[update]
This commit is contained in:
msincenselee
parent
b439a419e7
commit
7ce42e54a4
@ -210,6 +210,8 @@ class CtaLineBar(object):
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def init_param_list(self):
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self.paramList.append('bar_interval')
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self.paramList.append('interval')
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self.paramList.append('mode')
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self.paramList.append('para_pre_len')
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self.paramList.append('para_ma1_len')
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self.paramList.append('para_ma2_len')
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@ -133,7 +133,8 @@ class CtaEngine(BaseEngine):
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self.stop_order_count = 0 # for generating stop_orderid
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self.stop_orders = {} # stop_orderid: stop_order
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self.init_executor = ThreadPoolExecutor(max_workers=1)
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self.thread_executor = ThreadPoolExecutor(max_workers=1)
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self.thread_tasks = []
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self.vt_tradeids = set() # for filtering duplicate trade
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@ -722,7 +723,7 @@ class CtaEngine(BaseEngine):
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# 添加 策略名 strategy_name <=> 合约订阅 vt_symbol 的映射
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subscribe_symbol_set = self.strategy_symbol_map[strategy.strategy_name]
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subscribe_symbol_set.add(contract.vt_symbol)
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subscribe_symbol_set.add(vt_symbol)
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return True
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@ -777,7 +778,8 @@ class CtaEngine(BaseEngine):
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accounts = self.main_engine.get_all_accounts()
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if len(accounts) > 0:
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account = accounts[0]
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return account.balance, account.avaliable, round(account.frozen * 100 / (account.balance + 0.01), 2), 100
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return account.balance, account.avaliable, round(account.frozen * 100 / (account.balance + 0.01),
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2), 100
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else:
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return 0, 0, 0, 0
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@ -858,7 +860,7 @@ class CtaEngine(BaseEngine):
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subscribe_symbol_set.add(vt_symbol)
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# Update to setting file.
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self.update_strategy_setting(strategy_name, setting)
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self.update_strategy_setting(strategy_name, setting, auto_init, auto_start)
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self.put_strategy_event(strategy)
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@ -870,7 +872,8 @@ class CtaEngine(BaseEngine):
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"""
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Init a strategy.
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"""
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self.init_executor.submit(self._init_strategy, strategy_name, auto_start)
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task = self.thread_executor.submit(self._init_strategy, strategy_name, auto_start)
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self.thread_tasks.append(task)
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def _init_strategy(self, strategy_name: str, auto_start: bool = False):
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"""
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@ -959,9 +962,12 @@ class CtaEngine(BaseEngine):
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风险警示： 该方法强行干预策略的配置
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"""
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strategy = self.strategies[strategy_name]
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auto_init = setting.pop('auto_init', False)
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auto_start = setting.pop('auto_start', False)
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strategy.update_setting(setting)
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self.update_strategy_setting(strategy_name, setting)
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self.update_strategy_setting(strategy_name, setting, auto_init, auto_start)
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self.put_strategy_event(strategy)
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def remove_strategy(self, strategy_name: str):
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@ -1012,7 +1018,13 @@ class CtaEngine(BaseEngine):
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if strategy_name not in self.strategies or strategy_name not in self.strategy_setting:
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self.write_error(f"{strategy_name}不在运行策略中，不能重启")
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return False
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old_strategy_config = copy(self.strategy_setting[strategy_name])
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# 从本地配置文件中读取
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if len(setting) == 0:
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strategies_setting = load_json(self.setting_filename)
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old_strategy_config = strategies_setting.get(strategy_name, {})
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else:
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old_strategy_config = copy(self.strategy_setting[strategy_name])
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class_name = old_strategy_config.get('class_name')
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if len(vt_symbol) == 0:
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@ -1035,11 +1047,98 @@ class CtaEngine(BaseEngine):
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self.add_strategy(class_name=class_name,
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strategy_name=strategy_name,
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vt_symbol=vt_symbol,
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setting=setting)
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setting=setting,
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auto_init=old_strategy_config.get('auto_init', False),
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auto_start=old_strategy_config.get('auto_start', False))
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self.write_log(f'重新运行策略{strategy_name}执行完毕')
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return True
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def save_strategy_data(self, select_name: str):
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""" save strategy data"""
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has_executed = False
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msg = ""
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# 1.判断策略名称是否存在字典中
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for strategy_name in list(self.strategies.keys()):
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if select_name != 'ALL':
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if strategy_name != select_name:
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continue
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# 2.提取策略
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strategy = self.strategies.get(strategy_name, None)
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if not strategy:
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continue
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# 3.判断策略是否运行
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if strategy.inited and strategy.trading:
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task = self.thread_executor.submit(self.thread_save_strategy_data, strategy_name)
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self.thread_tasks.append(task)
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msg += f'{strategy_name}执行保存数据\n'
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has_executed = True
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else:
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self.write_log(f'{strategy_name}未初始化/未启动交易，不进行保存数据')
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return has_executed, msg
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def thread_save_strategy_data(self, strategy_name):
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"""异步线程保存策略数据"""
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strategy = self.strategies.get(strategy_name, None)
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if strategy is None:
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return
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try:
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# 保存策略数据
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strategy.sync_data()
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except Exception as ex:
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self.write_error(u'保存策略{}数据异常:'.format(strategy_name, str(ex)))
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self.write_error(traceback.format_exc())
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def save_strategy_snapshot(self, select_name: str):
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"""
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保存策略K线切片数据
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:param select_name:
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:return:
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"""
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has_executed = False
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msg = ""
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# 1.判断策略名称是否存在字典中
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for strategy_name in list(self.strategies.keys()):
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if select_name != 'ALL':
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if strategy_name != select_name:
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continue
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# 2.提取策略
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strategy = self.strategies.get(strategy_name, None)
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if not strategy:
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continue
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if not hasattr(strategy, 'get_klines_snapshot'):
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continue
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# 3.判断策略是否运行
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if strategy.inited and strategy.trading:
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task = self.thread_executor.submit(self.thread_save_strategy_snapshot, strategy_name)
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self.thread_tasks.append(task)
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msg += f'{strategy_name}执行保存K线切片\n'
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has_executed = True
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return has_executed, msg
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def thread_save_strategy_snapshot(self, strategy_name):
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"""异步线程保存策略切片"""
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strategy = self.strategies.get(strategy_name, None)
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if strategy is None:
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return
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try:
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# 5.保存策略切片
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snapshot = strategy.get_klines_snapshot()
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if len(snapshot) == 0:
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self.write_log(f'{strategy_name}返回得K线切片数据为空')
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return
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# 剩下工作：保存本地文件/数据库
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except Exception as ex:
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self.write_error(u'获取策略{}切片数据异常:'.format(strategy_name, str(ex)))
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self.write_error(traceback.format_exc())
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def load_strategy_class(self):
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"""
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Load strategy class from source code.
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@ -1209,7 +1308,7 @@ class CtaEngine(BaseEngine):
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# SPD合约
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spd_vt_symbol = pos.get('vt_symbol', None)
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if spd_vt_symbol is not None and spd_vt_symbol.endswith('SPD'):
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spd_symbol,spd_exchange = extract_vt_symbol(spd_vt_symbol)
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spd_symbol, spd_exchange = extract_vt_symbol(spd_vt_symbol)
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spd_setting = self.main_engine.get_all_custom_contracts().get(spd_symbol, None)
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if spd_setting is None:
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@ -1225,7 +1324,7 @@ class CtaEngine(BaseEngine):
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leg1_pos.update({'symbol': spd_setting.get('leg1_symbol')})
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leg1_pos.update({'vt_symbol': spd_setting.get('leg1_symbol')})
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leg1_pos.update({'direction': leg1_direction})
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leg1_pos.update({'volume': spd_setting.get('leg1_ratio', 1)*spd_volume})
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leg1_pos.update({'volume': spd_setting.get('leg1_ratio', 1) * spd_volume})
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leg2_pos = {}
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leg2_pos.update({'symbol': spd_setting.get('leg2_symbol')})
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@ -1288,7 +1387,12 @@ class CtaEngine(BaseEngine):
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Get parameters of a strategy.
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"""
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strategy = self.strategies[strategy_name]
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return strategy.get_parameters()
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strategy_config = self.strategy_setting.get(strategy_name, {})
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d = {}
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d.update({'auto_init': strategy_config.get('auto_init', False)})
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d.update({'auto_start': strategy_config.get('auto_start', False)})
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d.update(strategy.get_parameters())
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return d
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def init_all_strategies(self):
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"""
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@ -1328,7 +1432,8 @@ class CtaEngine(BaseEngine):
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auto_start=strategy_config.get('auto_start', False)
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)
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def update_strategy_setting(self, strategy_name: str, setting: dict):
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def update_strategy_setting(self, strategy_name: str, setting: dict, auto_init: bool = False,
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auto_start: bool = False):
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"""
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Update setting file.
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"""
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@ -1339,8 +1444,8 @@ class CtaEngine(BaseEngine):
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self.strategy_setting[strategy_name] = {
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"class_name": strategy.__class__.__name__,
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"vt_symbol": strategy.vt_symbol,
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"auto_init": strategy_config.get('auto_init', False),
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"auto_start": strategy_config.get('auto_start', False),
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"auto_init": auto_init,
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"auto_start": auto_start,
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"setting": setting
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}
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save_json(self.setting_filename, self.strategy_setting)
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@ -897,7 +897,7 @@ class PortfolioTestingEngine(object):
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"""保存策略数据"""
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for strategy in self.strategies.values():
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self.write_log(u'save strategy data')
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strategy.saveData()
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strategy.save_data()
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def send_order(self,
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strategy: CtaTemplate,
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@ -2274,7 +2274,10 @@ class PortfolioTestingEngine(object):
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d = OrderedDict()
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try:
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for k in trade_fields:
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d[k] = getattr(trade, k, '')
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if k in ['exchange', 'direction', 'offset']:
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d[k] = getattr(trade, k).value
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else:
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d[k] = getattr(trade, k, '')
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trade_file = os.path.abspath(os.path.join(self.get_logs_path(), '{}_trade.csv'.format(strategy_name)))
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self.append_data(file_name=trade_file, dict_data=d)
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@ -526,6 +526,8 @@ class CtaProTemplate(CtaTemplate):
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增强模板
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"""
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backtesting = False
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# 逻辑过程日志
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dist_fieldnames = ['datetime', 'symbol', 'volume', 'price',
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'operation', 'signal', 'stop_price', 'target_price',
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@ -552,8 +554,6 @@ class CtaProTemplate(CtaTemplate):
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self.cancel_seconds = 120 # 撤单时间(秒)
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self.backtesting = False
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self.klines = {} # K线字典: kline_name: kline
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# 增加仓位管理模块
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@ -601,7 +601,11 @@ class CtaProTemplate(CtaTemplate):
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with bz2.BZ2File(file_name, 'wb') as f:
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klines = {}
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for kline_name in kline_names:
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klines.update({kline_name: self.klines.get(kline_name, None)})
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kline = self.klines.get(kline_name, None)
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#if kline:
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# kline.strategy = None
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# kline.cb_on_bar = None
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klines.update({kline_name: kline})
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pickle.dump(klines, f)
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def load_klines_from_cache(self, kline_names: list = []):
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@ -657,11 +661,11 @@ class CtaProTemplate(CtaTemplate):
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'strategy': self.strategy_name,
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'datetime': datetime.now()}
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for kline_name in self.klines.keys():
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for kline_name in sorted(self.klines.keys()):
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d.update({kline_name: self.klines.get(kline_name).get_data()})
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return d
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except Exception as ex:
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self.write_error(u'获取klines切片数据失败')
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self.write_error(f'获取klines切片数据失败:{str(ex)}')
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return {}
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def init_position(self):
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@ -959,8 +963,9 @@ class CtaProTemplate(CtaTemplate):
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else:
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save_path = self.cta_engine.get_data_path()
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try:
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if self.position:
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if self.position and 'long_pos' not in dist_data:
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dist_data.update({'long_pos': self.position.long_pos})
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if self.position and 'short_pos' not in dist_data:
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dist_data.update({'short_pos': self.position.short_pos})
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file_name = os.path.abspath(os.path.join(save_path, f'{self.strategy_name}_dist.csv'))
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@ -144,9 +144,10 @@ class CtaManager(QtWidgets.QWidget):
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setting = editor.get_setting()
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vt_symbol = setting.pop("vt_symbol")
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strategy_name = setting.pop("strategy_name")
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auto_init = setting.pop("auto_init", False)
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auto_start = setting.pop("auto_start", False)
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self.cta_engine.add_strategy(
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class_name, strategy_name, vt_symbol, setting
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class_name, strategy_name, vt_symbol, setting, auto_init, auto_start
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)
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def clear_log(self):
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@ -201,6 +202,9 @@ class StrategyManager(QtWidgets.QFrame):
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reload_button = QtWidgets.QPushButton("重载")
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reload_button.clicked.connect(self.reload_strategy)
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save_button = QtWidgets.QPushButton("保存")
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save_button.clicked.connect(self.save_strategy)
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strategy_name = self._data["strategy_name"]
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vt_symbol = self._data["vt_symbol"]
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class_name = self._data["class_name"]
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@ -222,6 +226,7 @@ class StrategyManager(QtWidgets.QFrame):
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hbox.addWidget(edit_button)
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hbox.addWidget(remove_button)
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hbox.addWidget(reload_button)
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hbox.addWidget(save_button)
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vbox = QtWidgets.QVBoxLayout()
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vbox.addWidget(label)
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@ -273,6 +278,9 @@ class StrategyManager(QtWidgets.QFrame):
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"""重新加载策略"""
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self.cta_engine.reload_strategy(self.strategy_name)
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def save_strategy(self):
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self.cta_engine.save_strategy_data(self.strategy_name)
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class DataMonitor(QtWidgets.QTableWidget):
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"""
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@ -403,8 +411,9 @@ class SettingEditor(QtWidgets.QDialog):
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if self.class_name:
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self.setWindowTitle(f"添加策略：{self.class_name}")
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button_text = "添加"
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parameters = {"strategy_name": "", "vt_symbol": ""}
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parameters = {"strategy_name": "", "vt_symbol": "", "auto_init": True, "auto_start": True}
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parameters.update(self.parameters)
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else:
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self.setWindowTitle(f"参数编辑：{self.strategy_name}")
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button_text = "确定"
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@ -1219,3 +1219,59 @@ def get_file_logger(filename: str):
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handler.setFormatter(log_formatter)
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logger.addHandler(handler) # each handler will be added only once.
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return logger
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def get_bars(csv_file: str,
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symbol: str,
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exchange: Exchange,
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start_date: datetime = None,
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end_date: datetime = None,):
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"""
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获取bar
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数据存储目录: 项目/bar_data
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:param csv_file: csv文件路径
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:param symbol: 合约
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:param exchange 交易所
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:param start_date: datetime
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:param end_date: datetime
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:return:
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"""
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bars = []
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import csv
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with open(file=csv_file, mode='r', encoding='utf8', newline='\n') as f:
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reader = csv.DictReader(f)
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count = 0
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for item in reader:
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dt = datetime.strptime(item['datetime'], '%Y-%m-%d %H:%M:%S')
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if start_date:
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if dt < start_date:
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continue
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if end_date:
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if dt > end_date:
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break
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bar = BarData(
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symbol=symbol,
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exchange=exchange,
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datetime=dt,
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interval=Interval.MINUTE,
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volume=float(item['volume']),
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open_price=float(item['open']),
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high_price=float(item['high']),
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low_price=float(item['low']),
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close_price=float(item['close']),
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open_interest=float(item['open_interest']),
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trading_day=item['trading_day'],
|
||||
gateway_name="Tdx",
|
||||
)
|
||||
|
||||
bars.append(bar)
|
||||
|
||||
# do some statistics
|
||||
count += 1
|
||||
|
||||
return bars
|
||||
|
||||
Loading…
Reference in New Issue
Block a user