def updateMainContractDict():
'''扫描所有合约数据文件，生成主力合约信息，并写入__DATA_MAIN_CONTRACT_FILENAME，虽然不是网络函数，但也耗时较长'''
futurelogger.log("开始扫描所有K线数据文件并生成主力合约数据文件，updateMainContractDict() begins.")
commodityList = getCommodityList()
mainContractDict = {}#存放主力合约的字典
for commodityCode in commodityList:#遍历所有品种
#现将该品种的所有合约数据一次性读入到theContractDict
theContractDict = __getCommodityDataToDict(commodityCode)
#按照时间遍历theContractDict中的所有合约,找出主力合约
beginDate = datetime.datetime(__BEGIN_YEAR, 1, 1)
endDate = datetime.datetime(__getNowYear(), __getNowMonth(), 28)
theDaysList = futuretools.getDaysList(beginDate, endDate)
mainContractInTheCommodity = {}
lastContractName = None
for theDate in theDaysList:
contractVolDict = {}
#读出该品种所有合约在当天的成交量
for theContractName in theContractDict.keys():
sub = theContractDict[theContractName].getSubscript(theDate)
if sub is None:
continue
contractVolDict[theContractName] = theContractDict[theContractName].getKLine(
sub).vol()
#若在该品种所有合约中未找到该日期，则略过
if len(contractVolDict) == 0:
continue
#找出成交量最大的合约，加到mainContractDict[commodityCode]中
maxVol = __MIN_VOL_IN_MAIN_CONTRACT
maxVolContractName = ""
for theContractName in contractVolDict.keys():
if maxVol < contractVolDict[theContractName]:
maxVol = contractVolDict[theContractName]
maxVolContractName = theContractName
if maxVol == __MIN_VOL_IN_MAIN_CONTRACT: #当天成交量太小的话不算数
continue
#把主力合约的时间也记上
if maxVolContractName not in mainContractInTheCommodity.keys():
mainContractInTheCommodity[maxVolContractName] = [theDate, theDate]
if lastContractName is not None:
theLastContractBeginDate = mainContractInTheCommodity[
lastContractName][0]
mainContractInTheCommodity[lastContractName] = [
theLastContractBeginDate, theDate]
lastContractName = maxVolContractName
theLastContractBeginDate = mainContractInTheCommodity[lastContractName][0]
mainContractInTheCommodity[lastContractName] = [theLastContractBeginDate, endDate]
mainContractDict[commodityCode] = mainContractInTheCommodity
futuretools.writeListToFile(__DATA_MAIN_CONTRACT_FILENAME, mainContractDict)
futurelogger.log("扫描所有K线数据文件并生成主力合约数据文件完毕，updateMainContractDict() ends.")
def updateAllAvailableCommodityCode():
'''从新浪接口检测获取所有存在的商品代码，并写入__DATA_COMMODITY_FILENAME，耗时较长，非出现新品种的情况下不要使用'''
futurelogger.log("开始从新浪网更新最新的商品代码，updateAllAvailableCommodityCode() begins.")
ALPHABET = 'ABCDEFGHIJKLMNOPQRSTUVWXYZ'
theList = []
for commodityCode in ALPHABET:
if __isCommodityExist(commodityCode):
theList.append(commodityCode)
for commodityCode2 in ALPHABET:
if __isCommodityExist(commodityCode + commodityCode2):
theList.append(commodityCode + commodityCode2)
futuretools.writeListToFile(__DATA_COMMODITY_CODE_FILENAME, theList)
futurelogger.log("从新浪网更新最新的商品代码完毕，updateAllAvailableCommodityCode() ends.")
def __establishCommodityDataFromInternet(commodityCode):
'''从新浪接口获取所有商品信息，耗时较长，慎用'''
commodityCode = commodityCode.upper()
for yearAndMonth in __getAvailableDateList():
contractCode = commodityCode + yearAndMonth
if contractCode in __MANUAL_MODIFIED_CONTRACT_TUPLE:#手动修改的合约不更新
continue
theUrl = __DATA_SOURCE_URL + contractCode
theList = __readList2FromInternet(theUrl)
if theList is None:
continue
commodityDir = __getDataDir() + "/" + commodityCode
futuretools.mkdirIfNotExist(commodityDir)
futuretools.writeListToFile(commodityDir + "/" + commodityCode + yearAndMonth + ".txt", theList)
def reportParamAnalysis(
beginYear,
endYear,
strategy,
commodityList, #交易的商品代码列表，默认为所有商品
param1Begin,
param1End,
param1Step=1,
param2Begin=0,
param2End=1,
param2Step=1,
maxHoldDays=60,
maxLossRate=10000.0):
'''生成参数分析报告'''
resultInfo = ""
for theParam1 in range(param1Begin, param1End, param1Step):
strategy.setParam1(theParam1)
if strategy.getParam2() == 0:
annuallyInfo = reportAnnually01(beginYear, endYear, strategy,
commodityList, False, False,
maxHoldDays, maxLossRate)
resultInfo += annuallyInfo
continue
for theParam2 in range(param2Begin, param2End, param2Step):
strategy.setParam2(theParam2)
annuallyInfo = reportAnnually01(beginYear, endYear, strategy,
commodityList, False, False,
maxHoldDays, maxLossRate)
resultInfo += annuallyInfo
filename = __RESULT_DIR + "/" + futuretools.getClassName(strategy)
if maxLossRate < 10.0:
filename += "_" + format(maxLossRate, "0.1f") + "止损"
else:
filename += "_无止损"
filename += "_参数分析报告.txt"
futuretools.writeListToFile(filename, resultInfo, False)
def checkAllDayKLine():
'''检查所有K线的合法性，可接在updateAllDayKLine之后立即调用为佳，本函数耗时较长，慎用'''
futurelogger.log("开始检查所有K线数据文件的合法性并将校正过的数据放入verified文件夹，checkAllDayKLine() begins.")
infoDict = {}
for commodityCode in getCommodityList():
#仅检查主力合约
dataDict = __getCommodityDataToDict(commodityCode,
getMainContractDict()[commodityCode].keys())
for contractName in dataDict.keys():
kLineList = dataDict[contractName]
info = kLineList.checkAndCorrectData(contractName)
infoDict[contractName] = info
setDataDirAfterVerified()
commodityDir = __getDataDir() + "/" + commodityCode
futuretools.mkdirIfNotExist(commodityDir)
futuretools.writeListToFile(commodityDir + "/" + contractName
+ ".txt", kLineList)
setDataDirBeforeVerified()
futuretools.writeListToFile("../checkReport.txt", infoDict)
setDataDirAfterVerified()
futurelogger.log("检查所有K线数据文件的合法性并将校正过的数据放入verified文件夹完毕，checkAllDayKLine() ends.")
def reportAnnually01(
beginYear,
endYear,
strategy,
commodityList=futurecommodity.getCommodityList(), #交易的商品代码列表，默认为所有商品
isAnnualNeeded=True, #是否需要生成分年度的子报告文件
isTransactionDetailAdded=False, #是否需要在每份年度子报告末尾附上每笔交易记录，需要isAnnualNeeded同时开启方有效
maxHoldDays=60,
maxLossRate=10000.0):
futurecommodity.setDataDirAfterVerified()
if commodityList is None:
commodityList = futurecommodity.getCommodityList()
endDate = datetime.datetime(endYear, 1, 1)
finalProfit = 0.0
finalDuration = 0
finalCount = 0
finalInfo = ""
profitPerCommodityDict = {} #存放各品种毛利的字典
durationSumPerCommodityDict = {} #存放各品种持仓日期的字典
transCountPerCommodityDict = {} #存放各品种持仓日期的字典
for commodity in commodityList:
profitPerCommodityDict[commodity] = 0.0
durationSumPerCommodityDict[commodity] = 0.0
transCountPerCommodityDict[commodity] = 0
#用于计算收益的几何级数
geometricProfitDict = []
geometricProfitDict.append({})
geometricProfitDict.append(0)
for position in __GEOMETRIC_POSITION:
geometricProfitDict[0][position] = [1.0, 1.0]
while beginYear < endYear:
beginDate = datetime.datetime(beginYear, 1, 1)
endDate = datetime.datetime(beginYear + 1, 1, 1)
tc = futuretrade.TradeCenter(beginDate, endDate, maxHoldDays,
maxLossRate) #有1.0止损
for commodity in commodityList:
tc.addCommodity(commodity)
tc.setStrategy(strategy)
transactionDict = tc.trade()
profitSumTotal = 0.0
durationSumTotal = 0
transCount = 0
resultInfo = ""
for commodity in transactionDict.keys():
profitSumCommodity = 0.0
durationSumCommodity = 0
if len(transactionDict[commodity]) == 0:
continue
for theTrans in transactionDict[commodity]:
profitSumCommodity += theTrans.getProfitRate()
durationSumCommodity += theTrans.getDuration()
count = len(transactionDict[commodity])
profitSumTotal += profitSumCommodity
durationSumTotal += durationSumCommodity
profitPerCommodityDict[commodity] += profitSumCommodity
durationSumPerCommodityDict[commodity] += durationSumCommodity
transCountPerCommodityDict[commodity] += count
resultInfo += __formatInfo(commodity, profitSumCommodity,
durationSumCommodity, count)
transCount += count
geometricProfitDict[1] += 1
if transCount == 0:
beginYear += 1
continue
tempInfo = __formatInfo("汇总", profitSumTotal, durationSumTotal,
transCount)
resultInfo += "\n" + tempInfo
finalInfo += str(beginYear) + "年度" + tempInfo
finalProfit += profitSumTotal
finalDuration += durationSumTotal
finalCount += transCount
for position in __GEOMETRIC_POSITION:
grossTemp = 1 + profitSumTotal * position
netTemp = 1 + (profitSumTotal -
__DEFAULT_COST * transCount) * position
if grossTemp < 0.0:
grossTemp = 0.0
if netTemp < 0.0:
netTemp = 0.0
geometricProfitDict[0][position][0] *= grossTemp
geometricProfitDict[0][position][1] *= netTemp
if isAnnualNeeded is True:
if isTransactionDetailAdded is True:
resultInfo += "\n详细交易记录附表：\n" + __formatDict(transactionDict)
futuretools.writeListToFile(
__RESULT_DIR + "/" + str(beginYear) + "年度报告.txt", resultInfo,
False)
beginYear += 1
filename = (__RESULT_DIR + "/" + futuretools.getClassName(strategy) + "_" +
format(strategy.getParam1(), "0>2d") + "_" +
format(strategy.getParam2(), "0>2d"))
if maxLossRate < 10.0:
filename += "_" + format(maxLossRate, "0.1f") + "止损"
else:
filename += "_无止损"
tempInfo = "全交易周期" + __formatInfo("汇总", finalProfit, finalDuration,
finalCount, __DEFAULT_COST,
geometricProfitDict)
finalInfo += "\n" + tempInfo + "\n\n[各品种详情]：\n"
for commodity in commodityList:
finalInfo += __formatInfo(commodity, profitPerCommodityDict[commodity],
durationSumPerCommodityDict[commodity],
transCountPerCommodityDict[commodity])
returnInfo = format(filename[filename.rfind("/") + 1:], "<45") + tempInfo
filename += "_汇总报告.txt"
futuretools.writeListToFile(filename, finalInfo, False)
return returnInfo