def run_example():
universe = set_universe('000300.zicn')
startDate = dt.datetime(2012, 1, 1)
endDate = dt.datetime(2015, 10, 1)
return strategyRunner(userStrategy=MovingAverageCrossStrategy,
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
benchmark='000300.zicn',
saveFile=False,
logLevel='critical',
plot=False)
def run_example():
universe = set_universe('000300.zicn')
startDate = dt.datetime(2012, 1, 1)
endDate = dt.datetime(2015, 10, 1)
return strategyRunner(userStrategy=MovingAverageCrossStrategy,
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
benchmark='000300.zicn',
saveFile=True,
logLevel='info',
plot=True)
def run_example():
universe = set_universe('000300.zicn')[:10]
startDate = dt.datetime(2007, 1, 1)
endDate = dt.datetime(2015, 10, 1)
strategyRunner(userStrategy=MovingAverageCrossStrategy,
symbolList=universe,
startDate=startDate,
endDate=endDate,
freq=0,
benchmark='000300.zicn',
logLevel='info',
saveFile=True,
plot=True)
def run_example():
stocks = set_universe('000300.zicn')
futures = ['if15%02d.cffex' % i for i in range(1, 13)]
universes = stocks + futures
strategyRunner(userStrategy=MovingAverageCrossStrategy,
symbolList=universes,
startDate=dt.datetime(2015, 1, 1),
endDate=dt.datetime(2015, 12, 5),
logLevel='info',
saveFile=False,
plot=False,
dataSource=DataSource.DataYes,
benchmark='000300.zicn',)
def run_example():
stocks = set_universe('000300.zicn')
futures = ['if15%02d.ccfx' % i for i in range(1, 13)]
universes = stocks + futures
strategyRunner(userStrategy=MovingAverageCrossStrategy,
symbolList=universes,
startDate=dt.datetime(2015, 1, 1),
endDate=dt.datetime(2015, 12, 5),
logLevel='info',
saveFile=False,
plot=True,
dataSource=DataSource.DXDataCenter,
benchmark='000300.zicn')
def run_example():
universe = set_universe('000300.zicn', refDate='2015-01-01')[:200]
startDate = dt.datetime(2015, 1, 1)
endDate = dt.datetime(2017, 1, 1)
strategyRunner(userStrategy=MovingAverageCrossStrategy,
symbolList=universe,
startDate=startDate,
endDate=endDate,
benchmark='000300.zicn',
dataSource=DataSource.WIND,
logLevel='info',
saveFile=True,
plot=True,
freq='D')
def run_example():
stocks = set_universe("000300.zicn")
futures = ["if15%02d.ccfx" % i for i in range(1, 13)]
universes = stocks + futures
strategyRunner(
userStrategy=MovingAverageCrossStrategy,
symbolList=universes,
startDate=dt.datetime(2015, 1, 1),
endDate=dt.datetime(2015, 12, 5),
logLevel="info",
saveFile=False,
plot=True,
dataSource=DataSource.DXDataCenter,
benchmark="000300.zicn",
)
def run_example():
universe = set_universe('000300.zicn', refDate='2012-06-01')
startDate = dt.datetime(2012, 6, 1)
endDate = dt.datetime(2016, 1, 12)
strategyRunner(userStrategy=MovingAverageCrossStrategy,
strategyParameters=(39, 78, 27, 42),
#initialCapital=50000.,
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
benchmark='000300.zicn',
freq=0,
logLevel='info',
#portfolioType=PortfolioType.CashManageable,
plot=True,
saveFile=False)
def run_example():
index_code = '000905.zicn'
universe = set_universe(index_code, refDate='2015-01-01') + [index_code]
startDate = dt.datetime(2015, 1, 1)
endDate = dt.datetime(2016, 4, 25)
initialCapital = 10000000.
return strategyRunner(userStrategy=CatchMomentumStrategy,
strategyParameters=(index_code, ),
initialCapital=initialCapital,
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
portfolioType=PortfolioType.CashManageable,
freq=5,
benchmark=index_code,
logLevel="info",
saveFile=True,
plot=True)
def run_example():
index_code = '000905.zicn'
universe = set_universe(index_code, refDate='2015-01-01') + [index_code]
startDate = dt.datetime(2015, 1, 1)
endDate = dt.datetime(2016, 2, 29)
initialCapital = 10000000.
return strategyRunner(userStrategy=CatchMomentumStrategy,
strategyParameters=(index_code,),
initialCapital=initialCapital,
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
portfolioType=PortfolioType.CashManageable,
freq=5,
benchmark=index_code,
logLevel="info",
saveFile=True,
plot=True)
def run_example():
universe = set_universe('000300.zicn', refDate='2012-06-01')
startDate = dt.datetime(2012, 6, 1)
endDate = dt.datetime(2016, 1, 12)
strategyRunner(
userStrategy=MovingAverageCrossStrategy,
strategyParameters=(39, 78, 27, 42),
#initialCapital=50000.,
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
benchmark='000300.zicn',
freq=0,
logLevel='info',
#portfolioType=PortfolioType.CashManageable,
plot=True,
saveFile=False)
print("{0}'s data has been loaded".format(date))
elif self.cached_merger is not instruments:
filter_flag = np.in1d(self.all_instruments, instruments)
self.current_filtered_cache = self.current_cache[filter_flag]
self.current_index = self.all_times[filter_flag]
self.current_names = self.all_instruments[filter_flag]
self.cached_merger = instruments
time_stamp = time_stamp.encode('ascii')
left = bisect.bisect_left(self.current_index, time_stamp)
right = bisect.bisect_right(self.current_index, time_stamp)
return self.current_index[left], self.current_names[left:right], self.current_filtered_cache[left:right]
if __name__ == "__main__":
from DataAPI import api
from AlgoTrading.api import set_universe
universe = [str(s[:6]) for s in set_universe('000300.zicn')]
data = api.GetEquityBarMin5('600000', '2012-01-01', '2015-12-28')
date_index = data.index
store = HDFDataProvider('d:/data/hdf5/equity_5min.hdf')
import datetime as dt
start = dt.datetime.now()
for date in date_index:
data = store.quotes(universe, date.strftime("%Y-%m-%d %H:%M:%S.%f"))
print(dt.datetime.now() - start)
