diff --git a/.gitignore b/.gitignore index 23140e65..cb93bd44 100644 --- a/.gitignore +++ b/.gitignore @@ -36,4 +36,9 @@ Release/ # 其他文件 *.dump -*.vssettings \ No newline at end of file +*.vssettings +vnpy.pyproj.user +.idea/workspace.xml +.idea/.name +.idea/vnpy.iml +*.xml \ No newline at end of file diff --git a/vn.ctp/vnctpmd/test/mdtest.py b/vn.ctp/vnctpmd/test/mdtest.py index 4b288ac5..3bd58a5a 100644 --- a/vn.ctp/vnctpmd/test/mdtest.py +++ b/vn.ctp/vnctpmd/test/mdtest.py @@ -1,6 +1,7 @@ # encoding: UTF-8 import sys + from time import sleep from PyQt4 import QtGui diff --git a/vn.data/azure_mssql.py b/vn.data/azure_mssql.py new file mode 100644 index 00000000..7a59e56f --- /dev/null +++ b/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() \ No newline at end of file diff --git a/vn.data/test_mysql.py b/vn.data/test_mysql.py new file mode 100644 index 00000000..01c8dbc1 --- /dev/null +++ b/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]) \ No newline at end of file diff --git a/vn.strategy/backtestingEngine.py b/vn.strategy/backtestingEngine.py index f94f5068..87a2766d 100644 --- a/vn.strategy/backtestingEngine.py +++ b/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 * diff --git a/vn.strategy/strategydemo/backtestingEngine.py b/vn.strategy/strategydemo/backtestingEngine.py index a4147d76..1d484059 100644 --- a/vn.strategy/strategydemo/backtestingEngine.py +++ b/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 - - - \ No newline at end of file + + diff --git a/vn.strategy/strategydemo/demoApi.py b/vn.strategy/strategydemo/demoApi.py index c490f740..4ed97ce4 100644 --- a/vn.strategy/strategydemo/demoApi.py +++ b/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 diff --git a/vn.strategy/strategydemo/demoBacktesting.py b/vn.strategy/strategydemo/demoBacktesting.py index fc2af7cb..d8cbdc4c 100644 --- a/vn.strategy/strategydemo/demoBacktesting.py +++ b/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() - + diff --git a/vn.training/moving_average.py b/vn.training/moving_average.py new file mode 100644 index 00000000..17cf29ca --- /dev/null +++ b/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() \ No newline at end of file diff --git a/vn.training/t1.py b/vn.training/t1.py new file mode 100644 index 00000000..e9d83604 --- /dev/null +++ b/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() \ No newline at end of file