def read_signals(cls, model_from=None, field=None, **kw):
"""
query signals from DB
:param model_from:
:param field:属性域
:return:
"""
try:
sql = dict()
if model_from is not None:
sql = {"model_from": model_from}
sql = dict(sql, **kw)
cursor = MODEL_TABLE(cls.location, cls.dbname,
'signals').query(sql, field)
if cursor.count():
data = pd.DataFrame(list(cursor))
# data['date'] = pd.to_datetime(data.date)
# data = cls.merge_time(data)
data = data.sort_values(['open_date'], ascending=False)
data = data.reset_index(drop=True)
# data.drop(['_id', 'classtype'], axis=1, inplace=True)
# data = data.drop_duplicates(['stock_code', 'date', 'time'])
# data.stock_code.astype('int')
cursor.close()
return data
else:
cursor.close()
return pd.DataFrame([])
except Exception:
raise MongoIOError('query signals from db raise a error')
def read_pst(cls, stock_code=None, date=None, **kw):
"""
读取仓位
:param stock_code:
:param date:
:param kw:
:return:
"""
try:
sql = dict()
if stock_code is not None:
sql['stock_code'] = stock_code
if date is not None:
sql = dict(sql, **analyzer("date = {d}".format(d=date)))
sql = dict(sql, **kw)
cursor = MODEL_TABLE(cls.location, cls.dbname,
'position').query(sql)
pst = list(cursor)
if len(pst):
pst = pd.DataFrame(pst)
pst.drop(['_id', 'classtype'], axis=1, inplace=True)
return pst
return pd.DataFrame()
except Exception:
raise MongoIOError('query position from db raise a error')
def read_his_signals(cls, field=None, **kw):
"""
读取持有过的股票数据，包括在回测中买入过的股票
:param kw:
:return:
"""
try:
sql = kw
cursor = MODEL_TABLE(cls.location, cls.dbname, 'signals_his').query(sql, field)
if cursor.count():
data = pd.DataFrame(list(cursor))
return data
else:
return pd.DataFrame([])
except Exception:
raise MongoIOError('query positions from db raise a error')
# @classmethod
# def push_macd_signals(cls, model_name='traitor_a', date='2017-12-25'):
# try:
# data = md.get_signals(model_from=MODEL_WEB_NAME[model_name], date=date)
# bins = [0, 50, 100, 200, 500, 1000, 2000, 5000, 10000, 100000]
# group_index = [1, 2, 3, 4, 5, 6, 7, 8, 0]
# data['rmd'] = pd.cut(data.confidence, bins=bins, labels=group_index, right=False)
# data['status'] = 1
# print(data.head())
# return data.loc[:, ['stock_code', 'date', 'buy_price', 'rmd', 'status']]
# except Exception:
# ExceptionInfo()
# return pd.DataFrame()
def remove_data(cls, kline, **kw):
"""
删除K线数据
:param kline:
:param kw:
:return:
"""
try:
KLINE_MODEL_TABLE(cls.location, cls.dbname, kline).remove(kw)
except Exception:
raise MongoIOError('Failed with delete data by MongoDB')
def remove_data(cls, table_name, **kw):
"""
删除数据
:param table_name:
:param kw:
:return:
"""
try:
BaseModel(table_name, cls.location, cls.dbname).remove(kw)
except Exception:
raise MongoIOError('Failed with delete data by MongoDB')
def update_signals(cls, condition, **kw):
"""
按condition条件更新K线数据
:param condition: 形如{‘date':datetime.datetime(2018,1,1)}的一个字典
:param kw:形如close=0这样的参数组
:return:
"""
try:
MODEL_TABLE(cls.location, cls.dbname, 'signals').update_batch(condition, kw)
except Exception:
raise MongoIOError('Failed with update by MongoDB')
def remove_orders(cls, table_name='orders', **kw):
"""
移除订单
:param table_name:
:param kw:
:return:
"""
try:
r = MODEL_TABLE(cls.location, cls.dbname, table_name).remove(kw)
return r
except Exception:
raise MongoIOError('Failed with removing data ')
def field(cls, table_name, field_name):
"""
Query the value of a field in the database
:param table_name: the database's table name
:param field_name: the table's field name
:return: all values in database
"""
try:
return BaseModel(table_name, cls.location,
cls.dbname).distinct(field_name)
except Exception:
raise MongoIOError('query the field raise a error')
def remove_data(self, table_name, **kw):
"""
删除数据
:param table_name:
:param kw:
:return:
"""
try:
r = BaseModel(table_name, self.location, self.dbname).remove(kw)
return r
except Exception:
raise MongoIOError('Failed with delete data by MongoDB')
def update_orders(cls, condition, table_name='orders', **kw):
"""
按condition条件更新K订单数据
:param table_name:
:param condition: 形如{‘date':datetime.datetime(2018,1,1)}的一个字典
:param kw:形如close=0这样的参数组
:return:
"""
try:
MODEL_TABLE(cls.location, cls.dbname,
table_name).update_batch(condition, kw)
except Exception:
raise MongoIOError('Failed with update by MongoDB')
def field(cls, table_name, field_name, filter=None):
"""
Query the value of a field in the database
:param filter: dict
:param table_name: the database's table name
:param field_name: the table's field name
:return: all values in database
"""
try:
return KLINE_MODEL_TABLE(cls.location, cls.dbname,
table_name).distinct(field_name, filter)
except Exception:
raise MongoIOError('query the field raise a error')
def insert_data(cls, table_name, data):
"""
一个简易的数据插入接口
:param table_name:
:param data:
:return:
"""
try:
if len(data):
d = data.to_dict(orient='records')
BaseModel(table_name, cls.location, cls.dbname).insert_batch(d)
except Exception:
raise MongoIOError('Failed with insert data by MongoDB')
def update_date(cls, table_name, condition, **kw):
"""
按condition条件更新table_name表数据
:param table_name:
:param condition: 形如{‘date':datetime.datetime(2018,1,1)}的一个字典
:param kw:形如close=0这样的参数组
:return:
"""
try:
BaseModel(table_name, cls.location,
cls.dbname).update_batch(condition, kw)
except Exception:
raise MongoIOError('Failed with update by MongoDB')
def insert_finance_index(cls, fis):
"""
保存模型回测过程中的一些财务指标
:param fis:
:return:
"""
try:
if len(fis):
d = fis.to_dict(orient='records')
MODEL_TABLE(cls.location, cls.dbname,
'financeindex').insert_batch(d)
except Exception:
raise MongoIOError('Failed with insert data by MongoDB')
def insert_trade_menu(cls, menus):
"""
记录日交易所获得的收益
:param menus:
:return:
"""
try:
if len(menus):
d = menus.to_dict(orient='records')
MODEL_TABLE(cls.location, cls.dbname,
'trademenu').insert_batch(d)
except Exception:
raise MongoIOError('Failed with insert data by MongoDB')
def remove_signals(cls, model_from, **kw):
"""
根据条件删除signals表当中的信号，其实只是将信号从signals转移到了信号历史
表当中
:param model_from:
:param kw:
:return:
"""
try:
sql = {'model_from': model_from}
sql = dict(sql, **kw)
MODEL_TABLE(cls.location, cls.dbname, 'signals').remove(sql)
except Exception:
raise MongoIOError('Failed with removing data ')
def insert_one(self, table_name, data, add_id=False):
"""
insert one record
:param table_name:
:param data: a dict
:param add_id:
:return:
"""
try:
if add_id:
data['_id'] = ObjectId()
BaseModel(table_name, self.location, self.dbname).insert(data)
except Exception:
raise MongoIOError('Failed with insert data by MongoDB')
def update_data(cls, kline, condition, **kw):
"""
按condition条件更新K线数据
:param kline:
:param condition: 形如{‘date':datetime.datetime(2018,1,1)}的一个字典
:param kw:形如close=0这样的参数组
:return:
"""
try:
r = KLINE_MODEL_TABLE(cls.location, cls.dbname,
kline).update_batch(condition, kw)
return r
except Exception:
raise MongoIOError('Failed with update by MongoDB')
def insert_data(cls, kline, data):
"""
插入K线数据
:param kline:
:param data:
:return:
"""
try:
if len(data):
d = data.to_dict(orient='records')
KLINE_MODEL_TABLE(cls.location, cls.dbname,
kline).insert_batch(d)
except Exception:
raise MongoIOError('Failed with insert data by MongoDB')
def insert_risk(cls, risks):
"""
插入风险参数
:param risks:
:return:
"""
try:
if len(risks):
dit = []
for i, row in risks.iterrows():
r = dict(row)
dit.append(r)
MODEL_TABLE(cls.location, cls.dbname, 'risk').insert_batch(dit)
except Exception:
raise MongoIOError('Failed with insert data by MongoDB')
def update_data(self, table_name, condition, **kw):
"""
按condition条件更新table_name表数据
:param table_name:
:param condition: 形如{‘date':datetime.datetime(2018,1,1)}的一个字典
:param kw:形如close=0这样的参数组
:return:
"""
try:
r = BaseModel(table_name, self.location,
self.dbname).update_batch(condition, kw)
return r
except Exception as e:
ExceptionInfo(e)
raise MongoIOError('Failed with update by MongoDB')
def insert_pst(cls, pst):
"""
插入仓位
:param pst:
:return:
"""
try:
if len(pst):
dit = []
for i, row in pst.iterrows():
r = dict(row)
dit.append(r)
MODEL_TABLE(cls.location, cls.dbname,
'position').insert_batch(dit)
except Exception:
raise MongoIOError('Failed with insert data by MongoDB')
def insert_update_log(cls, kline, status, **kw):
"""
插入基本K线数据更新的日志， 这个更新不同于修改，是指插入了某个周期的某个
时点的Bar数据
:param status:
:param kline:
:param kw:
:return:
"""
try:
log = dict(kline=kline, status=status, date=dt.datetime.now())
log = dict(log, **kw)
KLINE_MODEL_TABLE(cls.location, cls.dbname,
'data_logs').insert(log)
except Exception:
raise MongoIOError('insert kline data update log to db raise a error')
def MODEL_TABLE(location=None, dbname=None, tablename=None):
"""
数据源的映射,主要是指一些公共的数据源
:param location:
:param dbname:
:param tablename:
:return:
"""
if tablename == 'signals_his':
return SellList('signals_his', location, dbname)
elif tablename == 'signals':
return signal('signals', location, dbname)
elif tablename == 'orders':
return Orders('orders', location, dbname)
elif tablename == 'orders_simulated':
return BaseModel('orders_simulated', location, dbname)
elif tablename == 'orders_his':
return OrdersHis('orders_his', location, dbname)
elif tablename == 'trademenu':
return TradeMenu('trademenu', location, dbname)
elif tablename == 'financeindex':
return ModelFinanceIndex('financeindex', location, dbname)
elif tablename == 'risk_and_position':
return Risk_and_Position('risk_and_position', location, dbname)
elif tablename == 'risk':
return Risk('risk', location, dbname)
elif tablename == 'position':
return Position('position', location, dbname)
elif tablename == 'naughtiers':
return Naughtiers('naughtiers', location, dbname)
elif tablename == 'inflexion':
return Inflexion('inflexion', location, dbname)
elif tablename == 'buy_point':
return Buy_Point('buy_point', location, dbname)
elif tablename == 'asset':
return Asset('asset', location, dbname)
elif tablename == 'rmds_his':
return RmdsHis('rmds_his', location, dbname)
elif tablename == 'RRADS':
return rrads('announce', location, dbname)
elif tablename == 'accounts':
return BaseModel('accounts', location, dbname)
elif tablename == 'clients':
return BaseModel('clients', location, dbname)
else:
info = 'not find this "%s" in model list' % tablename
raise MongoIOError(info)
def read_his_signals(cls, field=None, **kw):
"""
读取持有过的股票数据，包括在回测中买入过的股票
:param kw:
:return:
"""
try:
sql = kw
cursor = MODEL_TABLE(cls.location, cls.dbname,
'signals_his').query(sql, field)
if cursor.count():
data = pd.DataFrame(list(cursor))
return data
else:
return pd.DataFrame([])
except Exception:
raise MongoIOError('query positions from db raise a error')
def insert_risk_pst(cls, rps):
"""
插入风险仓位数据
:param rps: a DataFrame
:return:
"""
try:
if len(rps):
dit = []
for i, row in rps.iterrows():
r = dict(row)
dit.append(r)
# print(dit[0])
MODEL_TABLE(cls.location, cls.dbname,
'risk_and_position').insert_batch(dit)
except Exception:
raise MongoIOError('Failed with insert data by MongoDB')
def insert_his_rmds(cls, rmds):
"""
插入为账户推荐的历史
:param rmds:
:return:
"""
try:
if len(rmds):
dit = []
for i, row in rmds.iterrows():
r = dict(row)
dit.append(r)
# print(dit[0])
MODEL_TABLE(cls.location, cls.dbname,
'rmds_his').insert_batch(dit)
except Exception:
raise MongoIOError('Failed with insert data by MongoDB')
def insert_data(self, table_name, data, add_id=False):
"""
一个简易的数据插入接口
:param table_name:
:param data:
:param add_id:
:return:
"""
try:
if add_id:
data['_id'] = data.index.map(lambda x: ObjectId())
if len(data):
d = data.to_dict(orient='records')
BaseModel(table_name, self.location,
self.dbname).insert_batch(d)
except Exception:
raise MongoIOError('Failed with insert data by MongoDB')
def insert_client_info(cls, client):
"""
插入订阅账户信息
:param client:
:return:
"""
try:
if len(client):
# 客户信息表必须包含的字段，缺省的填0
col = ['client_no', 'model_from', 'update', 'status', 'Rr']
if set(col) <= set(client.columns):
d = client.to_dict(orient='records')
MODEL_TABLE(cls.location, cls.dbname,
'clients').insert_batch(d)
else:
raise Exception('lost must field')
except Exception:
raise MongoIOError('Failed with insert data by MongoDB')
def read_finance_index(cls, model_from, field=None, **kwargs):
"""
读取模型回测的财务指标数据
:return:
"""
try:
sql = {'model_from': model_from}
sql = dict(sql, **kwargs)
cursor = MODEL_TABLE(cls.location, cls.dbname,
'financeindex').query(sql, field)
if cursor.count():
fis = pd.DataFrame(list(cursor))
fis.drop(['_id', 'classtype'], axis=1, inplace=True)
return fis
return pd.DataFrame()
except Exception:
raise MongoIOError(
'query finance indicators from db raise a error')