data issue
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msincenselee
parent
83e50ac220
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cbf320dc39
@ -70,6 +70,16 @@ class BacktestingEngine(object):
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# 回测编号
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self.Id = datetime.now().strftime('%Y%m%d-%H%M%S')
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# 回测对象
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self.symbol = ''
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# 回测开始日期
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self.startDate = None
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# 回测结束日期
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self.endDate = None
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#----------------------------------------------------------------------
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def setStrategyEngine(self, engine):
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"""设置策略引擎"""
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@ -114,16 +124,27 @@ class BacktestingEngine(object):
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def connectMysql(self):
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"""连接MysqlDB"""
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try:
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self.__mysqlConnection = MySQLdb.connect(host='vnpy.cloudapp.net', user='stockcn',
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passwd='7uhb*IJN', db='stockcn', port=3306)
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self.__mysqlConnection = MySQLdb.connect(host='vnpy.cloudapp.net', user='vnpy',
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passwd='vnpy', db='stockcn', port=3306)
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self.__mysqlConnected = True
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self.writeLog(u'回测引擎连接MysqlDB成功')
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except ConnectionFailure:
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self.writeLog(u'回测引擎连接MysqlDB失败')
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#----------------------------------------------------------------------
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def setDataHistory(self, symbol, startDate, endDate):
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"""设置Tick历史数据的加载要求"""
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self.symbol = symbol
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self.startDate = startDate
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self.endDate = endDate
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#----------------------------------------------------------------------
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def loadDataHistory(self, symbol, startDate, endDate):
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"""载入历史TICK数据,"""
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"""载入历史TICK数据
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如果加载过多数据会导致加载失败,间隔不要超过半年
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"""
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if not endDate:
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endDate = datetime.today()
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@ -156,10 +177,10 @@ class BacktestingEngine(object):
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"""看本地缓存是否存在"""
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# 运行路径下cache子目录
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cacheFolder = os.getcwd()+'\/cache'
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cacheFolder = os.getcwd()+'/cache'
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# cache文件
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cacheFile = u'{0}\/{1}_{2}_{3}.pickle'.\
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cacheFile = u'{0}/{1}_{2}_{3}.pickle'.\
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format(cacheFolder, symbol, startDate.strftime('%Y-%m-%d'), endDate.strftime('%Y-%m-%d'))
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if not os.path.isfile(cacheFile):
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@ -176,14 +197,14 @@ class BacktestingEngine(object):
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"""保存本地缓存"""
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# 运行路径下cache子目录
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cacheFolder = os.getcwd()+'\/cache'
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cacheFolder = os.getcwd()+'/cache'
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# 创建cache子目录
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if not os.path.isdir(cacheFolder):
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os.mkdir(cacheFolder)
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# cache 文件名
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cacheFile = u'{0}\/{1}_{2}_{3}.pickle'.\
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cacheFile = u'{0}/{1}_{2}_{3}.pickle'.\
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format(cacheFolder, symbol, startDate.strftime('%Y-%m-%d'), endDate.strftime('%Y-%m-%d'))
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# 重复存在 返回
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@ -202,7 +223,7 @@ class BacktestingEngine(object):
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"""从Mysql载入历史TICK数据,"""
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#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。
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try:
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self.connectMysql()
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if self.__mysqlConnected:
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@ -381,14 +402,36 @@ class BacktestingEngine(object):
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def startBacktesting(self):
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"""开始回测"""
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ISOTIMEFORMAT = '%Y-%m-%d %X'
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if not self.startDate:
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self.writeLog(u'回测开始日期未设置。')
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return
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if not self.endDate:
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self.endDate = datetime.today()
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if len(self.symbol)<1:
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self.writeLog(u'回测对象未设置。')
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return
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t1 = datetime.now()
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self.writeLog(u'开始回测,{0}'.format(str(t1 )))
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for data in self.listDataHistory:
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# 每次获取日期周期
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intervalDays = 90
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for i in range (0,(self.endDate - self.startDate).days +1, intervalDays):
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d1 = self.startDate + timedelta(days = i )
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if (self.endDate - d1).days > 10:
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d2 = self.startDate + timedelta(days = i + intervalDays -1 )
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else:
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d2 = self.endDate
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# 提取历史数据
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self.loadDataHistory(self.symbol, d1, d2)
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# 将逐笔数据推送
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for data in self.listDataHistory:
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# 记录最新的TICK数据
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self.currentData = data
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@ -401,6 +444,9 @@ class BacktestingEngine(object):
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event.dict_['data'] = data
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self.strategyEngine.updateMarketData(event)
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# 清空历史数据
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self.listDataHistory = []
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# 保存交易到本地结果
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self.saveTradeData()
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@ -22,7 +22,8 @@ def main():
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be.connectMysql()
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# be.loadMongoDataHistory(symbol, datetime(2015,5,1), datetime.today())
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# be.loadMongoDataHistory(symbol, datetime(2012,1,9), datetime(2012,1,14))
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be.loadDataHistory(symbol, datetime(2012,1,1), datetime(2012,1,30))
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be.setDataHistory(symbol, datetime(2012,1,1), datetime(2012,12,31))
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# 创建策略对象
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setting = {}
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@ -374,7 +374,7 @@ def main():
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# 创建策略对象
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setting = {}
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setting['fastAlpha'] = 0.2
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setting['slowAlpha'] = 0.09
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setting['slowAlpha'] = 0.05
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# se.createStrategy(u'EMA演示策略', 'IF1506', SimpleEmaStrategy, setting)
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se.createStrategy(u'EMA演示策略', 'a', SimpleEmaStrategy, setting)
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@ -443,12 +443,12 @@ class StrategyEngine(object):
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"""
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# 保存本地pickle文件
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resultPath=os.getcwd()+'\/result'
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resultPath=os.getcwd()+'/result'
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if not os.path.isdir(resultPath):
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os.mkdir(resultPath)
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resultFile = u'{0}\\{1}_Bar.pickle'.format(resultPath,id)
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resultFile = u'{0}/{1}_Bar.pickle'.format(resultPath,id)
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cache= open(resultFile, mode='w')
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@ -520,12 +520,12 @@ class StrategyEngine(object):
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"""
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# 保存本地pickle文件
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resultPath=os.getcwd()+'\/result'
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resultPath=os.getcwd()+'/result'
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if not os.path.isdir(resultPath):
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os.mkdir(resultPath)
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resultFile = u'{0}\\{1}_Ema.pickle'.format(resultPath, id)
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resultFile = u'{0}/{1}_Ema.pickle'.format(resultPath, id)
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cache= open(resultFile, mode='w')
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cPickle.dump(emaList,cache)
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cache.close()
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