def __init__(self):
self.event_engine = EventEngine()
self.feed_list = []
self.portfolio_list = []
self.strategy_list = []
self.order_list = []
self.context = {}
self.dateList = []
self.clock = ClockEngine(EventEngine(), tradedate)
self.Market = MarketEngine(EventEngine())
self.strategy = strategy(EventEngine())
def __init__(self):
"""初始化事件引擎"""
# 事件队列
self.queue = Queue()
# 事件引擎开关
self.__active = False
# 事件引擎处理线程
self.__thread = Thread(target=self.__run, name="EventEngine.__thread")
# 事件字典，key 为时间， value 为对应监听事件函数的列表
self.__handlers = defaultdict(list)
self.context = {}
self.clock = ClockEvent("clock", self.context["date"])
self.marketevent = MarketEvent()
self.portfolio = None
self.MarketEngine = MarketEngine(EventEngine(),
ClockEngine(EventEngine()))
self.strategy_list = []
# coding: utf-8
from WindPy import w
from EventEngine import *
import time
w.start()
from tools.getTushareData import *
w.start()
tradedate=w.tdays("2018-01-01", "2018-04-07", "").Data[0]
date=w.tdays("2018-01-01", "2018-04-01", "Days=Alldays").Data[0]
clockevent=ClockEvent("Clock",tradedate)
clock=ClockEngine(EventEngine(),clockevent)
from tools.getTushareData import *
def clockhandel(Event):
date=Event.data.strftime("%Y-%m-%d")
bar=tusharebar(date).getOneBar("600008.SH")
print("传递bar")
print(bar)
Event=Event( 'clock_time',date[1])
clockhandel(aa)
clock.register(clockhandel)
clock.start()
class go(object):
def __init__(self):
self.event_engine = EventEngine()
self.feed_list = []
self.portfolio_list = []
self.strategy_list = []
self.order_list = []
self.context = {}
self.dateList = []
self.clock = ClockEngine(EventEngine(), tradedate)
self.Market = MarketEngine(EventEngine())
self.strategy = strategy(EventEngine())
def strategy_listen_event(self, strategy, _type="listen"):
"""
所有策略要监听的事件都绑定到这里
:param strategy: Strategy()
:param _type: "listen" OR "unlisten"
:return:
"""
func = {
"listen": self.event_engine.register,
"unlisten": self.event_engine.unregister,
}.get(_type)
# 行情引擎的事件
for quotation_engine in self.quotation_engines:
func(quotation_engine.EventType, strategy.run)
# 时钟事件
func(ClockEngine.EventType, strategy.clock)
def run(self):
# run_once function
self.initialization()
# Declare the components with respective parameters
self.event_engine.start()
while True:
eventengine.put(event)
while True:
try:
event = self.event_engine.get(False)
except queue.Empty:
break
else:
if event.type is 'Market':
strategy.calculate_signals(event)
port.update_timeindex(event)
elif event.type is 'Signal':
port.update_signal(event)
elif event.type is 'Order':
broker.execute_order(event)
elif event.type is 'Fill':
port.update_fill(event)
def initialization(self):
self.portfolio = portfolio()
def setContext(self, context={}):
##__________________________________________
context["capital"] = 10000000 # 回测的初始资金
context["securities"] = ['000001.SZ'] # 回测标的
context["start_date"] = "2018-1-1" # 回测开始时间
context["end_date"] = "2018-6-1" # 回测结束时间
context["period"] = 'd' # 'd' 代表日, 'm'代表分钟 表示行情数据的频率
context["pos"] = 1 # 这里可以传一些自己定义的变量 这个表示的是组合1
context["benchmark"] = '000906.SH'
##___________________________________________
self.context = context
################### In Loop #######################
def _check_pending_order(self):
for f in self.feed_list: # 判断属于哪个feed_list
self.fill.check_trade_list(f)
self.fill.check_order_list(f)
def _pass_to_market(self, marketevent):
"""因为Strategy模块用到的是marketevent，所以通过marketevent传进去"""
m = marketevent
m.fill = self.fill
self.portfolio.fill = self.fill
self.broker.fill = self.fill
m.target = self.target
def _check_finish_backtest(self, feed_list):
# if finish, sum(backtest) = 0 + 0 + 0 = 0 -> False
backtest = [i.continue_backtest for i in feed_list]
return not sum(backtest)
for _ in range(int(self.PushInterval) + 1):
time.sleep(1)
if __name__ == '__main__':
from WindPy import w
from EventEngine import Event, EventEngine, ClockEvent
from ClockEngine import ClockEngine
from FeedEngine import MarketEngine
w.start()
tradedate = w.tdays("2018-01-01", "2018-04-07", "").Data[0]
clocks = ClockEvent("clock", tradedate)
def clockhandel(Event):
date = Event.data.strftime("%Y-%m-%d")
bar = tusharebar(date).getOneBar("600008.SH")
print("传递bar")
print(bar)
M = MarketEngine(EventEngine(), ClockEngine(EventEngine(), clocks))
import queue
events = queue.Queue()
class test:
def __init__(self):
pass
def aa(self):
events.put(1)