From fdf2d4cf136de6d75f8f7dd765288a4ebc2f9f13 Mon Sep 17 00:00:00 2001
From: "vn.py" <xiaoyou.chen@foxmail.com>
Date: Sat, 26 Jan 2019 19:45:23 +0800
Subject: [PATCH] [Fix] some code mistakes caused by previous merge

---
 vnpy/app/cta_strategy/backtesting.py  | 118 +++++++++++
 vnpy/app/cta_strategy/engine.py       |   3 +
 vnpy/gateway/bitmex/bitmex_gateway.py |   8 +-
 vnpy/gateway/futu/futu_gateway.py     |   4 +-
 vnpy/trader/engine.py                 |  19 +-
 vnpy/trader/gateway.py                |   7 +-
 vnpy/trader/ui/mainwindow.py          |   7 +-
 vnpy/trader/ui/widget.py              |   2 +
 vnpy/trader/utility.py                | 279 ++++++++++++++++++++++++++
 9 files changed, 436 insertions(+), 11 deletions(-)

diff --git a/vnpy/app/cta_strategy/backtesting.py b/vnpy/app/cta_strategy/backtesting.py
index 49c4c929..049f3d67 100644
--- a/vnpy/app/cta_strategy/backtesting.py
+++ b/vnpy/app/cta_strategy/backtesting.py
@@ -1,6 +1,8 @@
 from collections import defaultdict
 from datetime import date, datetime
 from typing import Callable
+from itertools import product
+import multiprocessing
 
 import matplotlib.pyplot as plt
 import seaborn as sns
@@ -45,6 +47,7 @@ class BacktestingEngine:
         self.capital = 1_000_000
         self.mode = BacktestingMode.BAR
 
+        self.strategy_class = None
         self.strategy = None
         self.tick = None
         self.bar = None
@@ -126,6 +129,7 @@ class BacktestingEngine:
 
     def add_strategy(self, strategy_class: type, setting: dict):
         """"""
+        self.strategy_class = strategy_class
         self.strategy = strategy_class(
             self, strategy_class.__name__, self.vt_symbol, setting
         )
@@ -372,6 +376,58 @@ class BacktestingEngine:
         df["net_pnl"].hist(bins=50)
 
         plt.show()
+    
+    def run_optimization(self, optimization_setting: OptimizationSetting):
+        """"""
+        # Get optimization setting and target
+        settings = optimization_setting.generate_setting()
+        target_name = optimization_setting.target_name
+
+        if not settings:
+            self.output("优化参数组合为空，请检查")
+            return
+        
+        if not target_name:
+            self.output("优化目标为设置，请检查")
+            return
+
+        # Use multiprocessing pool for running backtesting with different setting
+        pool = multiprocessing.Pool(multiprocessing.cpu_count())
+
+        results = []
+        for setting in settings:
+            result = (pool.apply_async(optimize, (
+                target_name, 
+                self.strategy_class, 
+                setting, 
+                self.vt_symbol, 
+                self.interval,
+                self.start,
+                self.rate,
+                self.slippage,
+                self.size,
+                self.pricetick,
+                self.capital,
+                self.end,
+                self.mode
+                )))
+            results.append(result)
+
+        pool.close()
+        pool.join()
+
+        # Sort results and output
+        result_values = [result.get() for result in results]
+        result_values.sort(reverse=True, key=lambda result:result[1])
+
+        for value in result_values:
+            msg = f"参数：{value[0]}, 目标：{value[1]}"
+            self.output(msg)
+
+        return result_values
+
+        return resultList
+
 
     def update_daily_close(self, price: float):
         """"""
@@ -788,3 +844,65 @@ class OptimizationSetting:
             value += step
 
         self.params[name] = value_list
+    
+    def set_target(self, target: str):
+        """"""
+        self.target = target
+
+    def generate_setting(self):
+        """"""
+        keys = self.params.keys()
+        values = self.params.values()
+        products = list(product(*values))
+
+        settings = []
+        for product in products:
+            setting = dict(zip(keys, product))
+            settings.append(setting)
+        
+        return settings
+
+
+
+def optimize(
+    target_name: str,
+    strategy_class: CtaTemplate, 
+    setting: dict,
+    vt_symbol: str,
+    interval: Interval,
+    start: datetime,
+    rate: float,
+    slippage: float,
+    size: float,
+    pricetick: float,
+    capital: int,
+    end: datetime,
+    mode: BacktestingMode,
+):
+    """
+    Function for running in multiprocessing.pool
+    """
+    engine = BacktestingEngine()
+    engine.set_parameters(
+        vt_symbol=vt_symbol,
+        interval=interval,
+        start=start
+        rate=rate,
+        slippage=slippage,
+        size=size,
+        pricetick=pricetick,
+        capital=capital,
+        end=end,
+        mode=mode
+        )
+    
+    engine.add_strategy(strategy_class, setting)
+    engine.load_data()
+    engine.run_backtesting()
+    engine.calculate_result()
+    statistics = engine.calculate_statistics()
+    
+    target_value = result[target_name]
+    return (str(setting), target_value, statistics)
+
+
diff --git a/vnpy/app/cta_strategy/engine.py b/vnpy/app/cta_strategy/engine.py
index 9dc12a77..2ab5664e 100644
--- a/vnpy/app/cta_strategy/engine.py
+++ b/vnpy/app/cta_strategy/engine.py
@@ -23,6 +23,9 @@ from vnpy.trader.constant import Direction, Offset, Exchange, PriceType, Interva
 from vnpy.trader.utility import get_temp_path
 from .base import (
     CtaOrderType,
+    EngineType,
+    StopOrder,
+    StopOrderStatus,
     EVENT_CTA_LOG,
     EVENT_CTA_STOPORDER,
     EVENT_CTA_STRATEGY,
diff --git a/vnpy/gateway/bitmex/bitmex_gateway.py b/vnpy/gateway/bitmex/bitmex_gateway.py
index 6d81f284..f237badf 100644
--- a/vnpy/gateway/bitmex/bitmex_gateway.py
+++ b/vnpy/gateway/bitmex/bitmex_gateway.py
@@ -25,13 +25,15 @@ from vnpy.trader.constant import (
 )
 from vnpy.trader.gateway import BaseGateway
 from vnpy.trader.object import (
-    AccountData,
-    CancelRequest,
-    ContractData,
+    TickData,
     OrderData,
+    TradeData,
     PositionData,
     AccountData,
     ContractData,
+    OrderRequest,
+    CancelRequest,
+    SubscribeRequest,
 )
 
 REST_HOST = "https://www.bitmex.com/api/v1"
diff --git a/vnpy/gateway/futu/futu_gateway.py b/vnpy/gateway/futu/futu_gateway.py
index a2749b73..46b67061 100644
--- a/vnpy/gateway/futu/futu_gateway.py
+++ b/vnpy/gateway/futu/futu_gateway.py
@@ -10,6 +10,8 @@ from time import sleep
 
 from futu import (
     ModifyOrderOp,
+    TrdSide,
+    TrdEnv,
     OpenHKTradeContext,
     OpenQuoteContext,
     OpenUSTradeContext,
@@ -21,7 +23,7 @@ from futu import (
     StockQuoteHandlerBase,
     TradeDealHandlerBase,
     TradeOrderHandlerBase,
-    TradeDealHandlerBase,
+    TradeDealHandlerBase
 )
 
 from vnpy.trader.constant import Direction, Exchange, Product, Status
diff --git a/vnpy/trader/engine.py b/vnpy/trader/engine.py
index fd4765e6..f0701f85 100644
--- a/vnpy/trader/engine.py
+++ b/vnpy/trader/engine.py
@@ -20,6 +20,8 @@ from .event import (
     EVENT_POSITION,
     EVENT_ACCOUNT,
     EVENT_CONTRACT,
+    EVENT_TICK,
+    EVENT_TRADE,
 )
 from .gateway import BaseGateway
 from .object import CancelRequest, LogData, OrderRequest, SubscribeRequest
@@ -179,7 +181,10 @@ class BaseEngine(ABC):
     """
 
     def __init__(
-        self, main_engine: MainEngine, event_engine: EventEngine, engine_name: str
+        self,
+        main_engine: MainEngine,
+        event_engine: EventEngine,
+        engine_name: str,
     ):
         """"""
         self.main_engine = main_engine
@@ -207,7 +212,9 @@ class LogEngine(BaseEngine):
 
         self.level = SETTINGS["log.level"]
         self.logger = logging.getLogger("VN Trader")
-        self.formatter = logging.Formatter("%(asctime)s  %(levelname)s: %(message)s")
+        self.formatter = logging.Formatter(
+            "%(asctime)s  %(levelname)s: %(message)s"
+        )
 
         self.add_null_handler()
 
@@ -243,7 +250,9 @@ class LogEngine(BaseEngine):
         filename = f"vt_{today_date}.log"
         file_path = get_temp_path(filename)
 
-        file_handler = logging.FileHandler(file_path, mode="w", encoding="utf8")
+        file_handler = logging.FileHandler(
+            file_path, mode="w", encoding="utf8"
+        )
         file_handler.setLevel(self.level)
         file_handler.setFormatter(self.formatter)
         self.logger.addHandler(file_handler)
@@ -474,7 +483,9 @@ class EmailEngine(BaseEngine):
                 with smtplib.SMTP_SSL(
                     SETTINGS["email.server"], SETTINGS["email.port"]
                 ) as smtp:
-                    smtp.login(SETTINGS["email.username"], SETTINGS["email.password"])
+                    smtp.login(
+                        SETTINGS["email.username"], SETTINGS["email.password"]
+                    )
                     smtp.send_message(msg)
             except Empty:
                 pass
diff --git a/vnpy/trader/gateway.py b/vnpy/trader/gateway.py
index b43aa7a5..4308a528 100644
--- a/vnpy/trader/gateway.py
+++ b/vnpy/trader/gateway.py
@@ -8,13 +8,16 @@ from typing import Any
 from vnpy.event import Event, EventEngine
 from .event import EVENT_ACCOUNT, EVENT_CONTRACT, EVENT_LOG, EVENT_CONTRACT
 from .object import (
+    TickData,
+    OrderData,
+    TradeData,
+    PositionData,
     AccountData,
-    CancelRequest,
     ContractData,
     LogData,
-    OrderData,
     OrderRequest,
     CancelRequest,
+    SubscribeRequest
 )
 
 
diff --git a/vnpy/trader/ui/mainwindow.py b/vnpy/trader/ui/mainwindow.py
index fc6f7847..bafc4411 100644
--- a/vnpy/trader/ui/mainwindow.py
+++ b/vnpy/trader/ui/mainwindow.py
@@ -11,11 +11,16 @@ from PyQt5 import QtCore, QtGui, QtWidgets
 from vnpy.event import EventEngine
 from .widget import (
     AboutDialog,
+    TickMonitor,
+    OrderMonitor,
+    TradeMonitor,
+    PositionMonitor,
     AccountMonitor,
+    LogMonitor,
     ActiveOrderMonitor,
     ConnectDialog,
     ContractManager,
-    AboutDialog,
+    TradingWidget,
 )
 from ..engine import MainEngine
 from ..utility import get_icon_path, get_trader_path
diff --git a/vnpy/trader/ui/widget.py b/vnpy/trader/ui/widget.py
index eb65640f..3c8111bd 100644
--- a/vnpy/trader/ui/widget.py
+++ b/vnpy/trader/ui/widget.py
@@ -18,6 +18,8 @@ from ..event import (
     EVENT_POSITION,
     EVENT_CONTRACT,
     EVENT_LOG,
+    EVENT_TICK,
+    EVENT_TRADE
 )
 from ..object import OrderRequest, SubscribeRequest
 from ..utility import load_setting, save_setting
diff --git a/vnpy/trader/utility.py b/vnpy/trader/utility.py
index 28221334..39262068 100644
--- a/vnpy/trader/utility.py
+++ b/vnpy/trader/utility.py
@@ -4,6 +4,12 @@ General utility functions.
 
 import shelve
 from pathlib import Path
+from typing import Callable
+
+import numpy as np
+import talib
+
+from .object import BarData, TickData
 
 
 class Singleton(type):
@@ -85,3 +91,276 @@ def round_to_pricetick(price: float, pricetick: float):
     """
     rounded = round(price / pricetick, 0) * pricetick
     return rounded
+
+
+class BarGenerator:
+    """
+    For: 
+    1. generating 1 minute bar data from tick data
+    2. generateing x minute bar data from 1 minute data
+    """
+
+    def __init__(
+        self, on_bar: Callable, xmin: int = 0, on_xmin_bar: Callable = None
+    ):
+        """Constructor"""
+        self.bar = None
+        self.on_bar = on_bar
+
+        self.xmin = xmin
+        self.xmin_bar = None
+        self.on_xmin_bar = on_xmin_bar
+
+        self.last_tick = None
+
+    def update_tick(self, tick: TickData):
+        """
+        Update new tick data into generator.
+        """
+        new_minute = False
+
+        if not self.bar:
+            self.bar = BarData()
+            new_minute = True
+        elif self.bar.datetime.minute != tick.datetime.minute:
+            self.bar.datetime = self.bar.datetime.replace(
+                second=0, microsecond=0
+            )
+            self.on_bar(self.bar)
+
+            self.bar = BarData()
+            new_minute = True
+
+        if new_minute:
+            self.bar.vt_symbol = tick.vt_symbol
+            self.bar.symbol = tick.symbol
+            self.bar.exchange = tick.exchange
+
+            self.bar.open = tick.last_price
+            self.bar.high = tick.last_price
+            self.bar.low = tick.last_price
+        else:
+            self.bar.high = max(self.bar.high, tick.last_price)
+            self.bar.low = min(self.bar.low, tick.last_price)
+
+        self.bar.close = tick.last_price
+        self.bar.datetime = tick.datetime
+
+        if self.last_tick:
+            volume_change = tick.volume - self.last_tick.volume
+            self.bar.volume += max(volume_change, 0)
+
+        self.last_tick = tick
+
+    def update_bar(self, bar: BarData):
+        """
+        Update 1 minute bar into generator
+        """
+        if not self.xmin_bar:
+            self.xmin_bar = BarData()
+
+            self.xmin_bar.vt_symbol = bar.vt_symbol
+            self.xmin_bar.symbol = bar.symbol
+            self.xmin_bar.exchange = bar.exchange
+
+            self.xmin_bar.open = bar.open
+            self.xmin_bar.high = bar.high
+            self.xmin_bar.low = bar.low
+
+            self.xmin_bar.datetime = bar.datetime
+        else:
+            self.xmin_bar.high = max(self.xmin_bar.high, bar.high)
+            self.xmin_bar.low = min(self.xmin_bar.low, bar.low)
+
+        self.xmin_bar.close = bar.close
+        self.xmin_bar.volume += int(bar.volume)
+
+        if not (bar.datetime.minute + 1) % self.xmin:
+            self.xmin_bar.datetime = self.xmin_bar.datetime.replace(
+                second=0, microsecond=0
+            )
+            self.on_xmin_bar(self.xmin_bar)
+
+            self.xmin_bar = None
+
+    def generate(self):
+        """
+        Generate the bar data and call callback immediately.
+        """
+        self.on_bar(self.bar)
+        self.bar = None
+
+
+class ArrayManager(object):
+    """
+    For:
+    1. time series container of bar data
+    2. calculating technical indicator value
+    """
+
+    def __init__(self, size=100):
+        """Constructor"""
+        self.count = 0
+        self.size = size
+        self.inited = False
+
+        self.open_array = np.zeros(size)
+        self.high_array = np.zeros(size)
+        self.low_array = np.zeros(size)
+        self.close_array = np.zeros(size)
+        self.volume_array = np.zeros(size)
+
+    def update_bar(self, bar):
+        """
+        Update new bar data into array manager.
+        """
+        self.count += 1
+        if not self.inited and self.count >= self.size:
+            self.inited = True
+
+        self.open_array[:-1] = self.open_array[1:]
+        self.high_array[:-1] = self.high_array[1:]
+        self.low_array[:-1] = self.low_array[1:]
+        self.close_array[:-1] = self.close_array[1:]
+        self.volume_array[:-1] = self.volume_array[1:]
+
+        self.open_array[-1] = bar.open
+        self.high_array[-1] = bar.high
+        self.low_array[-1] = bar.low
+        self.close_array[-1] = bar.close
+        self.volume_array[-1] = bar.volume
+
+    @property
+    def open(self):
+        """
+        Get open price time series.
+        """
+        return self.open_array
+
+    @property
+    def high(self):
+        """
+        Get high price time series.
+        """
+        return self.high_array
+
+    @property
+    def low(self):
+        """
+        Get low price time series.
+        """
+        return self.low_array
+
+    @property
+    def close(self):
+        """
+        Get close price time series.
+        """
+        return self.close_array
+
+    @property
+    def volume(self):
+        """
+        Get trading volume time series.
+        """
+        return self.volume_array
+
+    def sma(self, n, array=False):
+        """
+        Simple moving average.
+        """
+        result = talib.SMA(self.close, n)
+        if array:
+            return result
+        return result[-1]
+
+    def std(self, n, array=False):
+        """
+        Standard deviation
+        """
+        result = talib.STDDEV(self.close, n)
+        if array:
+            return result
+        return result[-1]
+
+    def cci(self, n, array=False):
+        """
+        Commodity Channel Index (CCI).
+        """
+        result = talib.CCI(self.high, self.low, self.close, n)
+        if array:
+            return result
+        return result[-1]
+
+    def atr(self, n, array=False):
+        """
+        Average True Range (ATR).
+        """
+        result = talib.ATR(self.high, self.low, self.close, n)
+        if array:
+            return result
+        return result[-1]
+
+    def rsi(self, n, array=False):
+        """
+        Relative Strenght Index (RSI).
+        """
+        result = talib.RSI(self.close, n)
+        if array:
+            return result
+        return result[-1]
+
+    def macd(self, fast_period, slow_period, signal_period, array=False):
+        """
+        MACD.
+        """
+        macd, signal, hist = talib.MACD(
+            self.close, fast_period, slow_period, signal_period
+        )
+        if array:
+            return macd, signal, hist
+        return macd[-1], signal[-1], hist[-1]
+
+    def adx(self, n, array=False):
+        """
+        ADX.
+        """
+        result = talib.ADX(self.high, self.low, self.close, n)
+        if array:
+            return result
+        return result[-1]
+
+    def boll(self, n, dev, array=False):
+        """
+        Bollinger Channel.
+        """
+        mid = self.sma(n, array)
+        std = self.std(n, array)
+
+        up = mid + std * dev
+        down = mid - std * dev
+
+        return up, down
+
+    def keltner(self, n, dev, array=False):
+        """
+        Keltner Channel.
+        """
+        mid = self.sma(n, array)
+        atr = self.atr(n, array)
+
+        up = mid + atr * dev
+        down = mid - atr * dev
+
+        return up, down
+
+    def donchian(self, n, array=False):
+        """
+        Donchian Channel.
+        """
+        up = talib.MAX(self.high, n)
+        down = talib.MIN(self.low, n)
+
+        if array:
+            return up, down
+        return up[-1], down[-1]