def _test_use(is_plot):
from ibats_common import module_root_path
import os
# 参数设置
run_mode = RunMode.Backtest
strategy_params = {'unit': 100}
md_agent_params_list = [{
'md_period':
PeriodType.Min1,
'instrument_id_list': ['RB'],
'datetime_key':
'trade_date',
'init_md_date_from':
'1995-1-1', # 行情初始化加载历史数据，供策略分析预加载使用
'init_md_date_to':
'2014-1-1',
# 'C:\GitHub\IBATS_Common\ibats_common\example\ru_price2.csv'
'file_path':
os.path.abspath(
os.path.join(module_root_path, 'example', 'data', 'RB.csv')),
'symbol_key':
'instrument_type',
}]
if run_mode == RunMode.Realtime:
trade_agent_params = {}
strategy_handler_param = {}
else:
trade_agent_params = {
'trade_mode': BacktestTradeMode.Order_2_Deal,
'init_cash': 1000000,
"calc_mode": CalcMode.Margin,
}
strategy_handler_param = {
'date_from': '2014-1-1', # 策略回测历史数据，回测指定时间段的历史行情
'date_to': '2018-10-18',
}
# 初始化策略处理器
stghandler = strategy_handler_factory(
stg_class=AIStg,
strategy_params=strategy_params,
md_agent_params_list=md_agent_params_list,
exchange_name=ExchangeName.LocalFile,
run_mode=RunMode.Backtest,
trade_agent_params=trade_agent_params,
strategy_handler_param=strategy_handler_param,
)
stghandler.start()
time.sleep(10)
stghandler.keep_running = False
stghandler.join()
stg_run_id = stghandler.stg_run_id
logging.info("执行结束 stg_run_id = %d", stg_run_id)
if is_plot:
from ibats_common.analysis.plot_db import show_order, show_cash_and_margin, show_rr_with_md
show_order(stg_run_id)
show_cash_and_margin(stg_run_id)
show_rr_with_md(stg_run_id)
return stg_run_id
def run_strategy(num):
choice = num - 1
stg_func = strategy_list[choice]
DEBUG = False
# 参数设置
run_mode = RunMode.Backtest
strategy_params = {'unit': 100}
md_agent_params_list = [{
'md_period': PeriodType.Min1,
'instrument_id_set': {'ETHUSD'},
'init_md_date_from': '2018-7-19', # 行情初始化加载历史数据，供策略分析预加载使用
'init_md_date_to': '2018-10-21',
}]
if run_mode == RunMode.Realtime:
trade_agent_params = {}
strategy_handler_param = {}
else:
trade_agent_params = {
'trade_mode': BacktestTradeMode.Order_2_Deal,
'init_cash': 1000000,
}
strategy_handler_param = {
'date_from': '2018-7-19', # 策略回测历史数据，回测指定时间段的历史行情
'date_to': '2018-7-20',
}
# 初始化策略处理器
stghandler = strategy_handler_factory(
stg_class=stg_func,
strategy_params=strategy_params,
md_agent_params_list=md_agent_params_list,
exchange_name=ExchangeName.BitMex,
run_mode=RunMode.Backtest,
trade_agent_params=trade_agent_params,
strategy_handler_param=strategy_handler_param,
)
if DEBUG:
stghandler.run()
else:
# 开始执行策略
stghandler.start()
try:
while not stghandler.is_done:
time.sleep(2)
except KeyboardInterrupt:
logger.warning('程序中断中...')
except RuntimeError:
logger.exception('策略执行异常')
stghandler.is_working = False
stghandler.join(timeout=2)
logger.info("执行结束")
'init_md_date_to': '2018-7-18',
}]
if run_mode == RunMode.Realtime:
trade_agent_params = {}
strategy_handler_param = {}
else:
trade_agent_params = {
'trade_mode': BacktestTradeMode.Order_2_Deal,
'init_cash': 1000000,
}
strategy_handler_param = {
'date_from': '2018-10-29', # 策略回测历史数据，回测指定时间段的历史行情
'date_to': '2018-10-30',
}
# run_mode = RunMode.BackTest
# 初始化策略处理器
stghandler = strategy_handler_factory(
stg_class=MACroseStg,
strategy_params=strategy_params,
md_agent_params_list=md_agent_params_list,
exchange_name=ExchangeName.HuoBi,
run_mode=RunMode.Backtest,
trade_agent_params=trade_agent_params,
strategy_handler_param=strategy_handler_param,
)
stghandler.start()
time.sleep(10)
stghandler.keep_running = False
stghandler.join()
logging.info("执行结束")
def _test_use(is_plot):
from ibats_common.backend.mess import get_folder_path
import os
# 参数设置
run_mode = RunMode.Backtest
trade_mode = BacktestTradeMode.Order_2_Deal
calc_mode = CalcMode.Normal
md_agent_params_list = [{
'md_period':
PeriodType.Min1,
'instrument_id_list': ['RB'],
'datetime_key':
'trade_date',
'init_md_date_from':
'1995-1-1', # 行情初始化加载历史数据，供策略分析预加载使用
'init_md_date_to':
'2010-1-1',
'file_path':
os.path.abspath(
os.path.join(get_folder_path('example', create_if_not_found=False),
'data', 'RB.csv')),
'symbol_key':
'instrument_type',
}]
if run_mode == RunMode.Realtime:
strategy_params = {'unit': 100}
trade_agent_params = {}
strategy_handler_param = {}
elif run_mode == RunMode.Backtest:
strategy_params = {'unit': 100}
trade_agent_params = {
'trade_mode': trade_mode,
'init_cash': 1000000,
"calc_mode": calc_mode,
}
strategy_handler_param = {
'date_from': '2010-1-1', # 策略回测历史数据，回测指定时间段的历史行情
'date_to': '2018-10-18',
}
else:
# RunMode.Backtest_FixPercent
strategy_params = {'unit': 1}
trade_agent_params = {
'trade_mode': trade_mode,
"calc_mode": calc_mode,
}
strategy_handler_param = {
'date_from': '2010-1-1', # 策略回测历史数据，回测指定时间段的历史行情
'date_to': '2018-10-18',
}
# 初始化策略处理器
stghandler = strategy_handler_factory(
stg_class=MACrossStg,
strategy_params=strategy_params,
md_agent_params_list=md_agent_params_list,
exchange_name=ExchangeName.LocalFile,
run_mode=run_mode,
trade_agent_params=trade_agent_params,
strategy_handler_param=strategy_handler_param,
)
stghandler.start()
time.sleep(10)
stghandler.keep_running = False
stghandler.join()
stg_run_id = stghandler.stg_run_id
logging.info("执行结束 stg_run_id = %d", stg_run_id)
if is_plot:
# from ibats_common.analysis.plot_db import show_order, show_cash_and_margin, show_rr_with_md
# from ibats_common.analysis.summary import summary_rr
# show_order(stg_run_id)
# df = show_cash_and_margin(stg_run_id)
# sum_df, symbol_rr_dic, save_file_path_dic = show_rr_with_md(stg_run_id)
# for symbol, rr_df in symbol_rr_dic.items():
# col_transfer_dic = {'return': rr_df.columns}
# summary_rr(rr_df, figure_4_each_col=True, col_transfer_dic=col_transfer_dic)
from ibats_common.analysis.summary import summary_stg_2_docx
from ibats_utils.mess import open_file_with_system_app
file_path = summary_stg_2_docx(stg_run_id)
if file_path is not None:
open_file_with_system_app(file_path)
return stg_run_id
def get_stg_handler(retrain_period, q_table_key=None):
from ibats_common import module_root_path
import os
# 参数设置
instrument_type = 'RB'
run_mode = RunMode.Backtest_FixPercent
calc_mode = CalcMode.Normal
if retrain_period == 0:
strategy_params = {'unit': 1,
'module_name': f'ibats_common.example.reinforcement_learning.{module_version}.rl_stg',
'class_name': 'RLHandler',
'q_table_key': q_table_key}
else:
strategy_params = {'unit': 1,
'module_name': f'ibats_common.example.reinforcement_learning.{module_version}.rl_stg',
'class_name': 'RLHandler4Train',
'q_table_key': q_table_key,
'retrain_period': retrain_period
}
md_agent_params_list = [{
'md_period': PeriodType.Min1,
'instrument_id_list': [instrument_type],
'datetime_key': 'trade_date',
'init_md_date_from': '1995-1-1', # 行情初始化加载历史数据，供策略分析预加载使用
'init_md_date_to': '2010-1-1',
# 'C:\GitHub\IBATS_Common\ibats_common\example\ru_price2.csv'
'file_path': os.path.abspath(os.path.join(module_root_path, 'example', 'data', 'RB.csv')),
'symbol_key': 'instrument_type',
}]
if run_mode == RunMode.Realtime:
trade_agent_params = {
}
strategy_handler_param = {
}
elif run_mode == RunMode.Backtest:
trade_agent_params = {
'trade_mode': BacktestTradeMode.Order_2_Deal,
'init_cash': 1000000,
"calc_mode": calc_mode,
}
strategy_handler_param = {
'date_from': '2010-1-1', # 策略回测历史数据，回测指定时间段的历史行情
'date_to': '2018-10-18',
}
else:
# RunMode.Backtest_FixPercent
trade_agent_params = {
'trade_mode': BacktestTradeMode.Order_2_Deal,
"calc_mode": calc_mode,
}
strategy_handler_param = {
'date_from': '2010-1-1', # 策略回测历史数据，回测指定时间段的历史行情
'date_to': '2018-10-18',
}
# 初始化策略处理器
stghandler = strategy_handler_factory(
stg_class=RLStg,
strategy_params=strategy_params,
md_agent_params_list=md_agent_params_list,
exchange_name=ExchangeName.LocalFile,
run_mode=run_mode,
trade_agent_params=trade_agent_params,
strategy_handler_param=strategy_handler_param,
)
return stghandler