def manageStrategy(page = ''):
#1. check page is valid or not, if page not empty
#2. if page = '' or not valid, list all strategy name
#3. if page = valid strategy name, render strategy editor with preload strategy code
#4. if page = 'newStrategy', render strategy editor with preload strategy template code
strategyEditorForm = StrategyEditorForm()
strategyManager = SimpleQuantStrategyManager()
strategyNameList = strategyManager.getStrategyNameList()
strategyHrefNameList = [StrategyHrefName(name) for name in strategyNameList]
if strategyEditorForm.validate_on_submit():
print("submit strategy")
newStrategyName = strategyEditorForm.strategyNameField.data
if newStrategyName not in strategyNameList:
newStrategyCode = strategyEditorForm.strategyEditorField.data
strategyFilePath = os.path.join(os.path.dirname(__file__) + '/../strategy/' + newStrategyName + '.py')
fo = open(strategyFilePath, 'w')
fo.write(newStrategyCode)
fo.close()
return redirect('/manageStrategy')
else:
#TODO: prompt error when strategy name exist
strategyEditorForm.strategyNameField.errors = 'Strategy Name has exist, please try another one!'
return redirect('/manageStrategy/newStrategy')
elif page == 'newStrategy':
print("new Strategy")
strategyHrefNameList.clear()
return render_template('editor.html',
title = 'StrategyEditor',
strategyEditorForm = strategyEditorForm,
strategyHrefNameList = strategyHrefNameList)
elif page in strategyNameList:
#render strategy editor with preload strategy code
print("submit OK")
strategyHrefNameList.clear()
strategyEditorForm.strategyNameField.data = page
strategyFilePath = os.path.join(os.path.dirname(__file__) + '/../strategy/' + page + '.py')
fo = open(strategyFilePath, 'r')
strategyEditorForm.strategyEditorField.data = fo.read()
fo.close()
return render_template('editor.html',
title = 'StrategyEditor',
strategyEditorForm = strategyEditorForm,
strategyHrefNameList = strategyHrefNameList)
else:
#page = '' or not in strategy name or not valid
#render as /manangeStrategy
print("submit NOT OK")
return render_template('editor.html',
title = 'StrategyEditor',
strategyEditorForm = strategyEditorForm,
strategyHrefNameList = strategyHrefNameList)
def __init__(self, jsonString):
self.name = jsonString['name']
self.strategyName = jsonString['strategyName']
self.object = jsonString['object']
self.duration = jsonString['duration']
self.id = jsonString['id']
self.objectData = pd.DataFrame()
self.strategy = SimpleQuantStrategyManager().getStrategyInstance(
self.strategyName)()
self.loopIndex = 0
self.cashHistory = []
self.positionHistory = []
self.marketValue = []
def __init__(self, stockSymbol, strategyName, startDate, endDate, feedbackQueue):
SimpleQuantSafeProcess.__init__(self, feedbackQueue)
self.strategy_manager = SimpleQuantStrategyManager()
self.data_manager = SimpleQuantUIDataManager(stockSymbol, startDate, endDate)
#TODO:fix crash cause by event engine
#self.event_engine = SimpleQuantEventEngine()
self.strategy_name = strategyName
def transition():
transitionPanelForm = TransitionPanelForm()
stockSymbol = session.get('stockSymbol')
strategyManager = SimpleQuantStrategyManager()
transitionPanelForm.strategyListField.choices = [(name, name) for name in strategyManager.getStrategyNameList()]
if transitionPanelForm.validate_on_submit():
#TODO: run strategy in new process
#1. start transition in new process
#2. display page as well. wait until transition finish. It's no need render template instantly after strat transtion,
# because javascript can display page as well when click 'start strategy', while in backend, parent process wait for
# transition process finish, then render the template again, the well will disapear.
#3. render the template
strategyName = transitionPanelForm.strategyListField.data
startDate = transitionPanelForm.startDateField.data
endDate = transitionPanelForm.endDateField.data
transition = SimpleQuantTransition(stockSymbol, strategyName, startDate, endDate, feedback_queue)
transition.start()
#wait transition finish
transition.join()
return render_template("transition.html",
title = 'Trasition',
transitionPanelForm = transitionPanelForm)
else:
endDate = datetime.datetime.today()
deltaDays = datetime.timedelta(days=-60)
startDate = endDate + deltaDays
dataManager = SimpleQuantUIDataManager(stockSymbol, startDate, endDate)
hqData = dataManager.getStockData()
with open('app/static/json/hqData.json', 'w') as f:
f.write(json.dumps(hqData))
return render_template("transition.html",
title = 'Trasition',
transitionPanelForm = transitionPanelForm)
class SimpleQuantTransition(SimpleQuantSafeProcess):
def __init__(self, stockSymbol, strategyName, startDate, endDate, feedbackQueue):
SimpleQuantSafeProcess.__init__(self, feedbackQueue)
self.strategy_manager = SimpleQuantStrategyManager()
self.data_manager = SimpleQuantUIDataManager(stockSymbol, startDate, endDate)
#TODO:fix crash cause by event engine
#self.event_engine = SimpleQuantEventEngine()
self.strategy_name = strategyName
def getStockData(self):
hqData = self.data_manager.getStockData()
return hqData
#TODO: remove runStrategy() when multi-process done
def runStrategy(self, strategyName):
MyLogger.info("Run Strategy")
self.strategy_manager.setStrategyName(strategyName)
self.stock_strategy = self.strategy_manager.getStrategyInstance()(self.data_manager)
self.profitsData = self.stock_strategy.backTest()
return self.profitsData
def updateTransitionContext(self, startDate, endDate):
self.data_manager.setStockContext(startDate, endDate)
def getStrategyNameList(self):
return self.strategy_manager.getStrategyNameList()
def saferun(self):
MyLogger.info("Start Transition")
MyLogger.info("Run Strategy")
self.strategy_manager.setStrategyName(self.strategy_name)
self.stock_strategy = self.strategy_manager.getStrategyInstance()(self.data_manager)
self.profitsData = self.stock_strategy.backTest()
self.endUp()
def endUp(self):
MyLogger.info("End Up Transition")
hqData = self.getStockData()
profits = self.profitsData
with open('app/static/json/hqData.json', 'w') as f:
f.write(json.dumps(hqData))
with open('app/static/json/profits.json', 'w') as f:
f.write(json.dumps(profits))
class SimpleQuantTransition:
def __init__(self, jsonString):
self.name = jsonString['name']
self.strategyName = jsonString['strategyName']
self.object = jsonString['object']
self.duration = jsonString['duration']
self.id = jsonString['id']
self.objectData = pd.DataFrame()
self.strategy = SimpleQuantStrategyManager().getStrategyInstance(
self.strategyName)()
self.loopIndex = 0
self.cashHistory = []
self.positionHistory = []
self.marketValue = []
def __call__(self):
# use transition id as topic
logger = SimpleQuantLogger(self.name, '127.0.0.1:4321')
logger.info('{name} is running {strategyName}'.format(
name=self.name, strategyName=self.strategyName))
self.runStrategy()
evaluator = SimpleQuantEvaluator()
evaluator.performEvaluate(self)
report = evaluator.getReport()
logger.info('{name} is running {strategyName}....Done'.format(
name=self.name, strategyName=self.strategyName))
return self.objectData.to_json(), json.dumps(report)
def getTransitionName(self):
return self.name
def getTransitionStrategyName(self):
return self.strategyName
def getTransitionObject(self):
return self.object
def getTransitionDuration(self):
return self.duration
def setTransitionObjectData(self, objectData):
self.objectData = objectData
def runStrategy(self):
self.initial()
decisionList = []
for currentData in self.objectData.itertuples(name='FeedData'):
decision = self.strategy.loop(currentData, decisionList)
self.performDecision(decision)
decisionList.append(decision)
self.loopIndex += 1
self.end()
def initial(self):
self.strategy.tearUp()
self.cashHistory.append(100000)
self.positionHistory.append(0)
def performDecision(self, decision):
# use next open price as deal price
price = self.getDealPrice()
# no available price
if price == 0:
decision.volumn = 0
currentCash = self.cashHistory[self.loopIndex]
currentPosition = self.positionHistory[self.loopIndex]
# market value depends on current cash and current object value
# current cash and current position was calcualted in previous loop
# for example, in day n, if decision was made for bid/ask,
# the cash and position wouldn't change till day n+1, because the decision was made by
# today's close price, that's means transaction can't happend till next day.
marketValue = currentCash + currentPosition * self.objectData.loc[
self.loopIndex, 'close']
if decision.action == BID:
requiredCash = price * decision.volumn
if requiredCash < currentCash:
currentCash -= requiredCash
currentPosition += decision.volumn
elif decision.action == ASK:
if currentPosition - decision.volumn >= 0:
gainCash = price * decision.volumn
currentCash += gainCash
if price != 0:
self.cashHistory.append(currentCash)
self.positionHistory.append(currentPosition)
self.marketValue.append(marketValue)
def getDealPrice(self):
priceIndex = self.loopIndex + 1
if priceIndex >= self.objectData.shape[0]:
return 0
else:
return self.objectData.loc[priceIndex, 'open']
def end(self):
self.strategy.tearDown()
self.objectData = self.objectData.assign(marketValue=self.marketValue)
def __init__(self, stockSymbol):
QtGui.QDialog.__init__(self)
#today is endDate, startDate is earlier than endDate
endDate = datetime.datetime.today()
deltaDays = datetime.timedelta(days=-60)
startDate = endDate + deltaDays
self.strategy_manager = SimpleQuantStrategyManager()
self.data_manager = SimpleQuantUIDataManager(stockSymbol, startDate, endDate)
self.event_engine = SimpleQuantEventEngine()
#self.stock_strategy = SimpleQuantStrategyMACD(self.data_manager)
self.setGeometry(100, 100, 850, 650)
self.main_widget = QtGui.QWidget(self)
self.start_date = QtGui.QDateEdit(self)
self.start_date.setCalendarPopup(True)
startDateStr = startDate.strftime("%Y-%m-%d")
self.start_date.setDate(QDate.fromString(startDateStr, 'yyyy-MM-dd'))
startDateLabel = QtGui.QLabel('StartDate: ', self)
endDateStr = endDate.strftime("%Y-%m-%d")
self.end_date = QtGui.QDateEdit(self)
self.end_date.setCalendarPopup(True)
self.end_date.setDate(QDate.fromString(endDateStr, 'yyyy-MM-dd'))
endDateLabel = QtGui.QLabel('EndDate: ', self)
self.update_button = QtGui.QPushButton("Update")
self.update_button.clicked.connect(self.updateButtonClicked)
self.transition_layout = QtGui.QVBoxLayout(self.main_widget)
self.stock_layout = QtGui.QHBoxLayout()
self.stock_widget_layout = QtGui.QVBoxLayout()
self.stock_widget_layout.addWidget(startDateLabel)
self.stock_widget_layout.addWidget(self.start_date)
self.stock_widget_layout.addWidget(endDateLabel)
self.stock_widget_layout.addWidget(self.end_date)
hqData = self.data_manager.getStockData()
self.stock_canvas = SimpleQuantUIStrategyMplCanvas(hqData)
self.stock_layout.addStretch(1)
self.stock_layout.addWidget(self.stock_canvas)
self.stock_layout.addLayout(self.stock_widget_layout)
self.stock_layout.addWidget(self.update_button)
self.strategy_layout = QtGui.QHBoxLayout()
self.strategy_button = QtGui.QPushButton("Run")
self.strategy_button.clicked.connect(self.strategyButtonClicked)
self.strategy_combobox = QtGui.QComboBox()
self.strategy_combobox.activated[str].connect(self.strategyChanged)
[self.strategy_combobox.addItem(strategyName) for strategyName in self.strategy_manager.getStrategyNameList()]
for entry in hqData:
entry[1] = '0'
self.strategy_canvas = SimpleQuantUIStrategyMplCanvas(hqData)
self.strategy_layout.addStretch(1)
self.strategy_layout.addWidget(self.strategy_canvas)
self.strategy_layout.addWidget(self.strategy_button)
self.strategy_layout.addWidget(self.strategy_combobox)
self.online_radio_button = QtGui.QRadioButton('Online')
self.offline_radio_button = QtGui.QRadioButton('Offline')
self.online_radio_button.toggled.connect(self.onlineClicked)
self.offline_radio_button.toggled.connect(self.offlineClicked)
self.transition_layout.addLayout(self.stock_layout)
self.transition_layout.addLayout(self.strategy_layout)
self.transition_layout.addWidget(self.online_radio_button)
self.transition_layout.addWidget(self.offline_radio_button)
class SimpleQuantUITransitionDialog(QtGui.QDialog):
def __init__(self, stockSymbol):
QtGui.QDialog.__init__(self)
#today is endDate, startDate is earlier than endDate
endDate = datetime.datetime.today()
deltaDays = datetime.timedelta(days=-60)
startDate = endDate + deltaDays
self.strategy_manager = SimpleQuantStrategyManager()
self.data_manager = SimpleQuantUIDataManager(stockSymbol, startDate, endDate)
self.event_engine = SimpleQuantEventEngine()
#self.stock_strategy = SimpleQuantStrategyMACD(self.data_manager)
self.setGeometry(100, 100, 850, 650)
self.main_widget = QtGui.QWidget(self)
self.start_date = QtGui.QDateEdit(self)
self.start_date.setCalendarPopup(True)
startDateStr = startDate.strftime("%Y-%m-%d")
self.start_date.setDate(QDate.fromString(startDateStr, 'yyyy-MM-dd'))
startDateLabel = QtGui.QLabel('StartDate: ', self)
endDateStr = endDate.strftime("%Y-%m-%d")
self.end_date = QtGui.QDateEdit(self)
self.end_date.setCalendarPopup(True)
self.end_date.setDate(QDate.fromString(endDateStr, 'yyyy-MM-dd'))
endDateLabel = QtGui.QLabel('EndDate: ', self)
self.update_button = QtGui.QPushButton("Update")
self.update_button.clicked.connect(self.updateButtonClicked)
self.transition_layout = QtGui.QVBoxLayout(self.main_widget)
self.stock_layout = QtGui.QHBoxLayout()
self.stock_widget_layout = QtGui.QVBoxLayout()
self.stock_widget_layout.addWidget(startDateLabel)
self.stock_widget_layout.addWidget(self.start_date)
self.stock_widget_layout.addWidget(endDateLabel)
self.stock_widget_layout.addWidget(self.end_date)
hqData = self.data_manager.getStockData()
self.stock_canvas = SimpleQuantUIStrategyMplCanvas(hqData)
self.stock_layout.addStretch(1)
self.stock_layout.addWidget(self.stock_canvas)
self.stock_layout.addLayout(self.stock_widget_layout)
self.stock_layout.addWidget(self.update_button)
self.strategy_layout = QtGui.QHBoxLayout()
self.strategy_button = QtGui.QPushButton("Run")
self.strategy_button.clicked.connect(self.strategyButtonClicked)
self.strategy_combobox = QtGui.QComboBox()
self.strategy_combobox.activated[str].connect(self.strategyChanged)
[self.strategy_combobox.addItem(strategyName) for strategyName in self.strategy_manager.getStrategyNameList()]
for entry in hqData:
entry[1] = '0'
self.strategy_canvas = SimpleQuantUIStrategyMplCanvas(hqData)
self.strategy_layout.addStretch(1)
self.strategy_layout.addWidget(self.strategy_canvas)
self.strategy_layout.addWidget(self.strategy_button)
self.strategy_layout.addWidget(self.strategy_combobox)
self.online_radio_button = QtGui.QRadioButton('Online')
self.offline_radio_button = QtGui.QRadioButton('Offline')
self.online_radio_button.toggled.connect(self.onlineClicked)
self.offline_radio_button.toggled.connect(self.offlineClicked)
self.transition_layout.addLayout(self.stock_layout)
self.transition_layout.addLayout(self.strategy_layout)
self.transition_layout.addWidget(self.online_radio_button)
self.transition_layout.addWidget(self.offline_radio_button)
def updateButtonClicked(self):
endDate = self.end_date.date().toPyDateTime()
startDate = self.start_date.date().toPyDateTime()
self.data_manager.setStockContext(startDate, endDate)
stockData = self.data_manager.getStockData()
self.stock_canvas.updateFigure(stockData)
self.stock_canvas.draw()
def strategyButtonClicked(self):
self.stock_strategy = self.strategy_manager.getStrategyInstance()(self.data_manager)
profitsData = self.stock_strategy.backTest()
self.strategy_canvas.updateFigure(profitsData)
self.strategy_canvas.draw()
MyLogger.info("Done!")
def strategyChanged(self, strategyName):
self.strategy_manager.setStrategyName(strategyName)
def onlineClicked(self):
self.event_engine.start()
self.event_engine.register(EVENT_TIMER, self.timerHandler)
def offlineClicked(self):
self.event_engine.unregister(EVENT_TIMER, self.timerHandler)
self.event_engine.stop()
def timerHandler(self, event):
self.data_manager.retreiveRealTimeQuotes()
