mysql

.gitignore

@@ -36,4 +36,9 @@ Release/
 
 # 其他文件
 *.dump
-*.vssettings
+*.vssettings
+vnpy.pyproj.user
+.idea/workspace.xml
+.idea/.name
+.idea/vnpy.iml
+*.xml

vn.ctp/vnctpmd/test/mdtest.py

@@ -1,6 +1,7 @@
 # encoding: UTF-8
 
 import sys
+
 from time import sleep
 
 from PyQt4 import QtGui

vn.data/azure_mssql.py

@@ -0,0 +1,96 @@
+# encoding: UTF-8
+#!/usr/bin/env python
+#-------------------------------------------------------------------------------
+# Name: azure_mssql.py
+# Purpose: 使用 pymssql库链接Azure的MSSQL
+#
+# Author: IncenseLee@hotmail.com
+#
+# Created: 09/19/2015
+#-------------------------------------------------------------------------------
+
+import pymssql
+
+
+class azure_mssql:
+    """
+    对pymssql的简单封装
+    pymssql库，该库到这里下载：http://www.lfd.uci.edu/~gohlke/pythonlibs/#pymssql
+    使用该库时，需要在Sql Server Configuration Manager里面将TCP/IP协议开启
+
+    http://pymssql.sourceforge.net/ref_pymssql.php
+
+    sql语句中有中文的时候进行encode
+    insertSql = "insert into WeiBo([UserId],[WeiBoContent],[PublishDate]) values(1,'测试','2012/2/1')".encode("utf8")
+    连接的时候加入charset设置信息
+    pymssql.connect(host=self.host,user=self.user,password=self.pwd,database=self.db,charset="utf8")
+    用法：
+
+    """
+
+    def __init__(self,host,user,pwd,db):
+        self.host = host
+        self.user = user
+        self.pwd = pwd
+        self.db = db
+
+    def __get_connect(self):
+        """
+        得到连接信息
+        返回: conn.cursor()
+        """
+        if not self.db:
+            raise(NameError,"没有设置数据库信息")
+        self.conn = pymssql.connect(host=self.host, user=self.user, password=self.pwd, database=self.db, charset="utf8")
+        cur = self.conn.cursor()
+        if not cur:
+            raise(NameError,"连接数据库失败")
+        else:
+            return cur
+
+    def exec_query(self,sql):
+        """
+        执行查询语句
+        返回的是一个包含tuple的list，list的元素是记录行，tuple的元素是每行记录的字段
+
+        调用示例：
+                ms = azure_mssql(host="stock.database.windows.net",user="sqladmin",pwd="7uhb*IJN",db="stockcn")
+                resList = ms.ExecQuery("SELECT id,NickName FROM WeiBoUser")
+                for (id,NickName) in resList:
+                    print str(id),NickName
+        """
+        cur = self.__get_connect()
+        cur.execute(sql)
+        resList = cur.fetchall()
+
+        #查询完毕后必须关闭连接
+        self.conn.close()
+        return resList
+
+    def exec_non_query(self,sql):
+        """
+        执行非查询语句
+
+        调用示例：
+            cur = self.__GetConnect()
+            cur.execute(sql)
+            self.conn.commit()
+            self.conn.close()
+        """
+        cur = self.__get_connect()
+        cur.execute(sql)
+        self.conn.commit()
+        self.conn.close()
+
+def main():
+## ms = azure_mssql(host="stock.database.windows.net",user="sqladmin",pwd="7uhb*IJN",db="stockcn")
+## #返回的是一个包含tuple的list，list的元素是记录行，tuple的元素是每行记录的字段
+## ms.ExecNonQuery("insert into WeiBoUser values('2','3')")
+
+    ms = azure_mssql(host="stock.database.windows.net:1433", user="sqladmin", pwd="7uhb*IJN", db="stockcn")
+    resList = ms.exec_query("SELECT  count(*) as recordcounts  FROM tb_ami")
+    for (recordcounts) in resList:
+        print str(recrodcounts).decode("utf8")
+
+if __name__ == '__main__':
+    main()

vn.data/test_mysql.py

@@ -0,0 +1,47 @@
+# encoding: UTF-8
+
+import MySQLdb
+
+try:
+    #连接数据库
+    conn = MySQLdb.connect(host='vnpy.cloudapp.net', user='stockcn', passwd='7uhb*IJN', db='stockcn', port=3306)
+
+    #获取指针
+    cur = conn.cursor(MySQLdb.cursors.DictCursor)
+
+    symbol = 'a'
+
+    #执行脚本，返回记录数
+    count = cur.execute(' select \'{0}\' as InstrumentID, str_to_date(concat(ndate,\' \', ntime),\'%Y-%m-%d %H:%i:%s\') as UpdateTime,price as LastPrice,vol as Volume,position_vol as OpenInterest,bid1_price as BidPrice1,bid1_vol as BidVolume1, sell1_price as AskPrice1, sell1_vol as AskVolume1 from TB_{0}MI limit 0,100;'.format(symbol))
+    print 'there has %s rows record' % count
+
+
+    #取回第一条记录
+    result = cur.fetchone()
+    print result
+
+    #取回5条记录
+    results = cur.fetchmany(5)
+    for r in results:
+        print r
+
+    print '=='*10
+    cur.scroll(0, mode = 'absolute')
+
+    results = cur.fetchall()
+
+    desc = cur.description
+    print 'cur.description:', desc
+
+    for r in results:
+        #InstrumentID, UpdateTime, LastPrice, Volume, OpenInterest, BidPrice1, BidVolume1, AskPrice1, AskVolume1 = r
+        #print InstrumentID, UpdateTime
+        #print LastPrice*Volume;
+        print r['InstrumentID'], float(r['LastPrice'])
+
+    
+    #关闭指针，关闭连接
+    cur.close()
+    conn.close()
+except MySQLdb.Error, e:
+     print "Mysql Error %d: %s" % (e.args[0], e.args[1])

vn.strategy/backtestingEngine.py

@@ -3,7 +3,7 @@
 import shelve
 
 from eventEngine import *
-from pymongo import Connection
+from pymongo import MongoClient as Connection
 from pymongo.errors import *
 
 from strategyEngine import *

vn.strategy/strategydemo/backtestingEngine.py

@@ -1,10 +1,12 @@
 # encoding: UTF-8
 
 import shelve
+import MySQLdb
 
 from eventEngine import *
 from pymongo import  MongoClient as Connection
 from pymongo.errors import *
+from datetime import datetime, timedelta, time
 
 from strategyEngine import *
 
@@ -73,11 +75,12 @@ class BacktestingEngine(object):
             self.__mongoTickDB = self.__mongoConnection['TickDB']
             self.writeLog(u'回测引擎连接MongoDB成功')
         except ConnectionFailure:
-            self.writeLog(u'回测引擎连接MongoDB失败') 
-            
+            self.writeLog(u'回测引擎连接MongoDB失败')
+
+
     #----------------------------------------------------------------------
-    def loadDataHistory(self, symbol, startDate, endDate):
-        """载入历史TICK数据"""
+    def loadMongoDataHistory(self, symbol, startDate, endDate):
+        """从Mongo载入历史TICK数据"""
         if self.__mongoConnected:
             collection = self.__mongoTickDB[symbol]
             
@@ -95,7 +98,98 @@ class BacktestingEngine(object):
             self.writeLog(u'历史TICK数据载入完成')
         else:
             self.writeLog(u'MongoDB未连接，请检查')
-            
+
+
+    #----------------------------------------------------------------------
+    def connectMysql(self):
+        """连接MysqlDB"""
+        try:
+            self.__mysqlConnection = MySQLdb.connect(host='vnpy.cloudapp.net', user='stockcn',
+                                                     passwd='7uhb*IJN', db='stockcn', port=3306)
+            self.__mysqlConnected = True
+            self.writeLog(u'回测引擎连接MysqlDB成功')
+        except ConnectionFailure:
+            self.writeLog(u'回测引擎连接MysqlDB失败')
+    #----------------------------------------------------------------------
+    def loadMysqlDataHistory(self, symbol, startDate, endDate):
+        """从Mysql载入历史TICK数据,"""
+        try:
+
+            if self.__mysqlConnected:
+
+                #获取指针
+                cur = self.__mysqlConnection.cursor(MySQLdb.cursors.DictCursor)
+
+                if endDate:
+
+                   sqlstring = ' select \'{0}\' as InstrumentID, str_to_date(concat(ndate,\' \', ntime),' \
+                               '\'%Y-%m-%d %H:%i:%s\') as UpdateTime,price as LastPrice,vol as Volume,' \
+                               'position_vol as OpenInterest,bid1_price as BidPrice1,bid1_vol as BidVolume1, ' \
+                               'sell1_price as AskPrice1, sell1_vol as AskVolume1 from TB_{0}MI ' \
+                               'where ndate between cast(\'{1}\' as date) and cast(\'{2}\' as date)'.format(symbol,  startDate, endDate)
+
+                elif startDate:
+
+                   sqlstring = ' select \'{0}\' as InstrumentID,str_to_date(concat(ndate,\' \', ntime),' \
+                               '\'%Y-%m-%d %H:%i:%s\') as UpdateTime,price as LastPrice,vol as Volume,' \
+                               'position_vol as OpenInterest,bid1_price as BidPrice1,bid1_vol as BidVolume1, ' \
+                               'sell1_price as AskPrice1, sell1_vol as AskVolume1 from TB__{0}MI ' \
+                               'where ndate > cast(\'{1}\' as date)'.format( symbol, startDate)
+
+                else:
+
+                   sqlstring =' select \'{0}\' as InstrumentID,str_to_date(concat(ndate,\' \', ntime),' \
+                              '\'%Y-%m-%d %H:%i:%s\') as UpdateTime,price as LastPrice,vol as Volume,' \
+                              'position_vol as OpenInterest,bid1_price as BidPrice1,bid1_vol as BidVolume1, ' \
+                              'sell1_price as AskPrice1, sell1_vol as AskVolume1 from TB__{0}MI '.format(symbol)
+
+                self.writeLog(sqlstring)
+
+                count = cur.execute(sqlstring)
+
+                # 将TICK数据读入内存
+                self.listDataHistory = cur.fetchall()
+
+                self.writeLog(u'历史TICK数据载入完成，共{0}条'.format(count))
+            else:
+                self.writeLog(u'MysqlDB未连接，请检查')
+        except MySQLdb.Error, e:
+            self.writeLog(u'MysqlDB载入数据失败，请检查.Error {0}: {1}'.format(e.arg[0],e.arg[1]))
+
+    #----------------------------------------------------------------------
+    def getMysqlDeltaDate(self,symbol, startDate, decreaseDays):
+        try:
+            if self.__mysqlConnected:
+
+                #获取指针
+                cur = self.__mysqlConnection.cursor()
+
+                sqlstring='select distinct ndate from TB_{0}MI where ndate < ' \
+                          'cast(\'{1}\' as date) order by ndate desc limit {2},1'.format(symbol, startDate, decreaseDays-1)
+
+                self.writeLog(sqlstring)
+
+                count = cur.execute(sqlstring)
+
+                if count > 0:
+
+                    result = cur.fetchone()
+
+                    return result[0]
+
+                else:
+                    self.writeLog(u'MysqlDB没有查询结果，请检查日期')
+
+            else:
+                self.writeLog(u'MysqlDB未连接，请检查')
+
+        except MySQLdb.Error, e:
+            self.writeLog(u'MysqlDB载入数据失败，请检查.Error {0}: {1}'.format(e.arg[0],e.arg[1]))
+
+        td = timedelta(days=3)
+
+        return startDate-td;
+
     #----------------------------------------------------------------------
     def processLimitOrder(self):
         """处理限价单"""
@@ -123,7 +217,9 @@ class BacktestingEngine(object):
         tradeData['OffsetFlag'] = order.offset
         tradeData['Price'] = price
         tradeData['Volume'] = order.volume
-        
+
+        print tradeData
+
         tradeEvent = Event()
         tradeEvent.dict_['data'] = tradeData
         self.strategyEngine.updateTrade(tradeEvent)
@@ -200,7 +296,13 @@ class BacktestingEngine(object):
     def writeLog(self, log):
         """写日志"""
         print log
-        
+
+
+    #----------------------------------------------------------------------
+    def subscribe(self, symbol, exchange):
+        """仿真订阅合约"""
+        pass
+
     #----------------------------------------------------------------------
     def selectInstrument(self, symbol):
         """读取合约数据"""
@@ -214,11 +316,7 @@ class BacktestingEngine(object):
         f = shelve.open('result.vn')
         f['listTrade'] = self.listTrade
         f.close()
-        
-    #----------------------------------------------------------------------
-    def subscribe(self, symbol, exchange):
         """仿真订阅合约"""
         pass
-        
-    
-    
+
+

vn.strategy/strategydemo/demoApi.py

@@ -129,8 +129,7 @@ class DemoMdApi(MdApi):
             #for instrument in self.__setSubscribed:
                 #self.subscribe(instrument[0], instrument[1])
 
-        onRspUserLogin
-        
+
         print u'DemoApi.py DemoMdApi.onRspUserLogin() end'     
            
     #---------------------------------------------------------------------- 
@@ -162,9 +161,7 @@ class DemoMdApi(MdApi):
     #----------------------------------------------------------------------  
     def onRspUnSubMarketData(self, data, error, n, last):
         """退订合约回报"""
-
-        onRspUnSubMarketData
-
+        print u'DemoApi.py DemoMdApi.onRspUnSubMarketData()'
         # 同上
         pass  
         

vn.strategy/strategydemo/demoBacktesting.py

@@ -3,12 +3,14 @@
 from strategyEngine import *
 from backtestingEngine import *
 from demoStrategy import SimpleEmaStrategy
+import decimal
 
 
 
 # 回测脚本    
 if __name__ == '__main__':
-    symbol = 'IF1506'
+    #symbol = 'IF1506'
+    symbol = 'a'
     
     # 创建回测引擎
     be = BacktestingEngine()
@@ -18,20 +20,25 @@ if __name__ == '__main__':
     be.setStrategyEngine(se)
     
     # 初始化回测引擎
-    be.connectMongo()
-    be.loadDataHistory(symbol, datetime(2015,5,1), datetime.today())
-    
+    #be.connectMongo()
+    be.connectMysql()
+    #be.loadMongoDataHistory(symbol, datetime(2015,5,1), datetime.today())
+    #be.loadMongoDataHistory(symbol, datetime(2012,1,9), datetime(2012,1,14))
+    be.loadMysqlDataHistory(symbol, datetime(2012,1,9), datetime(2012,1,20))
+
     # 创建策略对象
     setting = {}
     setting['fastAlpha'] = 0.2
-    setting['slowAlpha'] = 0.05
-    setting['startDate'] = datetime(year=2015, month=5, day=20)
+    setting['slowAlpha'] =  0.05
+    #setting['startDate'] = datetime(year=2015, month=5, day=20)
+    setting['startDate'] = datetime(year=2012, month=1, day=9)
+
     se.createStrategy(u'EMA演示策略', symbol, SimpleEmaStrategy, setting)
-    
+
     # 启动所有策略
     se.startAll()
-    
+
     # 开始回测
     be.startBacktesting()
-    
+
 

vn.training/moving_average.py

@@ -0,0 +1,30 @@
+import numpy as np
+import matplotlib.pyplot as plt
+
+#first generate some datapoint for a randomly sampled noisy sinewave
+x = np.random.random(1000)*10
+noise = np.random.normal(scale=0.3,size=len(x))
+y = np.sin(x) + noise
+
+#plot the data
+plt.plot(x,y,'ro',alpha=0.3,ms=4,label='data')
+plt.xlabel('Time')
+plt.ylabel('Intensity')
+
+#define a moving average function
+def moving_average(x,y,step_size=.1,bin_size=1):
+    bin_centers  = np.arange(np.min(x),np.max(x)-0.5*step_size,step_size)+0.5*step_size
+    bin_avg = np.zeros(len(bin_centers))
+
+    for index in range(0,len(bin_centers)):
+        bin_center = bin_centers[index]
+        items_in_bin = y[(x>(bin_center-bin_size*0.5) ) & (x<(bin_center+bin_size*0.5))]
+        bin_avg[index] = np.mean(items_in_bin)
+
+    return bin_centers,bin_avg
+
+#plot the moving average
+bins, average = moving_average(x,y)
+plt.plot(bins, average,label='moving average')
+
+plt.show()

vn.training/t1.py

@@ -0,0 +1,7 @@
+# encoding: UTF-8
+import matplotlib.pyplot as plt
+
+plt.plot([10,20,30])
+plt.xlabel('times')
+plt.ylabel('numbers')
+plt.show()