[Add] add load history data function to cta live trading engine

.gitignore

@@ -1,6 +1,9 @@
 # Python
 *.pyc
 
+# Jupyter
+.ipynb_checkpoints
+
 # IDE
 .vscode
 .idea

tests/backtesting/.ipynb_checkpoints/turtle-checkpoint.ipynb

@@ -1,84 +0,0 @@
-{
- "cells": [
-  {
-   "cell_type": "code",
-   "execution_count": null,
-   "metadata": {},
-   "outputs": [],
-   "source": [
-    "#%%\n",
-    "from vnpy.app.cta_strategy.backtesting import BacktestingEngine\n",
-    "from vnpy.app.cta_strategy.strategies.turtle_signal_strategy import (\n",
-    "    TurtleSignalStrategy,\n",
-    ")\n",
-    "from datetime import datetime"
-   ]
-  },
-  {
-   "cell_type": "code",
-   "execution_count": null,
-   "metadata": {},
-   "outputs": [],
-   "source": [
-    "#%%\n",
-    "engine = BacktestingEngine()\n",
-    "engine.set_parameters(\n",
-    "    vt_symbol=\"IF88.CFFEX\",\n",
-    "    interval=\"1m\",\n",
-    "    start=datetime(2013, 1, 1),\n",
-    "    end=datetime(2015, 3, 30),\n",
-    "    rate=0,\n",
-    "    slippage=0,\n",
-    "    size=300,\n",
-    "    pricetick=0.2,\n",
-    "    capital=1_000_000,\n",
-    ")"
-   ]
-  },
-  {
-   "cell_type": "code",
-   "execution_count": null,
-   "metadata": {
-    "scrolled": false
-   },
-   "outputs": [],
-   "source": [
-    "#%%\n",
-    "engine.add_strategy(TurtleSignalStrategy, {})\n",
-    "engine.load_data()\n",
-    "engine.run_backtesting()\n",
-    "df = engine.calculate_result()\n",
-    "engine.calculate_statistics()\n",
-    "engine.show_chart()"
-   ]
-  },
-  {
-   "cell_type": "code",
-   "execution_count": null,
-   "metadata": {},
-   "outputs": [],
-   "source": []
-  }
- ],
- "metadata": {
-  "kernelspec": {
-   "display_name": "Python 3",
-   "language": "python",
-   "name": "python3"
-  },
-  "language_info": {
-   "codemirror_mode": {
-    "name": "ipython",
-    "version": 3
-   },
-   "file_extension": ".py",
-   "mimetype": "text/x-python",
-   "name": "python",
-   "nbconvert_exporter": "python",
-   "pygments_lexer": "ipython3",
-   "version": "3.7.1"
-  }
- },
- "nbformat": 4,
- "nbformat_minor": 2
-}

vnpy/app/cta_strategy/backtesting.py

@@ -165,13 +165,13 @@ class BacktestingEngine:
         mode: BacktestingMode = BacktestingMode.BAR,
     ):
         """"""
-        self.mode = mode  # 1
-        self.vt_symbol = vt_symbol  # 2
+        self.mode = mode
+        self.vt_symbol = vt_symbol
         self.interval = interval
-        self.rate = rate  # 3
-        self.slippage = slippage  # 4
-        self.size = size  #
-        self.pricetick = pricetick  #
+        self.rate = rate
+        self.slippage = slippage
+        self.size = size
+        self.pricetick = pricetick
         self.start = start
 
         self.symbol, exchange_str = self.vt_symbol.split(".")
@@ -790,6 +790,12 @@ class BacktestingEngine:
         msg = f"{self.datetime}\t{msg}"
         self.logs.append(msg)
     
+    def send_email(self, msg: str, strategy: CtaTemplate = None):
+        """
+        Send email to default receiver.
+        """
+        pass
+
     def get_engine_type(self):
         """
         Return engine type.

vnpy/app/cta_strategy/engine.py

@@ -7,6 +7,7 @@ import traceback
 from collections import defaultdict
 from pathlib import Path
 from typing import Any, Callable
+from datetime import datetime, timedelta
 
 from vnpy.event import Event, EventEngine
 from vnpy.trader.engine import BaseEngine, MainEngine
@@ -19,6 +20,7 @@ from vnpy.trader.object import (
 from vnpy.trader.event import EVENT_TICK, EVENT_ORDER, EVENT_TRADE
 from vnpy.trader.constant import Direction, PriceType, Interval
 from vnpy.trader.utility import get_temp_path
+from vnpy.trader.database import DbTickData, DbBarData
 
 from .base import (
     EVENT_CTA_LOG,
@@ -320,11 +322,40 @@ class CtaEngine(BaseEngine):
         self, vt_symbol: str, days: int, interval: Interval, callback: Callable
     ):
         """"""
-        pass
+        end = datetime.now()
+        start = end - timedelta(days)
+
+        s = (
+            DbBarData.select()
+            .where(
+                (DbBarData.vt_symbol == vt_symbol) &
+                (DbBarData.interval == interval) &
+                (DbBarData.datetime >= start) &
+                (DbBarData.datetime <= end)
+            )
+            .order_by(DbBarData.datetime)
+        )
+
+        for bar in s:
+            callback(bar)
 
     def load_tick(self, vt_symbol: str, days: int, callback: Callable):
         """"""
-        pass
+        end = datetime.now()
+        start = end - timedelta(days)
+
+        s = (
+            DbTickData.select()
+            .where(
+                (DbBarData.vt_symbol == vt_symbol) &
+                (DbBarData.datetime >= start) &
+                (DbBarData.datetime <= end)
+            )
+            .order_by(DbBarData.datetime)
+        )
+
+        for tick in s:
+            callback(tick)
 
     def call_strategy_func(
         self, strategy: CtaTemplate, func: Callable, params: Any = None
@@ -586,3 +617,14 @@ class CtaEngine(BaseEngine):
         log = LogData(msg=msg, gateway_name="CtaStrategy")
         event = Event(type=EVENT_CTA_LOG, data=log)
         self.event_engine.put(event)
+
+    def send_email(self, msg: str, strategy: CtaTemplate = None):
+        """
+        Send email to default receiver.
+        """
+        if strategy:
+            subject = f"{strategy.name}"
+        else:
+            subject = "CTA策略引擎"
+
+        self.main_engine.send_email(subject, msg)

vnpy/app/cta_strategy/template.py

@@ -226,3 +226,14 @@ class CtaTemplate(ABC):
         Put an strategy data event for ui update.
         """
         self.cta_engine.put_strategy_event(self)
+
+    def send_email(self, msg):
+        """
+        Send email to default receiver.
+        """
+        self.cta_engine.send_email(msg, self)
+
+    def save_variables(self):
+        """
+        """
+        self.cta_engine.save_strategy_variables(self)