def MyInit(self):
ts.set_token(
'75f181a930dc581d82c0cafd633c09d582d8ac0554c74854f73a9582')
my_log_filename = self.log_name + ".txt"
if os.path.exists(my_log_filename):
os.remove(my_log_filename)
log = tools.CLogger('limitconcept', my_log_filename, 1)
strMsg = 'start'
log.getLogger().info(strMsg)
def __init__(self):
self.log_name = '../../log/backtest_log'
self.use_mul_process = 0
# 进程池里进程个数
self.process_cnt = 3
self.db = dbmgr.CDBMgr('localhost', 'root', '123', 'kdata')
#以时间命名日志文件
cur_time = datetime.datetime.now()
log_filename = datetime.datetime.strftime(cur_time, '%Y%m%d_%H%M%S')
my_log_filename = self.log_name + log_filename + ".txt"
self.log = tools.CLogger('backtest', my_log_filename, 1)
def statistics():
##############################################################################################
# 配置文件路径
cur_path = os.getcwd()
print(cur_path)
str_conf_path = cur_path + '/../../conf/conf.ini'
# 日志唯一
g_conf = conf.CConf(str_conf_path)
filename_time = datetime.datetime.strftime(datetime.datetime.now(),
'%Y%m%d_%H%M%S')
log_filename = cur_path + '/../../' + g_conf.log_dir + '/backtest_' + filename_time + '.log'
log = tools.CLogger(g_conf.app_name, log_filename, 1).getLogger()
##############################################################################################
backtest = CBackTestBycode(str_conf_path, log)
backtest.strategy.statistics()
def main():
# 配置文件路径
cur_path = os.getcwd()
print(cur_path)
str_conf_path = cur_path + '/../../conf/conf.ini'
# 日志唯一
g_conf = conf.CConf(str_conf_path)
filename_time = datetime.datetime.strftime(datetime.datetime.now(),
'%Y%m%d_%H%M%S')
log_filename = cur_path + '/' + g_conf.log_dir + '/../../tide_system_' + filename_time + '.log'
g_log = tools.CLogger(g_conf.app_name, log_filename, 1).getLogger()
dataservice = CDataServiceMysql(str_conf_path, g_log)
dataservice.aps_dataservice_update()
# 更新的起始时间
'''str_start_day = '20171201'
def process(process_cnt, cur_idx):
print(cur_idx)
##############################################################################################
# 配置文件路径
cur_path = os.getcwd()
print(cur_path)
str_conf_path = cur_path + '/../../conf/conf.ini'
# 日志唯一
g_conf = conf.CConf(str_conf_path)
filename_time = datetime.datetime.strftime(datetime.datetime.now(),
'%Y%m%d_%H%M%S')
log_filename = cur_path + '/../../' + g_conf.log_dir + '/backtest_' + filename_time + '.log'
log = tools.CLogger(g_conf.app_name, log_filename, 1).getLogger()
##############################################################################################
backtest = CBackTestBycode(str_conf_path, log)
#回测时间范围：起始日期到最近一个交易日
start_day = '20180101'
backtest.process(start_day, process_cnt, cur_idx)
#任务调度，阻塞
#from flask_apscheduler import APScheduler as myScheduler
#from apscheduler.schedulers.background import BackgroundScheduler as myScheduler
app = Flask(__name__)
#配置文件路径
cur_path = os.getcwd()
print(cur_path)
str_conf_path = cur_path + '/conf/conf.ini'
#日志唯一
g_conf = conf.CConf(str_conf_path)
filename_time = datetime.datetime.strftime(datetime.datetime.now(), '%Y%m%d_%H%M%S')
log_filename = cur_path+'/'+g_conf.log_dir+'/tide_system_'+filename_time+'.log'
g_log = tools.CLogger(g_conf.app_name, log_filename, 1).getLogger()
#任务调度
schedulermgr = schedulermgr.CSchedulerMgr(str_conf_path, g_log)
schedulermgr.start()
def GetDB():
myconf = conf.CConf(str_conf_path)
myconf.ReadConf()
db = dbmgr.CDBMgr(myconf.db_host, myconf.db_username, myconf.db_pwd, 'kdata')
db.connect_db()
return db
def GetToday():
now_time = datetime.datetime.now()
day = now_time.strftime('%Y%m%d')
def __init__(self):
self.buy_price = 0
self.buy_date = "000"
self.sell_price = 0
self.sell_date = "000"
self.log = tools.CLogger('backtest', '../../log/backtest_log.txt', 1)
def process(start_idx, end_idx):
print("start=", start_idx, " end=", end_idx)
my_log_filename = log_name + str(start_idx) + ".txt"
if os.path.exists(my_log_filename):
os.remove(my_log_filename)
#首次投入基础数据的数量
base_count = 70
# input 股票详情
str_filename = '../../data/stockdaily.h5'
file_daily = h5py.File(str_filename, 'r')
log = tools.CLogger('backtest', my_log_filename, 1)
strMsg = 'open success, for start_idx=' + str(
start_idx) + ' end_idx=' + str(end_idx)
log.getLogger().info(strMsg)
# 策略1
#strategy = strategy01.CStrategy01(file_daily)
# 策略2
strategy = strategy06.CStrategy06(file_daily)
cur_code_idx = 0
for key in file_daily.keys():
cur_code_idx += 1
#不属于自己的股票，不处理
if cur_code_idx not in range(start_idx, end_idx + 1):
continue
code = file_daily[key].name
strategy.Init()
strategy.LoadData(code, base_count)
print('process ... ', cur_code_idx, ' code=', code)
myStati = st.CStatistics()
# 股票符号，如000001
stockSymbol = file_daily[code + '/symbol'].value
# 股票名
stockName = file_daily[code + '/name'].value
#取后续一天一天的数据，模拟新数据
key = '/' + code
totalCnt = len(file_daily[key + '/close'][:])
for i in range(totalCnt - base_count):
newIdx = i + base_count
close_price = file_daily[key + '/close'][newIdx]
open_price = file_daily[key + '/open'][newIdx]
low_price = file_daily[key + '/low'][newIdx]
high_price = file_daily[key + '/high'][newIdx]
vol = file_daily[key + '/vol'][newIdx]
trade_date = file_daily[key + '/trade_date'][newIdx]
#输入一天数据
state = strategy.FeedOneData(close_price, open_price, low_price,
high_price, vol)
if state is State.view:
print(sys._getframe().f_code.co_name,
sys._getframe().f_lineno, ':', code, '开始观察, state=',
state, ' date=', trade_date)
elif state is State.out_view:
print(sys._getframe().f_code.co_name,
sys._getframe().f_lineno,
':',
code,
' , 退出观察 state=',
state,
' date=',
trade_date,
end='\n\n')
elif state is State.buy:
#买入的价格
#myStati.set_buy_info((high_price + low_price)/2)
myStati.set_buy_info(strategy.buy_price, trade_date)
strLog = "%s%d,code=%s,买入 state=%s date=%s open=%.2f,close=%.2f" % (
sys._getframe().f_code.co_name, sys._getframe().f_lineno,
code, state, trade_date, open_price, close_price)
# 给日志加锁
log.getLogger().info(strLog)
elif state is State.sell:
#卖出的价格
#myStati.set_sell_info((high_price + low_price) / 2)
myStati.set_sell_info(strategy.sell_price, trade_date)
strLog = "%s%d,code=%s,卖出 state=%s date=%s open=%.2f,close=%.2f" % (
sys._getframe().f_code.co_name, sys._getframe().f_lineno,
code, state, trade_date, open_price, close_price)
#写多个日志文件 不需要加锁
log.getLogger().info(strLog)
#统计卖出后的盈亏
myStati.statistics(code)