# encoding: UTF-8 # 首先写系统内置模块 import sys print u'demoStrategy.py import sys success' from datetime import datetime, timedelta, time, date print u'demoStrategy.py import datetime.datetime/timedelta/time success' from time import sleep print u'demoStrategy.py import time.sleep success' # 然后是自己编写的模块 from demoEngine import MainEngine print u'demoStrategy.py import demoEngine.MainEngine success' from strategyEngine import * import vtConstant import tushare as ts import pandas as pd import talib as ta import MySQLdb import os import sys import cPickle ######################################################################## class StrategyProduceBar(StrategyTemplate): """生成Bar线策略 """ #---------------------------------------------------------------------- def __init__(self, name, symbol, engine): """Constructor""" super(StrategyProduceBar, self).__init__(name, symbol, engine) # 主连标签 if len(symbol) > 4: self.symbolMi = symbol[:-4] else: self.symbolMi = symbol # 最新TICK数据（市场报价） self.currentTick = None # M1 K线缓存对象 self.barOpen = EMPTY_FLOAT self.barHigh = EMPTY_FLOAT self.barLow = EMPTY_FLOAT self.barClose = EMPTY_FLOAT self.barVolume = EMPTY_INT self.barTime = None # M5 K线 计算数据 self.barM5Open = EMPTY_FLOAT self.barM5High = EMPTY_FLOAT self.barM5Low = EMPTY_FLOAT self.barM5Close = EMPTY_FLOAT self.barM5Volume = EMPTY_INT self.barM5Time = None # 当前交易日日期 self.curDate = None # 仓位状态 self.pos = 0 # 0表示没有仓位，1表示持有多头， -1表示持有空头 # 报单代码列表 self.listOrderRef = [] # 报单号列表 self.listStopOrder = [] # 停止单对象列表 # 是否完成了初始化 self.initCompleted = False # 初始化时读取的历史数据的起始日期(可以选择外部设置) self.startDate = None self.lineM1Bar = [] # M1 K线数据 self.lineM5Bar = [] # M5 K线数据 #---------------------------------------------------------------------- def loadSetting(self, setting): """读取参数设定""" try: if setting['orderVolume']: self.orderVolume = setting['orderVolume'] if setting['refDays']: self.refDays = setting['refDays'] self.engine.writeLog(self.name + u'读取参数成功') except KeyError: self.engine.writeLog(self.name + u'读取参数设定出错，请检查参数字典') try: self.initStrategy(setting['startDate']) except KeyError: self.initStrategy() #---------------------------------------------------------------------- def initStrategy(self, startDate=None): """初始化""" # 获取 InputP个周期的5分钟Bar线数据，初始化加载入M5Bar self.initCompleted = True self.engine.writeLog(self.name + u'初始化完成') def __initNewDate(self, symbol, endDate=datetime.today()): """初始化新的一天 1、清除多余的M1Bar＆　M5Bar 2、如果隔夜持仓，需要继续清除。 """ #---------------------------------------------------------------------- def onTick(self, tick): """行情更新 :type tick: object """ # 保存最新的TICK self.currentTick = tick # 首先生成datetime.time格式的时间（便于比较） # ticktime = self.strToTime(tick.time, tick.ms) ticktime = tick.time tickDate = date(ticktime.year, ticktime.month, ticktime.day) if tickDate != self.curDate: # 更新为新的一天 self.curDate = tickDate # 初始化交易日数据 self.__initNewDate(self.symbol, self.curDate) # 假设是收到的第一个TICK if self.barOpen == 0: # 初始化新的K线数据 self.barOpen = tick.lastPrice self.barHigh = tick.lastPrice self.barLow = tick.lastPrice self.barClose = tick.lastPrice self.barVolume = tick.volume self.barTime = ticktime else: # 如果是当前一分钟内的数据 if ticktime.minute == self.barTime.minute and ticktime.hour == self.barTime.hour: # 汇总TICK生成K线 self.barHigh = max(self.barHigh, tick.lastPrice) self.barLow = min(self.barLow, tick.lastPrice) self.barClose = tick.lastPrice self.barVolume = self.barVolume + tick.volume self.barTime = ticktime # 如果是新一分钟的数据 else: # 首先推送K线数据 self.onBar(self.barOpen, self.barHigh, self.barLow, self.barClose, self.barVolume, self.barTime) # 初始化新的K线数据 self.barOpen = tick.lastPrice self.barHigh = tick.lastPrice self.barLow = tick.lastPrice self.barClose = tick.lastPrice self.barVolume = tick.volume self.barTime = ticktime #---------------------------------------------------------------------- def onTrade(self, trade): """交易更新""" log = self.name + u'当前持仓：' + str(self.pos) print log self.engine.writeLog(log) #---------------------------------------------------------------------- def onOrder(self, order): """报单更新""" pass #---------------------------------------------------------------------- def onStopOrder(self, orderRef): """停止单更新""" pass #---------------------------------------------------------------------- def onBar(self, o, h, l, c, volume, t): """K线数据更新，同时进行策略的买入、卖出逻辑计算""" bartime = datetime(t.year, t.month, t.day, t.hour, t.minute) # 秒可以去除 # 保存M1-K线数据 bar = Bar() bar.symbol = self.symbol bar.open = o bar.high = h bar.low = l bar.close = c bar.volume = volume bar.date = bartime.strftime('%Y-%m-%d') bar.time = bartime.strftime('%H:%M:%S') bar.datetime = bartime self.lineM1Bar.append(bar) # 保存M5-K线数据，更新前置条件值 self.onM5Bar(o, h, l, c, volume, t) # 交易逻辑 if self.initCompleted: # 首先检查是否是实盘运行还是数据预处理阶段 pass # 记录日志 log = self.name + u'，K线时间：' + str(t) + '\n' self.engine.writeLog(log) #---------------------------------------------------------------------- def onM5Bar(self, o, h, l, c, volume, t): """更新5分钟K线 此方法有两个入口，一个是OnBar推送的每分钟K线， 另一个是initStrategy推送的初始化前若干周期的M5 K线""" minute = t.minute - t.minute % 5 bartime = datetime(t.year,t.month,t.day,t.hour,minute) # 如果 M5为空，创建一个M5 if len(self.lineM5Bar) == 0: m5bar = Bar() m5bar.symbol = self.symbol m5bar.open = o m5bar.high = h m5bar.low = l m5bar.close = c m5bar.volume = volume m5bar.date = bartime.strftime('%Y-%m-%d') m5bar.time = bartime.strftime('%H:%M:%S') m5bar.datetime = bartime self.lineM5Bar.append(m5bar) else: lastM5Bar = self.lineM5Bar[-1] if(t-lastM5Bar.datetime).seconds < 300: # 如果 新Bar数据的时间为同一个M5周期，更新M5数据 lastM5Bar.high = max(lastM5Bar.high, h) lastM5Bar.low = min(lastM5Bar.low, l) lastM5Bar.close = c lastM5Bar.volume = lastM5Bar.volume + volume else: # 如果 新Bar数据的周期为下一个M5周期，重新计算PreM5系列值，创建新的M5 m5bar = Bar() m5bar.symbol = self.symbol m5bar.open = o m5bar.high = h m5bar.low = l m5bar.close = c m5bar.volume = volume m5bar.date = bartime.strftime('%Y-%m-%d') m5bar.time = bartime.strftime('%H:%M:%S') m5bar.datetime = bartime self.lineM5Bar.append(m5bar) #---------------------------------------------------------------------- def strToTime(self, t, ms): """从字符串时间转化为time格式的时间""" hh, mm, ss = t.split(':') tt = time(int(hh), int(mm), int(ss), microsecond=ms) return tt #---------------------------------------------------------------------- def saveData(self, id): """保存过程数据""" # 保存K线 print u'{0}保存K线'.format(self.name) self.__saveBarToMysql('M1', self.lineM1Bar) self.__saveBarToMysql('M5', self.lineM5Bar) def __saveBarToMysql(self,barType, barList): """ 保存K线数据到数据库 id， 回测ID barList， 对象为Bar的列表 """ # 保存本地pickle文件 resultPath=os.getcwd()+'/result' if not os.path.isdir(resultPath): os.mkdir(resultPath) resultFile = u'{0}/{1}_{2}Bar.pickle'.format(resultPath,self.symbolMi, barType) cache= open(resultFile, mode='w') cPickle.dump(barList,cache) cache.close() # 保存数据库 self.__connectMysql() if self.__mysqlConnected: sql = 'insert ignore into stockcn.TB_{0}{1} ' \ '( open,high, low,close,date,time,datetime,volume) ' \ 'values '.format(self.symbolMi,barType) values = '' print u'共{0}条{1}Bar记录.'.format(len(barList),barType) if len(barList) == 0: return counts = 0 for bar in barList: if len(values) > 0: values = values + ',' values = values + '({0},{1},{2},{3},\'{4}\',\'{5}\',\'{6}\',{7})'.format( bar.open, bar.high, bar.low, bar.close, bar.date, bar.time, bar.datetime.strftime('%Y-%m-%d %H:%M:%S'), bar.volume ) if counts >= 3600: self.__executeMysql(sql+values) print u'写入{0}条{1}Bar记录'.format(counts,barType) counts = 0 values = '' else: counts = counts + 1 if counts > 0: self.__executeMysql(sql+values) print u'写入{0}条{1}Bar记录'.format(counts,barType) #---------------------------------------------------------------------- def __connectMysql(self): """连接MysqlDB""" # 载入json文件 fileName = 'mysql_connect.json' try: f = file(fileName) except IOError: self.writeLog(u'回测引擎读取Mysql_connect.json失败') return # 解析json文件 setting = json.load(f) try: mysql_host = str(setting['host']) mysql_port = int(setting['port']) mysql_user = str(setting['user']) mysql_passwd = str(setting['passwd']) mysql_db = str(setting['db']) except IOError: self.writeLog(u'回测引擎读取Mysql_connect.json,连接配置缺少字段，请检查') return try: self.__mysqlConnection = MySQLdb.connect(host=mysql_host, user=mysql_user, passwd=mysql_passwd, db=mysql_db, port=mysql_port) self.__mysqlConnected = True print u'策略连接MysqlDB成功' except ConnectionFailure: print u'策略连接MysqlDB失败' #---------------------------------------------------------------------- def __executeMysql(self, sql): """执行mysql语句""" if not self.__mysqlConnected: self.__connectMysql() cur = self.__mysqlConnection.cursor(MySQLdb.cursors.DictCursor) try: cur.execute(sql) self.__mysqlConnection.commit() except Exception, e: print e print sql self.__connectMysql() cur = self.__mysqlConnection.cursor(MySQLdb.cursors.DictCursor) cur.execute(sql) self.__mysqlConnection.commit()