[bug fix]
This commit is contained in:
msincenselee
parent
8c395d72ab
commit
f7e94a8a0b
@ -35,7 +35,7 @@ if __name__ == "__main__":
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# 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
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print('加载数据')
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bars, msg = get_stock_bars(vt_symbol=vt_symbol, freq=bar_freq)
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bars, msg = get_stock_bars(vt_symbol=vt_symbol, freq=bar_freq,start_date='2021-03-01')
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# 创建一个15分钟bar的 kline对象
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setting = {}
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@ -6,7 +6,7 @@ from vnpy.amqp.consumer import subscriber
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if __name__ == '__main__':
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from time import sleep
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c = subscriber(user='admin', password='admin', exchange='x_fanout_md_tick')
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c = subscriber(host='192.168.1.211',user='admin', password='admin', exchange='x_fanout_idx_tick')
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c.subscribe()
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@ -222,7 +222,10 @@ class PortfolioTestingEngine(BackTestingEngine):
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bar.low_time = bar_data.get('low_time', None) # 最后一次进入低位区域的时间
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bar.high_time = bar_data.get('high_time', None) # 最后一次进入高位区域的时间
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else:
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bar_datetime = dt - timedelta(seconds=self.bar_interval_seconds)
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# 如果数据源是bar时间end标识得，需要扣减bar得时间
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# bar_datetime = dt - timedelta(seconds=self.bar_interval_seconds)
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# 如果数据源是bar时间start标识，就不需要扣减bar时间
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bar_datetime = dt
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bar = BarData(
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gateway_name='backtesting',
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@ -11,7 +11,7 @@ from abc import ABC
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from copy import copy,deepcopy
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from typing import Any, Callable, List, Dict
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from logging import INFO, ERROR
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from datetime import datetime
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from datetime import datetime,timedelta
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from vnpy.trader.constant import Interval, Direction, Offset, Status, OrderType, Exchange, Color
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from vnpy.trader.object import BarData, TickData, OrderData, TradeData, PositionData
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from vnpy.trader.utility import virtual, append_data, extract_vt_symbol, get_underlying_symbol, round_to
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@ -741,6 +741,25 @@ class CtaStockTemplate(CtaTemplate):
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if dt:
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self.policy.cur_trading_date = dt.strftime('%Y-%m-%d')
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def check_adjust(self, vt_symbol):
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"""
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检查股票的最新除权时间，是否在一周内
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:param vt_symbol:
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:return: True: 一周内没有发生除权； False：一周内发生过除权
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"""
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last_adjust_factor = self.cta_engine.get_adjust_factor(vt_symbol)
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if last_adjust_factor is None:
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return True
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last_adjust_date = last_adjust_factor.get('dividOperateDate', None)
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# 最后在除权出息日，发生在一周内
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if last_adjust_date and (datetime.now() - timedelta(days=7)).strftime('%Y-%m-%d') <= last_adjust_date:
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self.write_log(
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'{}[{}]发生除权除息，日期:{}'.format(vt_symbol, last_adjust_factor.get('name'), last_adjust_date))
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return False
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return True
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def after_trading(self):
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"""收盘后调用一次"""
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self.write_log(f'{self.strategy_name}收盘后调用')
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@ -30,7 +30,7 @@ from vnpy.component.cta_period import CtaPeriod, Period
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from vnpy.trader.object import BarData, TickData
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from vnpy.trader.constant import Interval, Color, ChanSignals
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from vnpy.trader.utility import round_to, get_trading_date, get_underlying_symbol
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from vnpy.component.cta_utility import check_chan_xt,check_chan_xt_three_bi, check_qsbc_2nd
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from vnpy.component.cta_utility import check_chan_xt, check_chan_xt_three_bi, check_qsbc_2nd
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try:
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from vnpy.component.chanlun import ChanGraph, ChanLibrary
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@ -165,7 +165,7 @@ class CtaLineBar(object):
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self.price_tick = 1 # 商品的最小价格单位
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self.round_n = 4 # round() 小数点的截断数量
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self.is_7x24 = False # 是否7x24小时运行（ 一般为数字货币）
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self.is_stock = False # 是否为股票
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self.is_stock = False # 是否为股票
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# 当前的Tick的信息
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self.cur_tick = None # 当前 onTick()函数接收的 最新的tick
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@ -209,7 +209,7 @@ class CtaLineBar(object):
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self.export_zs_filename = None # 通过缠论的笔中枢csv文件
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self.export_duan_filename = None # 通过缠论的线段csv文件
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self.export_xt_filename = None # 缠论笔的形态csv文件, 满足 strategy_name_xt_n_signals.csv
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# n 会转换为 3，5，7，9，11，13
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# n 会转换为 3，5，7，9，11，13
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self.pre_bi_start = None # 前一个笔的时间
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self.pre_zs_start = None # 前一个中枢的时间
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@ -231,8 +231,7 @@ class CtaLineBar(object):
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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
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if setting:
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self.set_params(setting)
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if self.is_stock:
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self.is_7x24 = True
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# 修正self.minute_interval
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if self.interval == Interval.SECOND:
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@ -816,7 +815,7 @@ class CtaLineBar(object):
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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'}
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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'}
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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'}
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self.xt_2nd_signals = [] # 趋势背驰2买或趋势背驰2卖信号
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self.xt_2nd_signals = [] # 趋势背驰2买或趋势背驰2卖信号
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def set_params(self, setting: dict = {}):
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"""设置参数"""
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@ -839,9 +838,9 @@ class CtaLineBar(object):
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return
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# 过滤一些 异常的tick价格
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if self.cur_price is not None and self.cur_price !=0 and tick.last_price is not None and tick.last_price != 0:
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if self.cur_price is not None and self.cur_price != 0 and tick.last_price is not None and tick.last_price != 0:
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# 前后价格超过10%
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if abs(tick.last_price - self.cur_price)/self.cur_price >= 0.1:
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if abs(tick.last_price - self.cur_price) / self.cur_price >= 0.1:
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# 是同一天,都不接受这些tick
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if self.cur_datetime and self.cur_datetime.date == tick.datetime.date:
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return
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@ -852,7 +851,7 @@ class CtaLineBar(object):
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return
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self.cur_datetime = tick.datetime
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self.cur_tick = tick #copy.copy(tick)
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self.cur_tick = tick # copy.copy(tick)
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# 兼容 标准套利合约，它没有last_price
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if self.cur_tick.last_price is None or self.cur_tick.last_price == 0:
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@ -888,7 +887,7 @@ class CtaLineBar(object):
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self.cur_datetime = bar.datetime + timedelta(minutes=bar_freq)
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if self.bar_len == 0:
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#new_bar = copy.deepcopy(bar)
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# new_bar = copy.deepcopy(bar)
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self.line_bar.append(bar)
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self.cur_trading_day = bar.trading_day
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self.on_bar(bar)
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@ -934,7 +933,7 @@ class CtaLineBar(object):
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if is_new_bar:
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# 添加新的bar
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#new_bar = copy.deepcopy(bar)
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# new_bar = copy.deepcopy(bar)
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self.line_bar.append(bar) # new_bar
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# 将上一个Bar推送至OnBar事件
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self.on_bar(lastBar)
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@ -6269,15 +6268,15 @@ class CtaLineBar(object):
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'signal': signal})
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if len(xt_signals) > 200:
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del xt_signals[0]
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if cur_signal is not None and self.export_xt_filename :
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if cur_signal is not None and self.export_xt_filename:
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self.append_data(
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file_name=self.export_xt_filename.replace('_n_',f'_{n}_'),
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file_name=self.export_xt_filename.replace('_n_', f'_{n}_'),
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dict_data=cur_signal,
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field_names=["start", "end", "price", "signal"]
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)
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# 直接更新
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else:
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xt_signals[-1].update({'end': self.cur_bi.end, 'price': price,'signal': signal})
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xt_signals[-1].update({'end': self.cur_bi.end, 'price': price, 'signal': signal})
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# 是否趋势二买
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qsbc_2nd = ChanSignals.Other.value
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@ -6285,16 +6284,16 @@ class CtaLineBar(object):
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if check_qsbc_2nd(big_kline=self, small_kline=None, signal_direction=Direction.LONG):
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qsbc_2nd = ChanSignals.Q2L0.value
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else:
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if check_qsbc_2nd(big_kline=self, small_kline=None,signal_direction=Direction.SHORT):
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if check_qsbc_2nd(big_kline=self, small_kline=None, signal_direction=Direction.SHORT):
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qsbc_2nd = ChanSignals.Q2S0.value
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cur_signal = self.xt_2nd_signals[-1] if len(self.xt_2nd_signals) > 0 else None
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# 不同笔开始时间
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if cur_signal is None or cur_signal.get("start", "") != self.cur_bi.start:
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# 新增
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self.xt_2nd_signals.append({'start': self.cur_bi.start,
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'end': self.cur_bi.end,
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'price': price,
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'signal': qsbc_2nd})
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'end': self.cur_bi.end,
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'price': price,
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'signal': qsbc_2nd})
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if cur_signal and self.export_xt_filename:
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self.append_data(
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file_name=self.export_xt_filename.replace('_n_', f'_2nd_'),
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@ -6305,8 +6304,6 @@ class CtaLineBar(object):
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else:
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self.xt_2nd_signals[-1].update({'end': self.cur_bi.end, 'price': price, 'signal': qsbc_2nd})
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def write_log(self, content):
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"""记录CTA日志"""
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self.strategy.write_log(u'[' + self.name + u']' + content)
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@ -6512,7 +6509,7 @@ class CtaLineBar(object):
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'type': 'line'
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}
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indicators.update({indicator.get('name'): copy.copy(indicator)})
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if getattr(self,'para_ema4_len',0) > 0: #isinstance(self.para_ema4_len, int) and self.para_ema4_len > 0:
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if getattr(self, 'para_ema4_len', 0) > 0: # isinstance(self.para_ema4_len, int) and self.para_ema4_len > 0:
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indicator = {
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'name': 'EMA{}'.format(self.para_ema4_len),
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'attr_name': 'line_ema4',
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@ -6520,7 +6517,7 @@ class CtaLineBar(object):
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'type': 'line'
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}
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indicators.update({indicator.get('name'): copy.copy(indicator)})
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if getattr(self, 'para_ema5_len',0) > 0: #isinstance(self.para_ema5_len, int) and self.para_ema5_len > 0:
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if getattr(self, 'para_ema5_len', 0) > 0: # isinstance(self.para_ema5_len, int) and self.para_ema5_len > 0:
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indicator = {
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'name': 'EMA{}'.format(self.para_ema5_len),
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'attr_name': 'line_ema5',
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@ -6936,7 +6933,7 @@ class CtaMinuteBar(CtaLineBar):
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def add_bar(self, bar, bar_is_completed=False, bar_freq=1):
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"""
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予以外部初始化程序增加bar
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CtaMinuteBar予以外部初始化程序增加bar
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:param bar:
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:param bar_is_completed: 插入的bar，其周期与K线周期一致，就设为True
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:param bar_freq, bar对象得frequency
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@ -6975,9 +6972,12 @@ class CtaMinuteBar(CtaLineBar):
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if bar_is_completed:
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is_new_bar = True
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minutes_passed = (bar.datetime - datetime.strptime(bar.datetime.strftime('%Y-%m-%d'),
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'%Y-%m-%d')).total_seconds() / 60
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if self.underly_symbol in MARKET_ZJ:
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if self.cur_trading_day > bar.trading_day:
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is_new_bar = True
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minutes_passed = bar.datetime.hour * 60 + bar.datetime.minute
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if self.underly_symbol in MARKET_ZJ or self.is_stock:
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if int(bar.datetime.strftime('%H%M')) > 1130 and int(bar.datetime.strftime('%H%M')) < 1600:
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# 扣除11:30到13:00的中场休息的90分钟
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minutes_passed = minutes_passed - 90
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@ -6988,10 +6988,11 @@ class CtaMinuteBar(CtaLineBar):
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elif int(bar.datetime.strftime('%H%M')) > 1130 and int(bar.datetime.strftime('%H%M')) < 1600:
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# 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)
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minutes_passed = minutes_passed - 135
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bars_passed = int(minutes_passed / self.bar_interval)
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# 不在同一交易日，推入新bar
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if self.cur_trading_day != bar.trading_day:
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if self.cur_trading_day > bar.trading_day:
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is_new_bar = True
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self.cur_trading_day = bar.trading_day
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self.bars_count = bars_passed
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@ -7005,12 +7006,8 @@ class CtaMinuteBar(CtaLineBar):
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# self.write_log("addBar(): {}, bars_count={}".format(bar.datetime.strftime("%Y%m%d %H:%M:%S"),
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# self.bars_count))
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# 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
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if self.is_7x24 and (bar.datetime - lastBar.datetime).total_seconds() >= 60 * self.bar_interval:
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is_new_bar = True
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if is_new_bar:
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#new_bar = copy.deepcopy(bar)
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# new_bar = copy.deepcopy(bar)
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# 添加新的bar
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self.line_bar.append(bar) # new_bar
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# 将上一个Bar推送至OnBar事件
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@ -7038,17 +7035,18 @@ class CtaMinuteBar(CtaLineBar):
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minutes_passed = tick.datetime.hour * 60 + tick.datetime.minute
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if self.underly_symbol in MARKET_ZJ:
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if self.is_stock or self.underly_symbol in MARKET_ZJ:
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if int(tick.datetime.strftime('%H%M')) > 1130 and int(tick.datetime.strftime('%H%M')) < 1600:
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# 扣除11:30到13:00的中场休息的90分钟
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minutes_passed = minutes_passed - 90
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else:
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elif not self.is_7x24:
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if int(tick.datetime.strftime('%H%M')) > 1015 and int(tick.datetime.strftime('%H%M')) <= 1130:
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# 扣除10:15到10:30的中场休息的15分钟
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minutes_passed = minutes_passed - 15
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elif int(tick.datetime.strftime('%H%M')) > 1130 and int(tick.datetime.strftime('%H%M')) < 1600:
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# 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)
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minutes_passed = minutes_passed - 135
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bars_passed = int(minutes_passed / self.bar_interval)
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# 保存第一个K线数据
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@ -7451,8 +7449,8 @@ class CtaDayBar(CtaLineBar):
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bar_len = len(self.line_bar)
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if bar_len == 0:
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#new_bar = copy.deepcopy(bar)
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self.line_bar.append(bar) # new_bar
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# new_bar = copy.deepcopy(bar)
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self.line_bar.append(bar) # new_bar
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self.cur_trading_day = bar.trading_day if bar.trading_day is not None else get_trading_date(bar.datetime)
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if bar_is_completed:
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self.on_bar(bar)
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@ -7478,8 +7476,8 @@ class CtaDayBar(CtaLineBar):
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if is_new_bar:
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# 添加新的bar
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#new_bar = copy.deepcopy(bar)
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self.line_bar.append(bar) # new_bar
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# new_bar = copy.deepcopy(bar)
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self.line_bar.append(bar) # new_bar
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# 将上一个Bar推送至OnBar事件
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self.on_bar(lastBar)
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else:
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@ -253,7 +253,7 @@ class ChanSignals(Enum):
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X3SE0 = "X3SE0~向上盘背"
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X3SF0 = "X3SF0~向上无背"
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# 趋势类买卖点
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# 趋势类买卖点(9~13笔分析结果）
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Q1L0 = "Q1L0~趋势类一买"
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Q2L0 = "Q2L0~趋势类二买"
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Q3L0 = "Q2L0~趋势类三买"
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@ -1482,6 +1482,8 @@ class KLineWidget(KeyWraper):
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:param sub_indicators: 副图的indicator list
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:return:
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"""
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print(f'start plot kline data')
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t1 = datetime.now()
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# 设置中心点时间
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self.index = 0
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# 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
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@ -1515,7 +1517,9 @@ class KLineWidget(KeyWraper):
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# 调用画图函数
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self.plot_all(redraw=True, xMin=0, xMax=len(self.datas))
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self.crosshair.signal.emit((None, None))
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print('finished load Data')
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t2 = datetime.now()
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s = (t2-t1).microseconds
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print(f'finished plot kline data in {s} ms')
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|
||||
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)
|
||||
|
||||
Loading…
Reference in New Issue
Block a user