def _test_use(is_plot):
stghandler = get_stg_handler(retrain_period=7)
stghandler.start()
time.sleep(10)
stghandler.keep_running = False
stghandler.join()
stg_run_id = stghandler.stg_run_id
logging.info("执行结束 stg_run_id = %d", stg_run_id)
if is_plot:
# from ibats_common.analysis.plot_db import show_order, show_cash_and_margin, show_rr_with_md
# from ibats_common.analysis.summary import summary_rr
# show_order(stg_run_id)
# df = show_cash_and_margin(stg_run_id)
# sum_df, symbol_rr_dic, save_file_path_dic = show_rr_with_md(stg_run_id)
# for symbol, rr_df in symbol_rr_dic.items():
# col_transfer_dic = {'return': rr_df.columns}
# summary_rr(rr_df, figure_4_each_col=True, col_transfer_dic=col_transfer_dic)
from ibats_common.analysis.summary import summary_stg_2_docx
from ibats_utils.mess import open_file_with_system_app
file_path = summary_stg_2_docx(stg_run_id)
if file_path is not None:
open_file_with_system_app(file_path)
return stg_run_id
def plot_or_show(enable_save_plot=True,
enable_show_plot=True,
file_name=None,
stg_run_id=None,
do_clr=True):
if enable_save_plot:
if stg_run_id is None:
folder_path = get_cache_folder_path()
else:
folder_path = os.path.join(get_cache_folder_path(),
str(stg_run_id))
if not os.path.exists(folder_path):
os.makedirs(folder_path)
file_path = os.path.join(folder_path, file_name)
plt.savefig(file_path, dpi=75)
else:
file_path = None
if enable_show_plot:
if file_path is not None and is_windows_os():
open_file_with_system_app(file_path)
else:
plt.show()
if do_clr:
plt.cla()
plt.clf()
plt.close()
return file_path
def _test_summary_md_2_docx(auto_open_file=True):
from ibats_common.example.data import load_data
instrument_type = 'RU' # 'RB' 'RU'
file_name = f"{instrument_type}.csv"
factor_df = load_data(file_name).set_index('trade_date').drop(
'instrument_type', axis=1)
factor_df.index = pd.DatetimeIndex(factor_df.index)
column_list_oraginal = list(factor_df.columns)
ohlcav_col_name_list = ["open", "high", "low", "close", "amount", "volume"]
from ibats_common.backend.factor import get_factor
from ibats_common.example.data import get_trade_date_series
from ibats_common.example.data import get_delivery_date_series
factor_df = get_factor(
factor_df,
ohlcav_col_name_list=ohlcav_col_name_list,
trade_date_series=get_trade_date_series(),
delivery_date_series=get_delivery_date_series(instrument_type))
col_transfer_dic = {'return': ['open', 'high', 'low', 'close', 'volume']}
file_path = summary_md_2_docx(
factor_df,
enable_show_plot=False,
enable_save_plot=True,
close_key='close',
name=instrument_type,
func_kwargs_dic={
"hist": {
"figure_4_each_col": False,
"columns": column_list_oraginal,
"col_transfer_dic": col_transfer_dic,
},
"drawdown": {
"col_name_list": ['close'],
},
"rr": {
"col_name_list": ['close'],
},
"hist_future_n_rr": {
'n_days': [3, 5],
"columns": ['close'],
},
"rr_quantile": {
'columns': ['close']
},
"validation": {
'trade_date_max_gap': 10
},
# "": {},
})
if auto_open_file:
open_file_with_system_app(file_path)
def _test_df_2_table():
df = pd.DataFrame({'a': list(range(10, 20)), 'b': list(range(10, 0, -1))})
# 生成 docx 文件
document = docx.Document()
# 设置默认字体
document.styles['Normal'].font.name = '微软雅黑'
document.styles['Normal']._element.rPr.rFonts.set(
docx.oxml.ns.qn('w:eastAsia'), '微软雅黑')
document.add_heading(f'测试使用', 1)
df_2_table(document, df, mark_top_n_on_cols=df.columns, mark_top_n=3)
# file_path = os.path.abspath(os.path.join(os.path.curdir, 'test.docx'))
file_path = "/home/mg/github/code_mess/drl/drl_off_example/d3qn_replay_2019_08_25/output/2013-11-08/model/reports/test.docx"
document.save(file_path)
open_file_with_system_app(file_path)
def _test_dic_2_table():
# 生成 docx 文件
document = docx.Document()
# 设置默认字体
document.styles['Normal'].font.name = '微软雅黑'
document.styles['Normal']._element.rPr.rFonts.set(
docx.oxml.ns.qn('w:eastAsia'), '微软雅黑')
# 创建自定义段落样式(第一个参数为样式名, 第二个参数为样式类型, 1为段落样式, 2为字符样式, 3为表格样式)
UserStyle1 = document.styles.add_style('UserStyle1', 1)
# 设置字体尺寸
UserStyle1.font.size = docx.shared.Pt(40)
# 设置字体颜色
UserStyle1.font.color.rgb = docx.shared.RGBColor(0xff, 0xde, 0x00)
# 居中文本
UserStyle1.paragraph_format.alignment = WD_ALIGN_PARAGRAPH.CENTER
# 设置中文字体
UserStyle1.font.name = '微软雅黑'
UserStyle1._element.rPr.rFonts.set(docx.oxml.ns.qn('w:eastAsia'), '微软雅黑')
# 文件内容
heading_count, sub_heading_count = 0, 0
document.add_heading('测试使用', 0).alignment = WD_ALIGN_PARAGRAPH.CENTER
document.add_paragraph('')
document.add_paragraph('')
dic = {
'from_date':
str_2_date('2018-08-09'),
'name':
'name test',
'num':
12345,
'float':
23456.789,
'list': [1, 2, 3, 4],
'long text':
"""bla bla bla（唧唧歪歪） 在英语中是“等等，之类的”的意思。
当别人知道你要表达的意思时，用blablabla会比较方便，可要注意用的场合与人。在某种场合也形容某些人比较八卦。"""
}
file_path = 'test.docx'
dic_2_table(
document,
dic,
col_group_num=2,
)
document.save(file_path)
open_file_with_system_app(file_path)
return file_path
def _test_summary_release_2_docx():
real_ys, pred_ys = np.random.randint(1, 3, size=100), np.random.randint(1, 3, size=100)
date_arr = pd.date_range(pd.to_datetime('2018-01-01'),
pd.to_datetime('2018-01-01') + pd.Timedelta(days=99))
date_index = pd.DatetimeIndex(date_arr)
close_df = pd.DataFrame({'close': np.sin(np.linspace(0, 10, 100))}, index=date_index)
split_point_list = np.concatenate((np.random.randint(1, len(date_arr) - 1, size=10), [1, len(date_arr) - 1]))
split_point_list.sort()
split_point_list = date_arr[split_point_list]
base_line_list = [0.3, 0.6]
img_meta_dic_list = []
img_file_path = show_dl_accuracy(real_ys, pred_ys, close_df, split_point_list, base_line_list, show_moving_avg=True)
img_meta_dic_list.append({
'img_file_path': img_file_path,
'trade_date_last_train': pd.to_datetime('2018-01-01'),
'module_file_path':
"/home/mg/github/IBATS_Common/ibats_common/tf_saves_2019-06-25_08_13_36/model_tfls/2012-12-31",
'predict_test_random_state': 1,
'split_point_list': split_point_list,
'in_range_count': close_df.shape[0],
'trade_date_end': pd.to_datetime('2018-01-01') + pd.Timedelta(days=99),
})
img_file_path = show_dl_accuracy(real_ys, pred_ys, close_df, split_point_list, base_line_list, show_moving_avg=False)
img_meta_dic_list.append({
'img_file_path': img_file_path,
'trade_date_last_train': pd.to_datetime('2018-01-01'),
'module_file_path':
"/home/mg/github/IBATS_Common/ibats_common/tf_saves_2019-06-25_08_13_36/model_tfls/2012-12-31",
'predict_test_random_state': 1,
'split_point_list': split_point_list,
'in_range_count': close_df.shape[0],
'trade_date_end': pd.to_datetime('2018-01-01') + pd.Timedelta(days=99),
})
file_path = summary_release_2_docx('test_only', img_meta_dic_list)
open_file_with_system_app(file_path)
def _test_summary_stg_2_docx(auto_open_file=True):
stg_run_id = None
file_path = summary_stg_2_docx(stg_run_id, enable_clean_cache=True)
if auto_open_file and file_path is not None:
open_file_with_system_app(file_path)
def _test_use(is_plot):
from ibats_common.backend.mess import get_folder_path
import os
# 参数设置
run_mode = RunMode.Backtest
trade_mode = BacktestTradeMode.Order_2_Deal
calc_mode = CalcMode.Normal
md_agent_params_list = [{
'md_period':
PeriodType.Min1,
'instrument_id_list': ['RB'],
'datetime_key':
'trade_date',
'init_md_date_from':
'1995-1-1', # 行情初始化加载历史数据，供策略分析预加载使用
'init_md_date_to':
'2010-1-1',
'file_path':
os.path.abspath(
os.path.join(get_folder_path('example', create_if_not_found=False),
'data', 'RB.csv')),
'symbol_key':
'instrument_type',
}]
if run_mode == RunMode.Realtime:
strategy_params = {'unit': 100}
trade_agent_params = {}
strategy_handler_param = {}
elif run_mode == RunMode.Backtest:
strategy_params = {'unit': 100}
trade_agent_params = {
'trade_mode': trade_mode,
'init_cash': 1000000,
"calc_mode": calc_mode,
}
strategy_handler_param = {
'date_from': '2010-1-1', # 策略回测历史数据，回测指定时间段的历史行情
'date_to': '2018-10-18',
}
else:
# RunMode.Backtest_FixPercent
strategy_params = {'unit': 1}
trade_agent_params = {
'trade_mode': trade_mode,
"calc_mode": calc_mode,
}
strategy_handler_param = {
'date_from': '2010-1-1', # 策略回测历史数据，回测指定时间段的历史行情
'date_to': '2018-10-18',
}
# 初始化策略处理器
stghandler = strategy_handler_factory(
stg_class=MACrossStg,
strategy_params=strategy_params,
md_agent_params_list=md_agent_params_list,
exchange_name=ExchangeName.LocalFile,
run_mode=run_mode,
trade_agent_params=trade_agent_params,
strategy_handler_param=strategy_handler_param,
)
stghandler.start()
time.sleep(10)
stghandler.keep_running = False
stghandler.join()
stg_run_id = stghandler.stg_run_id
logging.info("执行结束 stg_run_id = %d", stg_run_id)
if is_plot:
# from ibats_common.analysis.plot_db import show_order, show_cash_and_margin, show_rr_with_md
# from ibats_common.analysis.summary import summary_rr
# show_order(stg_run_id)
# df = show_cash_and_margin(stg_run_id)
# sum_df, symbol_rr_dic, save_file_path_dic = show_rr_with_md(stg_run_id)
# for symbol, rr_df in symbol_rr_dic.items():
# col_transfer_dic = {'return': rr_df.columns}
# summary_rr(rr_df, figure_4_each_col=True, col_transfer_dic=col_transfer_dic)
from ibats_common.analysis.summary import summary_stg_2_docx
from ibats_utils.mess import open_file_with_system_app
file_path = summary_stg_2_docx(stg_run_id)
if file_path is not None:
open_file_with_system_app(file_path)
return stg_run_id
