From bd3664603689a2abc9c8d095c70eb33d14373719 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Thu, 18 Apr 2019 11:27:50 +0800 Subject: [PATCH] [Add]download history data function into CtaBacktester --- vnpy/app/cta_backtester/engine.py | 70 ++++++++++++++++++++++++++-- vnpy/app/cta_backtester/ui/widget.py | 26 +++++++++++ vnpy/app/cta_strategy/engine.py | 1 - vnpy/trader/rqdata.py | 42 ++++++++++------- vnpy/trader/utility.py | 2 +- 5 files changed, 118 insertions(+), 23 deletions(-) diff --git a/vnpy/app/cta_backtester/engine.py b/vnpy/app/cta_backtester/engine.py index 40c45f87..b7267fe2 100644 --- a/vnpy/app/cta_backtester/engine.py +++ b/vnpy/app/cta_backtester/engine.py @@ -7,13 +7,16 @@ from pathlib import Path from vnpy.event import Event, EventEngine from vnpy.trader.engine import BaseEngine, MainEngine +from vnpy.trader.constant import Interval +from vnpy.trader.utility import extract_vt_symbol +from vnpy.trader.rqdata import rqdata_client +from vnpy.trader.database import database_manager from vnpy.app.cta_strategy import ( CtaTemplate, BacktestingEngine, OptimizationSetting ) - APP_NAME = "CtaBacktester" EVENT_BACKTESTER_LOG = "eBacktesterLog" @@ -53,6 +56,16 @@ class BacktesterEngine(BaseEngine): self.write_log("策略文件加载完成") + self.init_rqdata() + + def init_rqdata(self): + """ + Init RQData client. + """ + result = rqdata_client.init() + if result: + self.write_log("RQData数据接口初始化成功") + def write_log(self, msg: str): """""" event = Event(EVENT_BACKTESTER_LOG) @@ -167,7 +180,7 @@ class BacktesterEngine(BaseEngine): setting: dict ): if self.thread: - self.write_log("已有回测或者优化在运行中，请等待完成") + self.write_log("已有任务在运行中，请等待完成") return False self.write_log("-" * 40) @@ -275,7 +288,7 @@ class BacktesterEngine(BaseEngine): optimization_setting: OptimizationSetting ): if self.thread: - self.write_log("已有回测或者优化在运行中，请等待完成") + self.write_log("已有任务在运行中，请等待完成") return False self.write_log("-" * 40) @@ -298,3 +311,54 @@ class BacktesterEngine(BaseEngine): self.thread.start() return True + + def run_downloading( + self, + vt_symbol: str, + interval: str, + start: datetime, + end: datetime + ): + """ + Query bar data from RQData. + """ + self.write_log(f"{vt_symbol}-{interval}开始下载历史数据") + + symbol, exchange = extract_vt_symbol(vt_symbol) + data = rqdata_client.query_bar( + symbol, exchange, Interval(interval), start, end + ) + + if not data: + self.write_log(f"数据下载失败，无法获取{vt_symbol}的历史数据") + + database_manager.save_bar_data(data) + + # Clear thread object handler. + self.thread = None + self.write_log(f"{vt_symbol}-{interval}历史数据下载完成") + + def start_downloading( + self, + vt_symbol: str, + interval: str, + start: datetime, + end: datetime + ): + if self.thread: + self.write_log("已有任务在运行中，请等待完成") + return False + + self.write_log("-" * 40) + self.thread = Thread( + target=self.run_downloading, + args=( + vt_symbol, + interval, + start, + end + ) + ) + self.thread.start() + + return True diff --git a/vnpy/app/cta_backtester/ui/widget.py b/vnpy/app/cta_backtester/ui/widget.py index bbed6991..ac9ff738 100644 --- a/vnpy/app/cta_backtester/ui/widget.py +++ b/vnpy/app/cta_backtester/ui/widget.py @@ -92,6 +92,17 @@ class BacktesterManager(QtWidgets.QWidget): self.result_button.clicked.connect(self.show_optimization_result) self.result_button.setEnabled(False) + downloading_button = QtWidgets.QPushButton("下载数据") + downloading_button.clicked.connect(self.start_downloading) + + for button in [ + backtesting_button, + optimization_button, + downloading_button, + self.result_button + ]: + button.setFixedHeight(button.sizeHint().height() * 2) + form = QtWidgets.QFormLayout() form.addRow("交易策略", self.class_combo) form.addRow("本地代码", self.symbol_line) @@ -107,6 +118,7 @@ class BacktesterManager(QtWidgets.QWidget): left_vbox = QtWidgets.QVBoxLayout() left_vbox.addLayout(form) + left_vbox.addWidget(downloading_button) left_vbox.addStretch() left_vbox.addWidget(optimization_button) left_vbox.addWidget(self.result_button) @@ -247,6 +259,20 @@ class BacktesterManager(QtWidgets.QWidget): self.result_button.setEnabled(False) + def start_downloading(self): + """""" + vt_symbol = self.symbol_line.text() + interval = self.interval_combo.currentText() + start = self.start_date_edit.date().toPyDate() + end = self.end_date_edit.date().toPyDate() + + self.backtester_engine.start_downloading( + vt_symbol, + interval, + start, + end + ) + def show_optimization_result(self): """""" result_values = self.backtester_engine.get_result_values() diff --git a/vnpy/app/cta_strategy/engine.py b/vnpy/app/cta_strategy/engine.py index fe1ac68d..ebe8ad73 100644 --- a/vnpy/app/cta_strategy/engine.py +++ b/vnpy/app/cta_strategy/engine.py @@ -871,4 +871,3 @@ class CtaEngine(BaseEngine): subject = "CTA策略引擎" self.main_engine.send_email(subject, msg) - diff --git a/vnpy/trader/rqdata.py b/vnpy/trader/rqdata.py index d440c0d8..4f0f261e 100644 --- a/vnpy/trader/rqdata.py +++ b/vnpy/trader/rqdata.py @@ -35,8 +35,7 @@ class RqdataClient: ('rqdatad-pro.ricequant.com', 16011)) try: - df = rqdata_all_instruments( - type='Future', date=datetime.now()) + df = rqdata_all_instruments(date=datetime.now()) for ix, row in df.iterrows(): self.symbols.add(row['order_book_id']) except RuntimeError: @@ -50,24 +49,31 @@ class RqdataClient: CZCE product of RQData has symbol like "TA1905" while vt symbol is "TA905.CZCE" so need to add "1" in symbol. """ - if exchange is not Exchange.CZCE: - return symbol.upper() - - for count, word in enumerate(symbol): - if word.isdigit(): - break - - # noinspection PyUnboundLocalVariable - product = symbol[:count] - year = symbol[count] - month = symbol[count + 1:] - - if year == "9": - year = "1" + year + if exchange in [Exchange.SSE, Exchange.SZSE]: + if exchange == Exchange.SSE: + rq_symbol = f"{symbol}.XSHG" + else: + rq_symbol = f"{symbol}.XSHE" else: - year = "2" + year + if exchange is not Exchange.CZCE: + return symbol.upper() + + for count, word in enumerate(symbol): + if word.isdigit(): + break + + # noinspection PyUnboundLocalVariable + product = symbol[:count] + year = symbol[count] + month = symbol[count + 1:] + + if year == "9": + year = "1" + year + else: + year = "2" + year + + rq_symbol = f"{product}{year}{month}".upper() - rq_symbol = f"{product}{year}{month}".upper() return rq_symbol def query_bar( diff --git a/vnpy/trader/utility.py b/vnpy/trader/utility.py index 89af4945..60a33485 100644 --- a/vnpy/trader/utility.py +++ b/vnpy/trader/utility.py @@ -4,7 +4,7 @@ General utility functions. import json from pathlib import Path -from typing import Callable, TYPE_CHECKING +from typing import Callable import numpy as np import talib