From fef5dc9410083195a62eb87b1489dc505f69c5d4 Mon Sep 17 00:00:00 2001 From: msincenselee Date: Sat, 29 Sep 2018 17:42:14 +0800 Subject: [PATCH] bug fix --- vnpy/trader/app/ctaStrategy/ctaBacktesting.py | 13 ++++- vnpy/trader/app/ctaStrategy/ctaEngine.py | 6 +++ vnpy/trader/app/ctaStrategy/ctaLineBar.py | 25 +++++----- vnpy/trader/app/ctaStrategy/ctaTemplate.py | 47 ++++++++++--------- 4 files changed, 56 insertions(+), 35 deletions(-) diff --git a/vnpy/trader/app/ctaStrategy/ctaBacktesting.py b/vnpy/trader/app/ctaStrategy/ctaBacktesting.py index 27ebd103..c4278a41 100644 --- a/vnpy/trader/app/ctaStrategy/ctaBacktesting.py +++ b/vnpy/trader/app/ctaStrategy/ctaBacktesting.py @@ -1431,7 +1431,7 @@ class BacktestingEngine(object): self.writeCtaLog(u'{0}文件不存在'.format(filepath)) return ticks dt = None - csvReadFile = file(filepath, 'rb') + csvReadFile = open(filepath, 'rb') reader = csv.DictReader(csvReadFile, delimiter=",") self.writeCtaLog(u'加载{0}'.format(filepath)) @@ -1624,7 +1624,7 @@ class BacktestingEngine(object): self.writeCtaLog(u'{0}文件不存在'.format(filepath)) return ticks dt = None - csvReadFile = file(filepath, 'rb') + csvReadFile = open(filepath, 'rb') df = pd.read_csv(filepath, encoding='gbk',parse_dates=False) df.columns = ['date', 'time', 'lastPrice', 'lastVolume', 'totalInterest', 'position', 'bidPrice1', 'bidVolume1', 'bidPrice2', 'bidVolume2', 'bidPrice3', 'bidVolume3', @@ -1965,6 +1965,15 @@ class BacktestingEngine(object): #bar.close = float(row['Close']) #bar.volume = float(row['TotalVolume'])# #barEndTime = datetime.strptime(row['Date']+' ' + row['Time'], '%Y/%m/%d %H:%M:%S') + if row.get('open',None) is None: + continue + if row.get('high', None) is None: + continue + if row.get('low', None) is None: + continue + if row.get('close', None) is None: + continue + if len(row['open'])==0 or len(row['high'])==0 or len(row['low'])==0 or len(row['close'])==0: continue # 从ricequant导出的csv文件 diff --git a/vnpy/trader/app/ctaStrategy/ctaEngine.py b/vnpy/trader/app/ctaStrategy/ctaEngine.py index 07d9d4ae..006e1a99 100644 --- a/vnpy/trader/app/ctaStrategy/ctaEngine.py +++ b/vnpy/trader/app/ctaStrategy/ctaEngine.py @@ -957,6 +957,12 @@ class CtaEngine(object): else: symbols = strategy.vtSymbol.split(';') + # 数字货币 btc_usdt.OKEX + #if strategy.vtSymbol.find('.') != -1: + # symbol_pairs = strategy.vtSymbol.split('.') + # if len(symbol_pairs)==2: + # symbols.append(symbol_pairs[0]) + # 判断是否有Leg1Symbol,Leg2Symbol 两个合约属性 if hasattr(strategy, 'Leg1Symbol'): if strategy.Leg1Symbol not in symbols: diff --git a/vnpy/trader/app/ctaStrategy/ctaLineBar.py b/vnpy/trader/app/ctaStrategy/ctaLineBar.py index e17e222c..0b2a04bb 100644 --- a/vnpy/trader/app/ctaStrategy/ctaLineBar.py +++ b/vnpy/trader/app/ctaStrategy/ctaLineBar.py @@ -2934,7 +2934,7 @@ class CtaLineBar(object): def skd_is_low_golden_cross(self, runtime=False, low_skd=None): """ - 检查是否低位死叉 + 检查是否低位金叉 :return: """ if not self.inputSkd or len(self.lineSK) < self.inputSkdLen2: @@ -3695,6 +3695,7 @@ class CtaHourBar(CtaLineBar): # 去除分钟和秒数 tick.datetime = datetime.strptime(tick.datetime.strftime('%Y-%m-%d %H:00:00'), '%Y-%m-%d %H:%M:%S') tick.time = tick.datetime.strftime('%H:%M:%S') + self.last_minute = tick.datetime.minute self.curTradingDay = tick.tradingDay self.writeCtaLog('{} drawLineBar() new_bar,{} curTradingDay:{},tick.tradingDay:{}' .format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"), self.curTradingDay, @@ -3707,6 +3708,7 @@ class CtaHourBar(CtaLineBar): self.last_minute = tick.datetime.minute if self.is_7x24: + # 数字货币，用前后时间间隔 if (tick.datetime - lastBar.datetime).total_seconds() >= 3600 * self.barTimeInterval: self.writeCtaLog('{} drawLineBar() new_bar,{} - {} > 3600 * {} ' .format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"), lastBar.datetime.strftime("%Y-%m-%d %H:%M:%S"), @@ -3719,16 +3721,17 @@ class CtaHourBar(CtaLineBar): self.curTradingDay = tick.tradingDay else: self.curTradingDay = tick.date - - if self.m1_bars_count > 60 * self.barTimeInterval: - self.writeCtaLog('{} drawLineBar() new_bar,{} {} > 60 * {} ' - .format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"), - self.m1_bars_count, - self.barTimeInterval)) - is_new_bar = True - # 去除秒数 - tick.datetime = datetime.strptime(tick.datetime.strftime('%Y-%m-%d %H:%M:00'), '%Y-%m-%d %H:%M:%S') - tick.time = tick.datetime.strftime('%H:%M:%S') + else: + # 国内期货,用bar累加 + if self.m1_bars_count > 60 * self.barTimeInterval: + self.writeCtaLog('{} drawLineBar() new_bar,{} {} > 60 * {} ' + .format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"), + self.m1_bars_count, + self.barTimeInterval)) + is_new_bar = True + # 去除秒数 + tick.datetime = datetime.strptime(tick.datetime.strftime('%Y-%m-%d %H:%M:00'), '%Y-%m-%d %H:%M:%S') + tick.time = tick.datetime.strftime('%H:%M:%S') if is_new_bar: # 创建并推入新的Bar diff --git a/vnpy/trader/app/ctaStrategy/ctaTemplate.py b/vnpy/trader/app/ctaStrategy/ctaTemplate.py index 654239e9..217d22f8 100644 --- a/vnpy/trader/app/ctaStrategy/ctaTemplate.py +++ b/vnpy/trader/app/ctaStrategy/ctaTemplate.py @@ -260,27 +260,28 @@ class CtaTemplate(object): def writeCtaLog(self, content): """记录CTA日志""" try: + content = self.name + ':' + content self.ctaEngine.writeCtaLog(content, strategy_name=self.name) except Exception as ex: - content = self.name + ':' + content + self.ctaEngine.writeCtaLog(content) # ---------------------------------------------------------------------- def writeCtaError(self, content): """记录CTA出错日志""" try: + content = self.name + ':' + content self.ctaEngine.writeCtaError(content, strategy_name=self.name) except Exception as ex: - content = self.name + ':' + content self.ctaEngine.writeCtaError(content) # ---------------------------------------------------------------------- def writeCtaWarning(self, content): """记录CTA告警日志""" try: + content = self.name + ':' + content self.ctaEngine.writeCtaWarning(content, strategy_name=self.name) except Exception as ex: - content = self.name + ':' + content self.ctaEngine.writeCtaWarning(content) # ---------------------------------------------------------------------- @@ -296,15 +297,15 @@ class CtaTemplate(object): # ---------------------------------------------------------------------- def writeCtaCritical(self, content): """记录CTA系统异常日志""" - + content = self.name + ':' + content if not self.backtesting: try: self.ctaEngine.writeCtaCritical(content,strategy_name=self.name) except Exception as ex: - content = self.name + ':' + content + self.ctaEngine.writeCtaCritical(content) else: - content = self.name + ':' + content + self.ctaEngine.writeCtaError(content) def sendSignal(self,direction,price, level): @@ -486,11 +487,18 @@ class MatrixTemplate(CtaTemplate): return if dt.hour == 10: - if dt.minute <= 15 or dt.minute >= 30: + if self.shortSymbol not in MARKET_ZJ and 15 <= dt.minute < 30: + pass + else: self.tradeWindow = True return - if dt.hour == 11 and dt.minute <= 30: + if dt.hour == 11 and dt.minute < 30: + self.tradeWindow = True + return + + # 中金 + if self.shortSymbol not in MARKET_ZJ and dt.hour == 13: self.tradeWindow = True return @@ -499,7 +507,7 @@ class MatrixTemplate(CtaTemplate): return if dt.hour == 14: - if dt.minute <= 55: + if dt.minute <= 59: self.tradeWindow = True return @@ -514,12 +522,12 @@ class MatrixTemplate(CtaTemplate): # 上期 贵金属， 次日凌晨2:30 if self.shortSymbol in NIGHT_MARKET_SQ1: - if dt.hour == 22 or dt.hour == 23 or dt.hour == 0 or dt.hour == 1: + if dt.hour in [22,23,0,1] : self.tradeWindow = True return if dt.hour == 2: - if dt.minute <= 1: # 收市前29分钟 + if dt.minute <= 29: # 收市前29分钟 self.tradeWindow = True return if dt.minute > 24: # 夜盘平仓 @@ -529,18 +537,13 @@ class MatrixTemplate(CtaTemplate): # 上期 有色金属，黑色金属，沥青 次日01:00 if self.shortSymbol in NIGHT_MARKET_SQ2: - if dt.hour in [22, 23]: + if dt.hour in [22, 23,0]: self.tradeWindow = True return - if dt.hour == 0: - if dt.minute <= 31: # 收市前29分钟 - self.tradeWindow = True - return - - if dt.minute > 54: # 夜盘平仓 - self.closeWindow = True - return + if dt.minute > 54: # 夜盘平仓 + self.closeWindow = True + return return @@ -548,7 +551,7 @@ class MatrixTemplate(CtaTemplate): if self.shortSymbol in NIGHT_MARKET_SQ3: if dt.hour == 22: - if dt.minute <= 31: # 收市前29分钟 + if dt.minute <= 59: # 收市前29分钟 self.tradeWindow = True return @@ -562,7 +565,7 @@ class MatrixTemplate(CtaTemplate): return if dt.hour == 23: - if dt.minute <= 1: # 收市前29分钟 + if dt.minute <= 29: # 收市 23:30分钟 self.tradeWindow = True return if dt.minute > 24: # 夜盘平仓