更新回测引擎
This commit is contained in:
msincenselee
parent
0af79fc28b
commit
fea6ce4aa9
@ -19,6 +19,7 @@ import csv
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from ctaBase import *
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from ctaSetting import *
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from eventEngine import *
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from vtConstant import *
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from vtGateway import VtOrderData, VtTradeData
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from vtFunction import loadMongoSetting
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@ -36,7 +37,7 @@ class BacktestingEngine(object):
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2.修改装载数据为批量式后加载模式。
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3.增加csv 读取bar的回测模式
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4.增加csv 读取tick合并价差的回测模式
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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。
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"""
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TICK_MODE = 'tick' # 数据模式，逐Tick回测
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@ -46,8 +47,11 @@ class BacktestingEngine(object):
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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
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#----------------------------------------------------------------------
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def __init__(self):
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def __init__(self, eventEngine = None):
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"""Constructor"""
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self.eventEngine = eventEngine
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# 本地停止单编号计数
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self.stopOrderCount = 0
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# stopOrderID = STOPORDERPREFIX + str(stopOrderCount)
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@ -698,8 +702,8 @@ class BacktestingEngine(object):
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leg1BidVolume1 = int(float(row['BidVolume']))
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# 排除涨停/跌停的数据
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if (leg1AskPrice1== float('1.79769E308') and leg1AskVolume1 == 0) \
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or (leg1BidPrice1 == float('1.79769E308') and leg1BidVolume1 == 0):
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if ((leg1AskPrice1 == float('1.79769E308') or leg1AskPrice1 == 0) and leg1AskVolume1 == 0) \
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or ((leg1BidPrice1 == float('1.79769E308') or leg1BidPrice1 == 0) and leg1BidVolume1 == 0):
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continue
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# 叫卖价差=leg1.askPrice1 - leg2.bidPrice1，volume为两者最小
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@ -951,7 +955,15 @@ class BacktestingEngine(object):
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self.output(u'数据回放结束')
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#----------------------------------------------------------------------
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def __sendOnBarEvent(self, bar):
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"""发送Bar的事件"""
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if self.eventEngine is not None:
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eventType = EVENT_ON_BAR + '_' + self.symbol
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event = Event(type_= eventType)
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event.dict_['data'] = bar
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self.eventEngine.put(event)
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# ----------------------------------------------------------------------
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def newBar(self, bar):
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"""新的K线"""
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self.bar = bar
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@ -959,6 +971,7 @@ class BacktestingEngine(object):
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self.crossLimitOrder() # 先撮合限价单
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self.crossStopOrder() # 再撮合停止单
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self.strategy.onBar(bar) # 推送K线到策略中
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self.__sendOnBarEvent(bar) # 推送K线到事件
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#----------------------------------------------------------------------
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def newTick(self, tick):
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@ -1110,8 +1123,8 @@ class BacktestingEngine(object):
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# 遍历限价单字典中的所有限价单
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for orderID, order in self.workingLimitOrderDict.items():
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# 判断是否会成交
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buyCross = order.direction==DIRECTION_LONG and order.price>=buyCrossPrice
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sellCross = order.direction==DIRECTION_SHORT and order.price<=sellCrossPrice
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buyCross = order.direction==DIRECTION_LONG and order.price >= buyCrossPrice
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sellCross = order.direction==DIRECTION_SHORT and order.price <= sellCrossPrice
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# 如果发生了成交
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if buyCross or sellCross:
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@ -1159,6 +1172,7 @@ class BacktestingEngine(object):
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except Exception as ex:
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self.writeCtaError(u'{0}:{1}'.format(Exception, ex))
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# 实时计算模式
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if self.calculateMode == self.REALTIME_MODE:
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self.realtimeCalculate()
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@ -1178,8 +1192,8 @@ class BacktestingEngine(object):
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# 遍历停止单字典中的所有停止单
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for stopOrderID, so in self.workingStopOrderDict.items():
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# 判断是否会成交
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buyCross = so.direction==DIRECTION_LONG and so.price<=buyCrossPrice
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sellCross = so.direction==DIRECTION_SHORT and so.price>=sellCrossPrice
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buyCross = so.direction==DIRECTION_LONG and so.price <= buyCrossPrice
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sellCross = so.direction==DIRECTION_SHORT and so.price >= sellCrossPrice
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# 如果发生了成交
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if buyCross or sellCross:
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@ -1283,6 +1297,7 @@ class BacktestingEngine(object):
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longid = EMPTY_STRING
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shortid = EMPTY_STRING
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# 对交易记录逐一处理
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for tradeid in self.tradeDict.keys():
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trade = self.tradeDict[tradeid]
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# 多头交易
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@ -1423,8 +1438,8 @@ class BacktestingEngine(object):
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shortid = tradeid
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# 当前空头交易为平多
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else:
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gId = tradeid # 交易组（多个平仓数为一组） s
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gr = None # 组合的交易结果
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gId = tradeid # 交易组（多个平仓数为一组） s
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gr = None # 组合的交易结果
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sellVolume = trade.volume
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@ -1577,6 +1592,7 @@ class BacktestingEngine(object):
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self.writeCtaLog(msg)
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return
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# 对交易结果汇总统计
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for time, result in resultDict.items():
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if result.pnl > 0:
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@ -1662,7 +1678,7 @@ class BacktestingEngine(object):
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groupId=gId, fixcommission=self.fixCommission)
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if tv == 0:
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if gt==1:
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if gt == 1:
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resultDict[entryTrade.dt] = result
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else:
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gr = copy.deepcopy(result)
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@ -1832,7 +1848,6 @@ class BacktestingEngine(object):
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for row in self.exportTradeList:
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writer.writerow(row)
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def getResult(self):
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# 返回回测结果
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d = {}
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@ -129,8 +129,8 @@ class CtaTickData(object):
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.vtSymbol = EMPTY_STRING # vt系统代码
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self.symbol = EMPTY_STRING # 合约代码
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self.vtSymbol = EMPTY_STRING # vt系统代码 CF705
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self.symbol = EMPTY_STRING # 合约代码 CF1705
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self.exchange = EMPTY_STRING # 交易所代码
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# 成交数据
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@ -15,6 +15,12 @@ import copy,csv
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DEBUGCTALOG = True
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PERIOD_SECOND = 'second' # 秒级别周期
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PERIOD_MINUTE = 'minute' # 分钟级别周期
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PERIOD_HOUR = 'hour' # 小时级别周期
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PERIOD_DAY = 'day' # 日级别周期
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class CtaLineBar(object):
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"""CTA K线"""
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""" 使用方法:
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@ -55,6 +61,7 @@ class CtaLineBar(object):
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# 参数列表
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self.paramList.append('barTimeInterval')
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self.paramList.append('period')
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self.paramList.append('inputPreLen')
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self.paramList.append('inputEma1Len')
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self.paramList.append('inputEma2Len')
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@ -72,6 +79,7 @@ class CtaLineBar(object):
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self.paramList.append('inputBollLen')
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self.paramList.append('inputBollStdRate')
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self.paramList.append('inputKdjLen')
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self.paramList.append('inputCciLen')
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self.paramList.append('inputMacdFastPeriodLen')
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self.paramList.append('inputMacdSlowPeriodLen')
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self.paramList.append('inputMacdSignalPeriodLen')
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@ -83,9 +91,8 @@ class CtaLineBar(object):
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# 输入参数
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self.name = u'LineBar'
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self.mode = self.TICK_MODE
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self.mode = self.TICK_MODE # 缺省为tick模式
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self.period = PERIOD_SECOND # 缺省为分钟级别周期
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self.barTimeInterval = 300
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self.barMinuteInterval = self.barTimeInterval / 60
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@ -117,6 +124,7 @@ class CtaLineBar(object):
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# 当前的Tick
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self.curTick = None
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self.lastTick = None
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self.curTradingDay = EMPTY_STRING
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# K 线服务的策略
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@ -132,7 +140,6 @@ class CtaLineBar(object):
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self.preHigh = [] # K线的前inputPreLen的的最高
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self.preLow = [] # K线的前inputPreLen的的最低
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self.lineMa1 = [] # K线的MA1均线，周期是InputMaLen1，不包含当前bar
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self.lineMa2 = [] # K线的MA2均线，周期是InputMaLen2，不包含当前bar
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@ -210,6 +217,9 @@ class CtaLineBar(object):
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self.lineKdjTop = [] # 记录KDJ最高峰，只保留 inputKdjLen个
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self.lineKdjButtom = [] # 记录KDJ的最低谷，只保留 inputKdjLen个
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self.lastKdjTopButtom = {} # 最近的一个波峰/波谷
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self.lastK = EMPTY_FLOAT # bar内计算时，最后一个未关闭的bar的实时K值
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self.lastD = EMPTY_FLOAT # bar内计算时，最后一个未关闭的bar的实时值
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self.lastJ = EMPTY_FLOAT # bar内计算时，最后一个未关闭的bar的实时J值
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# K线的MACD计算数据
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self.inputMacdFastPeriodLen = EMPTY_INT
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@ -220,6 +230,10 @@ class CtaLineBar(object):
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self.lineDea = [] # DEA = （前一日DEA X 8/10 + 今日DIF X 2/10），即为talib-MACD返回值
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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
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# K 线的CCI计算数据
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self.inputCciLen = EMPTY_INT
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self.lineCci = []
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if setting:
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self.setParam(setting)
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@ -247,12 +261,19 @@ class CtaLineBar(object):
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if tick.datetime.hour == 8 or tick.datetime.hour == 20:
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self.writeCtaLog(u'竞价排名tick时间:{0}'.format(tick.datetime))
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return
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if self.lastTick is None:
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self.lastTick = tick
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self.curTick = tick
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# 3.生成x K线，若形成新Bar，则触发OnBar事件
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self.__drawLineBar(tick)
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self.lastTick = tick
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# 4.执行 bar内计算
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self.__recountKdj(countInBar=True)
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def addBar(self,bar):
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"""予以外部初始化程序增加bar"""
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l1 = len(self.lineBar)
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@ -268,7 +289,19 @@ class CtaLineBar(object):
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self.curTradingDay = bar.tradingDay
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if abs((bar.datetime - lastBar.datetime).seconds) >= self.barTimeInterval:
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if (self.period == PERIOD_SECOND and (bar.datetime-lastBar.datetime).seconds >= self.barTimeInterval) \
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or (self.period == PERIOD_MINUTE and bar.datetime.minute % self.barTimeInterval == 0
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and bar.datetime.minute != lastBar.datetime.minute) \
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or (self.period == PERIOD_HOUR and self.barTimeInterval == 1 and bar.datetime
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and bar.datetime.hour != lastBar.datetime.hour) \
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or (self.period == PERIOD_HOUR and self.barTimeInterval == 2 and bar.datetime
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and bar.datetime.hour != lastBar.datetime.hour
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and bar.datetime.hour in {1, 9, 11, 13, 21, 23}) \
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or (self.period == PERIOD_HOUR and self.barTimeInterval == 4 and bar.datetime
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and bar.datetime.hour != lastBar.datetime.hour
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and bar.datetime.hour in {1, 9, 13, 21}) \
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or (self.period == PERIOD_DAY and bar.datetime.date != lastBar.datetime.date ):
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self.lineBar.append(bar)
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self.onBar(bar)
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return
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@ -301,6 +334,7 @@ class CtaLineBar(object):
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self.__recountKdj()
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self.__recountBoll()
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self.__recountMacd()
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self.__recountCci()
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# 回调上层调用者
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self.onBarFunc(bar)
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@ -360,6 +394,9 @@ class CtaLineBar(object):
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round(self.lineD[-1], 2),
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round(self.lineJ[-1], 2))
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if self.inputCciLen > 0 and len(self.lineCci) > 0:
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msg = msg + u',Cci({0}):{1}'.format(self.inputCciLen, self.lineCci[-1])
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if self.inputBollLen > 0 and len(self.lineUpperBand)>0:
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msg = msg + u',Boll({0}):u:{1},m:{2},l:{3}'.\
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format(self.inputBollLen, round(self.lineUpperBand[-1], 2),
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@ -376,7 +413,7 @@ class CtaLineBar(object):
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self.bar = CtaBarData() # 创建新的K线
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# 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
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if self.barMinuteInterval:
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if self.barMinuteInterval and self.period == PERIOD_SECOND:
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self.barMinuteInterval = int(self.barTimeInterval / 60)
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if self.barMinuteInterval < 1:
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self.barMinuteInterval = 1
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@ -414,8 +451,6 @@ class CtaLineBar(object):
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# 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
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self.bar.volume = tick.volume - self.lineBar[-1].dayVolume
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self.barFirstTick = True # 标识该Tick属于该Bar的第一个tick数据
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self.lineBar.append(self.bar) # 推入到lineBar队列
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@ -438,62 +473,6 @@ class CtaLineBar(object):
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# 与最后一个BAR的时间比对，判断是否超过5分钟
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lastBar = self.lineBar[-1]
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# 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。
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if len(self.lineAtr2) < 1:
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priceInBar = 5 * self.minDiff
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else:
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priceInBar = self.lineAtr2[-1]
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jumpBars = int(abs(tick.lastPrice - lastBar.close)/priceInBar)
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# 开盘时间
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if (tick.datetime.hour == 9 or tick.datetime.hour == 21) \
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and tick.datetime.minute == 0 and tick.datetime.second == 0 \
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and lastBar.datetime.hour != tick.datetime.hour \
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and jumpBars > 0 and self.activeDayJump:
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priceInYesterday = lastBar.close
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self.writeCtaLog(u'line Bar jumpbars:{0}'.format(jumpBars))
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if tick.lastPrice > priceInYesterday: # 价格往上跳
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# 生成砖块递增K线,减小ATR变动
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for i in range(0, jumpBars, 1):
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upbar = copy.deepcopy(lastBar)
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upbar.open = priceInYesterday + float(i * priceInBar)
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upbar.low = upbar.open
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upbar.close = priceInYesterday + float((i+1) * priceInBar)
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upbar.high = upbar.close
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upbar.volume = 0
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self.lineBar.append(upbar)
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self.onBar(upbar)
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else: # 价格往下跳
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# 生成递减K线,减小ATR变动
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for i in range(0, jumpBars, 1):
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downbar = copy.deepcopy(lastBar)
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downbar.open = priceInYesterday - float(i * priceInBar)
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downbar.high = downbar.open
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downbar.close = priceInYesterday - float((i+1) * priceInBar)
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downbar.low = downbar.close
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downbar.volume = 0
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self.lineBar.append(downbar)
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self.onBar(downbar)
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# 生成平移K线，减小Pdi，Mdi、ADX变动
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for i in range(0, jumpBars*2, 1):
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equalbar=copy.deepcopy(self.lineBar[-1])
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equalbar.volume = 0
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self.lineBar.append(equalbar)
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self.onBar(equalbar)
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# 重新指定为最后一个Bar
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lastBar = self.lineBar[-1]
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# 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
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endtick = False
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if (tick.datetime.hour == 10 and tick.datetime.minute == 15) \
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@ -514,8 +493,31 @@ class CtaLineBar(object):
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if tick.datetime.hour == 23 and tick.datetime.minute == 30:
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endtick = True
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# 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
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if (tick.datetime-lastBar.datetime).seconds >= self.barTimeInterval and not endtick:
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# 满足时间要求
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# 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）
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# 2，分钟、小时周期，取整=0
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# 3、日周期，开盘时间
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# 4、不是最后一个结束tick
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if ((self.period == PERIOD_SECOND and (tick.datetime-lastBar.datetime).seconds >= self.barTimeInterval) \
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or
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(self.period == PERIOD_MINUTE and tick.datetime.minute % self.barTimeInterval == 0
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and tick.datetime.minute != self.lastTick.datetime.minute)
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or
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(self.period == PERIOD_HOUR and self.barTimeInterval == 1 and tick.datetime
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and tick.datetime.hour != self.lastTick.datetime.hour)
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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)
|
||||
llv = min(listClose)
|
||||
hhv = max(listHigh)
|
||||
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"""
|
||||
|
||||
@ -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
|
||||
|
||||
@ -13,6 +13,8 @@
|
||||
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
|
||||
@ -20,3 +22,5 @@ STRATEGY_CLASS = {}
|
||||
STRATEGY_CLASS['Strategy22'] = Strategy22
|
||||
STRATEGY_CLASS['Strategy24'] = Strategy24
|
||||
STRATEGY_CLASS['Strategy25'] = Strategy25
|
||||
STRATEGY_CLASS['Strategy26'] = Strategy26
|
||||
STRATEGY_CLASS['Strategy27'] = Strategy27
|
||||
@ -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)
|
||||
|
||||
@ -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 *
|
||||
@ -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()
|
||||
|
||||
|
||||
Loading…
Reference in New Issue
Block a user