def realtime_pool(findLastDays=7, isOpenLog=False):
# 初始化algotrading的repo
rat = repoForAT("algotrading", "12345678", None, isOpenLog=isOpenLog)
# 初始化pool
poolDataMarketGetter = marketDataGetter(isOpenLog=isOpenLog)
poolDataRepoGetter = repo(isSqlite=False,
isMysql=True,
file_path="",
user="******",
password="******",
ip=None,
isOpenLog=isOpenLog)
poolRecordSaver = tradingRecordSaver("algotrading",
"12345678",
None,
isOpenLog=isOpenLog)
poolRealTime = poolFromSinaApi(poolDataMarketGetter,
True,
poolRecordSaver,
isOpenLog=isOpenLog)
poolHistory = poolFromSinaApi(poolDataRepoGetter,
False,
poolRecordSaver,
isOpenLog=isOpenLog)
# 初始化quantAnalysisDict
repoForQuantAnalysis = repo(isSqlite=False,
isMysql=True,
file_path="",
user="******",
password="******",
ip=None,
isOpenLog=isOpenLog)
quantAnalysisDict = {}
quantAnalysisDict[clientOrder.TWAP] = TWAPQuantAnalysis(
isOpenLog=isOpenLog)
quantAnalysisDict[clientOrder.VWAP] = VWAPQuantAnalysis(
repoForQuantAnalysis, isOpenLog=isOpenLog)
quantAnalysisDict[clientOrder.LINEARVWAP] = LinearVWAPQuantAnalysis(
repoForQuantAnalysis, isOpenLog=isOpenLog)
algoTradingEngine = algoTrading(rat,
poolRealTime,
quantAnalysisDict,
findLastDays,
isOpenLog=isOpenLog)
log.info("init succ")
index = 0
while (1):
algoTradingEngine.set_time(datetime.datetime.now())
startTime = startTime + datetime.timedelta(minutes=1)
algoTradingEngine.init_orders()
algoTradingEngine.refresh()
algoTradingEngine.trade_request()
algoTradingEngine.complete_orders()
index = index + 1
if index % 60 == 0:
log.info("now time:" + str(startTime))
def test_history_pool():
# 初始化algotrading的repo
rat = repoForAT("algotrading", "12345678", None, isOpenLog=False)
# 初始化pool
poolDataMarketGetter = marketDataGetter(isOpenLog=False)
poolDataRepoGetter = repo(isSqlite=False,
isMysql=True,
file_path="",
user="******",
password="******",
ip=None,
isOpenLog=False)
poolRecordSaver = tradingRecordSaver("algotrading",
"12345678",
None,
isOpenLog=False)
poolRealTime = poolFromSinaApi(poolDataMarketGetter,
True,
poolRecordSaver,
isOpenLog=False)
poolHistory = poolFromSinaApi(poolDataRepoGetter,
False,
poolRecordSaver,
isOpenLog=False)
# 初始化quantAnalysisDict
repoForQuantAnalysis = repo(isSqlite=False,
isMysql=True,
file_path="",
user="******",
password="******",
ip=None,
isOpenLog=False)
quantAnalysisDict = {}
quantAnalysisDict[clientOrder.TWAP] = TWAPQuantAnalysis(isOpenLog=False)
quantAnalysisDict[clientOrder.VWAP] = VWAPQuantAnalysis(
repoForQuantAnalysis, isOpenLog=False)
quantAnalysisDict[clientOrder.LINEARVWAP] = LinearVWAPQuantAnalysis(
repoForQuantAnalysis, isOpenLog=False)
findLastDays = 7
algoTradingEngine = algoTrading(rat,
poolHistory,
quantAnalysisDict,
findLastDays,
isOpenLog=False)
log.info("init succ")
order1 = clientOrder()
stockId = 601377
startTime = datetime.datetime(2016, 12, 23, 10, 00)
endTime = datetime.datetime(2016, 12, 23, 14, 00)
stockAmount = 10000
buysell = 0
algChoice = 1
processId = 1
tradingType = 1
order1.create_order(stockId, startTime, endTime, stockAmount, buysell,
algChoice, processId, tradingType)
rat.insert_order(order1)
order2 = clientOrder()
buysell = 1
algChoice = 2
stockAmount = 1000
startTime = datetime.datetime(2016, 12, 22, 8, 00)
endTime = datetime.datetime(2016, 12, 23, 19, 00)
order2.create_order(stockId, startTime, endTime, stockAmount, buysell,
algChoice, processId, tradingType)
rat.insert_order(order2)
order3 = clientOrder()
buysell = 0
algChoice = 0
stockAmount = 1000000
startTime = datetime.datetime(2016, 12, 22, 10, 00)
endTime = datetime.datetime(2016, 12, 22, 10, 10)
order3.create_order(stockId, startTime, endTime, stockAmount, buysell,
algChoice, processId, tradingType)
rat.insert_order(order3)
startTime = datetime.datetime(2016, 12, 22, 8, 00)
index = 0
while (startTime < datetime.datetime(2016, 12, 23, 22)):
algoTradingEngine.set_time(startTime)
startTime = startTime + datetime.timedelta(minutes=1)
algoTradingEngine.init_orders()
algoTradingEngine.refresh()
algoTradingEngine.trade_request()
algoTradingEngine.complete_orders()
index = index + 1
if index % 60 == 0:
log.info("now time:" + str(startTime))
# ============================================================================== # Filename: MarketDataUnitTest.py # Author: Xiaofu Huang # E-mail: [email protected] # Last modified: 2016-11-06 12:45 # Description: marketdata 单元测试 # ============================================================================== import datetime from MarketData import MarketData import sys sys.path.append("../fetch_data/") from repo import repo from marketDataGetter import marketDataGetter if __name__ == '__main__': market = marketDataGetter() originArr = market.get_data(600000) marketData = MarketData(originArr) print marketData.sellPrice print marketData.sellAmount print marketData.buyPrice print marketData.buyAmount print marketData.time repoEngine = repo(isSqlite=False, isMysql=True, file_path="", user="******", password="******", ip=None, isOpenLog=False)