def simTradingEx3(cfg,
assets: list,
tsStart: int,
tsEnd: int,
lstBuy: list,
lstSell: list,
paramsBuy: trading2_pb2.BuyParams,
paramsSell: trading2_pb2.SellParams,
paramsInit: trading2_pb2.InitParams,
paramsAIP: trading2_pb2.AIPParams,
ignoreCache: bool = False) -> trading2_pb2.PNLAssetData:
channel = grpc.insecure_channel(cfg['servaddr'])
stub = tradingdb2_pb2_grpc.TradingDB2Stub(channel)
lstAssets = []
for a in assets:
lstAssets.append(str2Asset(a))
s0 = trading2_pb2.Strategy(
name="normal",
asset=str2Asset(assets[0]),
)
if lstBuy != None:
s0.buy.extend(lstBuy)
if lstSell != None:
s0.sell.extend(lstSell)
if paramsBuy != None:
s0.paramsBuy.CopyFrom(paramsBuy)
if paramsSell != None:
s0.paramsSell.CopyFrom(paramsSell)
if paramsInit != None:
s0.paramsInit.CopyFrom(paramsInit)
if paramsAIP != None:
s0.paramsAIP.CopyFrom(paramsAIP)
params = trading2_pb2.SimTradingParams(
assets=lstAssets,
startTs=tsStart,
endTs=tsEnd,
strategies=[s0],
)
response = stub.simTrading(
tradingdb2_pb2.RequestSimTrading(
basicRequest=trading2_pb2.BasicRequestData(token=cfg['token'], ),
params=params,
ignoreCache=ignoreCache,
))
if len(response.pnl) > 0:
pnl = response.pnl[0]
return pnl.total
return None
def simTradingEx(cfg, assets: list, tsStart: int, tsEnd: int,
ccBuy: trading2_pb2.CtrlCondition,
ccSell: trading2_pb2.CtrlCondition,
paramsBuy: trading2_pb2.BuyParams,
paramsSell: trading2_pb2.SellParams,
paramsInit: trading2_pb2.InitParams,
paramsAIP: trading2_pb2.AIPParams) -> pd.DataFrame:
channel = grpc.insecure_channel(cfg['servaddr'])
stub = tradingdb2_pb2_grpc.TradingDB2Stub(channel)
lstAssets = []
for a in assets:
lstAssets.append(str2Asset(a))
s0 = trading2_pb2.Strategy(
name="normal",
asset=str2Asset(assets[0]),
)
if ccBuy != None:
s0.buy.extend([ccBuy])
if ccSell != None:
s0.sell.extend([ccSell])
if paramsBuy != None:
s0.paramsBuy.CopyFrom(paramsBuy)
if paramsSell != None:
s0.paramsSell.CopyFrom(paramsSell)
if paramsInit != None:
s0.paramsInit.CopyFrom(paramsInit)
if paramsAIP != None:
s0.paramsAIP.CopyFrom(paramsAIP)
params = trading2_pb2.SimTradingParams(
assets=lstAssets,
startTs=tsStart,
endTs=tsEnd,
strategies=[s0],
)
response = stub.simTrading(
tradingdb2_pb2.RequestSimTrading(
basicRequest=trading2_pb2.BasicRequestData(token=cfg['token'], ),
params=params,
))
fv0 = {'date': [], 'close': []}
if len(response.pnl) > 0:
pnl = response.pnl[0]
pnlt = pnl.total
for v in pnlt.values:
fv0['date'].append(
datetime.fromtimestamp(v.ts).strftime('%Y-%m-%d'))
fv0['close'].append(v.perValue)
return pd.DataFrame(fv0)
def simTradingAIP(servAddr: str, token: str, assets: list, baselines: list,
tsStart: int, tsEnd: int, tt: str, val: int) -> list:
channel = grpc.insecure_channel(servAddr)
stub = tradingdb2_pb2_grpc.TradingDB2Stub(channel)
lstAssets = []
for a in assets:
lstAssets.append(str2Asset(a))
lstBaselines = []
for b in baselines:
lstBaselines.append(str2Asset(b))
buy0 = trading2_pb2.CtrlCondition(
indicator=tt,
vals=[val],
)
paramsbuy = trading2_pb2.BuyParams(aipMoney=10000, )
s0 = trading2_pb2.Strategy(
name="aip",
asset=str2Asset(assets[0]),
buy=[buy0],
paramsBuy=paramsbuy,
)
params = trading2_pb2.SimTradingParams(
assets=lstAssets,
baselines=lstBaselines,
startTs=tsStart,
endTs=tsEnd,
strategies=[s0],
)
response = stub.simTrading(
tradingdb2_pb2.RequestSimTrading(
basicRequest=trading2_pb2.BasicRequestData(token=token, ),
params=params,
))
fv0 = {'date': [], 'close': []}
if len(response.pnl) > 0:
pnl = response.pnl[0]
pnlt = pnl.total
for v in pnlt.values:
fv0['date'].append(
datetime.fromtimestamp(v.ts).strftime('%Y-%m-%d'))
fv0['close'].append(v.perValue)
fv1 = {'date': [], 'close': []}
if len(response.baseline) > 0:
pnl = response.baseline[0]
pnlt = pnl.total
for v in pnlt.values:
fv1['date'].append(
datetime.fromtimestamp(v.ts).strftime('%Y-%m-%d'))
fv1['close'].append(v.perValue)
return [pd.DataFrame(fv0), pd.DataFrame(fv1)]
def simTradings(cfg, lstParams: list, ignoreCache: bool = False) -> list:
channel = grpc.insecure_channel(cfg['servaddr'])
stub = tradingdb2_pb2_grpc.TradingDB2Stub(channel)
lstRes = []
responses = stub.simTrading2(
genSimTradingParams(cfg, lstParams, ignoreCache))
for response in responses:
if len(response.pnl) > 0:
pnl = response.pnl[0]
lstRes.append({'title': pnl.title, 'pnl': pnl.total})
return lstRes
def getFundValues(servAddr: str, token: str, market: str, symbol: str,
tsStart: int, tsEnd: int) -> pd.DataFrame:
channel = grpc.insecure_channel(servAddr)
stub = tradingdb2_pb2_grpc.TradingDB2Stub(channel)
response = stub.getCandles(
tradingdb2_pb2.RequestGetCandles(
# token=token,
market=market,
symbol=symbol,
tsStart=tsStart,
tsEnd=tsEnd,
basicRequest=trading2_pb2.BasicRequestData(token=token, ),
))
fv = {'date': [], 'close': []}
for curres in response:
for candle in curres.candles.candles:
fv['date'].append(
datetime.fromtimestamp(candle.ts).strftime('%Y-%m-%d'))
fv['close'].append(candle.close / 10000.0)
return pd.DataFrame(fv)
def simTrading(servAddr: str, token: str, assets: list, baselines: list,
tsStart: int, tsEnd: int) -> pd.DataFrame:
channel = grpc.insecure_channel(servAddr)
stub = tradingdb2_pb2_grpc.TradingDB2Stub(channel)
lstAssets = []
for a in assets:
lstAssets.append(str2Asset(a))
lstBaselines = []
for b in baselines:
lstBaselines.append(str2Asset(b))
params = trading2_pb2.SimTradingParams(
assets=lstAssets,
baselines=lstBaselines,
startTs=tsStart,
endTs=tsEnd,
)
response = stub.simTrading(
tradingdb2_pb2.RequestSimTrading(
basicRequest=trading2_pb2.BasicRequestData(token=token, ),
params=params,
))
fv = {'date': [], 'close': []}
if len(response.pnl) > 0:
pnl = response.pnl[0]
pnlt = pnl.total
for v in pnlt.values:
fv['date'].append(
datetime.fromtimestamp(v.ts).strftime('%Y-%m-%d'))
fv['close'].append(v.perValue)
# fv['close'].append(v.perValue)
return pd.DataFrame(fv)