Merge remote-tracking branch 'remotes/origin/DEV' into newest_data

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

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()

vnpy/app/cta_strategy/engine.py

@@ -5,7 +5,7 @@ import os
 import traceback
 from collections import defaultdict
 from pathlib import Path
-from typing import Any, Callable, List
+from typing import Any, Callable
 from datetime import datetime, timedelta
 from threading import Thread
 from queue import Queue
@@ -37,7 +37,7 @@ from vnpy.trader.constant import (
 )
 from vnpy.trader.utility import load_json, save_json, extract_vt_symbol
 from vnpy.trader.database import database_manager
-from vnpy.trader.setting import SETTINGS
+from vnpy.trader.rqdata import rqdata_client
 
 from .base import (
     APP_NAME,
@@ -124,26 +124,9 @@ class CtaEngine(BaseEngine):
         """
         Init RQData client.
         """
-        username = SETTINGS["rqdata.username"]
-        password = SETTINGS["rqdata.password"]
-        if not username or not password:
-            return
-
-        import rqdatac
-        
-        self.rq_client = rqdatac
-        self.rq_client.init(username, password,
-                            ('rqdatad-pro.ricequant.com', 16011))
-
-        try:
-            df = self.rq_client.all_instruments(
-                type='Future', date=datetime.now())
-            for ix, row in df.iterrows():
-                self.rq_symbols.add(row['order_book_id'])
-        except RuntimeError:
-            pass
-
-        self.write_log("RQData数据接口初始化成功")
+        result = rqdata_client.init()
+        if result:
+            self.write_log("RQData数据接口初始化成功")
 
     def query_bar_from_rq(
         self, symbol: str, exchange: Exchange, interval: Interval, start: datetime, end: datetime
@@ -151,36 +134,9 @@ class CtaEngine(BaseEngine):
         """
         Query bar data from RQData.
         """
-        rq_symbol = to_rq_symbol(symbol, exchange)
-        if rq_symbol not in self.rq_symbols:
-            return None
-        
-        end += timedelta(1)     # For querying night trading period data
-
-        df = self.rq_client.get_price(
-            rq_symbol,
-            frequency=interval.value,
-            fields=["open", "high", "low", "close", "volume"],
-            start_date=start,
-            end_date=end
+        data = rqdata_client.query_bar(
+            symbol, exchange, interval, start, end
         )
-
-        data: List[BarData] = []
-        for ix, row in df.iterrows():
-            bar = BarData(
-                symbol=symbol,
-                exchange=exchange,
-                interval=interval,
-                datetime=row.name.to_pydatetime(),
-                open_price=row["open"],
-                high_price=row["high"],
-                low_price=row["low"],
-                close_price=row["close"],
-                volume=row["volume"],
-                gateway_name="RQ"
-            )
-            data.append(bar)
-
         return data
 
     def process_tick_event(self, event: Event):
@@ -915,29 +871,3 @@ class CtaEngine(BaseEngine):
             subject = "CTA策略引擎"
 
         self.main_engine.send_email(subject, msg)
-
-
-def to_rq_symbol(symbol: str, exchange: Exchange):
-    """
-    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
-    else:
-        year = "2" + year
-
-    rq_symbol = f"{product}{year}{month}".upper()
-    return rq_symbol

vnpy/trader/rqdata.py

@@ -0,0 +1,123 @@
+from datetime import datetime, timedelta
+from typing import List
+
+from rqdatac import init as rqdata_init
+from rqdatac.services.basic import all_instruments as rqdata_all_instruments
+from rqdatac.services.get_price import get_price as rqdata_get_price
+
+from .setting import SETTINGS
+from .constant import Exchange, Interval
+from .object import BarData
+
+
+class RqdataClient:
+    """
+    Client for querying history data from RQData.
+    """
+
+    def __init__(self):
+        """"""
+        self.username = SETTINGS["rqdata.username"]
+        self.password = SETTINGS["rqdata.password"]
+
+        self.inited = False
+        self.symbols = set()
+
+    def init(self):
+        """"""
+        if self.inited:
+            return True
+
+        if not self.username or not self.password:
+            return False
+
+        rqdata_init(self.username, self.password,
+                    ('rqdatad-pro.ricequant.com', 16011))
+
+        try:
+            df = rqdata_all_instruments(date=datetime.now())
+            for ix, row in df.iterrows():
+                self.symbols.add(row['order_book_id'])
+        except RuntimeError:
+            return False
+
+        self.inited = True
+        return True
+
+    def to_rq_symbol(self, symbol: str, exchange: Exchange):
+        """
+        CZCE product of RQData has symbol like "TA1905" while
+        vt symbol is "TA905.CZCE" so need to add "1" in symbol.
+        """
+        if exchange in [Exchange.SSE, Exchange.SZSE]:
+            if exchange == Exchange.SSE:
+                rq_symbol = f"{symbol}.XSHG"
+            else:
+                rq_symbol = f"{symbol}.XSHE"
+        else:
+            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()
+
+        return rq_symbol
+
+    def query_bar(
+        self,
+        symbol: str,
+        exchange: Exchange,
+        interval: Interval,
+        start: datetime,
+        end: datetime
+    ):
+        """
+        Query bar data from RQData.
+        """
+        rq_symbol = self.to_rq_symbol(symbol, exchange)
+        if rq_symbol not in self.symbols:
+            return None
+
+        end += timedelta(1)     # For querying night trading period data
+
+        df = rqdata_get_price(
+            rq_symbol,
+            frequency=interval.value,
+            fields=["open", "high", "low", "close", "volume"],
+            start_date=start,
+            end_date=end
+        )
+
+        data: List[BarData] = []
+        for ix, row in df.iterrows():
+            bar = BarData(
+                symbol=symbol,
+                exchange=exchange,
+                interval=interval,
+                datetime=row.name.to_pydatetime(),
+                open_price=row["open"],
+                high_price=row["high"],
+                low_price=row["low"],
+                close_price=row["close"],
+                volume=row["volume"],
+                gateway_name="RQ"
+            )
+            data.append(bar)
+
+        return data
+
+
+rqdata_client = RqdataClient()