data issue
This commit is contained in:
msincenselee
parent
83e50ac220
commit
cbf320dc39
@ -69,6 +69,16 @@ class BacktestingEngine(object):
|
||||
|
||||
# 回测编号
|
||||
self.Id = datetime.now().strftime('%Y%m%d-%H%M%S')
|
||||
|
||||
# 回测对象
|
||||
self.symbol = ''
|
||||
|
||||
# 回测开始日期
|
||||
self.startDate = None
|
||||
|
||||
# 回测结束日期
|
||||
self.endDate = None
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def setStrategyEngine(self, engine):
|
||||
@ -114,16 +124,27 @@ class BacktestingEngine(object):
|
||||
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.__mysqlConnection = MySQLdb.connect(host='vnpy.cloudapp.net', user='vnpy',
|
||||
passwd='vnpy', 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 setDataHistory(self, symbol, startDate, endDate):
|
||||
"""设置Tick历史数据的加载要求"""
|
||||
self.symbol = symbol
|
||||
self.startDate = startDate
|
||||
self.endDate = endDate
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def loadDataHistory(self, symbol, startDate, endDate):
|
||||
"""载入历史TICK数据,"""
|
||||
"""载入历史TICK数据
|
||||
如果加载过多数据会导致加载失败,间隔不要超过半年
|
||||
"""
|
||||
|
||||
if not endDate:
|
||||
endDate = datetime.today()
|
||||
|
||||
@ -156,10 +177,10 @@ class BacktestingEngine(object):
|
||||
"""看本地缓存是否存在"""
|
||||
|
||||
# 运行路径下cache子目录
|
||||
cacheFolder = os.getcwd()+'\/cache'
|
||||
cacheFolder = os.getcwd()+'/cache'
|
||||
|
||||
# cache文件
|
||||
cacheFile = u'{0}\/{1}_{2}_{3}.pickle'.\
|
||||
cacheFile = u'{0}/{1}_{2}_{3}.pickle'.\
|
||||
format(cacheFolder, symbol, startDate.strftime('%Y-%m-%d'), endDate.strftime('%Y-%m-%d'))
|
||||
|
||||
if not os.path.isfile(cacheFile):
|
||||
@ -176,14 +197,14 @@ class BacktestingEngine(object):
|
||||
"""保存本地缓存"""
|
||||
|
||||
# 运行路径下cache子目录
|
||||
cacheFolder = os.getcwd()+'\/cache'
|
||||
cacheFolder = os.getcwd()+'/cache'
|
||||
|
||||
# 创建cache子目录
|
||||
if not os.path.isdir(cacheFolder):
|
||||
os.mkdir(cacheFolder)
|
||||
|
||||
# cache 文件名
|
||||
cacheFile = u'{0}\/{1}_{2}_{3}.pickle'.\
|
||||
cacheFile = u'{0}/{1}_{2}_{3}.pickle'.\
|
||||
format(cacheFolder, symbol, startDate.strftime('%Y-%m-%d'), endDate.strftime('%Y-%m-%d'))
|
||||
|
||||
# 重复存在 返回
|
||||
@ -202,7 +223,7 @@ class BacktestingEngine(object):
|
||||
"""从Mysql载入历史TICK数据,"""
|
||||
#Todo :判断开始和结束时间，如果间隔天过长，数据量会过大，需要批次提取。
|
||||
try:
|
||||
|
||||
self.connectMysql()
|
||||
if self.__mysqlConnected:
|
||||
|
||||
|
||||
@ -381,25 +402,50 @@ class BacktestingEngine(object):
|
||||
def startBacktesting(self):
|
||||
"""开始回测"""
|
||||
|
||||
ISOTIMEFORMAT = '%Y-%m-%d %X'
|
||||
if not self.startDate:
|
||||
self.writeLog(u'回测开始日期未设置。')
|
||||
return
|
||||
|
||||
if not self.endDate:
|
||||
self.endDate = datetime.today()
|
||||
|
||||
if len(self.symbol)<1:
|
||||
self.writeLog(u'回测对象未设置。')
|
||||
return
|
||||
|
||||
t1 = datetime.now()
|
||||
|
||||
self.writeLog(u'开始回测,{0}'.format(str(t1 )))
|
||||
|
||||
for data in self.listDataHistory:
|
||||
# 每次获取日期周期
|
||||
intervalDays = 90
|
||||
|
||||
for i in range (0,(self.endDate - self.startDate).days +1, intervalDays):
|
||||
d1 = self.startDate + timedelta(days = i )
|
||||
|
||||
# 记录最新的TICK数据
|
||||
self.currentData = data
|
||||
if (self.endDate - d1).days > 10:
|
||||
d2 = self.startDate + timedelta(days = i + intervalDays -1 )
|
||||
else:
|
||||
d2 = self.endDate
|
||||
|
||||
# 处理限价单
|
||||
self.processLimitOrder()
|
||||
# 提取历史数据
|
||||
self.loadDataHistory(self.symbol, d1, d2)
|
||||
|
||||
# 推送到策略引擎中
|
||||
event = Event()
|
||||
event.dict_['data'] = data
|
||||
self.strategyEngine.updateMarketData(event)
|
||||
# 将逐笔数据推送
|
||||
for data in self.listDataHistory:
|
||||
|
||||
# 记录最新的TICK数据
|
||||
self.currentData = data
|
||||
|
||||
# 处理限价单
|
||||
self.processLimitOrder()
|
||||
|
||||
# 推送到策略引擎中
|
||||
event = Event()
|
||||
event.dict_['data'] = data
|
||||
self.strategyEngine.updateMarketData(event)
|
||||
|
||||
# 清空历史数据
|
||||
self.listDataHistory = []
|
||||
|
||||
# 保存交易到本地结果
|
||||
self.saveTradeData()
|
||||
|
||||
@ -22,7 +22,8 @@ def main():
|
||||
be.connectMysql()
|
||||
# be.loadMongoDataHistory(symbol, datetime(2015,5,1), datetime.today())
|
||||
# be.loadMongoDataHistory(symbol, datetime(2012,1,9), datetime(2012,1,14))
|
||||
be.loadDataHistory(symbol, datetime(2012,1,1), datetime(2012,1,30))
|
||||
|
||||
be.setDataHistory(symbol, datetime(2012,1,1), datetime(2012,12,31))
|
||||
|
||||
# 创建策略对象
|
||||
setting = {}
|
||||
|
||||
@ -374,7 +374,7 @@ def main():
|
||||
# 创建策略对象
|
||||
setting = {}
|
||||
setting['fastAlpha'] = 0.2
|
||||
setting['slowAlpha'] = 0.09
|
||||
setting['slowAlpha'] = 0.05
|
||||
# se.createStrategy(u'EMA演示策略', 'IF1506', SimpleEmaStrategy, setting)
|
||||
se.createStrategy(u'EMA演示策略', 'a', SimpleEmaStrategy, setting)
|
||||
|
||||
|
||||
@ -443,12 +443,12 @@ class StrategyEngine(object):
|
||||
"""
|
||||
|
||||
# 保存本地pickle文件
|
||||
resultPath=os.getcwd()+'\/result'
|
||||
resultPath=os.getcwd()+'/result'
|
||||
|
||||
if not os.path.isdir(resultPath):
|
||||
os.mkdir(resultPath)
|
||||
|
||||
resultFile = u'{0}\\{1}_Bar.pickle'.format(resultPath,id)
|
||||
resultFile = u'{0}/{1}_Bar.pickle'.format(resultPath,id)
|
||||
|
||||
cache= open(resultFile, mode='w')
|
||||
|
||||
@ -520,12 +520,12 @@ class StrategyEngine(object):
|
||||
"""
|
||||
|
||||
# 保存本地pickle文件
|
||||
resultPath=os.getcwd()+'\/result'
|
||||
resultPath=os.getcwd()+'/result'
|
||||
|
||||
if not os.path.isdir(resultPath):
|
||||
os.mkdir(resultPath)
|
||||
|
||||
resultFile = u'{0}\\{1}_Ema.pickle'.format(resultPath, id)
|
||||
resultFile = u'{0}/{1}_Ema.pickle'.format(resultPath, id)
|
||||
cache= open(resultFile, mode='w')
|
||||
cPickle.dump(emaList,cache)
|
||||
cache.close()
|
||||
|
||||
Loading…
Reference in New Issue
Block a user