[Mod]将BarGenerator和ArrayManager移动到vtUtility.py中，Close #1084

examples/DataService/RqdataDataService/dataService.py

@@ -30,9 +30,6 @@ rq.init(USERNAME, PASSWORD)
 
 FIELDS = ['open', 'high', 'low', 'close', 'volume']
 
-#print (rq.all_instruments(type='Future'))
-#print(rq.get_price('IF99', frequency='1m', fields=FIELDS))
-
 #----------------------------------------------------------------------
 def generateVtBar(row, symbol):
     """生成K线"""

vnpy/trader/app/ctaStrategy/ctaTemplate.py

@@ -4,11 +4,8 @@
 本文件包含了CTA引擎中的策略开发用模板，开发策略时需要继承CtaTemplate类。
 '''
 
-import numpy as np
-import talib
-
 from vnpy.trader.vtConstant import *
-from vnpy.trader.vtObject import VtBarData
+from vnpy.trader.vtUtility import BarGenerator, ArrayManager
 
 from .ctaBase import *
 
@@ -201,7 +198,6 @@ class CtaTemplate(object):
         return self.ctaEngine.getPriceTick(self)
         
 
-
 ########################################################################
 class TargetPosTemplate(CtaTemplate):
     """
@@ -340,282 +336,6 @@ class TargetPosTemplate(CtaTemplate):
                     l = self.short(shortPrice, abs(posChange))
             self.orderList.extend(l)
     
-    
-########################################################################
-class BarGenerator(object):
-    """
-    K线合成器，支持：
-    1. 基于Tick合成1分钟K线
-    2. 基于1分钟K线合成X分钟K线（X可以是2、3、5、10、15、30	）
-    """
-
-    #----------------------------------------------------------------------
-    def __init__(self, onBar, xmin=0, onXminBar=None):
-        """Constructor"""
-        self.bar = None             # 1分钟K线对象
-        self.onBar = onBar          # 1分钟K线回调函数
-        
-        self.xminBar = None         # X分钟K线对象
-        self.xmin = xmin            # X的值
-        self.onXminBar = onXminBar  # X分钟K线的回调函数
-        
-        self.lastTick = None        # 上一TICK缓存对象
-        
-    #----------------------------------------------------------------------
-    def updateTick(self, tick):
-        """TICK更新"""
-        newMinute = False   # 默认不是新的一分钟
-        
-        # 尚未创建对象
-        if not self.bar:
-            self.bar = VtBarData()
-            newMinute = True
-        # 新的一分钟
-        elif self.bar.datetime.minute != tick.datetime.minute:
-            # 生成上一分钟K线的时间戳
-            self.bar.datetime = self.bar.datetime.replace(second=0, microsecond=0)  # 将秒和微秒设为0
-            self.bar.date = self.bar.datetime.strftime('%Y%m%d')
-            self.bar.time = self.bar.datetime.strftime('%H:%M:%S.%f')
-            
-            # 推送已经结束的上一分钟K线
-            self.onBar(self.bar)
-            
-            # 创建新的K线对象
-            self.bar = VtBarData()
-            newMinute = True
-            
-        # 初始化新一分钟的K线数据
-        if newMinute:
-            self.bar.vtSymbol = tick.vtSymbol
-            self.bar.symbol = tick.symbol
-            self.bar.exchange = tick.exchange
-
-            self.bar.open = tick.lastPrice
-            self.bar.high = tick.lastPrice
-            self.bar.low = tick.lastPrice
-        # 累加更新老一分钟的K线数据
-        else:                                   
-            self.bar.high = max(self.bar.high, tick.lastPrice)
-            self.bar.low = min(self.bar.low, tick.lastPrice)
-
-        # 通用更新部分
-        self.bar.close = tick.lastPrice        
-        self.bar.datetime = tick.datetime  
-        self.bar.openInterest = tick.openInterest
-   
-        if self.lastTick:
-            volumeChange = tick.volume - self.lastTick.volume   # 当前K线内的成交量
-            self.bar.volume += max(volumeChange, 0)             # 避免夜盘开盘lastTick.volume为昨日收盘数据，导致成交量变化为负的情况
-            
-        # 缓存Tick
-        self.lastTick = tick
-
-    #----------------------------------------------------------------------
-    def updateBar(self, bar):
-        """1分钟K线更新"""
-        # 尚未创建对象
-        if not self.xminBar:
-            self.xminBar = VtBarData()
-            
-            self.xminBar.vtSymbol = bar.vtSymbol
-            self.xminBar.symbol = bar.symbol
-            self.xminBar.exchange = bar.exchange
-        
-            self.xminBar.open = bar.open
-            self.xminBar.high = bar.high
-            self.xminBar.low = bar.low            
-            
-            self.xminBar.datetime = bar.datetime    # 以第一根分钟K线的开始时间戳作为X分钟线的时间戳
-        # 累加老K线
-        else:
-            self.xminBar.high = max(self.xminBar.high, bar.high)
-            self.xminBar.low = min(self.xminBar.low, bar.low)
-    
-        # 通用部分
-        self.xminBar.close = bar.close        
-        self.xminBar.openInterest = bar.openInterest
-        self.xminBar.volume += int(bar.volume)                
-            
-        # X分钟已经走完
-        if not (bar.datetime.minute + 1) % self.xmin:   # 可以用X整除
-            # 生成上一X分钟K线的时间戳
-            self.xminBar.datetime = self.xminBar.datetime.replace(second=0, microsecond=0)  # 将秒和微秒设为0
-            self.xminBar.date = self.xminBar.datetime.strftime('%Y%m%d')
-            self.xminBar.time = self.xminBar.datetime.strftime('%H:%M:%S.%f')
-            
-            # 推送
-            self.onXminBar(self.xminBar)
-            
-            # 清空老K线缓存对象
-            self.xminBar = None
-
-    #----------------------------------------------------------------------
-    def generate(self):
-        """手动强制立即完成K线合成"""
-        self.onBar(self.bar)
-        self.bar = None
-
-
-
-########################################################################
-class ArrayManager(object):
-    """
-    K线序列管理工具，负责：
-    1. K线时间序列的维护
-    2. 常用技术指标的计算
-    """
-
-    #----------------------------------------------------------------------
-    def __init__(self, size=100):
-        """Constructor"""
-        self.count = 0                      # 缓存计数
-        self.size = size                    # 缓存大小
-        self.inited = False                 # True if count>=size
-        
-        self.openArray = np.zeros(size)     # OHLC
-        self.highArray = np.zeros(size)
-        self.lowArray = np.zeros(size)
-        self.closeArray = np.zeros(size)
-        self.volumeArray = np.zeros(size)
-        
-    #----------------------------------------------------------------------
-    def updateBar(self, bar):
-        """更新K线"""
-        self.count += 1
-        if not self.inited and self.count >= self.size:
-            self.inited = True
-        
-        self.openArray[0:self.size-1] = self.openArray[1:self.size]
-        self.highArray[0:self.size-1] = self.highArray[1:self.size]
-        self.lowArray[0:self.size-1] = self.lowArray[1:self.size]
-        self.closeArray[0:self.size-1] = self.closeArray[1:self.size]
-        self.volumeArray[0:self.size-1] = self.volumeArray[1:self.size]
-    
-        self.openArray[-1] = bar.open
-        self.highArray[-1] = bar.high
-        self.lowArray[-1] = bar.low        
-        self.closeArray[-1] = bar.close
-        self.volumeArray[-1] = bar.volume
-        
-    #----------------------------------------------------------------------
-    @property
-    def open(self):
-        """获取开盘价序列"""
-        return self.openArray
-        
-    #----------------------------------------------------------------------
-    @property
-    def high(self):
-        """获取最高价序列"""
-        return self.highArray
-    
-    #----------------------------------------------------------------------
-    @property
-    def low(self):
-        """获取最低价序列"""
-        return self.lowArray
-    
-    #----------------------------------------------------------------------
-    @property
-    def close(self):
-        """获取收盘价序列"""
-        return self.closeArray
-    
-    #----------------------------------------------------------------------
-    @property    
-    def volume(self):
-        """获取成交量序列"""
-        return self.volumeArray
-    
-    #----------------------------------------------------------------------
-    def sma(self, n, array=False):
-        """简单均线"""
-        result = talib.SMA(self.close, n)
-        if array:
-            return result
-        return result[-1]
-        
-    #----------------------------------------------------------------------
-    def std(self, n, array=False):
-        """标准差"""
-        result = talib.STDDEV(self.close, n)
-        if array:
-            return result
-        return result[-1]
-    
-    #----------------------------------------------------------------------
-    def cci(self, n, array=False):
-        """CCI指标"""
-        result = talib.CCI(self.high, self.low, self.close, n)
-        if array:
-            return result
-        return result[-1]
-        
-    #----------------------------------------------------------------------
-    def atr(self, n, array=False):
-        """ATR指标"""
-        result = talib.ATR(self.high, self.low, self.close, n)
-        if array:
-            return result
-        return result[-1]
-        
-    #----------------------------------------------------------------------
-    def rsi(self, n, array=False):
-        """RSI指标"""
-        result = talib.RSI(self.close, n)
-        if array:
-            return result
-        return result[-1]
-    
-    #----------------------------------------------------------------------
-    def macd(self, fastPeriod, slowPeriod, signalPeriod, array=False):
-        """MACD指标"""
-        macd, signal, hist = talib.MACD(self.close, fastPeriod,
-                                        slowPeriod, signalPeriod)
-        if array:
-            return macd, signal, hist
-        return macd[-1], signal[-1], hist[-1]
-    
-    #----------------------------------------------------------------------
-    def adx(self, n, array=False):
-        """ADX指标"""
-        result = talib.ADX(self.high, self.low, self.close, n)
-        if array:
-            return result
-        return result[-1]
-    
-    #----------------------------------------------------------------------
-    def boll(self, n, dev, array=False):
-        """布林通道"""
-        mid = self.sma(n, array)
-        std = self.std(n, array)
-        
-        up = mid + std * dev
-        down = mid - std * dev
-        
-        return up, down    
-    
-    #----------------------------------------------------------------------
-    def keltner(self, n, dev, array=False):
-        """肯特纳通道"""
-        mid = self.sma(n, array)
-        atr = self.atr(n, array)
-        
-        up = mid + atr * dev
-        down = mid - atr * dev
-        
-        return up, down
-    
-    #----------------------------------------------------------------------
-    def donchian(self, n, array=False):
-        """唐奇安通道"""
-        up = talib.MAX(self.high, n)
-        down = talib.MIN(self.low, n)
-        
-        if array:
-            return up, down
-        return up[-1], down[-1]
-    
 
 ########################################################################
 class CtaSignal(object):
@@ -647,9 +367,3 @@ class CtaSignal(object):
     def getSignalPos(self):
         """获取信号仓位"""
         return self.signalPos
-        
-        
-        
-        
-    
-    

vnpy/trader/app/dataRecorder/drEngine.py

@@ -21,7 +21,7 @@ from vnpy.event import Event
 from vnpy.trader.vtEvent import *
 from vnpy.trader.vtFunction import todayDate, getJsonPath
 from vnpy.trader.vtObject import VtSubscribeReq, VtLogData, VtBarData, VtTickData
-from vnpy.trader.app.ctaStrategy.ctaTemplate import BarGenerator
+from vnpy.trader.vtUtility import BarGenerator
 
 from .drBase import *
 from .language import text

vnpy/trader/vtUtility.py

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