[Add] download bar data from gateway in CtaBacktester
This commit is contained in:
vn.py
parent
e1c824307e
commit
8c707435e8
@ -258,7 +258,7 @@ class RestClient(object):
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request.response = response
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status_code = response.status_code
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if status_code / 100 == 2: # 2xx都算成功，尽管交易所都用200
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if status_code // 100 == 2: # 2xx都算成功，尽管交易所都用200
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jsonBody = response.json()
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request.callback(jsonBody, request)
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request.status = RequestStatus.success
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@ -9,6 +9,7 @@ from vnpy.event import Event, EventEngine
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from vnpy.trader.engine import BaseEngine, MainEngine
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from vnpy.trader.constant import Interval
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from vnpy.trader.utility import extract_vt_symbol
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from vnpy.trader.object import HistoryRequest
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from vnpy.trader.rqdata import rqdata_client
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from vnpy.trader.database import database_manager
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from vnpy.app.cta_strategy import (
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@ -337,7 +338,22 @@ class BacktesterEngine(BaseEngine):
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"""
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self.write_log(f"{vt_symbol}-{interval}开始下载历史数据")
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contract = self.main_engine.get_contract(vt_symbol)
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# If history data provided in gateway, then query
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if contract and contract.history_data:
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req = HistoryRequest(
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symbol=contract.symbol,
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exchange=contract.exchange,
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interval=Interval(interval),
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start=start,
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end=end
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)
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data = self.main_engine.query_history(req, contract.gateway_name)
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# Otherwise use RQData to query data
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else:
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symbol, exchange = extract_vt_symbol(vt_symbol)
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data = rqdata_client.query_bar(
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symbol, exchange, Interval(interval), start, end
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)
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@ -56,14 +56,14 @@ class BacktesterManager(QtWidgets.QWidget):
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self.class_combo = QtWidgets.QComboBox()
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self.class_combo.addItems(self.class_names)
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self.symbol_line = QtWidgets.QLineEdit("IF88.CFFEX")
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self.symbol_line = QtWidgets.QLineEdit("XBTUSD.BITMEX")
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self.interval_combo = QtWidgets.QComboBox()
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for inteval in Interval:
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self.interval_combo.addItem(inteval.value)
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end_dt = datetime.now()
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start_dt = end_dt - timedelta(days=3 * 365)
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start_dt = end_dt - timedelta(days=30)# * 365)
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self.start_date_edit = QtWidgets.QDateEdit(
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QtCore.QDate(
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@ -7,7 +7,7 @@ import hmac
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import sys
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import time
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from copy import copy
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from datetime import datetime
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from datetime import datetime, timedelta
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from threading import Lock
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from urllib.parse import urlencode
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@ -21,7 +21,8 @@ from vnpy.trader.constant import (
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OrderType,
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Product,
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Status,
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Offset
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Offset,
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Interval
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)
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from vnpy.trader.gateway import BaseGateway
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from vnpy.trader.object import (
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@ -31,6 +32,7 @@ from vnpy.trader.object import (
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PositionData,
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AccountData,
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ContractData,
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BarData,
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OrderRequest,
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CancelRequest,
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SubscribeRequest,
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@ -61,6 +63,18 @@ ORDERTYPE_VT2BITMEX = {
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}
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ORDERTYPE_BITMEX2VT = {v: k for k, v in ORDERTYPE_VT2BITMEX.items()}
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INTERVAL_VT2BITMEX = {
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Interval.MINUTE: "1m",
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Interval.HOUR: "1h",
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Interval.DAILY: "1d",
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}
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TIMEDELTA_MAP = {
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Interval.MINUTE: timedelta(minutes=1),
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Interval.HOUR: timedelta(hours=1),
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Interval.DAILY: timedelta(days=1),
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}
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class BitmexGateway(BaseGateway):
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"""
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@ -160,7 +174,7 @@ class BitmexRestApi(RestClient):
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Generate BitMEX signature.
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"""
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# Sign
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expires = int(time.time() + 5)
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expires = int(time.time() + 30)
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if request.params:
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query = urlencode(request.params)
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@ -286,7 +300,72 @@ class BitmexRestApi(RestClient):
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def query_history(self, req: HistoryRequest):
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""""""
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pass
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history = []
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count = 750
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start_time = req.start.isoformat()
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while True:
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# Create query params
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params = {
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"binSize": INTERVAL_VT2BITMEX[req.interval],
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"symbol": req.symbol,
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"count": count,
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"startTime": start_time
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}
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# Add end time if specified
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if req.end:
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params["endTime"] = req.end.isoformat()
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# Get response from server
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resp = self.request(
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"GET",
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"/trade/bucketed",
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params=params
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)
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# Break if request failed with other status code
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if resp.status_code // 100 != 2:
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msg = f"获取历史数据失败，状态码：{resp.status_code}，信息：{resp.text}"
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self.gateway.write_log(msg)
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break
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else:
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data = resp.json()
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for d in data:
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dt = datetime.strptime(d["timestamp"], "%Y-%m-%dT%H:%M:%S.%fZ")
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bar = BarData(
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symbol=req.symbol,
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exchange=req.exchange,
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datetime=dt,
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interval=req.interval,
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volume=d["volume"],
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open_price=d["open"],
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high_price=d["high"],
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low_price=d["low"],
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close_price=d["close"],
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gateway_name=self.gateway_name
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)
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history.append(bar)
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begin = data[0]["timestamp"]
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end = data[-1]["timestamp"]
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msg = f"获取历史数据成功，{req.symbol} - {req.interval.value}，{begin} - {end}"
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self.gateway.write_log(msg)
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# Break if total data count less than 750 (latest date collected)
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if len(data) < 750:
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break
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# Update start time
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start_time = bar.datetime + TIMEDELTA_MAP[req.interval]
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return history
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def on_send_order_failed(self, status_code: str, request: Request):
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"""
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@ -624,7 +703,7 @@ class BitmexWebsocketApi(WebsocketClient):
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size=d["lotSize"],
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stop_supported=True,
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net_position=True,
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bar_history=True,
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history_data=True,
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gateway_name=self.gateway_name,
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)
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@ -236,8 +236,7 @@ class ContractData(BaseData):
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min_volume: float = 1 # minimum trading volume of the contract
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stop_supported: bool = False # whether server supports stop order
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net_position: bool = False # whether gateway uses net position volume
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bar_history: bool = False # whether gateway provides bar history data
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tick_history: bool = False # whether gateway provides tick history data
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history_data: bool = False # whether gateway provides bar history data
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option_strike: float = 0
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option_underlying: str = "" # vt_symbol of underlying contract
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