class StrategyEngine(object):
"""策略引擎"""
CACHE_MAXLEN = 10000
# ----------------------------------------------------------------------
def __init__(self, is_backtest=False):
"""Constructor"""
self.__event_engine = EventEngine() # 事件处理引擎
self.__account_manager = AccountManager() # 账户管理
self.__trade_manager = TradeManager(self, is_backtest) # 交易管理器
self.__data_cache = DataCache(self) # 数据中继站
self.__strategys = {} # 策略管理器
def get_data(self):
return self.__data_cache.data
def get_symbol_pool(self):
return self.__data_cache.symbol_pool
def get_current_positions(self):
return self.__trade_manager.current_positions
def get_current_time(self):
return self.__data_cache.current_time
def get_positions(self):
return self.__trade_manager.positions
def get_deals(self):
return self.__trade_manager.deals
def get_strategys(self):
return self.__strategys
def get_profit_records(self):
"""获取平仓收益记录"""
return self.__account_manager.get_profit_records()
def get_symbol_timeframe(self):
return self.__data_cache.get_cache_info().keys()
# XXX之所以不用装饰器的方式是考虑到不知经过一层property会不会影响效率，所以保留用get_XXX直接访问
# property:
current_time = property(get_current_time)
symbol_pool = property(get_symbol_pool)
data = property(get_data)
current_positions = property(get_current_positions)
positions = property(get_positions)
deal = property(get_deals)
strategys = property(get_strategys)
profit_records = property(get_profit_records)
symbol_timeframe = property(get_symbol_timeframe)
def update_deal(self, deal):
self.__account_manager.update_deal(deal)
def open_position(self, *args, **kwargs):
self.__trade_manager.open_position(*args, **kwargs)
def close_position(self, *args, **kwargs):
self.__trade_manager.close_position(*args, **kwargs)
def set_capital_base(self, base):
self.__account_manager.set_capital_base(base)
# ----------------------------------------------------------------------
def add_cache_info(self, *args, **kwargs):
self.__data_cache.add_cache_info(*args, **kwargs)
# TODO 从全局的品种池中查询
# ----------------------------------------------------------------------
def add_file(self, file):
self.__event_engine.add_file(file)
# ----------------------------------------------------------------------
def add_strategy(self, strategy):
"""添加已创建的策略实例"""
self.__strategys[strategy.get_id()] = strategy
strategy.engine = self
# ----------------------------------------------------------------------
def put_event(self, event):
# TODO 加入验证
# TODO 多了一层函数调用，尝试用绑定的形式
self.__event_engine.put(event)
# ----------------------------------------------------------------------
def register_event(self, event_type, handle):
"""注册事件监听"""
# TODO 加入验证
self.__event_engine.register(event_type, handle)
def unregister_event(self, event_type, handle):
"""取消事件监听"""
self.__event_engine.unregister(event_type, handle)
# ----------------------------------------------------------------------
def write_log(self, log):
"""写日志"""
self.__event_engine.put(Event(type=EVENT_LOG, log=log))
# ----------------------------------------------------------------------
def start(self):
"""启动所有策略"""
for strategy in self.__strategys.values():
strategy.start()
self.__data_cache.start()
self.__trade_manager.init()
self.__event_engine.start()
# ----------------------------------------------------------------------
def stop(self):
"""停止所有策略"""
self.__event_engine.stop()
self.__data_cache.stop()
for strategy in self.__strategys.values():
strategy.stop()
self._recycle() # 释放资源
# ----------------------------------------------------------------------
def _recycle(self):
self.__data_cache.stop()
self.__trade_manager.recycle()
self.__account_manager.initialize()
def wait(self, call_back=None, finished=True, *args, **kwargs):
"""等待所有事件处理完毕
:param call_back: 运行完成时的回调函数
:param finish: 向下兼容，finish为True时，事件队列处理完成时结束整个回测引擎；为False时只是调用回调函数，继续挂起回测引擎。
"""
self.__event_engine.wait()
result = call_back(*args, **kwargs)
if finished:
self._set_finished()
self.stop()
return result
def _set_finished(self): # 标记即不会再有新数据到来
self.__event_engine.set_finished()
