async def scan(self,
start: Frame,
end: Frame,
signal_func: Callable,
frame_type: FrameType = FrameType.DAY):
frames = tf.get_frames(start, end, frame_type)
results = []
for frame in frames:
if frame_type in tf.day_level_frames:
frame = tf.int2date(frame)
else:
frame = tf.int2time(frame)
result = await signal_func(frame,
frame_type=frame_type,
win=60,
adv=0.0)
results.extend(result)
df = DataFrame(data=results, columns=['date', 'code', 'pc'])
df.to_csv("/tmp/hrp.csv")
async def test_test_signal(self):
plot = Momentum()
results = {}
async def on_trade_signal(results, msg):
results[msg.get('fire_on')] = {
"flag": msg.get('flag'),
"frame_type": msg.get('frame_type')
}
emit.register(Events.sig_trade, functools.partial(on_trade_signal, results))
for frame in tf.get_frames(arrow.get('2020-8-24 11:00'),
arrow.get('2020-8-28 15:00'),
FrameType.MIN30):
frame = tf.int2time(frame)
await plot.evaluate('000001.XSHG', '30m', frame, flag='both')
self.assertDictEqual({
202008261000: {"flag": "short", "frame_type": '30m'},
202008271130: {"flag": "long", "frame_type": '30m'}
}, results)
async def scan(self,
start: Frame,
end: Frame,
signal_func: Callable,
frame_type: FrameType = FrameType.DAY):
frames = tf.get_frames(start, end, frame_type)
results = []
for frame in frames:
if frame_type in tf.day_level_frames:
frame = tf.int2date(frame)
else:
frame = tf.int2time(frame)
result = await signal_func(frame, frame_type=frame_type)
results.extend(result)
df = DataFrame(data=results,
columns=[
'date', 'code', 't1', 't2', 't3', 't4', 'slope_60',
'pct', "fired"
])
df.to_csv("/tmp/two.csv")
def test_get_frames(self):
days = [
20200117,
20200120,
20200121,
20200122,
20200123,
20200203,
20200204,
20200205,
20200206,
20200207,
20200210,
20200211,
]
for i in range(len(days)):
start = tf.int2date(days[0])
end = tf.int2date(days[i])
actual = tf.get_frames(start, end, FrameType.DAY)
logger.debug(
"get_frames(%s, %s, %s)->%s", start, end, FrameType.DAY, actual
)
self.assertListEqual(days[0 : i + 1], list(actual))
X = [
(202002041030, 1, [202002041030]),
(202002041030, 2, [202002041000, 202002041030]),
(202002041030, 3, [202002031500, 202002041000, 202002041030]),
(202002041030, 4, [202002031430, 202002031500, 202002041000, 202002041030]),
(
202002041030,
5,
[202002031400, 202002031430, 202002031500, 202002041000, 202002041030],
),
(
202002041030,
6,
[
202002031330,
202002031400,
202002031430,
202002031500,
202002041000,
202002041030,
],
),
(
202002041030,
7,
[
202002031130,
202002031330,
202002031400,
202002031430,
202002031500,
202002041000,
202002041030,
],
),
(
202002041030,
8,
[
202002031100,
202002031130,
202002031330,
202002031400,
202002031430,
202002031500,
202002041000,
202002041030,
],
),
(
202002041030,
9,
[
202002031030,
202002031100,
202002031130,
202002031330,
202002031400,
202002031430,
202002031500,
202002041000,
202002041030,
],
),
(
202002041030,
10,
[
202002031000,
202002031030,
202002031100,
202002031130,
202002031330,
202002031400,
202002031430,
202002031500,
202002041000,
202002041030,
],
),
(
202002041030,
11,
[
202001231500,
202002031000,
202002031030,
202002031100,
202002031130,
202002031330,
202002031400,
202002031430,
202002031500,
202002041000,
202002041030,
],
),
]
for i, (end, n, expected) in enumerate(X):
start = tf.int2time(expected[0])
end = tf.int2time(end)
actual = tf.get_frames(start, end, FrameType.MIN30)
logger.debug(
"get_frames(%s, %s, %s)->%s", start, end, FrameType.MIN30, actual
)
self.assertListEqual(expected, actual)