def main():
bf = TestBarFeed(bar.Frequency.DAY)
bars = [
bar.BasicBar(datetime.datetime(2000, 1, 1), 10, 10, 10, 10, 10, 10, bar.Frequency.DAY),
bar.BasicBar(datetime.datetime(2000, 1, 2), 10, 10, 10, 10, 10, 10, bar.Frequency.DAY),
]
bf.addBarsFromSequence("orcl", bars)
logger.getLogger().setLevel(logging.DEBUG)
strat = BacktestingStrategy(bf, 1)
strat.run()
def main():
bf = TestBarFeed(bar.Frequency.DAY)
bars = [
bar.BasicBar(datetime.datetime(2000, 1, 1), 10, 10, 10, 10, 10, 10,
bar.Frequency.DAY),
bar.BasicBar(datetime.datetime(2000, 1, 2), 10, 10, 10, 10, 10, 10,
bar.Frequency.DAY),
]
bf.addBarsFromSequence("orcl", bars)
logger.getLogger().setLevel(logging.DEBUG)
strat = BacktestingStrategy(bf, 1)
strat.run()
class redis_db(object):
def __init__(self):
serv = getConfigInfo('Redis')
self._host = serv['host']
self._port = serv['port']
self.__logger = getLogger('Redis')
self._conn = self.connect()
def main():
""" prepare logging object
"""
# logging.basicConfig(level=logging.DEBUG,
# format='%(asctime)s %(levelname)s\t%(name)s\t: %(message)s',
# datefmt='%a, %d %b %Y %H:%M:%S',
# filename='debug.log')
log = l.getLogger('main')
log.debug(' #################### Starting ####################')
""" Create config object and parse command line options
"""
conf = EC.Instance()
conf.setPath(os.path.abspath(os.path.join(os.path.dirname(__file__))))
conf.loadConfig()
conf.setConfValue('baseDir', os.path.dirname(__file__))
log.debug((docopt(__doc__, version='0.1')))
log.debug('Creating core object')
gfx = Core()
# Hide the mouse cursor and prevent the mouse from leaving the window.
log.debug('Setting up core object')
gfx.set_exclusive_mouse(True)
gfx.setup()
def __init__(self, collection):
serv = getConfigInfo('Mongo')
self.__host = serv['host']
self.__port = serv['port']
self.__dbname = serv['dbname']
self.__logger = getLogger('Mongodb')
self.__client = self.__connect()
self.__col = self.__client[self.__dbname][collection]
def __init__(self, collection):
serv = getConfigInfo('Mongo')
self.__host = serv['host']
self.__port = serv['port']
self.__dbname = serv['dbname']
self.__logger = getLogger('Mongodb')
self.__client = self.__connect()
self.__col = self.__client[self.__dbname][collection]
def __init__(self, cash, barFeed, commission=None):
super(Broker, self).__init__()
assert (cash >= 0)
self.__cash = cash
if commission is None:
self.__commission = NoCommission()
else:
self.__commission = commission
self.__shares = {}
self.__activeOrders = {}
self.__useAdjustedValues = False
self.__fillStrategy = fillstrategy.DefaultStrategy()
self.__logger = logger.getLogger(Broker.LOGGER_NAME)
# It is VERY important that the broker subscribes to barfeed events before the strategy.
barFeed.getNewValuesEvent().subscribe(self.onBars)
self.__barFeed = barFeed
self.__allowNegativeCash = False
self.__nextOrderId = 1
def __init__(self, msg_queue):
"""API对象的初始化函数"""
super(CTPTdApi, self).__init__()
self.reqID = 0 # 操作请求编号
self.orderRef = 0 # 订单编号
self.connectionStatus = False # 连接状态
self.loginStatus = False # 登录状态
self.userID = None # 账号
self.password = None # 密码
self.brokerID = None # 经纪商代码
self.address = None # 服务器地址
self.frontID = None # 前置机编号
self.sessionID = None # 会话编号
self.__msg_queue = msg_queue
self.__oders = set()
self._logger = getLogger('CTP')
def __init__(self, barFeed, broker):
self.__barFeed = barFeed
self.__broker = broker
self.__activePositions = set()
self.__orderToPosition = {}
self.__barsProcessedEvent = observer.Event()
self.__analyzers = []
self.__namedAnalyzers = {}
self.__resampledBarFeeds = []
self.__dispatcher = dispatcher.Dispatcher()
self.__broker.getOrderUpdatedEvent().subscribe(self.__onOrderEvent)
self.__barFeed.getNewValuesEvent().subscribe(self.__onBars)
self.__dispatcher.getStartEvent().subscribe(self.onStart)
self.__dispatcher.getIdleEvent().subscribe(self.__onIdle)
# It is important to dispatch broker events before feed events, specially if we're backtesting.
self.__dispatcher.addSubject(self.__broker)
self.__dispatcher.addSubject(self.__barFeed)
# Initialize logging.
self.__logger = logger.getLogger(BaseStrategy.LOGGER_NAME)
def __init__(self, msg_queue):
"""API对象的初始化函数"""
super(CTPTdApi, self).__init__()
self.reqID = 0 # 操作请求编号
self.orderRef = 0 # 订单编号
self.connectionStatus = False # 连接状态
self.loginStatus = False # 登录状态
self.userID = None # 账号
self.password = None # 密码
self.brokerID = None # 经纪商代码
self.address = None # 服务器地址
self.frontID = None # 前置机编号
self.sessionID = None # 会话编号
self.__msg_queue= msg_queue
self.__oders = set()
self._logger = getLogger('CTP')
def __init__(self, barFeed, broker):
self.__barFeed = barFeed
self.__broker = broker
self.__activePositions = set()
self.__orderToPosition = {}
self.__barsProcessedEvent = observer.Event()
self.__analyzers = []
self.__namedAnalyzers = {}
self.__resampledBarFeeds = []
self.__dispatcher = dispatcher.Dispatcher()
self.__broker.getOrderUpdatedEvent().subscribe(self.__onOrderEvent)
self.__barFeed.getNewValuesEvent().subscribe(self.__onBars)
self.__dispatcher.getStartEvent().subscribe(self.onStart)
self.__dispatcher.getIdleEvent().subscribe(self.__onIdle)
# It is important to dispatch broker events before feed events, specially if we're backtesting.
self.__dispatcher.addSubject(self.__broker)
self.__dispatcher.addSubject(self.__barFeed)
# Initialize logging.
self.__logger = logger.getLogger(BaseStrategy.LOGGER_NAME)
Created on Sun Dec 11 14:31:04 2016
"""
import time
import Queue
from datetime import datetime
from engine import broker
from engine.logger import getLogger
from engine.api.ctp import CTPTdApi
from components.database.mongo import *
from components.celery.tasks import *
from components.celery.tasksmgmt import *
logger = getLogger('CTP_broker')
class FutureTraits(broker.InstrumentTraits):
def roundQuantity(self, quantity):
return round(quantity, 2)
def getCommission(self, instrument_id):
return 0
class LiveBroker(broker.Broker):
"""A CTP live broker.
.. note::
* Only limit orders are supported.
def onBars(self, bars):
self.info("bla")
logger.getLogger("custom").info("ble")
def onBars(self, bars):
self.info("bla")
logger.getLogger("custom").info("ble")
# limitations under the License.
Created on Sun Dec 11 14:31:04 2016
"""
import time
import Queue
from datetime import datetime
from engine import broker
from engine.logger import getLogger
from engine.api.ctp import CTPTdApi
from components.database.mongo import *
from components.celery.tasks import *
from components.celery.tasksmgmt import *
logger = getLogger('CTP_broker')
class FutureTraits(broker.InstrumentTraits):
def roundQuantity(self, quantity):
return round(quantity, 2)
def getCommission(self, instrument_id):
return 0
class LiveBroker(broker.Broker):
"""A CTP live broker.
.. note::
* Only limit orders are supported.
* Orders are automatically set as **goodTillCanceled=True** and **allOrNone=False**.