def SendDataEvent(self, type):
"""
将有新数据产生这一时间发送至事件处理引擎
:return:
"""
DataEvent = Event(type=type)
data = {}
data['time'] = self.__time
data['open'] = self.__open
data['high'] = self.__high
data['low'] = self.__low
data['volume'] = self.__volume
DataEvent.dict['data'] = data
DataEvent.dict['magic'] = self.__magic
self.__eventEngine.SendEvent(DataEvent)
def order_begin(self, event):
print(
'===================Trading_Event_Driven: order begin=================='
)
event = Event('order_begin')
self.eventmanager.SendEvent(event)
def mytest():
data_dict = {'contract_list': ['j1901', 'j1905']}
data_dict = {
'id': 'j',
'instrument': 'j1901',
'periods': '30min',
'time_begin': '2018-03-01 21:00:00',
'time_end': '2018-08-31 23:29:00'
}
stra_dict = {
'name': 'jma',
'slowLength': 21,
'slowphase': 101,
'fastLength': 10,
'fastphase': 101
}
orde_dict = {}
trad_dict = {}
posi_dict = {}
data = trading_data(data_dict)
jma = strategy_jma(stra_dict)
order = order_jma(posi_dict)
eventmanger = EventManager()
eventmanger.AddEventLister('start', data.data_begin)
eventmanger.AddEventLister('data_begin', jma.strategy_begin)
eventmanger.AddEventLister('strategy_begin', order.order_begin)
eventmanger.AddEventLister('order_begin', data.data_receive)
"""
eventmanger.AddEventLister('td_data_public', jma.strategy_receive)
eventmanger.AddEventLister('td_data_receive', data.data_public)
eventmanger.AddEventLister('td_strategy_public', order.trading_order_receive)
eventmanger.AddEventLister('td_strategy_receive', jma.trading_strategy_public)
eventmanger.AddEventLister('td_order_public', data.trading_data_receive)
eventmanger.AddEventLister('td_order_receive', order.trading_order_public)
eventmanger.AddEventLister('td_end', order.trading_order_end)
"""
eventmanger.Start()
data.data_add_eventmanager(eventmanger)
jma.strategy_add_eventmanager(eventmanger)
order.order_add_eventmanager(eventmanger)
event = Event('start')
event.dict['instrument'] = ['j1901']
data.data_init(event)
def strategy_public(self, event):
event = Event('strategy_public')
event.dict['num'] = self.event['num']
event.dict['sum'] = self.event['sum']
event.dict['marketdata'] = self.event['marketdata']
event.dict['order'] = self.event['order']
event.dict['position'] = self.event['position']
event.dict['account'] = self.event['account']
print('%s of %s strategy 发送........' %
(str(self.event['num']), str(self.event['sum'])))
self.eventmanager.SendEvent(event)
def data_receive(self, event):
## 收到backtest事件之后，要继续加第几根K线
self.event['num'] = event.dict['num'] + 1
self.event['sum'] = event.dict['sum']
self.event['position'] = event.dict['position']
self.event['account'] = event.dict['account']
print('%s of %s data 收到........' %
(str(self.event['num']), str(self.event['sum'])))
event = Event('data_receive')
# data_receive 发送至 datapublic
self.eventmanager.SendEvent(event)
def data_begin(self, event):
# 读取本地数据
data = self.minute_select(self.data['instrument'])
data = pd.DataFrame(
data, columns=['时间', '开盘价', '最高价', '最低价', '收盘价', '成交量', '持仓量'])
data.set_index(data['时间'], inplace=True)
# 时间筛选
data = data[(data.index >= self.data['time_begin'])]
data = data[(data.index <= self.data['time_end'])]
# k线合成
data = self.minute_combine(data, self.data['periods'])
# 本地数据准备
self.data['data'] = data
print(
'===================Trading_Event_Driven: data begin==================='
)
# 本地数据准备好了之后，就开始进行实盘事件驱动
event = Event('data_begin')
ly_ctpmd(contract=event.dict['instrument'])
event.dict['data'] = data
self.eventmanager.SendEvent(event)
def strategy_receive(self, event):
self.event['num'] = event.dict['num']
self.event['sum'] = event.dict['sum']
self.event['marketdata'] = event.dict['marketdata']
self.event['position'] = event.dict['position']
self.event['account'] = event.dict['account']
print('%s of %s strategy 收到........' %
(str(self.event['num']), str(self.event['sum'])))
self.strategy_to_order()
event = Event('strategy_receive')
# strategy_receive event绑定 strategy_public
self.eventmanager.SendEvent(event)
def backtest_public(self, event):
event = Event('backtest_public')
event.dict['num'] = self.event['num']
event.dict['sum'] = self.event['sum']
event.dict['position'] = self.event['position']
event.dict['account'] = self.event['account']
if self.event['num'] != self.event['sum'] - 1:
print('%s of %s backtest 发送........' %
(str(self.event['num']), str(self.event['sum'])))
self.eventmanager.SendEvent(event)
else:
event = Event('end')
print('This is end. Hold your breathe and count to ten.')
self.eventmanager.SendEvent(event)
def backtest_receive(self, event):
self.event['num'] = event.dict['num']
self.event['sum'] = event.dict['sum']
self.event['marketdata'] = event.dict['marketdata']
self.event['order'] = event.dict['order']
self.process_control(event.dict['marketdata'], event.dict['order'])
self.event['position'] = self.backtest['position']
self.event['account'] = self.backtest['account']
print('%s of %s backtest 收到........' %
(str(self.event['num']), str(self.event['sum'])))
event = Event('backtest_receive')
self.eventmanager.SendEvent(event)
def data_begin(self, event):
event = Event('data_public')
event.dict['num'] = self.event['num']
event.dict['sum'] = self.event['sum']
event.dict['position'] = None
event.dict['account'] = None
md = pd.DataFrame(self.data_source['data'].iloc[[0], :])
md.index = [0]
event.dict['marketdata'] = md
print('%s of %s data 发送........' %
(str(self.event['num']), str(self.event['sum'])))
# data_public 输送至strategy_receive
self.eventmanager.SendEvent(event)
def strategy_begin(self, event):
data = event.dict['data']
# 将数据转成所需要的类型
data = data['收盘价'].tolist()
# 将数据转换成策略所需要的类型
jmafast = jmavalue(self.event['slowLength'], self.event['slowphase'])
jmaslow = jmavalue(self.event['fastLength'], self.event['fastphase'])
for i in range(len(data)):
d = data[i]
jmafast.jma_calculate(d)
jmaslow.jma_calculate(d)
print(
'===================Trading_Event_Driven: strategy begin==============='
)
event = Event('strategy_begin')
self.eventmanager.SendEvent(event)
def data_public(self, event):
event = Event('data_public')
event.dict['num'] = self.event['num']
event.dict['sum'] = self.event['sum']
#####################################
md = pd.DataFrame(
self.data_source['data'].iloc[[self.event['num']], :])
md.index = [0]
#####多个品种同时推送，market就应该改为dict
event.dict['marketdata'] = md
event.dict['position'] = self.event['position']
event.dict['account'] = self.event['account']
print('%s of %s data 发送........' %
(str(self.event['num']), str(self.event['sum'])))
# data_public 输送至strategy_receive
self.eventmanager.SendEvent(event)
def SendEvent(self, type=None, orderinfo=None):
OrderEvent = Event(type=type)
OrderEvent.dict = orderinfo
self.__eventEngine.SendEvent(OrderEvent)
def order_receive(self, event):
event = Event('strategy_receive')
self.eventmanager.SendEvent(event)
def data_init(self, event):
event = Event('start')
self.eventmanager.SendEvent(event)
def init(self):
event = Event('begin')
print('EventDriven_Backtest开始！！！！！')
# begin Addlistener data_begin
self.eventmanager.SendEvent(event)
def data_public(self, event):
# 数据循环发布
event = Event('data_public')
self.eventmanager.SendEvent(event)
def strategy_receive(self, event):
# 收到数据后，先进行策略_to_order的处理
self.strategy_to_order()
event = Event('strategy_receive')
self.eventmanager.SendEvent(event)
def strategy_public(self):
event = Event('strategy_public')
self.eventmanager.SendEvent(event)
def data_receive(self, event):
# order处理之后，数据可以进一步
print('初始化全部完成，数据循环播报')
event = Event('data_receive')
self.eventmanager.SendEvent(event)