diff --git a/examples/stock/demo_01.py b/examples/stock/demo_01.py index c2a32f43..b06ee71f 100644 --- a/examples/stock/demo_01.py +++ b/examples/stock/demo_01.py @@ -35,7 +35,7 @@ if __name__ == "__main__": # 获取某个合约得的分时数据,周期是15分钟，返回数据类型是barData print('加载数据') - bars, msg = get_stock_bars(vt_symbol=vt_symbol, freq=bar_freq) + bars, msg = get_stock_bars(vt_symbol=vt_symbol, freq=bar_freq,start_date='2021-03-01') # 创建一个15分钟bar的 kline对象 setting = {} diff --git a/vnpy/amqp/test03_subscriber.py b/vnpy/amqp/test03_subscriber.py index 3697e8a8..25c49ffc 100644 --- a/vnpy/amqp/test03_subscriber.py +++ b/vnpy/amqp/test03_subscriber.py @@ -6,7 +6,7 @@ from vnpy.amqp.consumer import subscriber if __name__ == '__main__': from time import sleep - c = subscriber(user='admin', password='admin', exchange='x_fanout_md_tick') + c = subscriber(host='192.168.1.211',user='admin', password='admin', exchange='x_fanout_idx_tick') c.subscribe() diff --git a/vnpy/app/cta_crypto/portfolio_testing.py b/vnpy/app/cta_crypto/portfolio_testing.py index b0a367b6..a363e313 100644 --- a/vnpy/app/cta_crypto/portfolio_testing.py +++ b/vnpy/app/cta_crypto/portfolio_testing.py @@ -222,7 +222,10 @@ class PortfolioTestingEngine(BackTestingEngine): bar.low_time = bar_data.get('low_time', None) # 最后一次进入低位区域的时间 bar.high_time = bar_data.get('high_time', None) # 最后一次进入高位区域的时间 else: - bar_datetime = dt - timedelta(seconds=self.bar_interval_seconds) + # 如果数据源是bar时间end标识得，需要扣减bar得时间 + # bar_datetime = dt - timedelta(seconds=self.bar_interval_seconds) + # 如果数据源是bar时间start标识，就不需要扣减bar时间 + bar_datetime = dt bar = BarData( gateway_name='backtesting', diff --git a/vnpy/app/cta_stock/template.py b/vnpy/app/cta_stock/template.py index 6ad72cb5..7414b3e1 100644 --- a/vnpy/app/cta_stock/template.py +++ b/vnpy/app/cta_stock/template.py @@ -11,7 +11,7 @@ from abc import ABC from copy import copy,deepcopy from typing import Any, Callable, List, Dict from logging import INFO, ERROR -from datetime import datetime +from datetime import datetime,timedelta from vnpy.trader.constant import Interval, Direction, Offset, Status, OrderType, Exchange, Color from vnpy.trader.object import BarData, TickData, OrderData, TradeData, PositionData from vnpy.trader.utility import virtual, append_data, extract_vt_symbol, get_underlying_symbol, round_to @@ -741,6 +741,25 @@ class CtaStockTemplate(CtaTemplate): if dt: self.policy.cur_trading_date = dt.strftime('%Y-%m-%d') + + def check_adjust(self, vt_symbol): + """ + 检查股票的最新除权时间，是否在一周内 + :param vt_symbol: + :return: True: 一周内没有发生除权； False：一周内发生过除权 + """ + last_adjust_factor = self.cta_engine.get_adjust_factor(vt_symbol) + if last_adjust_factor is None: + return True + last_adjust_date = last_adjust_factor.get('dividOperateDate', None) + # 最后在除权出息日，发生在一周内 + if last_adjust_date and (datetime.now() - timedelta(days=7)).strftime('%Y-%m-%d') <= last_adjust_date: + self.write_log( + '{}[{}]发生除权除息，日期:{}'.format(vt_symbol, last_adjust_factor.get('name'), last_adjust_date)) + return False + + return True + def after_trading(self): """收盘后调用一次""" self.write_log(f'{self.strategy_name}收盘后调用') diff --git a/vnpy/component/cta_line_bar.py b/vnpy/component/cta_line_bar.py index 877ee148..0ce5b21b 100644 --- a/vnpy/component/cta_line_bar.py +++ b/vnpy/component/cta_line_bar.py @@ -30,7 +30,7 @@ from vnpy.component.cta_period import CtaPeriod, Period from vnpy.trader.object import BarData, TickData from vnpy.trader.constant import Interval, Color, ChanSignals from vnpy.trader.utility import round_to, get_trading_date, get_underlying_symbol -from vnpy.component.cta_utility import check_chan_xt,check_chan_xt_three_bi, check_qsbc_2nd +from vnpy.component.cta_utility import check_chan_xt, check_chan_xt_three_bi, check_qsbc_2nd try: from vnpy.component.chanlun import ChanGraph, ChanLibrary @@ -165,7 +165,7 @@ class CtaLineBar(object): self.price_tick = 1 # 商品的最小价格单位 self.round_n = 4 # round() 小数点的截断数量 self.is_7x24 = False # 是否7x24小时运行（ 一般为数字货币） - self.is_stock = False # 是否为股票 + self.is_stock = False # 是否为股票 # 当前的Tick的信息 self.cur_tick = None # 当前 onTick()函数接收的 最新的tick @@ -209,7 +209,7 @@ class CtaLineBar(object): self.export_zs_filename = None # 通过缠论的笔中枢csv文件 self.export_duan_filename = None # 通过缠论的线段csv文件 self.export_xt_filename = None # 缠论笔的形态csv文件, 满足 strategy_name_xt_n_signals.csv - # n 会转换为 3，5，7，9，11，13 + # n 会转换为 3，5，7，9，11，13 self.pre_bi_start = None # 前一个笔的时间 self.pre_zs_start = None # 前一个中枢的时间 @@ -231,8 +231,7 @@ class CtaLineBar(object): self.minute_interval = None # 把各个周期的bar转换为分钟，在first_tick中，用来修正bar为整点分钟周期 if setting: self.set_params(setting) - if self.is_stock: - self.is_7x24 = True + # 修正self.minute_interval if self.interval == Interval.SECOND: @@ -816,7 +815,7 @@ class CtaLineBar(object): self.xt_9_signals = [] # czsc 九笔信号列表 {'bi_start'最后一笔开始,'bi_end'最后一笔结束,'signal'} self.xt_11_signals = [] # czsc 11笔信号列表 {'bi_start'最后一笔开始,'bi_end'最后一笔结束,'signal'} self.xt_13_signals = [] # czsc 13笔信号列表 {'bi_start'最后一笔开始,'bi_end'最后一笔结束,'signal'} - self.xt_2nd_signals = [] # 趋势背驰2买或趋势背驰2卖信号 + self.xt_2nd_signals = [] # 趋势背驰2买或趋势背驰2卖信号 def set_params(self, setting: dict = {}): """设置参数""" @@ -839,9 +838,9 @@ class CtaLineBar(object): return # 过滤一些 异常的tick价格 - if self.cur_price is not None and self.cur_price !=0 and tick.last_price is not None and tick.last_price != 0: + if self.cur_price is not None and self.cur_price != 0 and tick.last_price is not None and tick.last_price != 0: # 前后价格超过10% - if abs(tick.last_price - self.cur_price)/self.cur_price >= 0.1: + if abs(tick.last_price - self.cur_price) / self.cur_price >= 0.1: # 是同一天,都不接受这些tick if self.cur_datetime and self.cur_datetime.date == tick.datetime.date: return @@ -852,7 +851,7 @@ class CtaLineBar(object): return self.cur_datetime = tick.datetime - self.cur_tick = tick #copy.copy(tick) + self.cur_tick = tick # copy.copy(tick) # 兼容 标准套利合约，它没有last_price if self.cur_tick.last_price is None or self.cur_tick.last_price == 0: @@ -888,7 +887,7 @@ class CtaLineBar(object): self.cur_datetime = bar.datetime + timedelta(minutes=bar_freq) if self.bar_len == 0: - #new_bar = copy.deepcopy(bar) + # new_bar = copy.deepcopy(bar) self.line_bar.append(bar) self.cur_trading_day = bar.trading_day self.on_bar(bar) @@ -934,7 +933,7 @@ class CtaLineBar(object): if is_new_bar: # 添加新的bar - #new_bar = copy.deepcopy(bar) + # new_bar = copy.deepcopy(bar) self.line_bar.append(bar) # new_bar # 将上一个Bar推送至OnBar事件 self.on_bar(lastBar) @@ -6269,15 +6268,15 @@ class CtaLineBar(object): 'signal': signal}) if len(xt_signals) > 200: del xt_signals[0] - if cur_signal is not None and self.export_xt_filename : + if cur_signal is not None and self.export_xt_filename: self.append_data( - file_name=self.export_xt_filename.replace('_n_',f'_{n}_'), + file_name=self.export_xt_filename.replace('_n_', f'_{n}_'), dict_data=cur_signal, field_names=["start", "end", "price", "signal"] ) # 直接更新 else: - xt_signals[-1].update({'end': self.cur_bi.end, 'price': price,'signal': signal}) + xt_signals[-1].update({'end': self.cur_bi.end, 'price': price, 'signal': signal}) # 是否趋势二买 qsbc_2nd = ChanSignals.Other.value @@ -6285,16 +6284,16 @@ class CtaLineBar(object): if check_qsbc_2nd(big_kline=self, small_kline=None, signal_direction=Direction.LONG): qsbc_2nd = ChanSignals.Q2L0.value else: - if check_qsbc_2nd(big_kline=self, small_kline=None,signal_direction=Direction.SHORT): + if check_qsbc_2nd(big_kline=self, small_kline=None, signal_direction=Direction.SHORT): qsbc_2nd = ChanSignals.Q2S0.value cur_signal = self.xt_2nd_signals[-1] if len(self.xt_2nd_signals) > 0 else None # 不同笔开始时间 if cur_signal is None or cur_signal.get("start", "") != self.cur_bi.start: # 新增 self.xt_2nd_signals.append({'start': self.cur_bi.start, - 'end': self.cur_bi.end, - 'price': price, - 'signal': qsbc_2nd}) + 'end': self.cur_bi.end, + 'price': price, + 'signal': qsbc_2nd}) if cur_signal and self.export_xt_filename: self.append_data( file_name=self.export_xt_filename.replace('_n_', f'_2nd_'), @@ -6305,8 +6304,6 @@ class CtaLineBar(object): else: self.xt_2nd_signals[-1].update({'end': self.cur_bi.end, 'price': price, 'signal': qsbc_2nd}) - - def write_log(self, content): """记录CTA日志""" self.strategy.write_log(u'[' + self.name + u']' + content) @@ -6512,7 +6509,7 @@ class CtaLineBar(object): 'type': 'line' } indicators.update({indicator.get('name'): copy.copy(indicator)}) - if getattr(self,'para_ema4_len',0) > 0: #isinstance(self.para_ema4_len, int) and self.para_ema4_len > 0: + if getattr(self, 'para_ema4_len', 0) > 0: # isinstance(self.para_ema4_len, int) and self.para_ema4_len > 0: indicator = { 'name': 'EMA{}'.format(self.para_ema4_len), 'attr_name': 'line_ema4', @@ -6520,7 +6517,7 @@ class CtaLineBar(object): 'type': 'line' } indicators.update({indicator.get('name'): copy.copy(indicator)}) - if getattr(self, 'para_ema5_len',0) > 0: #isinstance(self.para_ema5_len, int) and self.para_ema5_len > 0: + if getattr(self, 'para_ema5_len', 0) > 0: # isinstance(self.para_ema5_len, int) and self.para_ema5_len > 0: indicator = { 'name': 'EMA{}'.format(self.para_ema5_len), 'attr_name': 'line_ema5', @@ -6936,7 +6933,7 @@ class CtaMinuteBar(CtaLineBar): def add_bar(self, bar, bar_is_completed=False, bar_freq=1): """ - 予以外部初始化程序增加bar + CtaMinuteBar予以外部初始化程序增加bar :param bar: :param bar_is_completed: 插入的bar，其周期与K线周期一致，就设为True :param bar_freq, bar对象得frequency @@ -6975,9 +6972,12 @@ class CtaMinuteBar(CtaLineBar): if bar_is_completed: is_new_bar = True - minutes_passed = (bar.datetime - datetime.strptime(bar.datetime.strftime('%Y-%m-%d'), - '%Y-%m-%d')).total_seconds() / 60 - if self.underly_symbol in MARKET_ZJ: + if self.cur_trading_day > bar.trading_day: + is_new_bar = True + + minutes_passed = bar.datetime.hour * 60 + bar.datetime.minute + + if self.underly_symbol in MARKET_ZJ or self.is_stock: if int(bar.datetime.strftime('%H%M')) > 1130 and int(bar.datetime.strftime('%H%M')) < 1600: # 扣除11:30到13:00的中场休息的90分钟 minutes_passed = minutes_passed - 90 @@ -6988,10 +6988,11 @@ class CtaMinuteBar(CtaLineBar): elif int(bar.datetime.strftime('%H%M')) > 1130 and int(bar.datetime.strftime('%H%M')) < 1600: # 扣除(10:15到10:30的中场休息的15分钟)&(11:30到13:30的中场休息的120分钟) minutes_passed = minutes_passed - 135 + bars_passed = int(minutes_passed / self.bar_interval) # 不在同一交易日，推入新bar - if self.cur_trading_day != bar.trading_day: + if self.cur_trading_day > bar.trading_day: is_new_bar = True self.cur_trading_day = bar.trading_day self.bars_count = bars_passed @@ -7005,12 +7006,8 @@ class CtaMinuteBar(CtaLineBar): # self.write_log("addBar(): {}, bars_count={}".format(bar.datetime.strftime("%Y%m%d %H:%M:%S"), # self.bars_count)) - # 数字货币，如果bar的前后距离，超过周期，重新开启一个新的bar - if self.is_7x24 and (bar.datetime - lastBar.datetime).total_seconds() >= 60 * self.bar_interval: - is_new_bar = True - if is_new_bar: - #new_bar = copy.deepcopy(bar) + # new_bar = copy.deepcopy(bar) # 添加新的bar self.line_bar.append(bar) # new_bar # 将上一个Bar推送至OnBar事件 @@ -7038,17 +7035,18 @@ class CtaMinuteBar(CtaLineBar): minutes_passed = tick.datetime.hour * 60 + tick.datetime.minute - if self.underly_symbol in MARKET_ZJ: + if self.is_stock or self.underly_symbol in MARKET_ZJ: if int(tick.datetime.strftime('%H%M')) > 1130 and int(tick.datetime.strftime('%H%M')) < 1600: # 扣除11:30到13:00的中场休息的90分钟 minutes_passed = minutes_passed - 90 - else: + elif not self.is_7x24: if int(tick.datetime.strftime('%H%M')) > 1015 and int(tick.datetime.strftime('%H%M')) <= 1130: # 扣除10:15到10:30的中场休息的15分钟 minutes_passed = minutes_passed - 15 elif int(tick.datetime.strftime('%H%M')) > 1130 and int(tick.datetime.strftime('%H%M')) < 1600: # 扣除(10:15到10:30的中场休息的15分钟)&(11:30到13:30的中场休息的120分钟) minutes_passed = minutes_passed - 135 + bars_passed = int(minutes_passed / self.bar_interval) # 保存第一个K线数据 @@ -7451,8 +7449,8 @@ class CtaDayBar(CtaLineBar): bar_len = len(self.line_bar) if bar_len == 0: - #new_bar = copy.deepcopy(bar) - self.line_bar.append(bar) # new_bar + # new_bar = copy.deepcopy(bar) + self.line_bar.append(bar) # new_bar self.cur_trading_day = bar.trading_day if bar.trading_day is not None else get_trading_date(bar.datetime) if bar_is_completed: self.on_bar(bar) @@ -7478,8 +7476,8 @@ class CtaDayBar(CtaLineBar): if is_new_bar: # 添加新的bar - #new_bar = copy.deepcopy(bar) - self.line_bar.append(bar) # new_bar + # new_bar = copy.deepcopy(bar) + self.line_bar.append(bar) # new_bar # 将上一个Bar推送至OnBar事件 self.on_bar(lastBar) else: diff --git a/vnpy/trader/constant.py b/vnpy/trader/constant.py index 7ba1b4ca..2887beac 100644 --- a/vnpy/trader/constant.py +++ b/vnpy/trader/constant.py @@ -253,7 +253,7 @@ class ChanSignals(Enum): X3SE0 = "X3SE0~向上盘背" X3SF0 = "X3SF0~向上无背" - # 趋势类买卖点 + # 趋势类买卖点(9~13笔分析结果） Q1L0 = "Q1L0~趋势类一买" Q2L0 = "Q2L0~趋势类二买" Q3L0 = "Q2L0~趋势类三买" diff --git a/vnpy/trader/ui/kline/kline.py b/vnpy/trader/ui/kline/kline.py index 0c3376af..4190029d 100644 --- a/vnpy/trader/ui/kline/kline.py +++ b/vnpy/trader/ui/kline/kline.py @@ -1482,6 +1482,8 @@ class KLineWidget(KeyWraper): :param sub_indicators: 副图的indicator list :return: """ + print(f'start plot kline data') + t1 = datetime.now() # 设置中心点时间 self.index = 0 # 绑定数据，更新横坐标映射，更新Y轴自适应函数，更新十字光标映射 @@ -1515,7 +1517,9 @@ class KLineWidget(KeyWraper): # 调用画图函数 self.plot_all(redraw=True, xMin=0, xMax=len(self.datas)) self.crosshair.signal.emit((None, None)) - print('finished load Data') + t2 = datetime.now() + s = (t2-t1).microseconds + print(f'finished plot kline data in {s} ms') class GridKline(QtWidgets.QWidget): @@ -1662,8 +1666,14 @@ class GridKline(QtWidgets.QWidget): data_file = kline_setting.get('data_file', None) if not data_file: continue + print(f'loading {data_file}') + t1 = datetime.now() df = pd.read_csv(data_file) df = df.set_index(pd.DatetimeIndex(df['datetime'])) + t2 = datetime.now() + s = (t2 - t1).microseconds + print(f'finished load in {s} ms') + canvas.loadData(df, main_indicators=kline_setting.get('main_indicators', []), sub_indicators=kline_setting.get('sub_indicators', []) @@ -1673,19 +1683,31 @@ class GridKline(QtWidgets.QWidget): trade_list_file = kline_setting.get('trade_list_file', None) if trade_list_file and os.path.exists(trade_list_file): print(f'loading {trade_list_file}') + t1 = datetime.now() df_trade_list = pd.read_csv(trade_list_file) self.kline_dict[kline_name].add_signals(df_trade_list) + t2 = datetime.now() + s = (t2-t1).microseconds + print(f'finished load in {s} ms') # 记载交易信号（实盘产生的） trade_file = kline_setting.get('trade_file', None) if trade_file and os.path.exists(trade_file): print(f'loading {trade_file}') + t1 = datetime.now() df_trade = pd.read_csv(trade_file) + t2 = datetime.now() + s = (t2 - t1).microseconds + print(f'finished load in {s} ms') + t1 = datetime.now() self.kline_dict[kline_name].add_trades( df_trades=df_trade, include_symbols=kline_setting.get('trade_include_symbols', []), exclude_symbols=kline_setting.get('trade_excclude_symbols', [])) + t2 = datetime.now() + s = (t2 - t1).microseconds + print(f'finished plot trade in {s} ms') # 加载tns( 回测、实盘产生的） tns_file = kline_setting.get('tns_file', None)