def short(self,
symbol,
volume=1,
price=None,
stop=False,
limit=False,
strategy=None,
listener=None):
if self.__backtesting:
time_ = self.__data[symbol][SymbolsListener.get_by_id(
listener).get_time_frame()]['time'][0]
else:
time_ = time.time()
position = self.__current_positions.get(symbol, None)
if position and position.type > 0:
order = Order(symbol, ORDER_TYPE_SELL, strategy, listener)
order.volume_initial = position.volume
order.time_setup = int(time_)
order.time_setup_msc = int((time_ - int(time_)) * (10**6))
# TODO 这里应该要支持事务性的下单操作
self.send_order(order)
if volume == 0:
return
order = Order(symbol, ORDER_TYPE_SELL, strategy, listener)
order.volume_initial = volume
order.time_setup = int(time_)
order.time_setup_msc = int((time_ - int(time_)) * (10**6))
return self.send_order(order)
def cover(self, symbol, volume=1, price=None, stop=False, limit=False, strategy=None, listener=None):
if volume == 0: return
position = self.__current_positions.get(symbol,None)
order = Order(symbol, ORDER_TYPE_BUY, strategy, listener)
if not position or position.type >= 0:
return#XXX可能的返回值
order.volume_initial = volume
if self.__backtesting:
time_ = self.__datas[symbol][SymbolsListener.get_by_id(listener).get_time_frame()]['time'][0]
else:
time_ = time.time()
order.time_setup = int(time_)
order.time_setup_msc = int((time_ - int(time_))*(10**6))
return(self.send_order(order))
def __send_order_to_broker(self,order):
if self.__backtesting:
time_frame = SymbolsListener.get_by_id(order.handle).get_time_frame()
time_ = self.__datas[order.symbol][time_frame]["time"][0]
order.time_done = int(time_)
order.time_done_msc = int((time_-int(time_))*(10**6))
order.volume_current = order.volume_initial
deal = Deal(order.symbol, order.strategy, order.handle)
deal.volume = order.volume_current
deal.time = order.time_done
deal.time_msc = order.time_done_msc
deal.type = 1-((order.type&1)<<1) #参见ENUM_ORDER_TYPE和ENUM_DEAL_TYPE的定义
deal.price = self.__datas[order.symbol][time_frame]["close"][0]
#TODO加入手续费等
order.deal = deal.get_id()
deal.order = order.get_id()
return([deal],{})
#TODO 市价单成交
else:
pass
def cover(self,
symbol,
volume=1,
price=None,
stop=False,
limit=False,
strategy=None,
listener=None):
if volume == 0:
return
position = self.__current_positions.get(symbol, None)
order = Order(symbol, ORDER_TYPE_BUY, strategy, listener)
if not position or position.type >= 0:
return # XXX可能的返回值
order.volume_initial = volume
if self.__backtesting:
time_ = self.__data[symbol][SymbolsListener.get_by_id(
listener).get_time_frame()]['time'][0]
else:
time_ = time.time()
order.time_setup = int(time_)
order.time_setup_msc = int((time_ - int(time_)) * (10**6))
return self.send_order(order)
def __send_order_to_broker(self, order):
if self.__backtesting:
time_frame = SymbolsListener.get_by_id(
order.handle).get_time_frame()
time_ = self.__data[order.symbol][time_frame]["time"][
0] + time_frame_to_seconds(time_frame)
order.time_done = int(time_)
order.time_done_msc = int((time_ - int(time_)) * (10**6))
order.volume_current = order.volume_initial
deal = Deal(order.symbol, order.strategy, order.handle)
deal.volume = order.volume_current
deal.time = order.time_done
deal.time_msc = order.time_done_msc
deal.type = 1 - (
(order.type & 1) << 1) # 参见ENUM_ORDER_TYPE和ENUM_DEAL_TYPE的定义
deal.price = self.__data[order.symbol][time_frame]["close"][0]
# TODO加入手续费等
order.deal = deal.get_id()
deal.order = order.get_id()
return [deal], {}
# TODO 市价单成交
else:
pass
def bind_code_to_strategy(self, code):
def get_parameter_default(paras, name, check, default, pop=True):
if pop:
para = paras.pop(name, None)
else:
para = paras.get(name, None)
if para:
temp = para.default
if temp == inspect._empty:
# TODO未给定值的处理
return default
elif check(temp):
return temp
else:
raise KeyError("变量%s所赋值不合法", name)
else:
return default
def get_global_attrs(locals_):
for name, attr in self.ATTR_MAP.items():
if getattr(self, attr) is None:
setattr(self, attr, locals_.get(name))
def set_global_attrs(globals_):
for name, attr in self.ATTR_MAP.items():
value = getattr(self, attr)
if value is not None:
globals_[name] = value
else:
raise ValueError('全局变量%s未被赋值' % name)
signal_locals_ = {}
function_locals = {}
signal_globals_ = {} # 可动态管理的全策略命名空间
function_globals_ = {} # 可动态管理的系统函数命名空间
# 获取并检查一些全局变量的设定
exec(compile(code, "[Strategy:%s]" % self.name, mode="exec"),
signal_globals_, signal_locals_)
get_global_attrs(signal_locals_)
set_global_attrs(signal_globals_)
set_global_attrs(function_globals_)
signal_globals_.update(self.__locals_)
function_globals_.update(self.__locals_)
self.engine.set_capital_base(self.capital_base)
self.engine.start_time = self.start_time
self.engine.end_time = self.end_time
check_time_frame(self.time_frame)
# get the system functions in use
ast_ = ast.parse(code)
sys_func_detector = SystemFunctionsDetector()
sys_func_detector.visit(ast_)
sys_func_dir = self.user_dir.get_sys_func_dir()
funcs_in_use = sys_func_detector.get_funcs_in_use()
# get the instructions to inject to every handle
signal_instructions = {}
function_instructions = {}
code_lines = ["import functools", "__globals = globals()"]
code_lines.extend([
"{0} = __globals['{0}']".format(key)
for key in self.__locals_.keys()
if key not in ["sell", "buy", "short", "cover"]
])
for key, value in signal_locals_.items():
if inspect.isfunction(value):
if key == "init":
self.handlers['init'] = value
# TODO init中可以设定全局变量，所以要以"global foo"的方式进行注入，监听的事件不同所以要改写SymbolsListener
continue
paras = inspect.signature(value).parameters.copy()
ishandle = get_parameter_default(paras, "ishandle",
lambda x: isinstance(x, bool),
True)
if not ishandle:
continue
custom = get_parameter_default(paras, "custom",
lambda x: isinstance(x, bool),
False)
if not custom:
# TODO加入真正的验证方法
symbols = get_parameter_default(paras, "symbols",
lambda x: True,
self.symbols)
time_frame = get_parameter_default(paras, "timeframe",
check_time_frame,
self.time_frame)
max_length = get_parameter_default(
paras, "maxlen",
lambda x: isinstance(x, int) and (x > 0),
self.max_length)
self.engine.add_symbols(symbols, time_frame, max_length)
self.listeners[key] = SymbolsListener(
self.engine, symbols, time_frame)
additional_instructions = [
"{0} = system_functions['%s.%s'%('{1}','{0}')]".format(
f, key) for f in funcs_in_use.keys()
] + ['del(system_functions)']
temp = []
# TODO 加入opens等，这里字典的嵌套结构
temp.extend([
"%s = __globals['data']()['%s']['%s']['%s']" %
(field, symbols[0], time_frame, field) for field in
["open", "high", "low", "close", "time", "volume"]
])
temp.extend([
"{0} = __globals['listeners']['{1}'].{0}".format(
'get_current_bar', key)
])
function_instructions[key] = code_lines + temp + ["del(functools)", "del(__globals)"] + \
additional_instructions
temp.extend([
"{0} = functools.partial(__globals['{0}'],listener={1})"
.format(field, self.listeners[key].get_id())
for field in ["buy", "short", "sell", "cover"]
])
signal_instructions[key] = code_lines + temp + ["del(functools)", "del(__globals)"] + \
additional_instructions
else:
# TODO自定义事件处理
pass
for para_name in paras.keys():
# TODO加入类型检测
default = get_parameter_default(paras,
para_name,
lambda x: True,
None,
pop=False)
if default is None:
raise ValueError('参数%s未指定初始值' % para_name)
elif not isinstance(default, (int, float)):
raise ValueError('参数%s的值必须为整数或浮点数', para_name)
self.listeners[key].add_parameters(para_name, default)
series_exporter = SeriesExporter() # deal with the export syntax
# export the system functions in use
for func, signal in funcs_in_use.items():
fullname = os.path.join(sys_func_dir, func + ".py")
with open(fullname) as f:
func_ast = ast.parse(f.read())
f.close()
function_injector = LocalsInjector(
{func: function_instructions[signal]})
function_injector.visit(func_ast)
func_ast = series_exporter.visit(func_ast)
# TODO 多个handle时需要对每个handle调用的系统函数建立独立的系统函数
exec(compile(func_ast, "[SysFunctions:%s]" % func, mode="exec"),
function_globals_, function_locals)
self.system_functions['%s.%s' % (signal, func)] = SeriesFunction(
function_locals[func], signal)
# new方法是对__init__的封装，创建SeriesFunction对象所需信息有其所在的函数体本身，signal和其运行时传入的参数，
# 编译时所能确定的只有前者，采用偏函数的方式将两者结合到一起
# inject global vars into locals of handler
signal_injector = LocalsInjector(signal_instructions)
signal_injector.visit(ast_)
ast_ = series_exporter.visit(ast_)
# TODO 解决行号的问题
exec(compile(ast_, "[Strategy:%s]" % self.name, mode="exec"),
signal_globals_, signal_locals_)
for key in signal_instructions.keys():
self.listeners[key].set_generator(signal_locals_[key])
print("<%s>信号添加成功" % self.name)
if 'init' in self.handlers:
self.handlers['init']()
return True
