def prepare_data_201109():
dates2 = [20110817,20110818,20110819,20110822,20110823,20110824,20110825,20110826,20110829,20110830,20110831,20110901,20110902,20110909,20110913,20110914]
tickss = []
for idate in dates2:
cur_ticks = hreader.read_ticks('IF1109',idate)
prepare_index(cur_ticks)
tickss.append(cur_ticks)
return tickss
def prepare_data_201110():
dates = [20110914,20110915,20110916,20110919,20110920,20110921,20110922,20110923,20110926,20110927,20110928,20110929,20110930]
tickss = []
for idate in dates:
cur_ticks = hreader.read_ticks('IF1110',idate)
prepare_index(cur_ticks)
tickss.append(cur_ticks)
return tickss
def prepare_data_201108():
dates = [20110714,20110715,20110718,20110719,20110720,20110721,20110722,20110725,20110726,20110727,20110728,20110729,20110801,20110802,20110803,20110804,20110805,20110808,20110809,20110810,20110811,20110812,20110815,20110816,20110817,20110818]
tickss = []
for idate in dates:
cur_ticks = hreader.read_ticks('IF1108',idate)
prepare_index(cur_ticks)
tickss.append(cur_ticks)
return tickss
def testv1(capacity=200):
ticks = hreader.read_ticks('IF1110',20110927) #不加载当日数据
results = []
for llen in range(5,500,2):
trades=make_trades(lvama_opener(llen=llen,capacity=capacity),long_trailing_stop(),ticks,2,4)
results.append((llen,sum([trade.profit for trade in trades]),len(trades)))
if results[-1][1]>0:
print results[-1]
return results
def testv1(capacity=200):
ticks = hreader.read_ticks('IF1110', 20110927) #不加载当日数据
results = []
for llen in range(5, 500, 2):
trades = make_trades(lvama_opener(llen=llen, capacity=capacity),
long_trailing_stop(), ticks, 2, 4)
results.append(
(llen, sum([trade.profit for trade in trades]), len(trades)))
if results[-1][1] > 0:
print results[-1]
return results
def prepare_data_201110():
dates = [
20110914, 20110915, 20110916, 20110919, 20110920, 20110921, 20110922,
20110923, 20110926, 20110927, 20110928, 20110929, 20110930
]
tickss = []
for idate in dates:
cur_ticks = hreader.read_ticks('IF1110', idate)
prepare_index(cur_ticks)
tickss.append(cur_ticks)
return tickss
def load(self):
'''
按顺序加载fname下的ticks数据.
fname必须为IF1201这种格式
'''
sub_path = '%s%s' % (self.data_path,self.fname)
tdates = sorted([int(os.path.splitext(name)[0][:8]) for name in os.listdir(sub_path) if self.rpattern.search(name) and name[0]!='.' and name[-1]!='~'])
for tdate in tdates:
cticks = hreader.read_ticks(self.fname,tdate)
self.mtickss[tdate] = DTicks(self.fname,tdate,cticks)
self.stickss.append(self.mtickss[tdate])
def prepare_data_201109():
dates2 = [
20110817, 20110818, 20110819, 20110822, 20110823, 20110824, 20110825,
20110826, 20110829, 20110830, 20110831, 20110901, 20110902, 20110909,
20110913, 20110914
]
tickss = []
for idate in dates2:
cur_ticks = hreader.read_ticks('IF1109', idate)
prepare_index(cur_ticks)
tickss.append(cur_ticks)
return tickss
def trade_mock(instrument='IF1108'):
#logging.basicConfig(filename="ctp_trade_mock.log",level=logging.DEBUG,format='%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s')
tday = 20110726
myagent = create_agent_with_mocktrader(instrument,-1) #不需要tday的当日数据
myagent.scur_day = tday
myagent.save_flag = True
ticks = hreader.read_ticks(instrument,tday) #不加载当日数据
#for tick in ticks:myagent.inc_tick(),myagent.RtnTick(tick)
#for tick in ticks:
# myagent.inc_tick()
# myagent.RtnTick(tick)
run_ticks(ticks,myagent)
def prepare_data_201108():
dates = [
20110714, 20110715, 20110718, 20110719, 20110720, 20110721, 20110722,
20110725, 20110726, 20110727, 20110728, 20110729, 20110801, 20110802,
20110803, 20110804, 20110805, 20110808, 20110809, 20110810, 20110811,
20110812, 20110815, 20110816, 20110817, 20110818
]
tickss = []
for idate in dates:
cur_ticks = hreader.read_ticks('IF1108', idate)
prepare_index(cur_ticks)
tickss.append(cur_ticks)
return tickss
def trade_mock(instrument='IF1108'):
#logging.basicConfig(filename="ctp_trade_mock.log",level=logging.DEBUG,format='%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s')
tday = 20110726
myagent = create_agent_with_mocktrader(instrument, -1) #不需要tday的当日数据
myagent.scur_day = tday
myagent.save_flag = True
ticks = hreader.read_ticks(instrument, tday) #不加载当日数据
#for tick in ticks:myagent.inc_tick(),myagent.RtnTick(tick)
#for tick in ticks:
# myagent.inc_tick()
# myagent.RtnTick(tick)
run_ticks(ticks, myagent)
def load(self):
'''
按顺序加载fname下的ticks数据.
fname必须为IF1201这种格式
'''
sub_path = '%s%s' % (self.data_path, self.fname)
tdates = sorted([
int(os.path.splitext(name)[0][:8]) for name in os.listdir(sub_path)
if self.rpattern.search(name) and name[0] != '.'
and name[-1] != '~'
])
for tdate in tdates:
cticks = hreader.read_ticks(self.fname, tdate)
self.mtickss[tdate] = DTicks(self.fname, tdate, cticks)
self.stickss.append(self.mtickss[tdate])
def trade1day(opener,closer,instrument_name,tday,base_unit=2,fee=4):
'''
opener: 开仓策略
closer: 平仓策略
instrument_name: 合约名
tday: 交易时间
必须保证在当前data目录下存在 instrument_name/tday.tick文件
base_unit: tick的最小变化单位
fee:手续费
返回 trades. 结构见make_trades
'''
ticks = hreader.read_ticks(instrument_name,tday) #不加载当日数据
prepare_index(ticks)
trades = make_trades(opener,closer,ticks,base_unit,fee)
return trades
def trade1day(opener, closer, instrument_name, tday, base_unit=2, fee=4):
'''
opener: 开仓策略
closer: 平仓策略
instrument_name: 合约名
tday: 交易时间
必须保证在当前data目录下存在 instrument_name/tday.tick文件
base_unit: tick的最小变化单位
fee:手续费
返回 trades. 结构见make_trades
'''
ticks = hreader.read_ticks(instrument_name, tday) #不加载当日数据
prepare_index(ticks)
trades = make_trades(opener, closer, ticks, base_unit, fee)
return trades
def play(self,tday=0):
ticks = hreader.read_ticks(self.instrument,tday)
for tick in ticks:
self.agent.RtnTick(tick)
def play(self, tday=0):
ticks = hreader.read_ticks(self.instrument, tday)
for tick in ticks:
self.agent.RtnTick(tick)
self.agent.RtnTick(tick)