj_data["dividOperateDate"] = pd.to_datetime(adj_data["dividOperateDate"],
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format="%Y-%m-%d %H:%M:%S")
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adj_data = adj_data.set_index("dividOperateDate")
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# 调用转换方法，对open,high,low,close, volume进行复权, fore, 前复权， 其他，后复权
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symbol_df = stock_to_adj(symbol_df, adj_data, adj_type='fore')
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for dt, bar_data in symbol_df.iterrows():
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bar_datetime = dt # - timedelta(seconds=bar_interval_seconds)
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bar = BarData(
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gateway_name='backtesting',
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symbol=symbol,
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exchange=exchange,
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datetime=bar_datetime
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)
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if 'open' in bar_data:
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bar.open_price = float(bar_data['open'])
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bar.close_price = float(bar_data['close'])
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bar.high_price = float(bar_data['high'])
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bar.low_price = float(bar_data['low'])
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else:
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bar.open_price = float(bar_data['open_price'])
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bar.close_price = float(bar_data['close_price'])
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bar.high_price = float(bar_data['high_price'])
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bar.low_price = float(bar_data['low_price'])
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bar.volume = int(bar_data['volume']) if not np.isnan(bar_data['volume']) else 0
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bar.date = dt.strftime('%Y-%m-%d')
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bar.time = dt.strftime('%H:%M:%S')
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str_td = str(bar_data.get('trading_day', ''))
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if len(str_td) == 8:
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bar.trading_day = str_td[0:4] + '-' + str_td[4:6] + '-' + str_td[6:8]
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else:
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bar.trading_day = bar.date
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bars.append(bar)
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except Exception as ex:
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self.write_error(u'回测时读取{} csv文件{}失败:{}'.format(vt_symbol, bar_file_path, ex))
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self.write_error(traceback.format_exc())
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return bars
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return bars
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def resample_bars(self, df, x_min=None, x_hour=None, to_day=False):
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"""
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重建x分钟K线（或日线）
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:param df: 输入分钟数
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:param x_min: 5, 15, 30, 60
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:param x_hour: 1, 2, 3, 4
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:param include_day: 重建日线, True得时候，不会重建分钟数
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:return:
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"""
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# 设置df数据中每列的规则
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ohlc_rule = {
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'open': 'first', # open列：序列中第一个的值
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'high': 'max', # high列：序列中最大的值
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'low': 'min', # low列：序列中最小的值
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'close': 'last', # close列：序列中最后一个的值
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'volume': 'sum', # volume列：将所有序列里的volume值作和
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'amount': 'sum', # amount列：将所有序列里的amount值作和
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"symbol": 'first',
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"trading_date": 'first',
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"date": 'first',
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"time": 'first'
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}
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if isinstance(x_min, int) and not to_day:
|
||||
# 合成x分钟K线并删除为空的行 参数 closed：left类似向上取值既 09：30的k线数据是包含09：30-09：35之间的数据
|
||||
df_target = df.resample(f'{x_min}min', closed='left', label='left').agg(ohlc_rule).dropna(axis=0,
|
||||
how='any')
|
||||
return df_target
|
||||
if isinstance(x_hour, int) and not to_day:
|
||||
# 合成x小时K线并删除为空的行 参数 closed：left类似向上取值既 09：30的k线数据是包含09：30-09：35之间的数据
|
||||
df_target = df.resample(f'{x_hour}hour', closed='left', label='left').agg(ohlc_rule).dropna(axis=0,
|
||||
how='any')
|
||||
return df_target
|
||||
|
||||
if to_day:
|
||||
# 合成x分钟K线并删除为空的行 参数 closed：left类似向上取值既 09：30的k线数据是包含09：30-09：35之间的数据
|
||||
df_target = df.resample(f'D', closed='left', label='left').agg(ohlc_rule).dropna(axis=0, how='any')
|
||||
return df_target
|
||||
|
||||
return df
|
||||
|
||||
def get_adjust_factor(self, vt_symbol, check_date=None):
|
||||
"""
|
||||
获取[check_date前]除权因子
|
||||
:param vt_symbol:
|
||||
:param check_date: 某一指定日期
|
||||
:return:
|
||||
"""
|
||||
stock_adjust_factor_list = self.adjust_factor_dict.get(vt_symbol, [])
|
||||
if len(stock_adjust_factor_list) == 0:
|
||||
return None
|
||||
stock_adjust_factor_list.reverse()
|
||||
if check_date is None:
|
||||
check_date = datetime.now().strftime('%Y-%m-%d')
|
||||
|
||||
for d in stock_adjust_factor_list:
|
||||
if d.get("dividOperateDate","") < check_date:
|
||||
return d
|
||||
return None
|
||||
|
||||
def register_event(self):
|
||||
"""
|
||||
注册事件
|
||||
:return:
|
||||
"""
|
||||
pass
|
||||
|
||||
def register_funcs(self):
|
||||
"""
|
||||
register the funcs to main_engine
|
||||
:return:
|
||||
"""
|
||||
self.main_engine.get_all_completed_status = self.get_all_completed_status
|
||||
|
||||
def init_engine(self):
|
||||
"""
|
||||
"""
|
||||
self.register_event()
|
||||
self.register_funcs()
|
||||
|
||||
self.load_strategy_class()
|
||||
self.load_strategy_setting()
|
||||
|
||||
self.write_log("CTA策略引擎初始化成功")
|
||||
|
||||
def load_strategy_class(self):
|
||||
"""
|
||||
Load strategy class from source code.
|
||||
"""
|
||||
# 加载 vnpy/app/cta_strategy_pro/strategies的所有策略
|
||||
path1 = os.path.abspath(os.path.join(os.path.dirname(__file__), "strategies"))
|
||||
self.load_strategy_class_from_folder(
|
||||
path1, "vnpy.app.stock_screener.strategies")
|
||||
|
||||
def load_strategy_class_from_folder(self, path: str, module_name: str = ""):
|
||||
"""
|
||||
Load strategy class from certain folder.
|
||||
"""
|
||||
for dirpath, dirnames, filenames in os.walk(path):
|
||||
for filename in filenames:
|
||||
if filename.endswith(".py"):
|
||||
strategy_module_name = ".".join(
|
||||
[module_name, filename.replace(".py", "")])
|
||||
elif filename.endswith(".pyd"):
|
||||
strategy_module_name = ".".join(
|
||||
[module_name, filename.split(".")[0]])
|
||||
elif filename.endswith(".so"):
|
||||
strategy_module_name = ".".join(
|
||||
[module_name, filename.split(".")[0]])
|
||||
else:
|
||||
continue
|
||||
self.load_strategy_class_from_module(strategy_module_name)
|
||||
|
||||
def load_strategy_class_from_module(self, module_name: str):
|
||||
"""
|
||||
Load/Reload strategy class from module file.
|
||||
"""
|
||||
try:
|
||||
module = importlib.import_module(module_name)
|
||||
|
||||
for name in dir(module):
|
||||
value = getattr(module, name)
|
||||
if (isinstance(value, type) and issubclass(value, ScreenerTemplate) and value is not ScreenerTemplate):
|
||||
class_name = value.__name__
|
||||
if class_name not in self.classes:
|
||||
self.write_log(f"加载策略类{module_name}.{class_name}")
|
||||
else:
|
||||
self.write_log(f"更新策略类{module_name}.{class_name}")
|
||||
self.classes[class_name] = value
|
||||
self.class_module_map[class_name] = module_name
|
||||
return True
|
||||
except: # noqa
|
||||
msg = f"策略文件{module_name}加载失败，触发异常：\n{traceback.format_exc()}"
|
||||
self.write_log(msg=msg, level=logging.CRITICAL)
|
||||
return False
|
||||
|
||||
def load_strategy_setting(self):
|
||||
"""
|
||||
Load setting file.
|
||||
"""
|
||||
|
||||
# 读取策略得配置
|
||||
self.strategy_setting = load_json(self.setting_filename)
|
||||
|
||||
for strategy_name, strategy_config in self.strategy_setting.items():
|
||||
self.add_strategy(
|
||||
class_name=strategy_config["class_name"],
|
||||
strategy_name=strategy_name,
|
||||
setting=strategy_config["setting"],
|
||||
auto_init=strategy_config.get('auto_init', False),
|
||||
auto_start=strategy_config.get('auto_start', False)
|
||||
)
|
||||
|
||||
def update_strategy_setting(self, strategy_name: str, setting: dict, auto_init: bool = False,
|
||||
auto_start: bool = False):
|
||||
"""
|
||||
Update setting file.
|
||||
"""
|
||||
strategy = self.strategies[strategy_name]
|
||||
# 原配置
|
||||
old_config = self.strategy_setting.get('strategy_name', {})
|
||||
new_config = {
|
||||
"class_name": strategy.__class__.__name__,
|
||||
"auto_init": auto_init,
|
||||
"auto_start": auto_start,
|
||||
"setting": setting
|
||||
}
|
||||
|
||||
if old_config:
|
||||
self.write_log(f'{strategy_name} 配置变更:\n{old_config} \n=> \n{new_config}')
|
||||
|
||||
self.strategy_setting[strategy_name] = new_config
|
||||
|
||||
sorted_setting = OrderedDict()
|
||||
for k in sorted(self.strategy_setting.keys()):
|
||||
sorted_setting.update({k: self.strategy_setting.get(k)})
|
||||
|
||||
save_json(self.setting_filename, sorted_setting)
|
||||
|
||||
def remove_strategy_setting(self, strategy_name: str):
|
||||
"""
|
||||
Update setting file.
|
||||
"""
|
||||
if strategy_name not in self.strategy_setting:
|
||||
return
|
||||
self.write_log(f'移除CTA引擎{strategy_name}的配置')
|
||||
self.strategy_setting.pop(strategy_name)
|
||||
sorted_setting = OrderedDict()
|
||||
for k in sorted(self.strategy_setting.keys()):
|
||||
sorted_setting.update({k: self.strategy_setting.get(k)})
|
||||
|
||||
save_json(self.setting_filename, sorted_setting)
|
||||
|
||||
def call_strategy_func(
|
||||
self, strategy: ScreenerTemplate, func: Callable, params: Any = None
|
||||
):
|
||||
"""
|
||||
Call function of a strategy and catch any exception raised.
|
||||
"""
|
||||
try:
|
||||
if params:
|
||||
func(params)
|
||||
else:
|
||||
func()
|
||||
except Exception:
|
||||
strategy.trading = False
|
||||
strategy.inited = False
|
||||
|
||||
msg = f"触发异常已停止\n{traceback.format_exc()}"
|
||||
self.write_log(msg=msg,
|
||||
strategy_name=strategy.strategy_name,
|
||||
level=logging.CRITICAL)
|
||||
self.send_wechat(msg)
|
||||
|
||||
def add_strategy(self,
|
||||
class_name: str,
|
||||
strategy_name: str,
|
||||
setting: dict,
|
||||
auto_init: bool = False,
|
||||
auto_start: bool = False):
|
||||
"""
|
||||
添加选股策略
|
||||
:return:
|
||||
"""
|
||||
|
||||
if strategy_name in self.strategies:
|
||||
msg = f"创建选股策略失败，存在重名{strategy_name}"
|
||||
self.write_log(msg=msg,
|
||||
level=logging.CRITICAL)
|
||||
return False, msg
|
||||
|
||||
strategy_class = self.classes.get(class_name, None)
|
||||
if not strategy_class:
|
||||
msg = f"创建选股策略失败，找不到策略类{class_name}"
|
||||
self.write_log(msg=msg,
|
||||
level=logging.CRITICAL)
|
||||
return False, msg
|
||||
|
||||
self.write_log(f'开始添加选股策略类{class_name}，实例名:{strategy_name}')
|
||||
strategy = strategy_class(self, strategy_name, setting)
|
||||
self.strategies[strategy_name] = strategy
|
||||
|
||||
# Update to setting file.
|
||||
self.update_strategy_setting(strategy_name, setting, auto_init, auto_start)
|
||||
|
||||
# 判断设置中是否由自动初始化和自动启动项目
|
||||
if auto_init:
|
||||
self.init_strategy(strategy_name, auto_start=auto_start)
|
||||
|
||||
return True, f'成功添加{strategy_name}'
|
||||
|
||||
def init_strategy(self, strategy_name: str, auto_start: bool = False):
|
||||
"""
|
||||
初始化选股策略
|
||||
:return:
|
||||
"""
|
||||
task = self.thread_executor.submit(self._init_strategy, strategy_name, auto_start)
|
||||
self.thread_tasks.append(task)
|
||||
|
||||
def _init_strategy(self, strategy_name: str, auto_start: bool = False):
|
||||
"""
|
||||
Init strategies in queue.
|
||||
"""
|
||||
strategy = self.strategies[strategy_name]
|
||||
|
||||
if strategy.inited:
|
||||
self.write_error(f"{strategy_name}已经完成初始化，禁止重复操作")
|
||||
return
|
||||
|
||||
self.write_log(f"{strategy_name}开始执行初始化")
|
||||
|
||||
# Call on_init function of strategy
|
||||
self.call_strategy_func(strategy, strategy.on_init)
|
||||
|
||||
# Put event to update init completed status.
|
||||
strategy.inited = True
|
||||
self.write_log(f"{strategy_name}初始化完成")
|
||||
|
||||
# 初始化后，自动启动策略交易
|
||||
if auto_start:
|
||||
self.start_strategy(strategy_name)
|
||||
|
||||
def start_strategy(self, strategy_name: str):
|
||||
"""
|
||||
启动选股策略
|
||||
:return:
|
||||
"""
|
||||
strategy = self.strategies[strategy_name]
|
||||
if not strategy.inited:
|
||||
msg = f"策略{strategy.strategy_name}启动失败，请先初始化"
|
||||
self.write_error(msg)
|
||||
return False, msg
|
||||
|
||||
if strategy.running:
|
||||
msg = f"{strategy_name}已经启动，请勿重复操作"
|
||||
self.write_log(msg)
|
||||
return False, msg
|
||||
|
||||
self.call_strategy_func(strategy, strategy.on_start)
|
||||
strategy.running = True
|
||||
|
||||
return True, f'成功启动选股策略{strategy_name}'
|
||||
|
||||
def stop_strategy(self, strategy_name):
|
||||
"""
|
||||
停止选股策略执行
|
||||
:return:
|
||||
"""
|
||||
pass
|
||||
|
||||
def get_all_completed_status(self):
|
||||
"""检查所有选股是否运行完毕"""
|
||||
for strategy in self.strategies.values():
|
||||
if not strategy.completed:
|
||||
return False
|
||||
|
||||
return True
|
||||
|
||||
def send_wechat(self, msg: str, strategy: ScreenerTemplate = None):
|
||||
"""
|
||||
send wechat message to default receiver
|
||||
:param msg:
|
||||
:param strategy:
|
||||
:return:
|
||||
"""
|
||||
if strategy:
|
||||
subject = f"{strategy.strategy_name}"
|
||||
else:
|
||||
subject = "选股引擎"
|
||||
|
||||
send_wx_msg(content=f'{subject}:{msg}')
|
||||
0
vnpy/app/stock_screener/strategies/__init__.py
Normal file
0
vnpy/app/stock_screener/strategies/__init__.py
Normal file
168
vnpy/app/stock_screener/template.py
Normal file
168
vnpy/app/stock_screener/template.py
Normal file
@ -0,0 +1,168 @@
|
||||
""""""
|
||||
import os
|
||||
import bz2
|
||||
import pickle
|
||||
import traceback
|
||||
import zlib
|
||||
|
||||
from abc import ABC
|
||||
from copy import copy, deepcopy
|
||||
from typing import Any, Callable
|
||||
from logging import INFO, ERROR
|
||||
from datetime import datetime, timedelta
|
||||
from vnpy.trader.constant import Interval, Direction, Offset, Status, OrderType, Color, Exchange
|
||||
from vnpy.trader.object import BarData, TickData, OrderData, TradeData
|
||||
from vnpy.trader.utility import virtual, append_data, extract_vt_symbol, get_underlying_symbol
|
||||
from vnpy.component.cta_grid_trade import CtaGrid, CtaGridTrade, LOCK_GRID
|
||||
|
||||
|
||||
class ScreenerTemplate(ABC):
|
||||
"""选股策略模板"""
|
||||
author = ""
|
||||
parameters = [] # 选股参数
|
||||
variables = [] # 选股运行变量
|
||||
results = [] # 选股结果
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
engine: Any,
|
||||
strategy_name: str,
|
||||
setting: dict,
|
||||
):
|
||||
self.engine = engine
|
||||
self.strategy_name = strategy_name
|
||||
self.inited = False # 是否初始化完毕
|
||||
self.running = False # 是否开始执行选股
|
||||
self.completed = False # 是否已经执行完毕
|
||||
|
||||
self.klines = {} # 所有K线
|
||||
|
||||
self.update_setting(setting)
|
||||
|
||||
def update_setting(self, setting: dict):
|
||||
"""
|
||||
Update strategy parameter wtih value in setting dict.
|
||||
"""
|
||||
for name in self.parameters:
|
||||
if name in setting:
|
||||
setattr(self, name, setting[name])
|
||||
|
||||
def write_log(self, msg: str, level: int = INFO):
|
||||
"""
|
||||
Write a log message.
|
||||
"""
|
||||
self.engine.write_log(msg=msg, strategy_name=self.strategy_name, level=level)
|
||||
|
||||
def write_error(self, msg: str):
|
||||
"""write error log message"""
|
||||
self.write_log(msg=msg, level=ERROR)
|
||||
|
||||
@virtual
|
||||
def on_timer(self):
|
||||
pass
|
||||
|
||||
@virtual
|
||||
def on_init(self):
|
||||
"""
|
||||
Callback when strategy is inited.
|
||||
"""
|
||||
pass
|
||||
|
||||
@virtual
|
||||
def on_start(self):
|
||||
"""
|
||||
Callback when strategy is started.
|
||||
"""
|
||||
pass
|
||||
|
||||
def check_adjust(self, vt_symbol):
|
||||
"""
|
||||
检查股票的最新除权时间，是否在一周内
|
||||
:param vt_symbol:
|
||||
:return: True: 一周内没有发生除权； False：一周内发生过除权
|
||||
"""
|
||||
last_adjust_factor = self.engine.get_adjust_factor(vt_symbol)
|
||||
if last_adjust_factor is None:
|
||||
return True
|
||||
last_adjust_date = last_adjust_factor.get('dividOperateDate', None)
|
||||
# 最后在除权出息日，发生在一周内
|
||||
if last_adjust_date and (datetime.now() - timedelta(days=7)).strftime('%Y-%m-%d') <= last_adjust_date:
|
||||
self.write_log(
|
||||
'{}[{}]发生除权除息，日期:{}'.format(vt_symbol, last_adjust_factor.get('name'), last_adjust_date))
|
||||
return False
|
||||
|
||||
return True
|
||||
|
||||
def save_klines_to_cache(self, symbol, kline_names: list = []):
|
||||
"""
|
||||
保存K线数据到缓存
|
||||
:param kline_names: 一般为self.klines的keys
|
||||
:return:
|
||||
"""
|
||||
if len(kline_names) == 0:
|
||||
kline_names = [s for s in list(self.klines.keys()) if s.startswith(symbol)]
|
||||
|
||||
# 获取保存路径
|
||||
save_path = os.path.abspath(os.path.join(self.engine.get_data_path(), 'klines'))
|
||||
if not os.path.exists(save_path):
|
||||
os.makedirs(save_path)
|
||||
|
||||
# 保存缓存的文件名（考虑到超多得股票，根据每个合约进行拆分）
|
||||
file_name = os.path.abspath(os.path.join(save_path, f'{self.strategy_name}_{symbol}_klines.pkb2'))
|
||||
with bz2.BZ2File(file_name, 'wb') as f:
|
||||
klines = {}
|
||||
for kline_name in kline_names:
|
||||
kline = self.klines.get(kline_name, None)
|
||||
# if kline:
|
||||
# kline.strategy = None
|
||||
# kline.cb_on_bar = None
|
||||
klines.update({kline_name: kline})
|
||||
pickle.dump(klines, f)
|
||||
|
||||
def load_klines_from_cache(self, symbol, kline_names: list = []):
|
||||
"""
|
||||
从缓存加载K线数据
|
||||
:param kline_names:
|
||||
:return:
|
||||
"""
|
||||
if len(kline_names) == 0:
|
||||
kline_names = list(self.klines.keys())
|
||||
|
||||
# 获取保存路径
|
||||
save_path = os.path.abspath(os.path.join(self.engine.get_data_path(), 'klines'))
|
||||
# 根据策略名称+股票合约进行读取
|
||||
file_name = os.path.abspath(os.path.join(save_path, f'{self.strategy_name}_{symbol}_klines.pkb2'))
|
||||
try:
|
||||
last_bar_dt = None
|
||||
with bz2.BZ2File(file_name, 'rb') as f:
|
||||
klines = pickle.load(f)
|
||||
# 逐一恢复K线
|
||||
for kline_name in kline_names:
|
||||
# 缓存的k线实例
|
||||
cache_kline = klines.get(kline_name, None)
|
||||
# 当前策略实例的K线实例
|
||||
strategy_kline = self.klines.get(kline_name, None)
|
||||
|
||||
if cache_kline and strategy_kline:
|
||||
# 临时保存当前的回调函数
|
||||
cb_on_bar = strategy_kline.cb_on_bar
|
||||
# 缓存实例数据 =》 当前实例数据
|
||||
strategy_kline.__dict__.update(cache_kline.__dict__)
|
||||
|
||||
# 所有K线的最后时间
|
||||
if last_bar_dt and strategy_kline.cur_datetime:
|
||||
last_bar_dt = max(last_bar_dt, strategy_kline.cur_datetime)
|
||||
else:
|
||||
last_bar_dt = strategy_kline.cur_datetime
|
||||
|
||||
# 重新绑定k线策略与on_bar回调函数
|
||||
strategy_kline.strategy = self
|
||||
strategy_kline.cb_on_bar = cb_on_bar
|
||||
|
||||
self.write_log(f'恢复{kline_name}缓存数据,最新bar结束时间:{last_bar_dt}')
|
||||
|
||||
self.write_log(u'加载缓存k线数据完毕')
|
||||
return last_bar_dt
|
||||
except Exception as ex:
|
||||
self.write_error(f'加载缓存K线数据失败:{str(ex)}')
|
||||
return None
|
||||
15
vnpy/app/stock_screener/选股应用.md
Normal file
15
vnpy/app/stock_screener/选股应用.md
Normal file
@ -0,0 +1,15 @@
|
||||
选股
|
||||
|
||||
缠论三买选股
|
||||
|
||||
1、选择股票池
|
||||
|
||||
|
||||
2、加载股票信息
|
||||
-股票除权信息
|
||||
-股票k线缓存(pkb2)
|
||||
-更新股票k线。发生除权时，重新生成K线
|
||||
|
||||
|
||||
3、更新计算股票是否存在三买机会
|
||||
-更新计算结果
|
||||
Loading…
Reference in New Issue
Block a user