def addBar(self, instrument, bar, frequency):
instrument = normalize_instrument(instrument)
instrumentId = self.__getOrCreateInstrument(instrument)
timeStamp = dt.datetime_to_timestamp(bar.getDateTime())
try:
sql = "insert into bar (instrument_id, frequency, timestamp, open, high, low, close, volume, adj_close) values (?, ?, ?, ?, ?, ?, ?, ?, ?)"
params = [
instrumentId, frequency, timeStamp,
bar.getOpen(),
bar.getHigh(),
bar.getLow(),
bar.getClose(),
bar.getVolume(),
bar.getAdjClose()
]
self.__connection.execute(sql, params)
except sqlite3.IntegrityError:
sql = "update bar set open = ?, high = ?, low = ?, close = ?, volume = ?, adj_close = ?" \
" where instrument_id = ? and frequency = ? and timestamp = ?"
params = [
bar.getOpen(),
bar.getHigh(),
bar.getLow(),
bar.getClose(),
bar.getVolume(),
bar.getAdjClose(), instrumentId, frequency, timeStamp
]
self.__connection.execute(sql, params)
def adjustBars(instrument, bars, startdate, enddate):
bars = []
bars_in_dtrange = [bar for bar in bars if startdate.replace(tzinfo=None) <= bar.getDateTime() <= enddate.replace(tzinfo=None)]
bars_in_dtrange.sort(key=lambda bar: bar.getDateTime(), reverse=True)
k = 0
splitdataList = []
dividendList = []
for bar in bars_in_dtrange:
splitdata = bar.getSplit()
dividend = bar.getDividend()
if splitdata != 1.0:
splitdataList.append(bar.getSplit())
if dividend != 0.0:
adjFactor = (bar.getClose() + bar.getDividend()) / bar.getClose()
dividendList.append(adjFactor)
#### Special case.... end date / analysis date nothing to do..
if (k==0):
bar = BasicBar(bar.getDateTime(),
bar.getOpen() , bar.getHigh(), bar.getLow(), bar.getClose(), bar.getVolume(), bar.getClose(), Frequency.DAY)
bars.append(bar)
else:
#### Adjust OHLC & Volume data for split adjustments and dividend adjustments
Open = bar.getOpen()
High = bar.getHigh()
Low = bar.getLow()
Close = bar.getClose()
Volume = bar.getVolume()
### adjust data for splits
for split in splitdataList:
Open = Open / split
High = High / split
Low = Low / split
Close = Close /split
Volume = Volume * split
### adjust data for dividends
for adjFactor in dividendList:
Open = Open / adjFactor
High = High / adjFactor
Low = Low / adjFactor
Close = Close / adjFactor
Volume = Volume * adjFactor
bar = BasicBar(bar.getDateTime(),
Open , High, Low, Close, Volume, Close, Frequency.DAY)
bars.append(bar)
k +=1
feed = Feed(Frequency.DAY, 1024)
return feed.loadBars(instrument+"_adjusted", bars)
def fillMarketOrder(self, broker_, order, bar):
# Calculate the fill size for the order.
fillSize = self.__calculateFillSize(broker_, order, bar)
if fillSize == 0:
broker_.getLogger().debug(
"Not enough volume to fill %s market order [%s] for %s share/s" % (
order.getInstrument(),
order.getId(),
order.getRemaining()
)
)
return None
# Unless its a fill-on-close order, use the open price.
if order.getFillOnClose():
price = bar.getClose(broker_.getUseAdjustedValues())
else:
price = bar.getOpen(broker_.getUseAdjustedValues())
assert price is not None
# Don't slip prices when the bar represents the trading activity of a single trade.
if bar.getFrequency() != pyalgotrade.bar.Frequency.TRADE:
price = self.__slippageModel.calculatePrice(
order, price, fillSize, bar, self.__volumeUsed[order.getInstrument()]
)
return FillInfo(price, fillSize)
def compute_BBands(instrument, startdate, enddate ):
from pyalgotrade.talibext import indicator
bBandsPeriod = 20 #### No of periods.....
feed = redis_build_feed_EOD_RAW(instrument, startdate, enddate)
barsDictForCurrAdj = {}
barsDictForCurrAdj[instrument] = feed.getBarSeries(instrument)
feedLookbackEndAdj = xiquantPlatform.xiQuantAdjustBars(barsDictForCurrAdj, startdate, enddate)
feedLookbackEndAdj.adjustBars()
closeDS = feedLookbackEndAdj.getCloseDataSeries(instrument + "_adjusted")
upper, middle, lower = indicator.BBANDS(closeDS, len(closeDS), bBandsPeriod, 2.0, 2.0)
dateTimes = feedLookbackEndAdj.getDateTimes(instrument + "_adjusted")
upperDS = numpy_to_highchartds(dateTimes, upper, startdate, enddate)
middleDS = numpy_to_highchartds(dateTimes, middle, startdate, enddate)
lowerDS = numpy_to_highchartds(dateTimes, lower, startdate, enddate)
##########Display price seriesin the center of Bolinger bands......##################
barDS = feedLookbackEndAdj.getBarSeries(instrument + "_adjusted")
adj_Close_Series = []
for bar in barDS:
dt = bar.getDateTime()
sec = calendar.timegm(dt.timetuple())
dtInMilliSeconds = int(sec * 1000)
adjPrice_val = [dtInMilliSeconds, bar.getOpen(), bar.getHigh(), \
bar.getLow(), bar.getClose()]
adj_Close_Series.append(adjPrice_val)
return upperDS, middleDS, lowerDS, adj_Close_Series
def fillMarketOrder(self, broker_, order, bar):
broker_.getLogger().debug('fillMarketOrder')
# Calculate the fill size for the order.
fillSize = self.__calculateFillSize(broker_, order, bar)
if fillSize == 0:
broker_.getLogger().debug(
"Not enough volume to fill %s market order [%s] for %s share/s"
% (order.getInstrument(), order.getId(), order.getRemaining()))
return None
# Unless its a fill-on-close order, use the open price.
if order.getFillOnClose():
broker_.getLogger().debug('fillMarketOrder -> getFillOnClose()')
price = bar.getClose(broker_.getUseAdjustedValues())
else:
broker_.getLogger().debug('fillMarketOrder -> getFillOnOpen()')
price = bar.getOpen(broker_.getUseAdjustedValues())
assert price is not None
# Don't slip prices when the bar represents the trading activity of a single trade.
if bar.getFrequency() != pyalgotrade.bar.Frequency.TRADE:
price = self.__slippageModel.calculatePrice(
order, price, fillSize, bar,
self.__volumeUsed[order.getInstrument()])
broker_.getLogger().debug('fillMarketOrder, return FillInfo')
return FillInfo(price, fillSize)
def onBars(self, bars):
lower = self.__bbands.getLowerBand()[-1]
upper = self.__bbands.getUpperBand()[-1]
if lower is None:
return
shares = self.getBroker().getShares(self.__instrument)
bar = bars[self.__instrument]
if shares == 0 and bar.getClose() < lower:
sharesToBuy = int(self.getBroker().getCash(False) / bar.getClose())
self.__position = self.enterLong(self.__instrument, sharesToBuy,
False)
elif shares > 0 and bar.getClose() > upper:
self.__position.exitMarket()
def onBars(self, bars):
# get Close price and budget ...
bar = bars[self.__instrument]
price = bar.getClose()
# history prices
prices = self.getFeed()[
self.__instrument].getCloseDataSeries()[-self.__RLhistory:]
# if list is shorter than history, prepend zeros
target_length = self.__RLhistory
if len(prices) < target_length:
prices_lst = [0] * (target_length - len(prices)) + prices
else:
prices_lst = prices
# array shape manipulations
budget = np.array([self.__RLinitialCash]).reshape(1, 1)
n_coins = np.array([self.__RLncoins]).reshape(1, 1)
i_prices = np.array(prices_lst).reshape(1, self.__RLhistory)
current_state = np.asmatrix(np.hstack((i_prices, budget, n_coins)))
current_portfolio = self.getBroker().getEquity()
action = self.__RLpolicy.select_action(current_state)
# If a position was not opened, check if policy gave "Buy" action and enter a long position.
if self.__position is None:
if action == "Buy":
self.info("Policy action 'BUY'. Buy at %s" % price)
try:
self.__position = self.enterLongLimit(
self.__instrument, price, self.__posSize, True)
self.__RLncoins += self.__posSize
except Exception as e:
self.error("Failed to buy: %s" % e)
else:
pass
# Check if we have to close the position.
elif not self.__position.exitActive() and action == "Sell":
try:
self.info("Policy action 'SELL'. Sell at %s" % price)
self.__position.exitLimit(price)
self.__RLncoins -= self.__posSize
except Exception as e:
self.error("Failed to sell: %s" % e)
else:
pass
new_portfolio = self.getBroker().getCash() + self.__RLncoins * price
reward = new_portfolio - current_portfolio
n_coins = np.array([self.__RLncoins]).reshape(1, 1)
next_state = np.asmatrix(np.hstack((i_prices, budget, n_coins)))
self.__RLpolicy.update_q(current_state, reward, next_state)
def onBars(self, bars):
for instrument in bars.getInstruments():
bar = bars[instrument]
self.info("%s: %s %s %s %s %s %s" % (
instrument,
bar.getOpen(),
bar.getHigh(),
bar.getLow(),
bar.getClose(),
bar.getAdjClose(),
bar.getVolume(),
))
def fillMarketOrder(self, order, broker_, bar):
fillSize = self.__calculateFillSize(order, broker_, bar)
if fillSize == 0:
return None
ret = None
if order.getFillOnClose():
price = bar.getClose(broker_.getUseAdjustedValues())
else:
price = bar.getOpen(broker_.getUseAdjustedValues())
if price is not None:
ret = FillInfo(price, fillSize)
return ret
def fillMarketOrder(self, order, broker_, bar):
fillSize = self.__calculateFillSize(order, broker_, bar)
if fillSize == 0:
return None
ret = None
if order.getFillOnClose():
price = bar.getClose(broker_.getUseAdjustedValues())
else:
price = bar.getOpen(broker_.getUseAdjustedValues())
if price is not None:
ret = FillInfo(price, fillSize)
return ret
def checkEnterSignal(self, bar):
price = bar.getClose()
if not self.buyWaitSignal: #check buywait
if (self.UPPER[-1] / self.MIDDLE[-1] - 1) < 0.05:
pass
elif price < self.LOWER[-1]:
self.buyWaitSignal = True
print bar.getDateTime(), '--------buy wait'
elif self.buyWaitSignal and self.checkMinCondition() == 'UP':
self.buyWaitSignal = False
return True
return False
def addBar(self, instrument, bar, frequency):
instrument = normalize_instrument(instrument)
instrumentId = self.__getOrCreateInstrument(instrument)
timeStamp = dt.datetime_to_timestamp(bar.getDateTime())
try:
sql = "insert into bar (instrument_id, frequency, timestamp, open, high, low, close, volume, adj_close) values (?, ?, ?, ?, ?, ?, ?, ?, ?)"
params = [instrumentId, frequency, timeStamp, bar.getOpen(), bar.getHigh(), bar.getLow(), bar.getClose(), bar.getVolume(), bar.getAdjClose()]
self.__connection.execute(sql, params)
except sqlite3.IntegrityError:
sql = "update bar set open = ?, high = ?, low = ?, close = ?, volume = ?, adj_close = ?" \
" where instrument_id = ? and frequency = ? and timestamp = ?"
params = [bar.getOpen(), bar.getHigh(), bar.getLow(), bar.getClose(), bar.getVolume(), bar.getAdjClose(), instrumentId, frequency, timeStamp]
self.__connection.execute(sql, params)
def fillMarketOrder(self, order, broker_, bar):
fillSize = self.__calculateFillSize(order, broker_, bar)
if fillSize == 0:
broker_.getLogger().debug("Not enough volume to fill %s market order [%s] for %d share/s" % (order.getInstrument(), order.getId(), order.getRemaining()))
return None
ret = None
if order.getFillOnClose():
price = bar.getClose(broker_.getUseAdjustedValues())
else:
price = bar.getOpen(broker_.getUseAdjustedValues())
if price is not None:
ret = FillInfo(price, fillSize)
return ret
def checkExitSignal(self, bar):
price = bar.getClose()
if (bar.getDateTime() - self.holdDay) < timedelta(days=1): # 持有期大于一天
return
if not self.sellWaitSignal: #check sellwait
if bar.getDateTime().strftime('%Y-%m-%d') == '2016-09-07':
print bar.getDateTime(), '---', price, '---', self.UPPER[-1]
if price > self.UPPER[-1]:
self.sellWaitSignal = True
print bar.getDateTime(), '--------sell wait'
elif self.sellWaitSignal and self.checkMinCondition() == 'DOWN':
self.sellWaitSignal = False
return True
return False
def onBars(self, bars):
# 1.判断日期符合 是否买入卖出
__value = 0
t = self.__handlelist__[self.__order__]['time']
d = datetime.strptime(t, '%Y-%m-%d')
if bars.getDateTime() == d:
if self.__handlelist__[self.__order__]['position'] == 'buy':
# print self.__handlelist__[self.__order__]['amount']
# print self.__handlelist__[self.__order__]['price']
# print self.__handlelist__[self.__order__]['commission']
self.__cost__ += self.__handlelist__[
self.__order__]['amount'] * self.__handlelist__[
self.__order__]['price'] * (
1 +
self.__handlelist__[self.__order__]['commission'])
if self.__position__.has_key(
self.__handlelist__[self.__order__]['code']):
self.__position__[self.__handlelist__[self.__order__]
['code']] += self.__handlelist__[
self.__order__]['amount']
else:
self.__position__.setdefault(
self.__handlelist__[self.__order__]['code'],
self.__handlelist__[self.__order__]['amount'])
if self.__handlelist__[self.__order__]['position'] == 'sell':
self.__cost__ -= self.__handlelist__[
self.__order__]['amount'] * self.__handlelist__[
self.__order__]['price'] * (
1 +
self.__handlelist__[self.__order__]['commission'])
self.__position__[self.__handlelist__[self.__order__][
'code']] -= self.__handlelist__[self.__order__]['amount']
self.__order__ -= 1
#2、计算持仓价值
for key in self.__position__:
bar = bars.getBar(key)
if bar is not None:
__value += bar.getClose() * self.__position__[key]
self.__profit__ = __value - self.__cost__
self.profit.append(self.__profit__)
self.date.append(bars.getDateTime().strftime('%Y-%m-%d'))
self.cost.append(self.__cost__)
self.value.append(__value)
def onBars(self, bars):
if self.__atr[-1] is None or self.__atr[-15] is None:
return
preAtr = self.__atr[-15]
nowAtr = self.__atr[-1]
per = nowAtr * 0.75
if self.__position is None:
if per > preAtr:
sharesToBuy = int(self.getBroker().getCash(False) /
bar.getClose())
self.__position = self.enterLong(self.__instrument,
sharesToBuy, True)
# Enter a buy market order for 10 shares. The order is good till canceled.
# self.__position = self.enterLong(self.__instrument, 10, True)
#print dir(self.__position)
# Check if we have to exit the position.
elif per < preAtr and not self.__position.exitActive():
self.__position.exitMarket()
def onBars(self, bars):
# If a position was not opened, check if we should enter a long position.
bar = bars[self.__instrument]
# filter datetime
###################################################################################
filterCon = len(self.__close) < max(
self.__bollingerlength, self.__malength, self.__closelength)
self.__filterCon.append(filterCon)
if filterCon:
return
# record position
####################################################################################
if self.__longPos is not None and self.__shortPos is None:
self.__p.append(1)
elif self.__longPos is None and self.__shortPos is not None:
self.__p.append(-1)
else:
self.__p.append(0)
# calculate ccMA
####################################################################################
ccMACon1 = self.__longPos is not None or self.__shortPos is not None
ccMACon2 = self.__malength > self.__ccMAlength
if ccMACon1 and ccMACon2:
self.__malength = self.__malength - 1
elif not ccMACon1:
self.__malength = 50
self.__ccMA = np.mean(self.__close[-self.__malength:])
# print self.__malength, self.__ccMA
self.__MA.append(self.__ccMA)
self.__ccMACon1.append(ccMACon1)
self.__ccMACon2.append(ccMACon2)
#open and close condition
######################################################################################
self.__enterLong1 = (cross.cross_above(self.__high, self.__UpperBand) >
0)
self.__enterLong2 = (bar.getClose() >= max(
self.__close[-self.__closelength:]))
self.__enter = ((self.__UpperBand[-1] - self.__LowerBand[-1]) /
bar.getClose() > float(self.__space) / 1000)
# print (self.__UpperBand[-1] - self.__LowerBand[-1]) / bar.getClose()
self.__enterShort1 = cross.cross_below(self.__low,
self.__LowerBand) > 0
self.__enterShort2 = bar.getClose() <= min(
self.__close[-self.__closelength:])
self.__exitLong1 = (bar.getClose() < self.__ccMA)
self.__exitLong2 = (self.__ccMA < self.__UpperBand[-1])
self.__exitShort1 = (bar.getClose() > self.__ccMA)
self.__exitShort2 = (self.__ccMA > self.__LowerBand[-1])
self.__enterCon.append(self.__enter)
self.__enterLongCon1.append(self.__enterLong1)
self.__enterLongCon2.append(self.__enterLong2)
self.__enterShortCon1.append(self.__enterShort1)
self.__enterShortCon2.append(self.__enterShort2)
self.__exitLongCon1.append(self.__exitLong1)
self.__exitLongCon2.append(self.__exitLong2)
self.__exitShortCon1.append(self.__exitShort1)
self.__exitShortCon2.append(self.__exitShort2)
#open and close
#######################################################################################
if self.__longPos is not None:
if self.exitLongSignal():
self.__longPos.exitMarket()
# if self.__shortPos is not None:
# print 11
# self.info("intend long close")
# print (self.__UpperBand[-1] - self.__LowerBand[-1]) / bar.getClose()
elif self.__shortPos is not None:
if self.exitShortSignal():
self.__shortPos.exitMarket()
# self.info("intend short close")
# print (self.__UpperBand[-1] - self.__LowerBand[-1]) / bar.getClose()
else:
if self.enterLongSignal():
shares = int(self.getBroker().getCash() * 0.2 /
bars[self.__instrument].getPrice())
self.__longPos = self.enterLong(self.__instrument, shares)
# self.info("intend long open")
# print (self.__UpperBand[-1] - self.__LowerBand[-1]) / bar.getClose()
elif self.enterShortSignal():
shares = int(self.getBroker().getCash() * 0.2 /
bars[self.__instrument].getPrice())
self.__shortPos = self.enterShort(self.__instrument, shares)
def onBars(self, bars):
# get Close price and budget ...
bar = bars[self.__instrument]
price = bar.getClose()
# history prices
prices = self.getFeed()[
self.__instrument].getCloseDataSeries()[-self.__RLhistory:]
# if list is shorter than history, prepend zeros
target_length = self.__RLhistory
if len(prices) < target_length:
prices_lst = [0] * (target_length - len(prices)) + prices
else:
prices_lst = prices
# array shape manipulations
budget = np.array([self.__RLinitialCash]).reshape(1, 1)
n_coins = np.array([self.__RLncoins]).reshape(1, 1)
i_prices = np.array(prices_lst).reshape(1, self.__RLhistory)
current_state = np.asmatrix(np.hstack((i_prices, budget, n_coins)))
current_portfolio = self.getBroker().getEquity()
action = self.__RLpolicy.select_action(current_state)
# If a position was not opened, check if policy gave "Buy" action and enter a long position.
if self.__position is None:
if action == "Buy":
self.info("Policy action 'BUY'. Trying to Buy at %s" %
self.__ask)
try:
self.__position = self.enterLongLimit(
self.__instrument, self.__ask, self.__posSize, True)
self.__RLncoins += self.__posSize
# update DB
update_df = pd.DataFrame(
{
"Start time": [self.__start_time],
"Action": [action],
"Portfolio value": [self.getResult()]
},
index=[
datetime.datetime.now().strftime(
'%Y-%m-%d %H:%M:%S')
])
pandas_to_db(update_df, "trader", "rl_papertrade")
except Exception as e:
self.error("Failed to buy: %s" % e)
else:
pass
# Check if we have to close the position.
elif not self.__position.exitActive() and action == "Sell":
try:
self.info("Policy action 'SELL'. Trying to Sell at %s" %
self.__bid)
self.__position.exitLimit(self.__bid)
self.__RLncoins -= self.__posSize
# update DB
update_df = pd.DataFrame(
{
"Start time": [self.__start_time],
"Action": [action],
"Portfolio value": [self.getResult()]
},
index=[
datetime.datetime.now().strftime('%Y-%m-%d %H:%M:%S')
])
pandas_to_db(update_df, "trader", "rl_papertrade")
except Exception as e:
self.error("Failed to sell: %s" % e)
else:
pass
new_portfolio = self.getBroker().getCash() + self.__RLncoins * price
reward = new_portfolio - current_portfolio
n_coins = np.array([self.__RLncoins]).reshape(1, 1)
next_state = np.asmatrix(np.hstack((i_prices, budget, n_coins)))
self.__RLpolicy.update_q(current_state, reward, next_state)
def updateParams(self, bar):
self.day_closeDataList.append(bar.getClose())
closeDataArray = np.array(self.day_closeDataList)
self.day_closeDataList.pop(-1)
self.UPPER, self.MIDDLE, self.LOWER = ta.BBANDS(
closeDataArray.astype('float'), 20, 2, 2, 0)
def onBars(self, bars):
# If a position was not opened, check if we should enter a long position.
bar = bars[self.__instrument]
# filter datetime
###################################################################################
filterCon = len(self.__close) < max(self.__bollingerlength, self.__malength, self.__closelength)
self.__filterCon.append(filterCon)
if filterCon:
return
# record position
####################################################################################
if self.__longPos is not None and self.__shortPos is None:
self.__p.append(1)
elif self.__longPos is None and self.__shortPos is not None:
self.__p.append(-1)
else:
self.__p.append(0)
# calculate ccMA
####################################################################################
ccMACon1 = self.__longPos is not None or self.__shortPos is not None
ccMACon2 = self.__malength > self.__ccMAlength
if ccMACon1 and ccMACon2:
self.__malength = self.__malength - 1
elif not ccMACon1:
self.__malength = 50
self.__ccMA = np.mean(self.__close[-self.__malength:])
# print self.__malength, self.__ccMA
self.__MA.append(self.__ccMA)
self.__ccMACon1.append(ccMACon1)
self.__ccMACon2.append(ccMACon2)
#open and close condition
######################################################################################
self.__enterLong1 = (cross.cross_above(self.__high, self.__UpperBand) > 0)
self.__enterLong2 = (bar.getClose() >= max(self.__close[-self.__closelength:]))
self.__enter = ((self.__UpperBand[-1] - self.__LowerBand[-1]) / bar.getClose() > float(self.__space) / 1000)
# print (self.__UpperBand[-1] - self.__LowerBand[-1]) / bar.getClose()
self.__enterShort1 = cross.cross_below(self.__low, self.__LowerBand) > 0
self.__enterShort2 = bar.getClose() <= min(self.__close[-self.__closelength:])
self.__exitLong1 = (bar.getClose() < self.__ccMA)
self.__exitLong2 = (self.__ccMA < self.__UpperBand[-1])
self.__exitShort1 = (bar.getClose() > self.__ccMA)
self.__exitShort2 = (self.__ccMA > self.__LowerBand[-1])
self.__enterCon.append(self.__enter)
self.__enterLongCon1.append(self.__enterLong1)
self.__enterLongCon2.append(self.__enterLong2)
self.__enterShortCon1.append(self.__enterShort1)
self.__enterShortCon2.append(self.__enterShort2)
self.__exitLongCon1.append(self.__exitLong1)
self.__exitLongCon2.append(self.__exitLong2)
self.__exitShortCon1.append(self.__exitShort1)
self.__exitShortCon2.append(self.__exitShort2)
#open and close
#######################################################################################
if self.__longPos is not None:
if self.exitLongSignal():
self.__longPos.exitMarket()
# if self.__shortPos is not None:
# print 11
# self.info("intend long close")
# print (self.__UpperBand[-1] - self.__LowerBand[-1]) / bar.getClose()
elif self.__shortPos is not None:
if self.exitShortSignal():
self.__shortPos.exitMarket()
# self.info("intend short close")
# print (self.__UpperBand[-1] - self.__LowerBand[-1]) / bar.getClose()
else:
if self.enterLongSignal():
shares = int(self.getBroker().getCash() * 0.2 / bars[self.__instrument].getPrice())
self.__longPos = self.enterLong(self.__instrument, shares)
# self.info("intend long open")
# print (self.__UpperBand[-1] - self.__LowerBand[-1]) / bar.getClose()
elif self.enterShortSignal():
shares = int(self.getBroker().getCash() * 0.2 / bars[self.__instrument].getPrice())
self.__shortPos = self.enterShort(self.__instrument, shares)
def adjustBars(self): for key, value in self.__barsDict.iteritems(): basicbars = [] bars = value bars_in_dtrange = [bar for bar in bars if self.__startdate.replace(tzinfo=None) <= bar.getDateTime() <= self.__enddate.replace(tzinfo=None)] bars_in_dtrange.sort(key=lambda bar: bar.getDateTime(), reverse=True) k = 0 splitdataList = [] dividendList = [] for bar in bars_in_dtrange: splitdata = float(bar.getSplit()) dividend = float(bar.getDividend()) if splitdata != 1.0: splitdataList.append(bar.getSplit()) if dividend != 0.0: adjFactor = (bar.getClose() + bar.getDividend()) / bar.getClose() dividendList.append(adjFactor) #### Special case.... end date / analysis date nothing to do.. if (k==0): bar = BasicBar(bar.getDateTime(), bar.getOpen() , bar.getHigh(), bar.getLow(), bar.getClose(), bar.getVolume(), bar.getClose(), Frequency.DAY) basicbars.append(bar) else: #### Adjust OHLC & Volume data for split adjustments and dividend adjustments Open = bar.getOpen() High = bar.getHigh() Low = bar.getLow() Close = bar.getClose() Volume = bar.getVolume() ### adjust data for splits for split in splitdataList: Open = Open / split High = High / split Low = Low / split Close = Close /split Volume = Volume * split ### adjust data for dividends for adjFactor in dividendList: Open = Open / adjFactor High = High / adjFactor Low = Low / adjFactor Close = Close / adjFactor Volume = Volume * adjFactor bar = BasicBar(bar.getDateTime(), Open , High, Low, Close, Volume, Close, Frequency.DAY) basicbars.append(bar) k +=1 DateTimes = [] OpenSeries = SequenceDataSeries(4000) HighSeries = SequenceDataSeries(4000) LowSeries = SequenceDataSeries(4000) CloseSeries = SequenceDataSeries(4000) VolumeSeries = SequenceDataSeries(4000) TypicalSeries = SequenceDataSeries(4000) barSeries = BarDataSeries(4000) basicbars.sort(key=lambda bar: bar.getDateTime(), reverse=False) for bar in basicbars: DateTimes.append(bar.getDateTime()) OpenSeries.appendWithDateTime(bar.getDateTime(), bar.getOpen()) HighSeries.appendWithDateTime(bar.getDateTime(), bar.getHigh()) LowSeries.appendWithDateTime(bar.getDateTime(), bar.getLow()) CloseSeries.appendWithDateTime(bar.getDateTime(), bar.getClose()) VolumeSeries.appendWithDateTime(bar.getDateTime(), bar.getVolume()) TypicalSeries.appendWithDateTime(bar.getDateTime(), (bar.getClose()+bar.getHigh()+bar.getLow())/3.0) barSeries.appendWithDateTime(bar.getDateTime(), bar) self.__DateTimes[key+"_adjusted"] = DateTimes self.__OpenDataSeries[key+"_adjusted"] = OpenSeries self.__HighDataSeries[key+"_adjusted"] = HighSeries self.__LowDataSeries[key+"_adjusted"] = LowSeries self.__CloseDataSeries[key+"_adjusted"] = CloseSeries self.__VolumeDataSeries[key+"_adjusted"] = VolumeSeries self.__TypicalDataSeries[key+"_adjusted"] = TypicalSeries self.__barSeries[key+"_adjusted"] = barSeries
def onBars(self, bars):
bar = bars[self.__instrument]
self.info(bar.getClose())
def __addBar(self, symbol, bar, cursor):
string = ("INSERT INTO data (`symbol`, `date`,`milliseconds`, `open`, `close`, `high`, `low`, `volume`) " +
"VALUES ('{0:s}', '{1:%Y-%m-%d %H:%M:%S}', '{4:d}','{2:f}', '{2:f}', '{2:f}', '{2:f}', '{3:f}')")
queryStr = string.format(symbol, bar.getDateTime(), bar.getClose(), bar.getVolume(), bar.getMilliSeconds())
cursor.execute(queryStr)
def onBars(self, bars): # 每一个数据都会抵达这里
bar = bars[self.__instrument]
self.info("%s %s %s" % (bar.getClose(), self.__sma[-1],
self.__sma_rsi[-1])) # 我们打印输出收盘价与两分钟均线值
def onBars(self, bars):
bar = bars[self.__instrument]
# tmp_dtime = bar.getDateTime()
self.__dtime = bar.getDateTime()
if (None is self.lastDate):
self.lastDate = self.__dtime.date()
else:
if (self.lastDate != self.__dtime.date()):
self.lastDate = self.__dtime.date()
self.__resetORHL()
else:
self.barIntradayCount += 1
## intraday dynamics
if (self.openrange > self.barIntradayCount):
if bar.getHigh() > self.orh:
self.orh = bar.getHigh()
if bar.getLow() < self.orl:
self.orl = bar.getLow()
elif (self.openrange == self.barIntradayCount):
self.__resetAC()
elif (self.__dtime.time() > self.exitIntradayTradeTime):
self.exitAllPositions()
else:
self.__clos = bar.getClose()
self.__dynamics(self.__clos)
if (0 == self.stateA):
tmp_0 = self.processEvent1()
if (1 <= tmp_0):
self.action_init2up()
elif (-1 >= tmp_0):
self.action_init2down()
else:
if (1 == self.stateA):
if (6 == self.stateB):
tmp_6 = self.processEvent1()
if (1 <= tmp_6):
self.action_upempty2duo()
elif (-2 == tmp_6):
self.action_upempty2kong()
elif (2 == self.stateB):
tmp_2 = self.processEvent3()
if (1 == tmp_2):
self.action_upduo2exit_time()
elif (4 == self.stateB):
tmp_4 = self.processEvent3()
if (1 == tmp_4):
self.action_upkong2exit_time()
else: # self.stateA == -1
if (6 == self.stateB):
tmp_6 = self.processEvent1()
if (2 == tmp_6):
self.action_downempty2duo()
elif (-1 >= tmp_6):
self.action_downempty2kong()
elif (2 == self.stateB):
tmp_2 = self.processEvent3()
if (1 == tmp_2):
self.action_downduo2exit_time()
elif (4 == self.stateB):
tmp_4 = self.processEvent3()
if (1 == tmp_4):
self.action_downkong2exit_time()
def resampledOnBar(self, bars):
bar = bars[self.__instrument] # pyalgotrade.bar.BasicBar object
# print("Date: {} Close: {} PriceHigh: {}" .format(bar.getDateTime(), round(bar.getClose(),2), round(bar.getHigh(),2) ))
shares = int(self.getBroker().getCash() * 0.5 / bar.getHigh()) # 80% of cash stock
# print("this is current total cash {}" .format(round(self.getBroker().getCash(),2)))
# print("shares is {}" .format(shares))
print("Date: {} Open: {} Close: {} PriceLow: {} PriceHigh: {} ".format(bar.getDateTime(), round(bar.getOpen(), 2), round(bar.getClose(), 2),round(bar.getLow()), round(bar.getHigh())))
if self.__position is None:
self.__position = self.enterLong(self.__instrument, shares, False, True) # this to enter market order # pyalgotrade.strategy.position.LongPosition object
print("enter long for {} shares at {} price".format(shares, bar.getPrice()))
print("remaining cash is " + str(self.getBroker().getCash()))
print("position is " + str(self.__position.getShares()))
elif not self.__position.exitActive(): # Returns True if the exit order is active
# if not exit orders being active
self.__position.exitMarket(True) # this just submits the market order and self.__position becomes none
print("exit for {} shares at {} price".format(self.__position.getShares(), bar.getPrice()))
print("remaining cash is " + str(self.getBroker().getCash()))
print("position is " + str(self.__position.getShares()))
