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