def loadData(self, vtSymbol):
"""加载数据"""
df = pd.read_csv(self.dss + 'fut/bar/min5_' + vtSymbol + '.csv')
for i, d in df.iterrows():
#print(d)
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
bar.volume = d['volume']
date = str(d['date'])
bar.date = date
bar.time = str(d['time'])
if '-' in date:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y-%m-%d %H:%M:%S')
else:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
#bar.time = '00:00:00'
#bar.datetime = bar.date + ' ' + bar.time
bar.datetime = datetime.strftime(bar.datetime, '%Y%m%d %H:%M:%S')
self.barDict[bar.datetime] = bar
# print(bar.__dict__)
# break
self.output(u'全部数据加载完成')
def loadData(self, vtSymbol):
"""加载数据"""
df = pd.read_csv(vtSymbol + '.csv')
for i, d in df.iterrows():
#print(d)
#set_trace()
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
date = str(d['date'])
if '-' in date:
date = date.split('-')
date = ''.join(date)
bar.date = date
bar.time = d['time']
#bar.time = '00:00:00'
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
bar.volume = d['volume']
barDict = self.dataDict.setdefault(bar.datetime, OrderedDict())
barDict[bar.vtSymbol] = bar
self.output(u'全部数据加载完成')
def loadData(self, dbName):
"""加载数据"""
for vtSymbol in self.vtSymbolList:
df = get_stk_hfq(dss, vtSymbol)
df = df.sort_values(['date'])
for i, d in df.iterrows():
#print(d)
#set_trace()
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
date = d['date'].split('-')
date = ''.join(date)
bar.date = date
bar.time = '00:00:00'
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
bar.volume = d['volume']
barDict = self.dataDict.setdefault(bar.datetime, OrderedDict())
barDict[bar.vtSymbol] = bar
self.output(u'全部数据加载完成')
def _bc_loadInitBar(self, vtSymbol, initBars):
"""读取Bar数据，"""
r = []
#df = get_stk_hfq(self.dss, vtSymbol, begin_date=None, end_date='2019-07-18')
df = get_stk_hfq(self.dss, vtSymbol, begin_date=None, end_date=None)
if df is not None:
df = df.iloc[:initBars]
df = df.sort_values('date')
for i, row in df.iterrows():
d = dict(row)
#print(d)
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
date = d['date'].split('-') #去掉字符串中间的'-'
date = ''.join(date)
bar.date = date
bar.time = '00:00:00'
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
bar.volume = float(d['volume'])
r.append(bar)
return r
def onBar(self, bar, minx='min1'):
"""引擎新推送过来bar，传递给每个signal"""
# 不处理不相关的品种
if bar.vtSymbol not in self.vtSymbolList:
return
if minx != 'min15': # 本策略为min15
return
if self.result.date != bar.date + ' ' + bar.time:
previousResult = self.result
self.result = DailyResult(bar.date + ' ' + bar.time)
self.resultList.append(self.result)
if previousResult:
self.result.updateClose(previousResult.closeDict)
# 将bar推送给signal
for signal in self.signalDict[bar.vtSymbol]:
signal.onBar(bar, minx)
# print(bar.vtSymbol, bar.time)
"""
在此实现P层的业务控制逻辑
为每一个品种来检查是否触发下单条件
# 开始处理组合关心的bar , 尤其是品种对价差的加工和处理
"""
if self.got_dict[self.symbol_g] == True and self.got_dict[self.symbol_d] == True:
for signal in self.signalDict[self.dual_name]:
for s_g in self.signalDict[self.symbol_g]:
price_g = s_g.bar.close
for s_d in self.signalDict[self.symbol_d]:
price_d = s_d.bar.close
price_gap = price_g - price_d
bar_dual = VtBarData()
bar_dual.vtSymbol = self.dual_name
bar_dual.open = price_gap
bar_dual.high = price_gap
bar_dual.low = price_gap
bar_dual.close = price_gap
bar_dual.date = bar.date
bar_dual.time = bar.time
bar_dual.datetime = bar.date + ' ' + bar.time
# 将bar推送给signal
signal.onBar(bar_dual, minx)
self.result.updateBar(bar_dual)
# print(bar_dual.vtSymbol, bar_dual.datetime )
self.got_dict[self.symbol_g] = False
self.got_dict[self.symbol_d] = False
self.result.updateBar(bar)
self.result.updatePos(self.posDict)
def onBar(self, bar, minx='min1'):
"""引擎新推送过来bar，传递给每个signal"""
# 不处理不相关的品种
if bar.vtSymbol not in self.vtSymbolList:
return
if minx != 'min5': # 本策略为min5
return
if self.result.date != bar.date + ' ' + bar.time:
previousResult = self.result
self.result = DailyResult(bar.date + ' ' + bar.time)
self.resultList.append(self.result)
if previousResult:
self.result.updateClose(previousResult.closeDict)
# 将bar推送给signal
for signal in self.signalDict[bar.vtSymbol]:
signal.onBar(bar, minx)
# print(bar.vtSymbol, bar.time)
"""
在此实现P层的业务控制逻辑
为每一个品种来检查是否触发下单条件
# 开始处理组合关心的bar , 尤其是品种对价差的加工和处理
"""
if self.got_dict[self.symbol_a] == True and self.got_dict[
self.symbol_b] == True:
for signal in self.signalDict[self.dual_name]:
for s_a in self.signalDict[self.symbol_a]:
ask_price_a = float(s_a.bar.AskPrice) # 挂卖价
bid_price_a = float(s_a.bar.BidPrice) # 挂买价
for s_b in self.signalDict[self.symbol_b]:
ask_price_b = float(s_b.bar.AskPrice) # 挂卖价
bid_price_b = float(s_b.bar.BidPrice) # 挂买价
long_price = ask_price_a - bid_price_b
short_price = bid_price_a - ask_price_b
bar_dual = VtBarData()
bar_dual.vtSymbol = self.dual_name
bar_dual.high = short_price
bar_dual.low = long_price
bar_dual.date = bar.date
bar_dual.time = bar.time
bar_dual.datetime = bar.date + ' ' + bar.time
# 将bar推送给signal
signal.onBar(bar_dual, minx)
self.result.updateBar(bar_dual)
# print(bar_dual.vtSymbol, bar_dual.datetime )
self.got_dict[self.symbol_a] = False
self.got_dict[self.symbol_b] = False
self.result.updateBar(bar)
self.result.updatePos(self.posDict)
def worker_1450(self):
"""盘中推送bar"""
to_log('in TradeEngine.worker_1450')
for p in self.portfolio_list:
for vtSymbol in p.vtSymbolList:
#print(vtSymbol)
df = None
i = 0
while df is None and i < 2:
try:
i += 1
df = ts.get_realtime_quotes(vtSymbol)
except Exception as e:
print('error get_realtime_quotes')
print(e)
time.sleep(0.1)
if df is None:
continue
code = vtSymbol
df1 = None
i = 0
while df1 is None and i < 2:
try:
i += 1
df1 = get_adj_factor(self.dss, code)
except Exception as e:
print('error adj_factor ' + code)
print(e)
time.sleep(0.1)
if df1 is None:
continue
factor = float(df1.at[0, 'adj_factor'])
d = df.loc[0, :]
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open']) * factor
bar.high = float(d['high']) * factor
bar.low = float(d['low']) * factor
bar.close = float(d['price']) * factor
bar.close_bfq = float(d['price'])
date = d['date'].split('-') #去掉字符串中间的'-'
date = ''.join(date)
bar.date = date
bar.time = '00:00:00'
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
bar.volume = float(d['volume'])
p.onBar(bar)
send_email(self.dss, 'worker_1450处理完毕', '')
def loadData(self):
"""加载数据"""
for vtSymbol in self.symbol_list:
#filename = get_dss( )+ 'fut/bar/min5_' + vtSymbol + '.csv'
#filename = get_dss( ) + 'fut/bar/' + self.minx + '_' + vtSymbol + '.csv'
#filename = get_dss( ) + 'backtest/bar/' + self.minx + '_' + vtSymbol + '.csv'
filename = get_dss(
) + 'backtest/fut/' + vtSymbol + '/' + self.minx + '_' + vtSymbol + '.csv'
df = pd.read_csv(filename)
for i, d in df.iterrows():
#print(d)
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
bar.volume = d['volume']
date = str(d['date'])
bar.date = date
bar.time = str(d['time'])
if '-' in date:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y-%m-%d %H:%M:%S')
else:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
#bar.time = '00:00:00'
#bar.datetime = bar.date + ' ' + bar.time
bar.datetime = datetime.strftime(bar.datetime,
'%Y%m%d %H:%M:%S')
barDict = self.dataDict.setdefault(bar.datetime, OrderedDict())
barDict[bar.vtSymbol] = bar
# break
print(vtSymbol + '全部数据加载完成，数据量：' + str(len(df)))
def loadData(self):
"""加载数据"""
for vtSymbol in self.vtSymbol_list:
# print(vtSymbol)
test_list = ['IF2011', 'IO2011-C-4700', 'IO2011-P-4700']
# test_list = ['m2101', 'RM101', 'MA101', 'p2101']
if vtSymbol in test_list:
fn = get_dss( )+ 'fut/bar/min1_' + vtSymbol + '.csv'
if os.path.exists(fn):
df = pd.read_csv(fn)
for i, d in df.iterrows():
# print(i)
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
bar.volume = d['volume']
date = str(d['date'])
bar.date = date
bar.time = str(d['time'])
if '-' in date:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y-%m-%d %H:%M:%S')
else:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S')
bar.datetime = datetime.strftime(bar.datetime, '%Y-%m-%d %H:%M:%S')
# barDict = self.dataDict.setdefault(bar.datetime, OrderedDict())
# barDict[bar.vtSymbol] = bar
if bar.datetime in self.dataDict:
self.dataDict[bar.datetime][bar.vtSymbol] = bar
else:
self.dataDict[bar.datetime] = {}
self.dataDict[bar.datetime][bar.vtSymbol] = bar
def loadData(self):
"""加载数据"""
for vtSymbol in self.vtSymbol_list:
fname = vtSymbol + '.csv'
#print(fname)
df = pd.read_csv(fname,dtype='str')
df = df[df.date>datetime.strftime(self.startDt, '%Y%m%d')]
df = df[df.date<datetime.strftime(self.endDt, '%Y%m%d')]
df = df.sort_values(by=['date','time'])
#print(df)
for i, row in df.iterrows():
d = dict(row)
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
bar.volume = d['volume']
date = str(d['date'])
bar.date = date
bar.time = str(d['time'])
if '-' in date:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y-%m-%d %H:%M:%S')
else:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S')
#bar.datetime = datetime.strftime(bar.datetime, '%Y%m%d %H:%M:%S')
barDict = self.dataDict.setdefault(bar.datetime, OrderedDict())
barDict[bar.vtSymbol] = bar
self.output(u'%s数据加载完成，总数据量：%s' %(vtSymbol, len(df)))
self.output(u'全部数据加载完成')
def loadData(self):
"""加载数据"""
for vtSymbol in self.symbol_list:
filename = get_dss() + 'fut/bar/min1_' + vtSymbol + '.csv'
df = pd.read_csv(filename)
for i, d in df.iterrows():
# print(d)
# print('here')
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
bar.volume = d['volume']
dt = d['datetime']
bar.date = dt[:4] + dt[5:7] + dt[8:10]
bar.time = dt[11:19]
bar.datetime = bar.date + ' ' + bar.time
# print(bar.datetime, bar.date, bar.time)
# return
# date = str(d['date'])
# bar.date = date
# bar.time = str(d['time'])
# if '-' in date:
# bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y-%m-%d %H:%M:%S')
# else:
# bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S')
#
# #bar.time = '00:00:00'
# #bar.datetime = bar.date + ' ' + bar.time
# bar.datetime = datetime.strftime(bar.datetime, '%Y%m%d %H:%M:%S')
barDict = self.dataDict.setdefault(bar.datetime, OrderedDict())
barDict[bar.vtSymbol] = bar
# break
self.output(u'全部数据加载完成')
def worker_1450(self):
"""盘中推送bar"""
to_log('in TradeEngine.worker_1450')
for p in self.portfolio_list:
for vtSymbol in p.vtSymbolList:
#print(vtSymbol)
df = None
i = 0
while df is None and i < 2:
try:
i += 1
df = ts.get_realtime_quotes(vtSymbol)
except Exception as e:
print('error get_realtime_quotes')
print(e)
time.sleep(0.1)
if df is None:
to_log('ignore ' + vtSymbol)
continue
adj_factor = None
df1 = None
i = 0
while df1 is None and i < 2:
try:
i += 1
df1 = get_adj_factor(self.dss, vtSymbol)
adj_factor = float(df1.at[0, 'adj_factor'])
except Exception as e:
print('error adj_factor ' + vtSymbol)
print(e)
time.sleep(0.1)
if df1 is None:
to_log('ignore ' + vtSymbol)
continue
hfq_factor = get_hfq_factor(self.dss, vtSymbol)
factor = hfq_factor
if adj_factor is not None:
if abs((adj_factor - hfq_factor) /
adj_factor) > 0.01: # 差异大，今天有除权
factor = adj_factor
d = df.loc[0, :]
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open']) * factor
bar.high = float(d['high']) * factor
bar.low = float(d['low']) * factor
bar.close = float(d['price']) * factor
bar.close_bfq = float(d['price'])
date = d['date'].split('-') #去掉字符串中间的'-'
date = ''.join(date)
bar.date = date
bar.time = '00:00:00'
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
bar.volume = float(d['volume'])
#to_log(vtSymbol+' '+d['price']+' * '+str(factor)+' = '+str(bar.close))
p.onBar(bar)
send_email(self.dss, 'worker_1450处理完毕', '')
def worker_1450(self):
"""盘中推送bar"""
to_log('in TradeEngine.worker_1450')
print('begin worker_1450')
r, dt = self.is_trade_day()
if r == False:
return
self.currentDt = dt
for vtSymbol in self.vtSymbolList:
#print(vtSymbol)
df = None
i = 0
while df is None and i < 3:
try:
i += 1
df = ts.get_realtime_quotes(vtSymbol)
except Exception as e:
print('error get_realtime_quotes')
print(e)
time.sleep(1)
if df is None:
continue
code = vtSymbol
df1 = None
i = 0
while df1 is None and i < 3:
try:
i += 1
df1 = get_adj_factor(self.dss, code)
except Exception as e:
print('error adj_factor')
print(e)
time.sleep(1)
if df1 is None:
continue
factor = float(df1.at[0, 'adj_factor'])
d = df.loc[0, :]
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open']) * factor
bar.high = float(d['high']) * factor
bar.low = float(d['low']) * factor
bar.close = float(d['price']) * factor
bar.close_bfq = float(d['price'])
date = d['date'].split('-') #去掉字符串中间的'-'
date = ''.join(date)
bar.date = date
bar.time = '00:00:00'
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
bar.volume = float(d['volume'])
barDict = self.dataDict.setdefault(bar.datetime, OrderedDict())
barDict[bar.vtSymbol] = bar
self.portfolio.onBar(bar)
send_email(self.dss, 'worker_1450处理完毕', '')