def initialize_env(cls):
"""刷新environment防止缓存累积"""
cls.signals_normal.clear()
cls.signals_pending.clear()
cls.signals_trigger.clear()
cls.signals_cancel.clear()
cls.signals_normal_cur.clear()
cls.signals_pending_cur.clear()
cls.signals_trigger_cur.clear()
cls.signals_cancel_cur.clear()
cls.orders_mkt_normal_cur.clear()
cls.orders_mkt_absolute_cur.clear()
cls.orders_mkt_submitted_cur.clear()
cls.orders_pending.clear()
cls.orders_child_of_mkt_dict.clear()
cls.orders_cancel_cur.clear()
cls.orders_cancel_submitted_cur.clear()
cls.tickers.clear()
cls.cur_suspended_tickers.clear()
cls.suspended_tickers_record.clear()
cls.cache.clear()
if not cls.is_live_trading:
ratio = get_day_ratio(cls.sys_frequency)
cls.sys_date = arrow.get(
cls.fromdate).shift(days=-ratio).format('YYYY-MM-DD HH:mm:ss')
cls.reset_all_counters()
def update_calendar(self):
if self.env.is_live_trading:
self.env.sys_date = arrow.utcnow().format('YYYY-MM-DD HH:mm:ss')
else:
self._check_todate()
ratio = get_day_ratio(self.env.sys_frequency)
new_sys_date = arrow.get(self.env.sys_date).shift(days=ratio)
self.env.sys_date = new_sys_date.format('YYYY-MM-DD HH:mm:ss')
while not self.is_trading_time(new_sys_date):
self._check_todate()
new_sys_date = arrow.get(self.env.sys_date).shift(days=ratio)
self.env.sys_date = new_sys_date.format('YYYY-MM-DD HH:mm:ss')
def get_brand_new_ohlc_list(self):
ratio = get_day_ratio(self.frequency)
reader = self.env.readers[self.ticker]
ohlc_list = reader.load()
while self.current_ohlc in ohlc_list and len(ohlc_list) == 2:
self.check_if_weekday()
if (arrow.utcnow() - arrow.get(self.date)) >= timedelta(ratio * 2):
ohlc_list = reader.load()
time.sleep(1)
return ohlc_list
def move_next_ohlc_to_cur_ohlc(self):
"""
用于伪造最新的next bar，骗过系统产生最新日期的信号
会导致回测结果不准确。
"""
date_format = "YYYY-MM-DD HH:mm:ss"
next_date = arrow.get(self.next_ohlc['date']).format(date_format)
todate = arrow.get(self.env.todate).format(date_format)
if todate == next_date:
self.current_ohlc = copy(self.next_ohlc)
self.next_ohlc['date'] = arrow.get(todate).shift(
days=get_day_ratio(self.env.sys_frequency)).format(date_format)
else:
self.env.cur_suspended_tickers.append(self.ticker)
def _analysis_func(self, fromdate, todate, cache, index):
t1 = time.time()
go = op.OnePiece()
fromdate = arrow.get(fromdate).shift(
months=index).format("YYYY-MM-DD")
todate = arrow.get(todate).shift(
months=index).format("YYYY-MM-DD")
go.env.fromdate = fromdate
ratio = get_day_ratio(go.env.sys_frequency)
go.env.sys_date = arrow.get(fromdate).shift(
days=-ratio).format('YYYY-MM-DD HH:mm:ss')
go.env.todate = todate
go.sunny(self.show_summary)
summary = 1
cache.append(summary)
t2 = time.time()
self._compute_running_time(t1, t2, len(cache))