def _init(self, loc):
init_transformer = InitTransformer()
init_transformer.visit(self.ast_root)
# XXX 必须要一个module node作为根节点。
exec(compile(wrap_with_module(init_transformer.init_node), "[Strategy:%s]" % self.__code.name, mode="exec")
, dict(open=self.__strategy.open, print=self.__strategy.printer.print, **loc), loc)
self.__globals.update(Globals(loc["init"](), {}))
def _init(self, loc):
init_transformer = InitTransformer()
init_transformer.visit(self.ast_root)
# XXX 必须要一个module node作为根节点。
exec(
compile(wrap_with_module(init_transformer.init_node),
"[Strategy:%s]" % self.__code.name,
mode="exec"),
dict(open=self.__strategy.open,
print=self.__strategy.printer.print,
**loc), loc)
self.__globals.update(Globals(loc["init"](), {}))
def bind_code_to_strategy(self, code):
def get_parameter_default(paras, name, check, default, pop=True):
if pop:
para = paras.pop(name, None)
else:
para = paras.get(name, None)
if para:
temp = para.default
if temp == inspect._empty:
# TODO未给定值的处理
return default
elif check(temp):
return temp
else:
raise KeyError("变量%s所赋值不合法", name)
else:
return default
def get_global_attrs(locals_):
for name, attr in self.ATTR_MAP.items():
if getattr(self, attr) is None:
setattr(self, attr, locals_.get(name))
def set_global_attrs(globals_):
for name, attr in self.ATTR_MAP.items():
value = getattr(self, attr)
if value is not None:
globals_[name] = value
else:
pass
def upper_first_letter(string):
return string[0].upper() + string[1:]
# get the system functions in use
ast_ = ast.parse(code)
import_inspector = ImportInspector()
import_inspector.visit(ast_) # 模块导入检查
signal_locals_ = {}
function_locals = {}
signal_globals_ = {'open': self.open} # 可动态管理的全策略命名空间,禁用open
function_globals_ = {'open': self.open} # 可动态管理的系统函数命名空间,禁用open
# 获取并检查一些全局变量的设定
exec(compile(code, "[Strategy:%s]" % self.name, mode="exec"), signal_globals_, signal_locals_)
# get_global_attrs(signal_locals_) # 弃用，暂时保留以便向下兼容
set_global_attrs(signal_globals_)
set_global_attrs(function_globals_)
signal_globals_.update(signal_locals_)
signal_globals_.update(self.__glb)
function_globals_.update(self.__glb)
self.engine.set_capital_base(self.capital_base)
self.engine.start_time = self.start_time
self.engine.end_time = self.end_time
check_time_frame(self.time_frame)
sys_func_detector = SystemFunctionsDetector()
sys_func_detector.visit(ast_)
sys_func_dir = self.user_dir.get_sys_func_dir()
funcs_in_use = sys_func_detector.get_funcs_in_use()
# get the instructions to inject to every handle
signal_to_inject_init = {}
function_to_inject_init = {}
signal_to_inject_loop = {}
function_to_inject_loop = {}
code_lines = ["import functools", "__globals = globals()"]
code_lines.extend(["{0} = __globals['{0}']".format(key) for key in self.__glb.keys()
if key not in ["Sell", "Buy", "SellShort", "BuyToCover"]])
# init中可以设定全局变量，所以要以"global foo"的方式进行注入。
if inspect.isfunction(signal_locals_.get('init', None)):
init_transformer = InitTransformer()
init_transformer.visit(ast_)
# XXX 必须要一个module node作为根节点。
exec(compile(wrap_with_module(init_transformer.init_node), "[Strategy:%s]" % self.name, mode="exec"),
signal_globals_, signal_locals_)
self.handlers['init'] = signal_locals_['init']
# 执行init并记录locals，之后注入信号
init_globals = self.handlers['init']()
signal_globals_.update(init_globals)
init_to_inject_init = ["{0} = __globals['{0}']".format(key) for key in init_globals.keys()]
else:
init_to_inject_init = []
for key, value in signal_locals_.items():
if inspect.isfunction(value):
if key == "init":
continue
paras = inspect.signature(value).parameters.copy() # 获取handler函数的参数列表
is_handle = get_parameter_default(paras, "IsHandle", lambda x: isinstance(x, bool), True)
if not is_handle:
continue
custom = get_parameter_default(paras, "Custom", lambda x: isinstance(x, bool), False)
if not custom:
# TODO加入真正的验证方法
# 转化为tuple是因为symbols要那来当做字典的键
symbols = tuple(get_parameter_default(paras, "Symbols", lambda x: True, self.symbols))
time_frame = get_parameter_default(paras, "TimeFrame", check_time_frame, self.time_frame)
max_length = get_parameter_default(paras, "MaxLen", lambda x: isinstance(x, int) and (x > 0),
self.max_length)
self.engine.add_cache_info(symbols, time_frame, max_length)
self.signals[key] = self.signal_factory.new(self.engine, self.user, self.name, key, symbols,
time_frame)
additional_instructions = ["{0} = system_functions['%s.%s'%('{1}','{0}')]".format(f, key)
for f, s in funcs_in_use.items() if key in s] + ['del(system_functions)']
temp = []
# Begin open,high,low,close相关变量的注入
quotes = ["open", "high", "low", "close", "datetime", "timestamp", "volume"]
temp.extend(["{0} = __globals['Data']['{1}']['{3}']['{2}']"
.format(upper_first_letter(field), time_frame, symbols[0], field)
for field in quotes])
temp.extend(["{0} = __globals['Data']['{1}']['{3}']['{2}']"
.format(field[0].upper(), time_frame, symbols[0], field)
for field in quotes])
temp.extend(["{0}s = __globals['Data']['{1}']['{2}']"
.format(upper_first_letter(field), time_frame, field)
for field in quotes])
# end
# get_current_bar 函数的注入，BarNum实际通过该函数维护
temp.append("{0} = __globals['signals']['{1}'].{0}".format('get_current_bar', key))
temp.append("Symbol = Symbols[0]") # Symbol注入
temp.append("Point=Points[Symbol]") # Points注入
function_to_inject_init[key] = code_lines + temp + ["del(functools)", "del(__globals)"] + \
additional_instructions
temp.extend(["{0} = functools.partial(__globals['{0}'],signal='{1}')".format(
field, key)
for field in ["Sell", "Buy", "SellShort", "BuyToCover"]])
# TODO 现在是将init中的变量当做局部变量注入每个信号的初始化部分，其实这样并不等同于全局变量的概念，
# 只不过对于单个信号的策略是一样的。
signal_to_inject_init[key] = code_lines + temp + init_to_inject_init + \
["del(functools)", "del(__globals)"] + additional_instructions
# 信号与函数中相比多出的就是交易指令
signal_to_inject_loop[key] = ["BarNum = get_current_bar()",
"Pos = Positions[Symbol]",
"MarketPosition = Pos.type",
"CurrentContracts= Pos.volume"]
function_to_inject_loop[key] = signal_to_inject_loop[key]
else:
# TODO自定义事件处理
pass
for para_name in paras.keys():
# TODO加入类型检测
default = get_parameter_default(paras, para_name, lambda x: True, None,
pop=False)
if default is None:
raise ValueError('参数%s未指定初始值' % para_name)
elif not isinstance(default, (int, float)):
raise ValueError('参数%s的值必须为整数或浮点数' % para_name)
self.signals[key].add_parameters(para_name, default)
self.__points.update({key: value.point for key, value in self.engine.symbol_pool.items()})
series_exporter = SeriesExporter() # deal with the export syntax
# export the system functions in use
for func, signals in funcs_in_use.items():
for signal in signals:
fullname = os.path.join(sys_func_dir, func + ".py")
with codecs.open(fullname, "r", "utf-8") as f:
func_ast = ast.parse(f.read())
f.close()
import_inspector.visit(func_ast) # 检查模块导入
function_injector = LocalsInjector({func: function_to_inject_init[signal]},
{func: function_to_inject_loop[signal]})
function_injector.visit(func_ast)
func_ast = series_exporter.visit(func_ast)
# TODO 多个handle时需要对每个handle调用的系统函数建立独立的系统函数
exec(compile(func_ast, "[SysFunctions:%s]" % func, mode="exec"), function_globals_, function_locals)
self.system_functions['%s.%s' % (signal, func)] = SeriesFunction(function_locals[func], signal)
# new方法是对__init__的封装，创建SeriesFunction对象所需信息有其所在的函数体本身，signal和其运行时传入的参数，
# 编译时所能确定的只有前者，采用偏函数的方式将两者结合到一起
# inject global vars into locals of handler
signal_injector = LocalsInjector(signal_to_inject_init, signal_to_inject_loop)
signal_injector.visit(ast_)
ast_ = series_exporter.visit(ast_)
exec(compile(ast_, "[Strategy:%s]" % self.name, mode="exec"), signal_globals_, signal_locals_)
for key in signal_to_inject_init.keys():
self.signals[key].set_generator(signal_locals_[key])
self.log("<%s>策略添加成功" % self.name, logging.INFO)
return True
def bind_code_to_strategy(self, code):
def get_parameter_default(paras, name, check, default, pop=True):
if pop:
para = paras.pop(name, None)
else:
para = paras.get(name, None)
if para:
temp = para.default
if temp == inspect._empty:
# TODO未给定值的处理
return default
elif check(temp):
return temp
else:
raise KeyError("变量%s所赋值不合法", name)
else:
return default
def get_global_attrs(locals_):
for name, attr in self.ATTR_MAP.items():
if getattr(self, attr) is None:
setattr(self, attr, locals_.get(name))
def set_global_attrs(globals_):
for name, attr in self.ATTR_MAP.items():
value = getattr(self, attr)
if value is not None:
globals_[name] = value
else:
raise ValueError('全局变量%s未被赋值' % name)
def upper_first_letter(string):
return string[0].upper() + string[1:]
# get the system functions in use
ast_ = ast.parse(code)
import_inspector = ImportInspector()
import_inspector.visit(ast_) # 模块导入检查
signal_locals_ = {}
function_locals = {}
signal_globals_ = {'open': self.open} # 可动态管理的全策略命名空间,禁用open
function_globals_ = {'open': self.open} # 可动态管理的系统函数命名空间,禁用open
# 获取并检查一些全局变量的设定
exec(compile(code, "[Strategy:%s]" % self.name, mode="exec"),
signal_globals_, signal_locals_)
get_global_attrs(signal_locals_) # 弃用，暂时保留以便向下兼容
set_global_attrs(signal_globals_)
set_global_attrs(function_globals_)
signal_globals_.update(signal_locals_)
signal_globals_.update(self.__glb)
function_globals_.update(self.__glb)
self.engine.set_capital_base(self.capital_base)
self.engine.start_time = self.start_time
self.engine.end_time = self.end_time
check_time_frame(self.time_frame)
sys_func_detector = SystemFunctionsDetector()
sys_func_detector.visit(ast_)
sys_func_dir = self.user_dir.get_sys_func_dir()
funcs_in_use = sys_func_detector.get_funcs_in_use()
# get the instructions to inject to every handle
signal_to_inject_init = {}
function_to_inject_init = {}
signal_to_inject_loop = {}
function_to_inject_loop = {}
code_lines = ["import functools", "__globals = globals()"]
code_lines.extend([
"{0} = __globals['{0}']".format(key) for key in self.__glb.keys()
if key not in ["Sell", "Buy", "SellShort", "BuyToCover"]
])
# init中可以设定全局变量，所以要以"global foo"的方式进行注入。
if inspect.isfunction(signal_locals_.get('init', None)):
init_transformer = InitTransformer()
init_transformer.visit(ast_)
# XXX 必须要一个module node作为根节点。
exec(
compile(wrap_with_module(init_transformer.init_node),
"[Strategy:%s]" % self.name,
mode="exec"), signal_globals_, signal_locals_)
self.handlers['init'] = signal_locals_['init']
# 执行init并记录locals，之后注入信号
init_globals = self.handlers['init']()
signal_globals_.update(init_globals)
init_to_inject_init = [
"{0} = __globals['{0}']".format(key)
for key in init_globals.keys()
]
else:
init_to_inject_init = []
for key, value in signal_locals_.items():
if inspect.isfunction(value):
if key == "init":
continue
paras = inspect.signature(
value).parameters.copy() # 获取handler函数的参数列表
is_handle = get_parameter_default(
paras, "IsHandle", lambda x: isinstance(x, bool), True)
if not is_handle:
continue
custom = get_parameter_default(paras, "Custom",
lambda x: isinstance(x, bool),
False)
if not custom:
# TODO加入真正的验证方法
# 转化为tuple是为了去掉重复，而且symbols要那来当做字典的键
symbols = tuple(
get_parameter_default(paras, "Symbols", lambda x: True,
self.symbols))
time_frame = get_parameter_default(paras, "TimeFrame",
check_time_frame,
self.time_frame)
max_length = get_parameter_default(
paras, "MaxLen",
lambda x: isinstance(x, int) and (x > 0),
self.max_length)
self.engine.add_cache_info(symbols, time_frame, max_length)
self.signals[key] = self.signal_factory.new(
self.engine, self.user, self.name, key, symbols,
time_frame)
additional_instructions = [
"{0} = system_functions['%s.%s'%('{1}','{0}')]".format(
f, key)
for f, s in funcs_in_use.items() if key in s
] + ['del(system_functions)']
temp = []
# Begin open,high,low,close相关变量的注入
quotes = [
"open", "high", "low", "close", "datetime",
"timestamp", "volume"
]
temp.extend([
"{0} = __globals['Data']['{1}']['{3}']['{2}']".format(
upper_first_letter(field), time_frame, symbols[0],
field) for field in quotes
])
temp.extend([
"{0} = __globals['Data']['{1}']['{3}']['{2}']".format(
field[0].upper(), time_frame, symbols[0], field)
for field in quotes
])
temp.extend([
"{0}s = __globals['Data']['{1}']['{2}']".format(
upper_first_letter(field), time_frame, field)
for field in quotes
])
# end
# get_current_bar 函数的注入，BarNum实际通过该函数维护
temp.append("{0} = __globals['signals']['{1}'].{0}".format(
'get_current_bar', key))
temp.append("Symbol = Symbols[0]") # Symbol注入
temp.append("Point=Points[Symbol]") # Points注入
function_to_inject_init[key] = code_lines + temp + ["del(functools)", "del(__globals)"] + \
additional_instructions
temp.extend([
"{0} = functools.partial(__globals['{0}'],signal='{1}')"
.format(field, key) for field in
["Sell", "Buy", "SellShort", "BuyToCover"]
])
# TODO 现在是将init中的变量当做局部变量注入每个信号的初始化部分，其实这样并不等同于全局变量的概念，
# 只不过对于单个信号的策略是一样的。
signal_to_inject_init[key] = code_lines + temp + init_to_inject_init + \
["del(functools)", "del(__globals)"] + additional_instructions
# 信号与函数中相比多出的就是交易指令
signal_to_inject_loop[key] = [
"BarNum = get_current_bar()",
"Pos = Positions[Symbol]", "MarketPosition = Pos.type",
"CurrentContracts= Pos.volume"
]
function_to_inject_loop[key] = signal_to_inject_loop[key]
else:
# TODO自定义事件处理
pass
for para_name in paras.keys():
# TODO加入类型检测
default = get_parameter_default(paras,
para_name,
lambda x: True,
None,
pop=False)
if default is None:
raise ValueError('参数%s未指定初始值' % para_name)
elif not isinstance(default, (int, float)):
raise ValueError('参数%s的值必须为整数或浮点数' % para_name)
self.signals[key].add_parameters(para_name, default)
self.__points.update({
key: value.point
for key, value in self.engine.symbol_pool.items()
})
series_exporter = SeriesExporter() # deal with the export syntax
# export the system functions in use
for func, signals in funcs_in_use.items():
for signal in signals:
fullname = os.path.join(sys_func_dir, func + ".py")
with codecs.open(fullname, "r", "utf-8") as f:
func_ast = ast.parse(f.read())
f.close()
import_inspector.visit(func_ast) # 检查模块导入
function_injector = LocalsInjector(
{func: function_to_inject_init[signal]},
{func: function_to_inject_loop[signal]})
function_injector.visit(func_ast)
func_ast = series_exporter.visit(func_ast)
# TODO 多个handle时需要对每个handle调用的系统函数建立独立的系统函数
exec(
compile(func_ast, "[SysFunctions:%s]" % func, mode="exec"),
function_globals_, function_locals)
self.system_functions['%s.%s' %
(signal, func)] = SeriesFunction(
function_locals[func], signal)
# new方法是对__init__的封装，创建SeriesFunction对象所需信息有其所在的函数体本身，signal和其运行时传入的参数，
# 编译时所能确定的只有前者，采用偏函数的方式将两者结合到一起
# inject global vars into locals of handler
signal_injector = LocalsInjector(signal_to_inject_init,
signal_to_inject_loop)
signal_injector.visit(ast_)
ast_ = series_exporter.visit(ast_)
exec(compile(ast_, "[Strategy:%s]" % self.name, mode="exec"),
signal_globals_, signal_locals_)
for key in signal_to_inject_init.keys():
self.signals[key].set_generator(signal_locals_[key])
print("<%s>信号添加成功" % self.name)
return True