更新回测引擎

vn.trader/ctaAlgo/ctaBacktesting.py

@@ -19,6 +19,7 @@ import csv
 from ctaBase import *
 from ctaSetting import *
 
+from eventEngine import *
 from vtConstant import *
 from vtGateway import VtOrderData, VtTradeData
 from vtFunction import loadMongoSetting
@@ -36,7 +37,7 @@ class BacktestingEngine(object):
     2.修改装载数据为批量式后加载模式。
     3.增加csv 读取bar的回测模式
     4.增加csv 读取tick合并价差的回测模式
-
+    5.增加EventEngine，并对newBar增加发送OnBar事件，供外部的回测主体显示Bar线。
     """
     
     TICK_MODE = 'tick'              # 数据模式，逐Tick回测
@@ -46,8 +47,11 @@ class BacktestingEngine(object):
     FINAL_MODE = 'Final'            # 最后才统计交易，不适合按照百分比等开仓数量计算
 
     #----------------------------------------------------------------------
-    def __init__(self):
+    def __init__(self, eventEngine = None):
         """Constructor"""
+
+        self.eventEngine = eventEngine
+
         # 本地停止单编号计数
         self.stopOrderCount = 0
         # stopOrderID = STOPORDERPREFIX + str(stopOrderCount)
@@ -698,8 +702,8 @@ class BacktestingEngine(object):
                     leg1BidVolume1 = int(float(row['BidVolume']))
 
                     # 排除涨停/跌停的数据
-                    if (leg1AskPrice1== float('1.79769E308') and leg1AskVolume1 == 0) \
+                    if ((leg1AskPrice1 == float('1.79769E308') or leg1AskPrice1 == 0) and leg1AskVolume1 == 0) \
-                            or (leg1BidPrice1 == float('1.79769E308') and leg1BidVolume1 == 0):
+                            or ((leg1BidPrice1 == float('1.79769E308') or leg1BidPrice1 == 0) and leg1BidVolume1 == 0):
                         continue
 
                     # 叫卖价差=leg1.askPrice1 - leg2.bidPrice1，volume为两者最小
@@ -951,7 +955,15 @@ class BacktestingEngine(object):
             
         self.output(u'数据回放结束')
 
-    #----------------------------------------------------------------------
+    def __sendOnBarEvent(self, bar):
+        """发送Bar的事件"""
+        if self.eventEngine is not None:
+            eventType = EVENT_ON_BAR + '_' + self.symbol
+            event = Event(type_= eventType)
+            event.dict_['data'] = bar
+            self.eventEngine.put(event)
+
+    # ----------------------------------------------------------------------
     def newBar(self, bar):
         """新的K线"""
         self.bar = bar
@@ -959,7 +971,8 @@ class BacktestingEngine(object):
         self.crossLimitOrder()      # 先撮合限价单
         self.crossStopOrder()       # 再撮合停止单
         self.strategy.onBar(bar)    # 推送K线到策略中
-    
+        self.__sendOnBarEvent(bar)  # 推送K线到事件
+
     #----------------------------------------------------------------------
     def newTick(self, tick):
         """新的Tick"""
@@ -1110,8 +1123,8 @@ class BacktestingEngine(object):
         # 遍历限价单字典中的所有限价单
         for orderID, order in self.workingLimitOrderDict.items():
             # 判断是否会成交
-            buyCross = order.direction==DIRECTION_LONG and order.price>=buyCrossPrice
+            buyCross = order.direction==DIRECTION_LONG and order.price >= buyCrossPrice
-            sellCross = order.direction==DIRECTION_SHORT and order.price<=sellCrossPrice
+            sellCross = order.direction==DIRECTION_SHORT and order.price <= sellCrossPrice
             
             # 如果发生了成交
             if buyCross or sellCross:
@@ -1159,6 +1172,7 @@ class BacktestingEngine(object):
                 except Exception as ex:
                     self.writeCtaError(u'{0}:{1}'.format(Exception, ex))
 
+                # 实时计算模式
                 if self.calculateMode == self.REALTIME_MODE:
                     self.realtimeCalculate()
                 
@@ -1178,8 +1192,8 @@ class BacktestingEngine(object):
         # 遍历停止单字典中的所有停止单
         for stopOrderID, so in self.workingStopOrderDict.items():
             # 判断是否会成交
-            buyCross = so.direction==DIRECTION_LONG and so.price<=buyCrossPrice
+            buyCross = so.direction==DIRECTION_LONG and so.price <= buyCrossPrice
-            sellCross = so.direction==DIRECTION_SHORT and so.price>=sellCrossPrice
+            sellCross = so.direction==DIRECTION_SHORT and so.price >= sellCrossPrice
             
             # 如果发生了成交
             if buyCross or sellCross:
@@ -1283,6 +1297,7 @@ class BacktestingEngine(object):
         longid = EMPTY_STRING
         shortid = EMPTY_STRING
 
+        # 对交易记录逐一处理
         for tradeid in self.tradeDict.keys():
             trade = self.tradeDict[tradeid]
             # 多头交易
@@ -1423,8 +1438,8 @@ class BacktestingEngine(object):
                     shortid = tradeid
                 # 当前空头交易为平多
                 else:
-                    gId = tradeid     # 交易组（多个平仓数为一组）                                                                                                                                    s
+                    gId = tradeid       # 交易组（多个平仓数为一组）                                                                                                                                    s
-                    gr = None   # 组合的交易结果
+                    gr = None           # 组合的交易结果
 
                     sellVolume = trade.volume
 
@@ -1577,6 +1592,7 @@ class BacktestingEngine(object):
                 self.writeCtaLog(msg)
             return
 
+        # 对交易结果汇总统计
         for time, result in resultDict.items():
 
             if result.pnl > 0:
@@ -1662,7 +1678,7 @@ class BacktestingEngine(object):
                                                groupId=gId, fixcommission=self.fixCommission)
 
                         if tv == 0:
-                            if gt==1:
+                            if gt == 1:
                                 resultDict[entryTrade.dt] = result
                             else:
                                 gr = copy.deepcopy(result)
@@ -1832,7 +1848,6 @@ class BacktestingEngine(object):
         for row in self.exportTradeList:
             writer.writerow(row)
 
-
     def getResult(self):
         # 返回回测结果
         d = {}

vn.trader/ctaAlgo/ctaBase.py

@@ -129,8 +129,8 @@ class CtaTickData(object):
     #----------------------------------------------------------------------
     def __init__(self):
         """Constructor"""       
-        self.vtSymbol = EMPTY_STRING            # vt系统代码
+        self.vtSymbol = EMPTY_STRING            # vt系统代码 CF705
-        self.symbol = EMPTY_STRING              # 合约代码
+        self.symbol = EMPTY_STRING              # 合约代码   CF1705
         self.exchange = EMPTY_STRING            # 交易所代码
 
         # 成交数据

vn.trader/ctaAlgo/ctaLineBar.py

@@ -15,6 +15,12 @@ import copy,csv
 
 DEBUGCTALOG = True
 
+PERIOD_SECOND = 'second'  # 秒级别周期
+PERIOD_MINUTE = 'minute'  # 分钟级别周期
+PERIOD_HOUR = 'hour'  # 小时级别周期
+PERIOD_DAY = 'day'  # 日级别周期
+
+
 class CtaLineBar(object):
     """CTA K线"""
     """ 使用方法:
@@ -55,6 +61,7 @@ class CtaLineBar(object):
 
         # 参数列表
         self.paramList.append('barTimeInterval')
+        self.paramList.append('period')
         self.paramList.append('inputPreLen')
         self.paramList.append('inputEma1Len')
         self.paramList.append('inputEma2Len')
@@ -72,6 +79,7 @@ class CtaLineBar(object):
         self.paramList.append('inputBollLen')
         self.paramList.append('inputBollStdRate')
         self.paramList.append('inputKdjLen')
+        self.paramList.append('inputCciLen')
         self.paramList.append('inputMacdFastPeriodLen')
         self.paramList.append('inputMacdSlowPeriodLen')
         self.paramList.append('inputMacdSignalPeriodLen')
@@ -83,9 +91,8 @@ class CtaLineBar(object):
 
         # 输入参数
         self.name = u'LineBar'
-
+        self.mode = self.TICK_MODE          # 缺省为tick模式
-        self.mode = self.TICK_MODE
+        self.period = PERIOD_SECOND    # 缺省为分钟级别周期
-
         self.barTimeInterval = 300
 
         self.barMinuteInterval = self.barTimeInterval / 60
@@ -117,6 +124,7 @@ class CtaLineBar(object):
 
         # 当前的Tick
         self.curTick = None
+        self.lastTick = None
         self.curTradingDay = EMPTY_STRING
 
         # K 线服务的策略
@@ -132,7 +140,6 @@ class CtaLineBar(object):
         self.preHigh = []               # K线的前inputPreLen的的最高
         self.preLow = []                # K线的前inputPreLen的的最低
 
-
         self.lineMa1 = []              # K线的MA1均线，周期是InputMaLen1，不包含当前bar
         self.lineMa2 = []              # K线的MA2均线，周期是InputMaLen2，不包含当前bar
 
@@ -210,6 +217,9 @@ class CtaLineBar(object):
         self.lineKdjTop = []            # 记录KDJ最高峰，只保留 inputKdjLen个
         self.lineKdjButtom = []         # 记录KDJ的最低谷，只保留 inputKdjLen个
         self.lastKdjTopButtom = {}      # 最近的一个波峰/波谷
+        self.lastK = EMPTY_FLOAT        # bar内计算时，最后一个未关闭的bar的实时K值
+        self.lastD = EMPTY_FLOAT        # bar内计算时，最后一个未关闭的bar的实时值
+        self.lastJ = EMPTY_FLOAT        # bar内计算时，最后一个未关闭的bar的实时J值
 
         # K线的MACD计算数据
         self.inputMacdFastPeriodLen = EMPTY_INT
@@ -220,6 +230,10 @@ class CtaLineBar(object):
         self.lineDea = []           # DEA = （前一日DEA X 8/10 + 今日DIF X 2/10），即为talib-MACD返回值
         self.lineMacd = []          # (dif-dea)*2，但是talib中MACD的计算是bar = (dif-dea)*1,国内一般是乘以2
 
+        # K 线的CCI计算数据
+        self.inputCciLen = EMPTY_INT
+        self.lineCci = []
+
         if setting:
             self.setParam(setting)
 
@@ -247,12 +261,19 @@ class CtaLineBar(object):
         if tick.datetime.hour == 8 or tick.datetime.hour == 20:
             self.writeCtaLog(u'竞价排名tick时间:{0}'.format(tick.datetime))
             return
+        if self.lastTick is None:
+            self.lastTick = tick
 
         self.curTick = tick
 
         # 3.生成x K线，若形成新Bar，则触发OnBar事件
         self.__drawLineBar(tick)
 
+        self.lastTick = tick
+
+        # 4.执行 bar内计算
+        self.__recountKdj(countInBar=True)
+
     def addBar(self,bar):
         """予以外部初始化程序增加bar"""
         l1 = len(self.lineBar)
@@ -268,7 +289,19 @@ class CtaLineBar(object):
 
         self.curTradingDay = bar.tradingDay
 
-        if abs((bar.datetime - lastBar.datetime).seconds) >= self.barTimeInterval:
+        if (self.period == PERIOD_SECOND and (bar.datetime-lastBar.datetime).seconds >= self.barTimeInterval) \
+            or (self.period == PERIOD_MINUTE and bar.datetime.minute % self.barTimeInterval == 0
+                   and bar.datetime.minute != lastBar.datetime.minute) \
+            or (self.period == PERIOD_HOUR and self.barTimeInterval == 1 and bar.datetime
+                 and bar.datetime.hour != lastBar.datetime.hour) \
+            or (self.period == PERIOD_HOUR and self.barTimeInterval == 2 and bar.datetime
+                    and bar.datetime.hour != lastBar.datetime.hour
+                    and bar.datetime.hour in {1, 9, 11, 13, 21, 23}) \
+            or (self.period == PERIOD_HOUR and self.barTimeInterval == 4 and bar.datetime
+                 and bar.datetime.hour != lastBar.datetime.hour
+                 and bar.datetime.hour in {1, 9, 13, 21}) \
+            or (self.period == PERIOD_DAY and bar.datetime.date != lastBar.datetime.date ):
+
             self.lineBar.append(bar)
             self.onBar(bar)
             return
@@ -301,6 +334,7 @@ class CtaLineBar(object):
         self.__recountKdj()
         self.__recountBoll()
         self.__recountMacd()
+        self.__recountCci()
 
         # 回调上层调用者
         self.onBarFunc(bar)
@@ -360,6 +394,9 @@ class CtaLineBar(object):
                                                         round(self.lineD[-1], 2),
                                                         round(self.lineJ[-1], 2))
 
+        if self.inputCciLen > 0 and len(self.lineCci) > 0:
+            msg = msg + u',Cci({0}):{1}'.format(self.inputCciLen, self.lineCci[-1])
+
         if self.inputBollLen > 0 and len(self.lineUpperBand)>0:
             msg = msg + u',Boll({0}):u:{1},m:{2},l:{3}'.\
                 format(self.inputBollLen, round(self.lineUpperBand[-1], 2),
@@ -376,7 +413,7 @@ class CtaLineBar(object):
 
         self.bar = CtaBarData()                  # 创建新的K线
         # 计算K线的整点分钟周期，这里周期最小是1分钟。如果你是采用非整点分钟，例如1.5分钟，请把这段注解掉
-        if self.barMinuteInterval:
+        if self.barMinuteInterval and self.period == PERIOD_SECOND:
             self.barMinuteInterval = int(self.barTimeInterval / 60)
             if self.barMinuteInterval < 1:
                 self.barMinuteInterval = 1
@@ -414,8 +451,6 @@ class CtaLineBar(object):
             # bar的交易日与记录的当前交易日一致, 交易量为tick的volume，减去上一根bar的日总交易量
             self.bar.volume = tick.volume - self.lineBar[-1].dayVolume
 
-
-
         self.barFirstTick = True                  # 标识该Tick属于该Bar的第一个tick数据
 
         self.lineBar.append(self.bar)           # 推入到lineBar队列
@@ -438,62 +473,6 @@ class CtaLineBar(object):
         # 与最后一个BAR的时间比对，判断是否超过5分钟
         lastBar = self.lineBar[-1]
 
-        # 专门处理隔夜跳空。隔夜跳空会造成开盘后EMA和ADX的计算错误。
-        if len(self.lineAtr2) < 1:
-            priceInBar = 5 * self.minDiff
-        else:
-            priceInBar = self.lineAtr2[-1]
-
-        jumpBars = int(abs(tick.lastPrice - lastBar.close)/priceInBar)
-
-        # 开盘时间
-        if (tick.datetime.hour == 9 or tick.datetime.hour == 21) \
-                and tick.datetime.minute == 0 and tick.datetime.second == 0 \
-                and lastBar.datetime.hour != tick.datetime.hour \
-                and jumpBars > 0 and self.activeDayJump:
-
-            priceInYesterday = lastBar.close
-
-            self.writeCtaLog(u'line Bar jumpbars:{0}'.format(jumpBars))
-
-            if tick.lastPrice > priceInYesterday:           # 价格往上跳
-
-                # 生成砖块递增K线,减小ATR变动
-                for i in range(0, jumpBars, 1):
-                    upbar = copy.deepcopy(lastBar)
-                    upbar.open = priceInYesterday + float(i * priceInBar)
-                    upbar.low = upbar.open
-                    upbar.close = priceInYesterday + float((i+1) * priceInBar)
-                    upbar.high = upbar.close
-                    upbar.volume = 0
-
-                    self.lineBar.append(upbar)
-                    self.onBar(upbar)
-
-            else:                                            # 价格往下跳
-                # 生成递减K线,减小ATR变动
-                for i in range(0, jumpBars, 1):
-
-                    downbar = copy.deepcopy(lastBar)
-                    downbar.open = priceInYesterday - float(i * priceInBar)
-                    downbar.high = downbar.open
-                    downbar.close = priceInYesterday - float((i+1) * priceInBar)
-                    downbar.low = downbar.close
-                    downbar.volume = 0
-
-                    self.lineBar.append(downbar)
-                    self.onBar(downbar)
-
-            # 生成平移K线，减小Pdi，Mdi、ADX变动
-            for i in range(0, jumpBars*2, 1):
-                equalbar=copy.deepcopy(self.lineBar[-1])
-                equalbar.volume = 0
-                self.lineBar.append(equalbar)
-                self.onBar(equalbar)
-
-            # 重新指定为最后一个Bar
-            lastBar = self.lineBar[-1]
-
         # 处理日内的间隔时段最后一个tick，如10:15分，11:30分，15:00 和 2:30分
         endtick = False
         if (tick.datetime.hour == 10 and tick.datetime.minute == 15) \
@@ -514,8 +493,31 @@ class CtaLineBar(object):
             if tick.datetime.hour == 23 and tick.datetime.minute == 30:
                 endtick = True
 
-        # 满足时间要求,tick的时间，距离最后一个bar的开始时间，已经超出bar的时间周期（barTimeInterval），并且不是最后一个结束tick
+        # 满足时间要求
-        if (tick.datetime-lastBar.datetime).seconds >= self.barTimeInterval and not endtick:
+        # 1,秒周期，tick的时间，距离最后一个bar的开始时间，已经超出bar的时间周期（barTimeInterval）
+        # 2，分钟、小时周期，取整=0
+        # 3、日周期，开盘时间
+        # 4、不是最后一个结束tick
+        if ((self.period == PERIOD_SECOND and (tick.datetime-lastBar.datetime).seconds >= self.barTimeInterval) \
+            or
+                (self.period == PERIOD_MINUTE and tick.datetime.minute % self.barTimeInterval == 0
+                 and tick.datetime.minute != self.lastTick.datetime.minute)
+            or
+                (self.period == PERIOD_HOUR and self.barTimeInterval == 1 and tick.datetime
+                 and tick.datetime.hour != self.lastTick.datetime.hour)
+            or
+                (self.period == PERIOD_HOUR and self.barTimeInterval == 2 and tick.datetime
+                    and tick.datetime.hour != self.lastTick.datetime.hour
+                    and tick.datetime.hour in {1, 9, 11, 13, 21, 23})
+            or
+                (self.period == PERIOD_HOUR and self.barTimeInterval == 4 and tick.datetime
+                 and tick.datetime.hour != self.lastTick.datetime.hour
+                 and tick.datetime.hour in {1, 9, 13, 21})
+            or (self.period == PERIOD_DAY and tick.datetime
+                and (tick.datetime.hour == 21 or tick.datetime.hour == 9)
+                and 14 <= self.lastTick.datetime.hour <= 15)
+            ) and not endtick:
+
             # 创建并推入新的Bar
             self.__firstTick(tick)
             # 触发OnBar事件
@@ -1136,7 +1138,7 @@ class CtaLineBar(object):
         self.lastBollLower = l - l % self.minDiff     # 下轨取整
 
 
-    def __recountKdj(self):
+    def __recountKdj(self, countInBar = False):
         """KDJ指标"""
         """
         KDJ指标的中文名称又叫随机指标，是一个超买超卖指标,最早起源于期货市场，由乔治·莱恩（George Lane）首创。
@@ -1158,18 +1160,24 @@ class CtaLineBar(object):
         if self.inputKdjLen <= EMPTY_INT: return
 
         if len(self.lineBar) < self.inputKdjLen+1:
-            self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算KDJ需要：{1}'.format(len(self.lineBar), self.inputKdjLen+1))
+            if not countInBar:
+                self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算KDJ需要：{1}'.format(len(self.lineBar), self.inputKdjLen+1))
             return
 
-        if self.mode == self.TICK_MODE:
+        # 数据是Tick模式，非bar内计算
+        if self.mode == self.TICK_MODE and not countInBar:
             listClose =[x.close for x in self.lineBar[-self.inputKdjLen-1:-1]]
+            listHigh = [x.high for x in self.lineBar[-self.inputKdjLen - 1:-1]]
+            listLow = [x.low for x in self.lineBar[-self.inputKdjLen - 1:-1]]
             idx = 2
         else:
             listClose =[x.close for x in self.lineBar[-self.inputKdjLen:]]
+            listHigh = [x.high for x in self.lineBar[-self.inputKdjLen :]]
+            listLow = [x.low for x in self.lineBar[-self.inputKdjLen :]]
             idx = 1
 
-        hhv = max(listClose)
+        hhv = max(listHigh)
-        llv = min(listClose)
+        llv = min(listLow)
 
         if len(self.lineK) > 0:
             lastK =  self.lineK[-1]
@@ -1184,7 +1192,7 @@ class CtaLineBar(object):
         if hhv == llv:
             rsv = 50
         else:
-            rsv= (self.lineBar[-1].close - llv)/(hhv - llv) * 100
+            rsv = (self.lineBar[-1].close - llv)/(hhv - llv) * 100
 
         k = 2*lastK/3 + rsv/3
         if k < 0: k = 0
@@ -1196,6 +1204,12 @@ class CtaLineBar(object):
 
         j = 3*k - 2*d
 
+        if countInBar:
+            self.lastD = d
+            self.lastK = k
+            self.lastJ = j
+            return
+
         if len(self.lineK) > self.inputKdjLen * 8:
             del self.lineK[0]
         self.lineK.append(k)
@@ -1238,7 +1252,6 @@ class CtaLineBar(object):
                 self.lineKdjButtom.append(b)
                 self.lastKdjTopButtom = self.lineKdjButtom[-1]
 
-
     def __recountMacd(self):
         """
         Macd计算方法：
@@ -1258,7 +1271,7 @@ class CtaLineBar(object):
 
         maxLen = max(self.inputMacdFastPeriodLen,self.inputMacdSlowPeriodLen)+self.inputMacdSignalPeriodLen+1
 
-        maxLen = maxLen * 3             # 注：数据长度需要足够，才能准确。测试过，3倍长度才可以与国内的文华等软件一致
+        #maxLen = maxLen * 3             # 注：数据长度需要足够，才能准确。测试过，3倍长度才可以与国内的文华等软件一致
 
         if len(self.lineBar) < maxLen:
             self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算MACD需要：{1}'.format(len(self.lineBar), maxLen))
@@ -1289,6 +1302,56 @@ class CtaLineBar(object):
             del self.lineMacd[0]
         self.lineMacd.append(macd[-1]*2)            # 国内一般是2倍
 
+    def __recountCci(self):
+        """CCI计算
+        顺势指标又叫CCI指标，CCI指标是美国股市技术分析 家唐纳德·蓝伯特(Donald Lambert)于20世纪80年代提出的，专门测量股价、外汇或者贵金属交易
+        是否已超出常态分布范围。属于超买超卖类指标中较特殊的一种。波动于正无穷大和负无穷大之间。但是，又不需要以0为中轴线，这一点也和波动于正无穷大
+        和负无穷大的指标不同。
+        它最早是用于期货市场的判断，后运用于股票市场的研判，并被广泛使用。与大多数单一利用股票的收盘价、开盘价、最高价或最低价而发明出的各种技术分析
+        指标不同，CCI指标是根据统计学原理，引进价格与固定期间的股价平均区间的偏离程度的概念，强调股价平均绝对偏差在股市技术分析中的重要性，是一种比
+        较独特的技术指标。
+        它与其他超买超卖型指标又有自己比较独特之处。象KDJ、W%R等大多数超买超卖型指标都有“0-100”上下界限，因此，它们对待一般常态行情的研判比较适用
+        ，而对于那些短期内暴涨暴跌的股票的价格走势时，就可能会发生指标钝化的现象。而CCI指标却是波动于正无穷大到负无穷大之间，因此不会出现指标钝化现
+        象，这样就有利于投资者更好地研判行情，特别是那些短期内暴涨暴跌的非常态行情。
+        http://baike.baidu.com/view/53690.htm?fromtitle=CCI%E6%8C%87%E6%A0%87&fromid=4316895&type=syn
+
+
+        """
+        if self.inputCciLen <= 0:
+            return
+
+        # 1、lineBar满足长度才执行计算
+        if len(self.lineBar) < self.inputCciLen+2:
+            self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算CCI需要：{1}'.
+                             format(len(self.lineBar), self.inputCciLen + 2))
+            return
+
+        # 计算第1根RSI曲线
+
+        # 3、inputCc1Len(包含当前周期）
+        if self.mode == self.TICK_MODE:
+            listClose = [x.close for x in self.lineBar[-self.inputCciLen - 2:-1]]
+            listHigh = [x.high for x in self.lineBar[-self.inputCciLen - 2:-1]]
+            listLow  = [x.low for x in self.lineBar[-self.inputCciLen - 2:-1]]
+            idx = 2
+        else:
+            listClose = [x.close for x in self.lineBar[-self.inputCciLen-1:]]
+            listHigh = [x.high for x in self.lineBar[-self.inputCciLen - 1:]]
+            listLow = [x.low for x in self.lineBar[-self.inputCciLen - 1:]]
+            idx = 1
+
+        barCci = ta.CCI(high=numpy.array(listHigh, dtype=float), low=numpy.array(listLow, dtype=float),
+                        close=numpy.array(listClose, dtype=float), timeperiod=self.inputCciLen)[-1]
+
+        barCci = round(float(barCci), 3)
+
+        l = len(self.lineCci)
+        if l > self.inputCciLen*8:
+            del self.lineCci[0]
+
+        self.lineCci.append(barCci)
+
+
     # ----------------------------------------------------------------------
     def writeCtaLog(self, content):
         """记录CTA日志"""

vn.trader/ctaAlgo/ctaPosition.py

@@ -18,29 +18,22 @@ class CtaPosition:
         self.strategy = strategy
 
         self.pos = 0        # 持仓状态 0:空仓 >=1 多仓 <=-1 空仓
-
         self.maxPos = 1        # 最大持仓量
-
         self.step = 1       # 增仓数量
 
         self.posList = []
-
-
         self.avgPrice = EMPTY_FLOAT
 
     def avaliablePos2Add(self):
         """剩余可加的仓位数量"""
-
         return self.maxPos - abs(self.pos)
 
     def openPos(self, direction, vol, price = EMPTY_FLOAT):
         """开、加仓"""
-
         if self.pos == 0:
             self.posList = []
 
         if direction == DIRECTION_LONG:     # 加多仓
-
             if self.pos + vol > self.maxPos:
                 self.writeCtaLog(u'异常，超出仓位，当前仓位：{0},加仓:{1},最大仓位:{2}'.format(self.pos,vol,self.maxPos))
                 return False
@@ -49,9 +42,7 @@ class CtaPosition:
             self.pos = self.pos + vol
             self.strategy.pos = self.pos
 
-
         if direction == DIRECTION_SHORT:    # 加空仓
-
             if self.pos - vol < 0 - self.maxPos:
                 self.writeCtaLog(u'异常，超出仓位，当前仓位：{0},加仓:{1},最大仓位:{2}'.format(self.pos, vol, self.maxPos))
                 return False

vn.trader/ctaAlgo/ctaSetting.py

@@ -13,10 +13,14 @@
 from strategy22_ArbitrageGrid import Strategy22
 from strategy24_M15RB import Strategy24
 from strategy25_NonStdArbitrageGrid import Strategy25
+from strategy26_ArbitrageM1 import Strategy26
+from strategy27_MultiPeriod import Strategy27
 
 STRATEGY_CLASS = {}
 #STRATEGY_CLASS['DataRecorder'] = DataRecorder
 #STRATEGY_CLASS['DoubleEmaDemo'] = DoubleEmaDemo
 STRATEGY_CLASS['Strategy22'] = Strategy22
 STRATEGY_CLASS['Strategy24'] = Strategy24
-STRATEGY_CLASS['Strategy25'] = Strategy25
+STRATEGY_CLASS['Strategy25'] = Strategy25
+STRATEGY_CLASS['Strategy26'] = Strategy26
+STRATEGY_CLASS['Strategy27'] = Strategy27

vn.trader/ctaAlgo/sinaClient.py

@@ -1,214 +0,0 @@
-# encoding: UTF-8
-
-from __future__ import print_function
-
-'''一个简单的SINA数据客户端，主要使用requests开发'''
-import requests
-from time import sleep
-import execjs
-from datetime import datetime,timedelta
-from ctaBase import CtaBarData,CtaTickData
-
-class SinaClient(object):
-
-    # ----------------------------------------------------------------------
-    def __init__(self, strategy):
-
-        self.strategy = strategy
-
-        requests.adapters.DEFAULT_RETRIES = 5
-        self.session = requests.session()
-        self.session.keep_alive = False
-
-    def getTicks(self, symbol, callback):
-
-        # 从sina加载最新的M1数据
-        try:
-
-            url = u'http://stock2.finance.sina.com.cn/futures/api/json.php/InnerFuturesService.getInnerFutures5MLine?symbol={0}'.format(
-                symbol)
-            self.strategy.writeCtaLog(u'从sina下载{0}Tick数据 {1}'.format(symbol, url))
-            responses = execjs.eval(self.session.get(url).content.decode('gbk').split('\n')[-1])
-
-            datevalue = datetime.now().strftime('%Y-%m-%d')
-
-            for j, day_item in enumerate(responses[str(symbol).upper()]):
-                for i, item in enumerate(day_item):
-
-                    tick = CtaTickData()
-                    tick.vtSymbol = symbol
-                    tick.symbol = symbol
-
-                    if len(item) >= 6:
-                        datevalue = item[6]
-
-                    tick.date = datevalue
-                    tick.time = item[4] + u':00'
-                    tick.datetime = datetime.strptime(tick.date + ' ' + tick.time, '%Y-%m-%d %H:%M:%S')
-
-                    tick.lastPrice = float(item[0])
-                    tick.volume = int(item[2])
-
-                    if type(item[3]) == type(None):
-                        tick.openInterest = 0
-                    else:
-                        tick.openInterest = int(item[3])
-
-                    callback(tick)
-
-            return True
-
-        except Exception as e:
-            self.strategy.writeCtaLog(u'加载sina历史Tick数据失败：' + str(e))
-            return False
-
-
-    def getMinBars(self, symbol, minute, callback):
-        """# 从sina加载最新的M5,M15,M30,M60数据"""
-
-        if minute not in {5, 15, 30, 60}:
-            return False
-
-        sinaBars = []
-        try:
-
-            url = u'http://stock2.finance.sina.com.cn/futures/api/json.php/InnerFuturesService.getInnerFutures{0}MinKLine?symbol={1}'.format(minute,symbol)
-            self.strategy.writeCtaLog(u'从sina下载{0}的{1}分钟数据 {2}'.format(symbol,minute, url))
-            responses = execjs.eval(self.session.get(url).content.decode('gbk').split('\n')[-1])
-            dayVolume = 0
-
-            for item in responses:
-                bar = CtaBarData()
-
-                bar.vtSymbol = symbol
-                bar.symbol = symbol
-                # bar的close time
-                sinaDt = datetime.strptime(item[0], '%Y-%m-%d %H:%M:00')
-
-                if minute in {5, 15} and sinaDt.hour == 10 and sinaDt.minute == 30:
-                    # 这个是sina的bug，它把10:15 ~10:30也包含进来了
-                    continue
-
-                if minute == 60 and sinaDt.hour in {11,23,1,2} and sinaDt.minute == 30:
-                    bar.datetime = sinaDt - timedelta(seconds=(minute /2)* 60)
-                else:
-                    bar.datetime = sinaDt - timedelta(seconds=minute * 60)
-
-                bar.date = bar.datetime.strftime('%Y%m%d')
-                bar.tradingDay = bar.date       # todo: 需要修改，晚上21点后，修改为next workingday
-                bar.time = bar.datetime.strftime('%H:%M:00')
-
-                bar.open = float(item[1])
-                bar.high = float(item[2])
-                bar.low = float(item[3])
-                bar.close = float(item[4])
-                bar.volume = int(item[5])
-
-                # 计算dayvolume
-                if not sinaBars:
-                    dayVolume = bar.volume
-                else:
-                    if sinaBars[-1].datetime.hour == 14 and bar.datetime.hour !=14:
-                        dayVolume = bar.volume
-                    else:
-                        dayVolume += bar.volume
-
-                bar.dayVolume = dayVolume
-
-                sinaBars.append(bar)
-
-            if len(sinaBars)>0:
-                self.strategy.writeCtaLog(u'从sina读取了{0}条{1}分钟数据'.format(len(sinaBars),minute))
-
-                # 把sina的bar灌入回调函数
-                for bar in sinaBars:
-                    callback(bar)
-
-                # 处理完毕，清空
-                sinaBars = []
-
-                return True
-            else:
-                self.strategy.writeCtaLog(u'从sina读取{0}分钟数据失败'.format(minute))
-                return False
-
-        except Exception as e:
-            self.strategy.writeCtaLog(u'加载Sina历史分钟数据失败：'+str(e))
-            return False
-
-    def getDayBars(self, symbol, callback):
-        """# 从sina加载最新的Day数据"""
-
-        sinaBars = []
-
-        try:
-
-            url = u'http://stock.finance.sina.com.cn/futures/api/json.php/InnerFuturesService.getInnerFuturesDailyKLine?symbol={0}'.format(symbol)
-            self.strategy.writeCtaLog(u'从sina下载{0}的日K数据 {1}'.format(symbol, url))
-            responses = execjs.eval(self.session.get(url).content.decode('gbk'))
-            dayVolume = 0
-
-            for item in responses:
-                bar = CtaBarData()
-
-                bar.vtSymbol = symbol
-                bar.symbol = symbol
-                # bar的close time
-                bar.datetime = datetime.strptime(item['date'], '%Y-%m-%d')
-                bar.date = bar.datetime.strftime('%Y%m%d')
-                bar.tradingDay = bar.date       # todo: 需要修改，晚上21点后，修改为next workingday
-                bar.time = bar.datetime.strftime('%H:%M:00')
-
-                bar.open = float(item['open'])
-                bar.high = float(item['high'])
-                bar.low = float(item['low'])
-                bar.close = float(item['close'])
-                bar.volume = int(item['volume'])
-                bar.dayVolume = bar.volume
-
-                sinaBars.append(bar)
-
-            if len(sinaBars)>0:
-                self.strategy.writeCtaLog(u'从sina读取了{0}条日线K数据'.format(len(sinaBars)))
-
-                # 把sina的bar灌入回调函数
-                for bar in sinaBars:
-                    callback(bar)
-
-                # 处理完毕，清空
-                sinaBars = []
-
-                return True
-            else:
-                self.strategy.writeCtaLog(u'从sina读取日线K数据失败')
-                return False
-
-        except Exception as e:
-            self.strategy.writeCtaLog(u'加载Sina历史日线数据失败：'+str(e))
-            return False
-
-class TestStrategy(object):
-
-    def __init__(self):
-        pass
-
-    def addBar(self, bar):
-        print(u'{0},o:{1},h:{2},l:{3},c:{4},v:{5}'.format(bar.datetime, bar.open, bar.high, bar.low, bar.close, bar.volume))
-
-    def addTick(self, tick):
-        print(u'{0},{1},ap:{2},av:{3},bp:{4},bv:{5}'.format(tick.datetime, tick.lastPrice, tick.askPrice1, tick.askVolume1, tick.bidPrice1, tick.bidVolume1))
-
-    def writeCtaLog(self, content):
-        print(content)
-
-if __name__ == '__main__':
-    t = TestStrategy()
-
-    sina = SinaClient(t)
-
-    #rt=sina.getDayBars(symbol='RB1705', callback=t.addBar)
-
-    #rt = sina.getMinBars(symbol='RB1705',minute = 5, callback=t.addBar)
-
-    rt = sina.getTicks(symbol='RB1705', callback=t.addTick)
-

vn.trader/ctaAlgo/uiCtaWidget.py

@@ -4,6 +4,8 @@
 CTA模块相关的GUI控制组件
 '''
 
+import sys
+sys.path.append('..')
 
 from uiBasicWidget import QtGui, QtCore, BasicCell
 from eventEngine import *
@@ -19,7 +21,7 @@ class CtaValueMonitor(QtGui.QTableWidget):
     def __init__(self, parent=None):
         """Constructor"""
         super(CtaValueMonitor, self).__init__(parent)
-        
+
         self.keyCellDict = {}
         self.data = None
         self.inited = False
@@ -39,9 +41,12 @@ class CtaValueMonitor(QtGui.QTableWidget):
     def updateData(self, data):
         """更新数据"""
         if not self.inited:
+            # 设置标题
+
             self.setColumnCount(len(data))
             self.setHorizontalHeaderLabels(data.keys())
-            
+
+            # 新增数据
             col = 0
             for k, v in data.items():
                 cell = QtGui.QTableWidgetItem(unicode(v))
@@ -51,10 +56,14 @@ class CtaValueMonitor(QtGui.QTableWidget):
             
             self.inited = True
         else:
+            # 更新数据
             for k, v in data.items():
                 cell = self.keyCellDict[k]
                 cell.setText(unicode(v))
 
+        #cell.setBackgroundColor()
+
+        # 调整表格宽度为自适应
         self.resizeColumnsToContents()
         self.resizeRowsToContents()