def _getDatas(self):
combIndex = None
for s in self.symbolList:
self.symbolData[s] = web.get_data_yahoo(
s,
start=self.startDate.strftime("%Y%m%d"),
end=self.endDate.strftime("%Y%m%d"),
adjust_price=True).sort_index()
del self.symbolData[s]['Adj_Ratio']
self.symbolData[s].columns = [
'open', 'high', 'low', 'close', 'volume'
]
if combIndex is None:
combIndex = self.symbolData[s].index
else:
combIndex = combIndex.union(self.symbolData[s].index)
self.latestSymbolData[s] = []
self.symbolData[s] = transfromDFtoDict(self.symbolData[s])
self.dateIndex = combIndex
self.start = 0
for i, s in enumerate(self.symbolList):
if s not in self.symbolData:
del self.symbolList[i]
def _getDatas(self):
self.logger.info("Start loading bars from Tushare source...")
combIndex = None
result = {}
for s in self.symbolList:
index = True if s.split('.')[1] == 'zicn' else False
result[s] = getOneSymbolData((s, self.startDate, self.endDate,
self._freq, self.priceAdj, index))
self.logger.info(
"Symbol {0:s} is ready for back testing.".format(s))
for s in result:
if not result[s].empty:
self.symbolData[s] = result[s]
if combIndex is None:
combIndex = self.symbolData[s].index
else:
combIndex = combIndex.union(self.symbolData[s].index)
self.symbolData[s] = transfromDFtoDict(self.symbolData[s])
# transform
self.dateIndex = combIndex
self.start = 0
for i, s in enumerate(self.symbolList):
if s not in self.symbolData:
del self.symbolList[i]
self.logger.info("Bars loading finished!")
def _getDatas(self):
self.logger.info("Start loading bars from DataYes source...")
combIndex = None
result = {}
category = self.category(self.symbolList)
if category['stocks']:
for s in category['stocks']:
result[s] = getOneSymbolData(
(self.mt, s, self.startDate, self.endDate))
self.logger.info(
"Symbol {0:s} is ready for back testing.".format(s))
if category['indexes']:
for s in category['indexes']:
result[s] = getOneSymbolIndexData(
(self.mt, s, self.startDate, self.endDate))
self.logger.info(
"Symbol {0:s} is ready for back testing.".format(s))
if category['futures']:
for s in category['futures']:
result[s] = getOneSymbolFutureData(
(self.mt, s, self.startDate, self.endDate))
self.logger.info(
"Symbol {0:s} is ready for back testing.".format(s))
if category['futures_con']:
for s in category['futures_con']:
result[s] = getOneSymbolFutureContinuesData(
(self.mt, s, self.startDate, self.endDate))
self.logger.info(
"Symbol {0:s} is ready for back testing.".format(s))
for s in result:
if result[s] is not None and not result[s].empty:
self.symbolData[s] = result[s]
if combIndex is None:
combIndex = self.symbolData[s].index
else:
combIndex = combIndex.union(self.symbolData[s].index)
self.symbolData[s] = transfromDFtoDict(self.symbolData[s])
# transform
self.dateIndex = combIndex
self.start = 0
for i, s in enumerate(self.symbolList):
if s not in self.symbolData:
del self.symbolList[i]
self.logger.info("Bars loading finished!")
def _getDatas(self):
self.logger.info("Start loading bars from DataYes source...")
combIndex = None
result = {}
category = self.category(self.symbolList)
if category['stocks']:
for s in category['stocks']:
result[s] = getOneSymbolData((self.mt, s, self.startDate, self.endDate))
self.logger.info("Symbol {0:s} is ready for back testing.".format(s))
if category['indexes']:
for s in category['indexes']:
result[s] = getOneSymbolIndexData((self.mt, s, self.startDate, self.endDate))
self.logger.info("Symbol {0:s} is ready for back testing.".format(s))
if category['futures']:
for s in category['futures']:
result[s] = getOneSymbolFutureData((self.mt, s, self.startDate, self.endDate))
self.logger.info("Symbol {0:s} is ready for back testing.".format(s))
if category['futures_con']:
for s in category['futures_con']:
result[s] = getOneSymbolFutureContinuesData((self.mt, s, self.startDate, self.endDate))
self.logger.info("Symbol {0:s} is ready for back testing.".format(s))
for s in result:
if not result[s].empty:
self.symbolData[s] = result[s]
if combIndex is None:
combIndex = self.symbolData[s].index
else:
combIndex = combIndex.union(self.symbolData[s].index)
self.symbolData[s] = transfromDFtoDict(self.symbolData[s])
# transform
self.dateIndex = combIndex
self.start = 0
for i, s in enumerate(self.symbolList):
if s not in self.symbolData:
del self.symbolList[i]
self.logger.info("Bars loading finished!")
def _openConvertCSVFiles(self):
combIndex = None
for s in self.symbolList:
filePath = os.path.join(self.csvDir, "{0:s}.csv".format(s))
self.symbolData[s] = io.parsers.read_csv(filePath,
header=0,
index_col=0,
parse_dates=True)\
.sort_index()
if combIndex is None:
combIndex = self.symbolData[s].index
else:
combIndex = combIndex.union(self.symbolData[s].index)
self.symbolData[s] = transfromDFtoDict(self.symbolData[s])
self.dateIndex = combIndex
self.start = 0
def _openConvertCSVFiles(self):
combIndex = None
for s in self.symbolList:
filePath = os.path.join(self.csvDir, "{0:s}.csv".format(s))
self.symbolData[s] = io.parsers.read_csv(filePath,
header=0,
index_col=0,
parse_dates=True)\
.sort_index()
if combIndex is None:
combIndex = self.symbolData[s].index
else:
combIndex = combIndex.union(self.symbolData[s].index)
self.symbolData[s] = transfromDFtoDict(self.symbolData[s])
self.dateIndex = combIndex
self.start = 0
def _openConvertCSVFiles(self):
combIndex = None
for s in self.symbolList:
filePath = os.path.join(self.csvDir, "{0:s}.csv".format(s))
self.symbolData[s] = io.parsers.read_csv(filePath,
header=0,
index_col=0,
parse_dates=True,
usecols=['datetime', 'open', 'high', 'low', 'close', 'volume']).sort_index()
if combIndex is None:
combIndex = self.symbolData[s].index
else:
combIndex = combIndex.union(self.symbolData[s].index)
self.latestSymbolData[s] = []
self.symbolData[s] = transfromDFtoDict(self.symbolData[s])
self.dateIndex = combIndex
self.start = 0
def _openConvertCSVFiles(self):
combIndex = None
for s in self.symbolList:
filePath = os.path.join(self.csvDir, "{0:s}.csv".format(s))
self.symbolData[s] = io.parsers.read_csv(
filePath,
header=0,
index_col=0,
parse_dates=True,
usecols=['datetime', 'open', 'high', 'low', 'close',
'volume']).sort_index()
if combIndex is None:
combIndex = self.symbolData[s].index
else:
combIndex = combIndex.union(self.symbolData[s].index)
self.latestSymbolData[s] = []
self.symbolData[s] = transfromDFtoDict(self.symbolData[s])
self.dateIndex = combIndex
self.start = 0
def _getDatas(self):
combIndex = None
for s in self.symbolList:
self.symbolData[s] = web.get_data_yahoo(s,
start=self.startDate.strftime("%Y%m%d"),
end=self.endDate.strftime("%Y%m%d"),
adjust_price=True).sort_index()
del self.symbolData[s]['Adj_Ratio']
self.symbolData[s].columns = ['open', 'high', 'low', 'close', 'volume']
if combIndex is None:
combIndex = self.symbolData[s].index
else:
combIndex = combIndex.union(self.symbolData[s].index)
self.latestSymbolData[s] = []
self.symbolData[s] = transfromDFtoDict(self.symbolData[s])
self.dateIndex = combIndex
self.start = 0
for i, s in enumerate(self.symbolList):
if s not in self.symbolData:
del self.symbolList[i]
def _getDatas(self):
self.logger.info("Start loading bars from DataYes source...")
combIndex = None
def getOneSymbolData(params):
mt = params[0]
s = params[1]
start = params[2]
end = params[3]
logger = params[4]
result = params[5]
data = mt.MktEqud(
secID=s,
beginDate=start,
endDate=end,
field=
'tradeDate,openPrice,highestPrice,lowestPrice,turnoverVol,closePrice'
)
if data.empty:
return
data.index = pd.to_datetime(data['tradeDate'], format="%Y-%m-%d")
data.sort_index(inplace=True)
data.columns = [
'tradeDate', 'open', 'high', 'low', 'volume', 'close'
]
logger.info("Symbol {0:s} is ready for back testing.".format(s))
result[s] = data
def getOneSymbolIndeData(params):
mt = params[0]
s = params[1]
start = params[2]
end = params[3]
logger = params[4]
result = params[5]
data = mt.MktIdxd(
indexID=s,
beginDate=start,
endDate=end,
field=
'tradeDate,openIndex,highestIndex,lowestIndex,turnoverVol,closeIndex'
)
if data.empty:
return
data.index = pd.to_datetime(data['tradeDate'], format="%Y-%m-%d")
data.sort_index(inplace=True)
data.columns = [
'tradeDate', 'open', 'high', 'low', 'volume', 'close'
]
logger.info("Symbol {0:s} is ready for back testing.".format(s))
result[s] = data
def getOneSymbolFutureData(params):
mt = params[0]
s = params[1]
start = params[2]
end = params[3]
logger = params[4]
result = params[5]
data = mt.MktFutd(
ticker=s[:6],
beginDate=start,
endDate=end,
field=
'tradeDate,openPrice,highestPrice,lowestPrice,turnoverVol,closePrice'
)
if data.empty:
return
data.index = pd.to_datetime(data['tradeDate'], format="%Y-%m-%d")
data.sort_index(inplace=True)
data.columns = [
'tradeDate', 'open', 'high', 'low', 'volume', 'close'
]
logger.info("Symbol {0:s} is ready for back testing.".format(s))
result[s] = data
result = {}
if self.category['stocks']:
for s in self.category['stocks']:
getOneSymbolData((self.mt, s, self.startDate, self.endDate,
self.logger, result))
if self.category['indexes']:
for s in self.category['indexes']:
getOneSymbolIndeData((self.mt, s, self.startDate, self.endDate,
self.logger, result))
if self.category['futures']:
for s in self.category['futures']:
getOneSymbolFutureData((self.mt, s, self.startDate,
self.endDate, self.logger, result))
for s in result:
self.symbolData[s] = result[s]
if combIndex is None:
combIndex = self.symbolData[s].index
else:
combIndex = combIndex.union(self.symbolData[s].index)
self.symbolData[s] = transfromDFtoDict(self.symbolData[s])
# transform
self.dateIndex = combIndex
self.start = 0
for i, s in enumerate(self.symbolList):
if s not in self.symbolData:
del self.symbolList[i]
self.logger.info("Bars loading finished!")
def _getDatas(self):
self.logger.info("Start loading bars from DataYes source...")
combIndex = None
def getOneSymbolData(params):
mt = params[0]
s = params[1]
start = params[2]
end = params[3]
logger = params[4]
result = params[5]
data = mt.MktEqud(secID=s,
beginDate=start,
endDate=end,
field='tradeDate,openPrice,highestPrice,lowestPrice,turnoverVol,closePrice')
if data.empty:
return
data.index = pd.to_datetime(data['tradeDate'], format="%Y-%m-%d")
data.sort_index(inplace=True)
data.columns = ['tradeDate', 'open', 'high', 'low', 'volume', 'close']
logger.info("Symbol {0:s} is ready for back testing.".format(s))
result[s] = data
def getOneSymbolIndeData(params):
mt = params[0]
s = params[1]
start = params[2]
end = params[3]
logger = params[4]
result = params[5]
data = mt.MktIdxd(indexID=s,
beginDate=start,
endDate=end,
field='tradeDate,openIndex,highestIndex,lowestIndex,turnoverVol,closeIndex')
if data.empty:
return
data.index = pd.to_datetime(data['tradeDate'], format="%Y-%m-%d")
data.sort_index(inplace=True)
data.columns = ['tradeDate', 'open', 'high', 'low', 'volume', 'close']
logger.info("Symbol {0:s} is ready for back testing.".format(s))
result[s] = data
def getOneSymbolFutureData(params):
mt = params[0]
s = params[1]
start = params[2]
end = params[3]
logger = params[4]
result = params[5]
data = mt.MktFutd(ticker=s[:6],
beginDate=start,
endDate=end,
field='tradeDate,openPrice,highestPrice,lowestPrice,turnoverVol,closePrice')
if data.empty:
return
data.index = pd.to_datetime(data['tradeDate'], format="%Y-%m-%d")
data.sort_index(inplace=True)
data.columns = ['tradeDate', 'open', 'high', 'low', 'volume', 'close']
logger.info("Symbol {0:s} is ready for back testing.".format(s))
result[s] = data
result = {}
if self.category['stocks']:
for s in self.category['stocks']:
getOneSymbolData((self.mt, s, self.startDate, self.endDate, self.logger, result))
if self.category['indexes']:
for s in self.category['indexes']:
getOneSymbolIndeData((self.mt, s, self.startDate, self.endDate, self.logger, result))
if self.category['futures']:
for s in self.category['futures']:
getOneSymbolFutureData((self.mt, s, self.startDate, self.endDate, self.logger, result))
for s in result:
self.symbolData[s] = result[s]
if combIndex is None:
combIndex = self.symbolData[s].index
else:
combIndex = combIndex.union(self.symbolData[s].index)
self.symbolData[s] = transfromDFtoDict(self.symbolData[s])
# transform
self.dateIndex = combIndex
self.start = 0
for i, s in enumerate(self.symbolList):
if s not in self.symbolData:
del self.symbolList[i]
self.logger.info("Bars loading finished!")
