def init(self):
if self.__initialized:
return None
assert self._config is not None # 判断初始化前是否设置好了基本参数
self.__strategy_engine = StrategyEngine(parent=self)
self.__strategy = Strategy(self.__strategy_engine,
self.__code,
parent=self)
self.__strategy_engine.add_strategy(self.__strategy)
self.__data_generator = DataGenerator(
lambda x: self.__strategy_engine.put_event(x.to_event()),
lambda: self.__strategy_engine.put_event(Event(EVENT_FINISH)),
parent=self)
if DEBUG:
self.logger.setLevel(logging.DEBUG)
else:
self.logger.setLevel(logging.INFO)
self.__initialized = True
def init(self):
if self.__initialized:
return True
bf_config = BfConfig(**self.__config)
self.__strategy_engine = StrategyEngine(is_backtest=True, **self.__config)
self.__strategy = Strategy(self.__strategy_engine, code=self.__code, logger=self._logger, **self.__config)
self.__strategy_engine.add_strategy(self.__strategy)
self.__data_generator = DataGenerator(bf_config,
lambda x: self.__strategy_engine.put_event(x.to_event()),
lambda: self.__strategy_engine.put_event(Event(EVENT_FINISH)))
self.__initialized = True
def init(self):
if self.__initialized:
return True
assert isinstance(self._config, BfConfig) # 判断初始化前是否设置好了基本参数
self.__strategy_engine = StrategyEngine(parent=self)
self.__strategy = Strategy(self.__strategy_engine,
self.__code,
parent=self)
self.__strategy_engine.add_strategy(self.__strategy)
self.__rt_data_generator = TickDataGenerator(
lambda x: self.__strategy_engine.put_event(x.to_event()),
partial(self.__strategy_engine.put_event, Event(EVENT_FINISH)),
parent=self)
self.__tb_data_generator = DataGenerator(
lambda x: self.__strategy_engine.put_event(x.to_event()),
partial(self.__strategy_engine.put_event,
Event(EVENT_EMPTY, message="traceback over")),
parent=self)
if DEBUG:
self.logger.setLevel(logging.DEBUG)
else:
self.logger.setLevel(logging.INFO)
self.__initialized = True
def init(self):
if self.__initialized:
return None
assert self._config is not None # 判断初始化前是否设置好了基本参数
self.__strategy_engine = StrategyEngine(parent=self)
self.__strategy = Strategy(self.__strategy_engine, self.__code, parent=self)
self.__strategy_engine.add_strategy(self.__strategy)
self.__data_generator = DataGenerator(lambda x: self.__strategy_engine.put_event(x.to_event()),
lambda: self.__strategy_engine.put_event(Event(EVENT_FINISH)),
parent=self)
if DEBUG:
self.logger.setLevel(logging.DEBUG)
else:
self.logger.setLevel(logging.INFO)
self.__initialized = True
def init(self):
if self.__initialized:
return True
assert isinstance(self._config, BfConfig) # 判断初始化前是否设置好了基本参数
self.__strategy_engine = StrategyEngine(parent=self)
self.__strategy = Strategy(self.__strategy_engine, self.__code, parent=self)
self.__strategy_engine.add_strategy(self.__strategy)
self.__rt_data_generator = TickDataGenerator(lambda x: self.__strategy_engine.put_event(x.to_event()),
partial(self.__strategy_engine.put_event, Event(EVENT_FINISH)),
parent=self)
self.__tb_data_generator = DataGenerator(lambda x: self.__strategy_engine.put_event(x.to_event()),
partial(self.__strategy_engine.put_event,
Event(EVENT_EMPTY, message="traceback over")),
parent=self)
if DEBUG:
self.logger.setLevel(logging.DEBUG)
else:
self.logger.setLevel(logging.INFO)
self.__initialized = True
class TracebackSignal(LoggerInterface, ConfigInterface, Runnable):
def __init__(self):
LoggerInterface.__init__(self)
ConfigInterface.__init__(self)
Runnable.__init__(self)
self.__code = None
self.__strategy = None
self.__strategy_engine = None
self.__tb_data_generator = None
self.__rt_data_generator = None
self.__strategy_parameters = None
self.__initialized = False
self.logger_name = 'RuntimeSignal'
def init(self):
if self.__initialized:
return True
assert isinstance(self._config, BfConfig) # 判断初始化前是否设置好了基本参数
self.__strategy_engine = StrategyEngine(parent=self)
self.__strategy = Strategy(self.__strategy_engine,
self.__code,
parent=self)
self.__strategy_engine.add_strategy(self.__strategy)
self.__rt_data_generator = TickDataGenerator(
lambda x: self.__strategy_engine.put_event(x.to_event()),
partial(self.__strategy_engine.put_event, Event(EVENT_FINISH)),
parent=self)
self.__tb_data_generator = DataGenerator(
lambda x: self.__strategy_engine.put_event(x.to_event()),
partial(self.__strategy_engine.put_event,
Event(EVENT_EMPTY, message="traceback over")),
parent=self)
if DEBUG:
self.logger.setLevel(logging.DEBUG)
else:
self.logger.setLevel(logging.INFO)
self.__initialized = True
def set_config(self, config):
assert isinstance(config, BfConfig)
self._config = config
self._config.allow_trading = False
self._config.running_mode = RunningMode.traceback
@property
def code(self):
return self.__code
@code.setter
def code(self, value):
assert isinstance(value, str)
self.__code = value.replace('\t', ' ')
def register_event(self, event_type, func):
if self.__initialized:
self.__strategy_engine.register_event(event_type, func)
else:
self.logger.warning("无效的事件注册，原因：未初始化")
@property
def is_finished(self):
return self.__is_alive
def _start(self, paras=None):
"""
:param paras:
:param refresh: True表示刷新绩效且需要释放资源，即用户一个完整的请求已经结束；False的情况主要是参数优化时批量运行回测。
"""
try:
self.logger.info("<%s>策略回溯运算开始" % self._config["name"])
if not self.__initialized:
self.init()
if paras is not None:
self.__strategy.set_parameters(paras)
self.__strategy_engine.start()
self.__tb_data_generator.start()
self.__strategy_engine.register_event(EVENT_EMPTY,
self._change_trading_mode)
self.__strategy_engine.wait()
except:
self.logger.error("\n" + traceback.format_exc())
self.stop()
def _change_trading_mode(self, event):
if event.content["message"] == "traceback over":
try:
self.logger.info("<%s>策略回溯运算停止" % self._config["name"])
self._config.allow_trading = True
self.logger.info("<%s>策略实时运算开始" % self._config["name"])
self.__rt_data_generator.start()
except:
self.logger.error("\n" + traceback.format_exc())
self.stop()
def _stop(self):
self.logger.info("<%s>策略实时运算停止" % self._config["name"])
self.__tb_data_generator.stop()
self.__rt_data_generator.stop()
self.__strategy_engine.stop()
def get_output(self):
return self.__strategy.get_output()
def get_setting(self):
return self._config.to_dict()
def get_parameters(self):
if self.__strategy_parameters is None:
temp = self.__strategy.get_parameters()
for handle_name in temp.keys():
for para_name, values in temp[handle_name].items():
temp[handle_name][para_name] = {
'default': values,
'type': str(type(values))
}
self.__strategy_parameters = temp
return self.__strategy_parameters
class Backtesting(LoggerInterface, ConfigInterface):
def __init__(self):
LoggerInterface.__init__(self)
ConfigInterface.__init__(self)
self.__code = None
self.__strategy = None
self.__strategy_engine = None
self.__data_generator = None
self.__strategy_parameters = None
self.__performance_manager = None
self.__timer = Timer()
self.__is_alive = False
self.__initialized = False
self.logger_name = "Backtesting"
def init(self):
if self.__initialized:
return None
assert self._config is not None # 判断初始化前是否设置好了基本参数
self.__strategy_engine = StrategyEngine(parent=self)
self.__strategy = Strategy(self.__strategy_engine,
self.__code,
parent=self)
self.__strategy_engine.add_strategy(self.__strategy)
self.__data_generator = DataGenerator(
lambda x: self.__strategy_engine.put_event(x.to_event()),
lambda: self.__strategy_engine.put_event(Event(EVENT_FINISH)),
parent=self)
if DEBUG:
self.logger.setLevel(logging.DEBUG)
else:
self.logger.setLevel(logging.INFO)
self.__initialized = True
def set_config(self, config):
assert isinstance(config, BfConfig)
self._config = config
self._config.running_mode = RunningMode.backtest
def set_code(self, code):
assert isinstance(code, str)
self.__code = code.replace('\t', ' ')
@property
def is_finished(self):
return self.__is_alive
@property
def progress(self):
if not self.__is_alive:
return 0
et = get_datetime(self._config['end_time']).timestamp()
st = get_datetime(self._config['start_time']).timestamp()
ct = self.__strategy_engine.current_time
if ct:
return min((ct - st) / (et - st) * 100, 100)
else:
return 0
@property
def max_margin(self):
return self.__strategy_engine.max_margin
@profile
def start(self, paras=None, refresh=True):
"""
:param paras:
:param refresh: True表示刷新绩效且需要释放资源，即用户一个完整的请求已经结束；False的情况主要是参数优化时批量运行回测。
"""
self.logger.info("<%s>策略运算开始" % self._config['name'])
self.init()
gc.collect()
self.__is_alive = True
if paras is not None:
self.__strategy.set_parameters(paras)
self.__strategy_engine.start()
self.__data_generator.start()
if refresh:
self.__performance_manager = self.__strategy_engine.wait(
self.__get_performance_manager)
self.__data_generator.stop()
if MEMORY_DEBUG:
print('gb:\n%s' % sys.getsizeof(gc.garbage)) # 写日志，计算垃圾占用的内存等
gb_log = {}
for gb in gc.garbage:
type_ = type(gb)
if type_ not in gb_log:
gb_log[type_] = 0
gb_log[type_] += sys.getsizeof(gb)
print(gb_log)
result = self.__performance_manager
else:
result = self.__strategy_engine.wait()
self.logger.info(
self.__timer.time("<%s>策略运算完成，耗时:{0}" % self._config['name']))
return result
def stop(self):
self.__is_alive = False
self.__timer.reset()
self.__data_generator.stop()
self.__strategy_engine.stop()
def __get_performance_manager(self):
# TODO 加入回测是否运行的判断
if False:
raise ValueError('please run the backtest first')
return StrategyPerformanceManagerOnline(
self.__strategy_engine.profit_records,
self.__strategy_engine.deals, self.__strategy_engine.positions)
def get_profit_records(self):
return self.__strategy_engine.profit_records
def get_performance(self):
return self.__performance_manager.get_performance()
def get_output(self):
return self.__strategy.get_output()
def get_setting(self):
return self._config.to_dict()
def time(self, *args):
return self.__timer.time(*args)
class Backtesting(LoggerInterface):
def __init__(self, user, name, code, symbols=None, time_frame=None, start_time=None, end_time=None, commission=0,
slippage=0):
super().__init__()
self.__config = {'user': user, 'name': name, 'symbols': symbols, 'time_frame': time_frame,
'start_time': start_time, 'end_time': end_time, 'commission': commission,
'slippage': slippage}
self.__code = code
self.__strategy = None
self.__strategy_engine = None
self.__data_generator = None
self.__strategy_parameters = None
self._logger = None
self.__performance_manager = None
self.__timer = Timer()
self.__is_alive = False
self.__initialized = False
def init(self):
if self.__initialized:
return True
bf_config = BfConfig(**self.__config)
self.__strategy_engine = StrategyEngine(is_backtest=True, **self.__config)
self.__strategy = Strategy(self.__strategy_engine, code=self.__code, logger=self._logger, **self.__config)
self.__strategy_engine.add_strategy(self.__strategy)
self.__data_generator = DataGenerator(bf_config,
lambda x: self.__strategy_engine.put_event(x.to_event()),
lambda: self.__strategy_engine.put_event(Event(EVENT_FINISH)))
self.__initialized = True
def set_config(self, **kwargs):
self.__config.update(kwargs)
def set_logger(self, logger):
self._logger = logger
@property
def is_finished(self):
return self.__is_alive
@property
def progress(self):
if not self.__initialized:
return 0
et = get_datetime(self.__config['end_time']).timestamp()
st = get_datetime(self.__config['start_time']).timestamp()
ct = self.__strategy_engine.current_time
if ct:
return min((ct - st) / (et - st) * 100, 100)
else:
return 0
@profile
def start(self, paras=None, refresh=True):
"""
:param paras:
:param refresh: True表示刷新绩效且需要释放资源，即用户一个完整的请求已经结束；False的情况主要是参数优化时批量运行回测。
"""
if not self.__initialized:
self.init()
gc.collect()
self.__is_alive = True
if paras is not None:
self.__strategy.set_parameters(paras)
self.__strategy_engine.start()
self.__data_generator.start()
if refresh:
self.__performance_manager = self.__strategy_engine.wait(self.__get_performance_manager)
self.__data_generator.stop()
if MEMORY_DEBUG:
print('gb:\n%s' % sys.getsizeof(gc.garbage)) # 写日志，计算垃圾占用的内存等
gb_log = {}
for gb in gc.garbage:
type_ = type(gb)
if type_ not in gb_log:
gb_log[type_] = 0
gb_log[type_] += sys.getsizeof(gb)
print(gb_log)
result = self.__performance_manager
else:
result = self.__strategy_engine.wait()
self.log(self.__timer.time("策略运算完成，耗时:{0}"), logging.INFO)
return result
def stop(self):
self.__is_alive = False
self.__timer.reset()
self.__data_generator.stop()
self.__strategy_engine.stop()
def __get_performance_manager(self):
# TODO 加入回测是否运行的判断
if False:
raise ValueError('please run the backtest first')
return StrategyPerformanceManagerOnline(self.__strategy_engine.get_profit_records(),
self.__strategy_engine.get_deals(),
self.__strategy_engine.get_positions())
def get_profit_records(self):
return self.__strategy_engine.get_profit_records()
def get_performance(self):
return self.__performance_manager.get_performance()
def get_output(self):
return self.__strategy.get_output()
def get_setting(self):
setting = self.__config.copy()
setting.pop('user')
return setting
@staticmethod
def get_optimize_goals():
return {'net_profit': '净利'}
@staticmethod
def get_optimize_types():
return {'enumerate': '枚举', 'genetic': '遗传'}
def get_parameters(self):
if self.__strategy_parameters is None:
temp = self.__strategy.get_parameters()
for handle_name in temp.keys():
for para_name, values in temp[handle_name].items():
temp[handle_name][para_name] = {'default': values, 'type': str(type(values))}
self.__strategy_parameters = temp
return self.__strategy_parameters
def _enumerate_optimize(self, ranges, goal, num):
stack = []
range_length = []
parameters = {}
result = []
head_index = []
def get_range(range_info):
return np.arange(range_info['start'], range_info['end'] + range_info['step'], range_info['step'])
for handle, paras in ranges.items():
parameters[handle] = {}
for para, value in paras.items():
range_value = get_range(value)
stack.append({'handle': handle, 'para': para, 'range': range_value})
head_index.append('%s(%s)' % (para, handle))
range_length.append(len(range_value))
n = len(stack)
index = [-1] * n
head = [0] * n
def set_paras(n, handle=None, para=None, range=None):
nonlocal parameters, head, index
parameters[handle][para] = head[n] = range[index[n]]
i = 0
finished = False
while 1:
index[i] += 1
while index[i] >= range_length[i]:
if i == 0:
finished = True
break
index[i] = -1
i -= 1
index[i] += 1
if finished:
break
set_paras(i, **stack[i])
if i == n - 1:
performance_manager = self.start(parameters, refresh=False)
head = pd.Series(head, index=head_index)
optimize_info = performance_manager.get_performance().optimize_info.copy()
target = optimize_info[goal]
del optimize_info[goal]
result.append(pd.concat([head, pd.Series([target], index=[goal]), optimize_info]))
else:
i += 1
self.__data_generator.stop() # 释放数据资源
output = pd.DataFrame(result).sort_values(goal, ascending=False)
result.clear() # 释放资源
output.index.name = '_'
output = output.iloc[:num]
return output
def _genetic_optimize(self, ranges, goal):
pass
def optimize(self, ranges, type, goal, num=50):
if not ranges:
return
if type is None:
type = "enumerate"
# TODO 不要使用硬编码
if goal is None:
goal = "净利($)"
goal = "净利($)"
optimizer = getattr(self, '_%s_optimize' % type)
return optimizer(ranges, goal, num)
def time(self, *args):
return self.__timer.time(*args)
class Backtesting(LoggerInterface, ConfigInterface):
def __init__(self):
LoggerInterface.__init__(self)
ConfigInterface.__init__(self)
self.__code = None
self.__strategy = None
self.__strategy_engine = None
self.__data_generator = None
self.__strategy_parameters = None
self.__performance_manager = None
self.__timer = Timer()
self.__is_alive = False
self.__initialized = False
self.logger_name = "Backtesting"
def init(self):
if self.__initialized:
return None
assert self._config is not None # 判断初始化前是否设置好了基本参数
self.__strategy_engine = StrategyEngine(parent=self)
self.__strategy = Strategy(self.__strategy_engine, self.__code, parent=self)
self.__strategy_engine.add_strategy(self.__strategy)
self.__data_generator = DataGenerator(lambda x: self.__strategy_engine.put_event(x.to_event()),
lambda: self.__strategy_engine.put_event(Event(EVENT_FINISH)),
parent=self)
if DEBUG:
self.logger.setLevel(logging.DEBUG)
else:
self.logger.setLevel(logging.INFO)
self.__initialized = True
def set_config(self, config):
assert isinstance(config, BfConfig)
self._config = config
self._config.running_mode = RunningMode.backtest
def set_code(self, code):
assert isinstance(code, str)
self.__code = code.replace('\t', ' ')
@property
def is_finished(self):
return self.__is_alive
@property
def progress(self):
if not self.__is_alive:
return 0
et = get_datetime(self._config['end_time']).timestamp()
st = get_datetime(self._config['start_time']).timestamp()
ct = self.__strategy_engine.current_time
if ct:
return min((ct - st) / (et - st) * 100, 100)
else:
return 0
@property
def max_margin(self):
return self.__strategy_engine.max_margin
@profile
def start(self, paras=None, refresh=True):
"""
:param paras:
:param refresh: True表示刷新绩效且需要释放资源，即用户一个完整的请求已经结束；False的情况主要是参数优化时批量运行回测。
"""
self.logger.info("<%s>策略运算开始" % self._config['name'])
self.init()
gc.collect()
self.__is_alive = True
if paras is not None:
self.__strategy.set_parameters(paras)
self.__strategy_engine.start()
self.__data_generator.start()
if refresh:
self.__performance_manager = self.__strategy_engine.wait(self.__get_performance_manager)
self.__data_generator.stop()
if MEMORY_DEBUG:
print('gb:\n%s' % sys.getsizeof(gc.garbage)) # 写日志，计算垃圾占用的内存等
gb_log = {}
for gb in gc.garbage:
type_ = type(gb)
if type_ not in gb_log:
gb_log[type_] = 0
gb_log[type_] += sys.getsizeof(gb)
print(gb_log)
result = self.__performance_manager
else:
result = self.__strategy_engine.wait()
self.logger.info(self.__timer.time("<%s>策略运算完成，耗时:{0}" % self._config['name']))
return result
def stop(self):
self.__is_alive = False
self.__timer.reset()
self.__data_generator.stop()
self.__strategy_engine.stop()
def __get_performance_manager(self):
# TODO 加入回测是否运行的判断
if False:
raise ValueError('please run the backtest first')
return StrategyPerformanceManagerOnline(self.__strategy_engine.profit_records,
self.__strategy_engine.deals,
self.__strategy_engine.positions)
def get_profit_records(self):
return self.__strategy_engine.profit_records
def get_performance(self):
return self.__performance_manager.get_performance()
def get_output(self):
return self.__strategy.get_output()
def get_setting(self):
return self._config.to_dict()
def time(self, *args):
return self.__timer.time(*args)
class TracebackSignal(LoggerInterface, ConfigInterface, Runnable):
def __init__(self):
LoggerInterface.__init__(self)
ConfigInterface.__init__(self)
Runnable.__init__(self)
self.__code = None
self.__strategy = None
self.__strategy_engine = None
self.__tb_data_generator = None
self.__rt_data_generator = None
self.__strategy_parameters = None
self.__initialized = False
self.logger_name = 'RuntimeSignal'
def init(self):
if self.__initialized:
return True
assert isinstance(self._config, BfConfig) # 判断初始化前是否设置好了基本参数
self.__strategy_engine = StrategyEngine(parent=self)
self.__strategy = Strategy(self.__strategy_engine, self.__code, parent=self)
self.__strategy_engine.add_strategy(self.__strategy)
self.__rt_data_generator = TickDataGenerator(lambda x: self.__strategy_engine.put_event(x.to_event()),
partial(self.__strategy_engine.put_event, Event(EVENT_FINISH)),
parent=self)
self.__tb_data_generator = DataGenerator(lambda x: self.__strategy_engine.put_event(x.to_event()),
partial(self.__strategy_engine.put_event,
Event(EVENT_EMPTY, message="traceback over")),
parent=self)
if DEBUG:
self.logger.setLevel(logging.DEBUG)
else:
self.logger.setLevel(logging.INFO)
self.__initialized = True
def set_config(self, config):
assert isinstance(config, BfConfig)
self._config = config
self._config.allow_trading = False
self._config.running_mode = RunningMode.traceback
@property
def code(self):
return self.__code
@code.setter
def code(self, value):
assert isinstance(value, str)
self.__code = value.replace('\t', ' ')
def register_event(self, event_type, func):
if self.__initialized:
self.__strategy_engine.register_event(event_type, func)
else:
self.logger.warning("无效的事件注册，原因：未初始化")
@property
def is_finished(self):
return self.__is_alive
def _start(self, paras=None):
"""
:param paras:
:param refresh: True表示刷新绩效且需要释放资源，即用户一个完整的请求已经结束；False的情况主要是参数优化时批量运行回测。
"""
try:
self.logger.info("<%s>策略回溯运算开始" % self._config["name"])
if not self.__initialized:
self.init()
if paras is not None:
self.__strategy.set_parameters(paras)
self.__strategy_engine.start()
self.__tb_data_generator.start()
self.__strategy_engine.register_event(EVENT_EMPTY, self._change_trading_mode)
self.__strategy_engine.wait()
except:
self.logger.error("\n" + traceback.format_exc())
self.stop()
def _change_trading_mode(self, event):
if event.content["message"] == "traceback over":
try:
self.logger.info("<%s>策略回溯运算停止" % self._config["name"])
self._config.allow_trading = True
self.logger.info("<%s>策略实时运算开始" % self._config["name"])
self.__rt_data_generator.start()
except:
self.logger.error("\n" + traceback.format_exc())
self.stop()
def _stop(self):
self.logger.info("<%s>策略实时运算停止" % self._config["name"])
self.__tb_data_generator.stop()
self.__rt_data_generator.stop()
self.__strategy_engine.stop()
def get_output(self):
return self.__strategy.get_output()
def get_setting(self):
return self._config.to_dict()
def get_parameters(self):
if self.__strategy_parameters is None:
temp = self.__strategy.get_parameters()
for handle_name in temp.keys():
for para_name, values in temp[handle_name].items():
temp[handle_name][para_name] = {'default': values, 'type': str(type(values))}
self.__strategy_parameters = temp
return self.__strategy_parameters
