def __init__(self, config):
Environment._env = self
self.config = config
self.data_proxy = None # type: Optional[rqalpha.data.data_proxy.DataProxy]
self.data_source = None
self.price_board = None
self.event_source = None
self.strategy_loader = None
self.global_vars = GlobalVars()
self.persist_provider = None
self.persist_helper = None
self.broker = None
self.profile_deco = None
self.system_log = system_log
self.user_log = user_log
self.user_system_log = user_system_log
self.event_bus = EventBus()
self.portfolio = None # type: Optional[rqalpha.portfolio.Portfolio]
self.calendar_dt = None # type: Optional[datetime]
self.trading_dt = None # type: Optional[datetime]
self.mod_dict = None
self.plot_store = None
self.user_strategy = None
self._frontend_validators = {}
self._transaction_cost_decider_dict = {}
# Environment.event_bus used in StrategyUniverse()
from rqalpha.core.strategy_universe import StrategyUniverse
self._universe = StrategyUniverse()
class Environment(object):
_env = None # type: Environment
def __init__(self, config):
Environment._env = self
self.config = config
self.data_proxy = None # type: Optional[rqalpha.data.data_proxy.DataProxy]
self.data_source = None
self.price_board = None
self.event_source = None
self.strategy_loader = None
self.global_vars = GlobalVars()
self.persist_provider = None
self.persist_helper = None
self.broker = None
self.profile_deco = None
self.system_log = system_log
self.user_log = user_log
self.user_system_log = user_system_log
self.event_bus = EventBus()
self.portfolio = None # type: Optional[rqalpha.portfolio.Portfolio]
self.calendar_dt = None # type: Optional[datetime]
self.trading_dt = None # type: Optional[datetime]
self.mod_dict = None
self.plot_store = None
self.user_strategy = None
self._frontend_validators = {}
self._transaction_cost_decider_dict = {}
# Environment.event_bus used in StrategyUniverse()
from rqalpha.core.strategy_universe import StrategyUniverse
self._universe = StrategyUniverse()
@classmethod
def get_instance(cls):
"""
返回已经创建的 Environment 对象
"""
if Environment._env is None:
raise RuntimeError(
_(u"Environment has not been created. Please Use `Environment.get_instance()` after RQAlpha init"
))
return Environment._env
def set_data_proxy(self, data_proxy):
self.data_proxy = data_proxy
def set_data_source(self, data_source):
self.data_source = data_source
def set_price_board(self, price_board):
self.price_board = price_board
def set_strategy_loader(self, strategy_loader):
self.strategy_loader = strategy_loader
def set_portfolio(self, portfolio):
self.portfolio = portfolio
def set_hold_strategy(self):
self.config.extra.is_hold = True
def cancel_hold_strategy(self):
self.config.extra.is_hold = False
def set_persist_helper(self, helper):
self.persist_helper = helper
def set_persist_provider(self, provider):
self.persist_provider = provider
def set_event_source(self, event_source):
self.event_source = event_source
def set_broker(self, broker):
self.broker = broker
def add_frontend_validator(self,
validator,
validator_type=FRONT_VALIDATOR_TYPE.OTHER):
# TODO: register validator with instrument_type
self._frontend_validators.setdefault(validator_type,
[]).append(validator)
def validate_order_submission(self, order):
if Environment.get_instance().config.extra.is_hold:
return False
try:
account = self.portfolio.get_account(order.order_book_id)
except NotImplementedError:
account = None
for validator_type, validators in iteritems(self._frontend_validators):
for v in validators:
if not v.can_submit_order(order, account):
return validator_type
def validate_order_cancellation(self, order):
if order.is_final():
return False
try:
account = self.get_account(order.order_book_id)
except NotImplementedError:
account = None
for validator_type, validators in iteritems(self._frontend_validators):
for v in validators:
if not v.can_cancel_order(order, account):
return validator_type
def can_submit_order(self, order):
return self.validate_order_submission(order) is None
def can_cancel_order(self, order):
return self.validate_order_cancellation(order) is None
def get_universe(self):
return self._universe.get()
def update_universe(self, universe):
self._universe.update(universe)
def get_plot_store(self):
if self.plot_store is None:
from rqalpha.utils.plot_store import PlotStore
self.plot_store = PlotStore()
return self.plot_store
def add_plot(self, series_name, value):
self.get_plot_store().add_plot(self.trading_dt.date(), series_name,
value)
def get_bar(self, order_book_id):
return self.data_proxy.get_bar(order_book_id, self.calendar_dt,
self.config.base.frequency)
def get_last_price(self, order_book_id):
return self.data_proxy.get_last_price(order_book_id)
def get_instrument(self, order_book_id):
return self.data_proxy.instruments(order_book_id)
def get_account_type(self, order_book_id):
return self.portfolio.get_account_type(order_book_id)
def get_account(self, order_book_id):
return self.portfolio.get_account(order_book_id)
def get_open_orders(self, order_book_id=None):
return self.broker.get_open_orders(order_book_id)
def set_transaction_cost_decider(self, instrument_type, decider):
# type: (INSTRUMENT_TYPE, rqalpha.interface.AbstractTransactionCostDecider) -> None
self._transaction_cost_decider_dict[instrument_type] = decider
def _get_transaction_cost_decider(self, order_book_id):
instrument_type = self.data_proxy.instruments(order_book_id).type
try:
return self._transaction_cost_decider_dict[instrument_type]
except KeyError:
raise NotImplementedError(
_(u"No such transaction cost decider, order_book_id = {}.".
format(order_book_id)))
def get_trade_tax(self, trade):
return self._get_transaction_cost_decider(
trade.order_book_id).get_trade_tax(trade)
def get_trade_commission(self, trade):
return self._get_transaction_cost_decider(
trade.order_book_id).get_trade_commission(trade)
def get_order_transaction_cost(self, order):
return self._get_transaction_cost_decider(
order.order_book_id).get_order_transaction_cost(order)
def update_time(self, calendar_dt, trading_dt):
# type: (datetime, datetime) -> None
self.calendar_dt = calendar_dt
self.trading_dt = trading_dt
def run(config, source_code=None, user_funcs=None):
env = Environment(config)
persist_helper = None
init_succeed = False
mod_handler = ModHandler()
try:
# avoid register handlers everytime
# when running in ipython
set_loggers(config)
basic_system_log.debug("\n" + pformat(config.convert_to_dict()))
env.set_strategy_loader(
init_strategy_loader(env, source_code, user_funcs, config))
env.set_global_vars(GlobalVars())
mod_handler.set_env(env)
mod_handler.start_up()
try:
future_info = config.base.future_info
except AttributeError:
pass
else:
deep_update(future_info, future_info_cn.CN_FUTURE_INFO)
if not env.data_source:
env.set_data_source(BaseDataSource(config.base.data_bundle_path))
if env.price_board is None:
from .core.bar_dict_price_board import BarDictPriceBoard
env.price_board = BarDictPriceBoard()
env.set_data_proxy(DataProxy(env.data_source, env.price_board))
Scheduler.set_trading_dates_(env.data_source.get_trading_calendar())
scheduler = Scheduler(config.base.frequency)
mod_scheduler._scheduler = scheduler
env._universe = StrategyUniverse()
_adjust_start_date(env.config, env.data_proxy)
# FIXME
start_dt = datetime.datetime.combine(config.base.start_date,
datetime.datetime.min.time())
env.calendar_dt = start_dt
env.trading_dt = start_dt
broker = env.broker
assert broker is not None
env.portfolio = broker.get_portfolio()
if env.benchmark_provider:
env.benchmark_portfolio = BenchmarkPortfolio(
env.benchmark_provider, env.portfolio.units)
event_source = env.event_source
assert event_source is not None
bar_dict = BarMap(env.data_proxy, config.base.frequency)
env.set_bar_dict(bar_dict)
ctx = ExecutionContext(const.EXECUTION_PHASE.GLOBAL)
ctx._push()
env.event_bus.publish_event(Event(EVENT.POST_SYSTEM_INIT))
scope = create_base_scope(config.base.run_type == RUN_TYPE.BACKTEST)
scope.update({"g": env.global_vars})
apis = api_helper.get_apis()
scope.update(apis)
scope = env.strategy_loader.load(scope)
if env.config.extra.enable_profiler:
enable_profiler(env, scope)
ucontext = StrategyContext()
scheduler.set_user_context(ucontext)
from .core.executor import Executor
executor = Executor(env)
persist_helper = init_persist_helper(env, scheduler, ucontext,
executor, config)
if persist_helper:
should_resume = persist_helper.should_resume()
should_run_init = persist_helper.should_run_init()
else:
should_resume = False
should_run_init = True
user_strategy = Strategy(env.event_bus, scope, ucontext,
should_run_init)
env.user_strategy = user_strategy
if (should_resume and not should_run_init) or not should_resume:
with run_with_user_log_disabled(disabled=should_resume):
user_strategy.init()
if config.extra.context_vars:
for k, v in six.iteritems(config.extra.context_vars):
if isinstance(v, RqAttrDict):
v = v.__dict__
setattr(ucontext, k, v)
if persist_helper:
env.event_bus.publish_event(Event(EVENT.BEFORE_SYSTEM_RESTORED))
env.event_bus.publish_event(Event(EVENT.DO_RESTORE))
env.event_bus.publish_event(Event(EVENT.POST_SYSTEM_RESTORED))
init_succeed = True
if should_resume and should_run_init:
user_strategy.init()
executor.run(bar_dict)
if env.profile_deco:
output_profile_result(env)
except CustomException as e:
if init_succeed and persist_helper and env.config.base.persist_mode == const.PERSIST_MODE.ON_CRASH:
persist_helper.persist()
code = _exception_handler(e)
mod_handler.tear_down(code, e)
except Exception as e:
if init_succeed and persist_helper and env.config.base.persist_mode == const.PERSIST_MODE.ON_CRASH:
persist_helper.persist()
exc_type, exc_val, exc_tb = sys.exc_info()
user_exc = create_custom_exception(exc_type, exc_val, exc_tb,
config.base.strategy_file)
code = _exception_handler(user_exc)
mod_handler.tear_down(code, user_exc)
else:
if persist_helper and env.config.base.persist_mode == const.PERSIST_MODE.ON_NORMAL_EXIT:
persist_helper.persist()
result = mod_handler.tear_down(const.EXIT_CODE.EXIT_SUCCESS)
system_log.debug(_(u"strategy run successfully, normal exit"))
return result
def run(config, source_code=None, user_funcs=None):
env = Environment(config)
persist_helper = None
init_succeed = False
mod_handler = ModHandler()
try:
# avoid register handlers everytime
# when running in ipython
set_loggers(config)
basic_system_log.debug("\n" + pformat(config.convert_to_dict()))
if source_code is not None:
env.set_strategy_loader(SourceCodeStrategyLoader(source_code))
elif user_funcs is not None:
env.set_strategy_loader(UserFuncStrategyLoader(user_funcs))
else:
env.set_strategy_loader(FileStrategyLoader(config.base.strategy_file))
env.set_global_vars(GlobalVars())
mod_handler.set_env(env)
mod_handler.start_up()
if not env.data_source:
env.set_data_source(BaseDataSource(config.base.data_bundle_path))
env.set_data_proxy(DataProxy(env.data_source))
Scheduler.set_trading_dates_(env.data_source.get_trading_calendar())
scheduler = Scheduler(config.base.frequency)
mod_scheduler._scheduler = scheduler
env._universe = StrategyUniverse()
_adjust_start_date(env.config, env.data_proxy)
_validate_benchmark(env.config, env.data_proxy)
# FIXME
start_dt = datetime.datetime.combine(config.base.start_date, datetime.datetime.min.time())
env.calendar_dt = start_dt
env.trading_dt = start_dt
broker = env.broker
assert broker is not None
env.portfolio = broker.get_portfolio()
env.benchmark_portfolio = create_benchmark_portfolio(env)
event_source = env.event_source
assert event_source is not None
bar_dict = BarMap(env.data_proxy, config.base.frequency)
env.set_bar_dict(bar_dict)
if env.price_board is None:
from .core.bar_dict_price_board import BarDictPriceBoard
env.price_board = BarDictPriceBoard()
ctx = ExecutionContext(const.EXECUTION_PHASE.GLOBAL)
ctx._push()
env.event_bus.publish_event(Event(EVENT.POST_SYSTEM_INIT))
scope = create_base_scope()
scope.update({
"g": env.global_vars
})
apis = api_helper.get_apis()
scope.update(apis)
scope = env.strategy_loader.load(scope)
if env.config.extra.enable_profiler:
enable_profiler(env, scope)
ucontext = StrategyContext()
user_strategy = Strategy(env.event_bus, scope, ucontext)
scheduler.set_user_context(ucontext)
if not config.extra.force_run_init_when_pt_resume:
with run_with_user_log_disabled(disabled=config.base.resume_mode):
user_strategy.init()
if config.extra.context_vars:
for k, v in six.iteritems(config.extra.context_vars):
setattr(ucontext, k, v)
if config.base.persist:
persist_provider = env.persist_provider
persist_helper = PersistHelper(persist_provider, env.event_bus, config.base.persist_mode)
persist_helper.register('core', CoreObjectsPersistProxy(scheduler))
persist_helper.register('user_context', ucontext)
persist_helper.register('global_vars', env.global_vars)
persist_helper.register('universe', env._universe)
if isinstance(event_source, Persistable):
persist_helper.register('event_source', event_source)
persist_helper.register('portfolio', env.portfolio)
if env.benchmark_portfolio:
persist_helper.register('benchmark_portfolio', env.benchmark_portfolio)
for name, module in six.iteritems(env.mod_dict):
if isinstance(module, Persistable):
persist_helper.register('mod_{}'.format(name), module)
# broker will restore open orders from account
if isinstance(broker, Persistable):
persist_helper.register('broker', broker)
persist_helper.restore()
env.event_bus.publish_event(Event(EVENT.POST_SYSTEM_RESTORED))
init_succeed = True
# When force_run_init_when_pt_resume is active,
# we should run `init` after restore persist data
if config.extra.force_run_init_when_pt_resume:
assert config.base.resume_mode == True
with run_with_user_log_disabled(disabled=False):
user_strategy.init()
from .core.executor import Executor
Executor(env).run(bar_dict)
if env.profile_deco:
output_profile_result(env)
except CustomException as e:
if init_succeed and env.config.base.persist and persist_helper:
persist_helper.persist()
code = _exception_handler(e)
mod_handler.tear_down(code, e)
except Exception as e:
if init_succeed and env.config.base.persist and persist_helper:
persist_helper.persist()
exc_type, exc_val, exc_tb = sys.exc_info()
user_exc = create_custom_exception(exc_type, exc_val, exc_tb, config.base.strategy_file)
code = _exception_handler(user_exc)
mod_handler.tear_down(code, user_exc)
else:
result = mod_handler.tear_down(const.EXIT_CODE.EXIT_SUCCESS)
system_log.debug(_(u"strategy run successfully, normal exit"))
return result
def init_fixture(self):
from rqalpha.core.strategy_universe import StrategyUniverse
super(UniverseFixture, self).init_fixture()
self.env._universe = StrategyUniverse()
def run(config, source_code=None, user_funcs=None):
env = Environment(config)
persist_helper = None
init_succeed = False
mod_handler = ModHandler() #初始化模块处理器，包含list和dict，存储模块名和配置信息
try:
# avoid register handlers everytime
# when running in ipython
set_loggers(config)
basic_system_log.debug("\n" + pformat(config.convert_to_dict()))
if source_code is not None:
env.set_strategy_loader(SourceCodeStrategyLoader(source_code))
elif user_funcs is not None:
env.set_strategy_loader(UserFuncStrategyLoader(user_funcs))
else: #将文件路径赋予env中的属性
env.set_strategy_loader(
FileStrategyLoader(config.base.strategy_file))
env.set_global_vars(GlobalVars())
mod_handler.set_env(env) #根据config读取mod，并绑定到env变量
mod_handler.start_up() #运行每个mod的启动函数，传入env.config，以及mod自己的config，后者冗余？
if not env.data_source:
env.set_data_source(data_k_bar) #BaseDataSource：读取bar数据，存储到对象属性中
env.set_data_proxy(DataProxy(env.data_source))
Scheduler.set_trading_dates_(env.data_source.get_trading_calendar())
scheduler = Scheduler(config.base.frequency)
mod_scheduler._scheduler = scheduler
env._universe = StrategyUniverse()
_adjust_start_date(env.config, env.data_proxy)
_validate_benchmark(env.config, env.data_proxy)
# FIXME
start_dt = datetime.datetime.combine(config.base.start_date,
datetime.datetime.min.time())
env.calendar_dt = start_dt
env.trading_dt = start_dt
broker = env.broker
assert broker is not None
env.portfolio = broker.get_portfolio()
env.benchmark_portfolio = create_benchmark_portfolio(env)
event_source = env.event_source
assert event_source is not None
#包含 data_proxy, frequency ...
bar_dict = BarMap(env.data_proxy, config.base.frequency)
env.set_bar_dict(bar_dict) #本地历史行情对象，包含所有
#获取最新价格
if env.price_board is None:
from .core.bar_dict_price_board import BarDictPriceBoard
env.price_board = BarDictPriceBoard()
ctx = ExecutionContext(const.EXECUTION_PHASE.GLOBAL)
ctx._push()
env.event_bus.publish_event(Event(EVENT.POST_SYSTEM_INIT))
#全局文件路径、文件名、log入口等，作为参数传递给编译
scope = create_base_scope()
scope.update({"g": env.global_vars})
#用户策略可调用的api，包括历史行情、下单函数等
apis = api_helper.get_apis()
scope.update(apis)
#加载用户策略文件，并执行？
scope = env.strategy_loader.load(scope)
#是否启用性能分析
if env.config.extra.enable_profiler:
enable_profiler(env, scope)
#生成用户策略运行时上下文变量
ucontext = StrategyContext()
user_strategy = Strategy(env.event_bus, scope, ucontext)
scheduler.set_user_context(ucontext)
#没有若策略运行时数据持久化，运行用户init
if not config.extra.force_run_init_when_pt_resume:
with run_with_user_log_disabled(disabled=config.base.resume_mode):
user_strategy.init()
#是否在参数中存在用户输入的运行时环境变量
if config.extra.context_vars:
for k, v in six.iteritems(config.extra.context_vars):
setattr(ucontext, k, v)
if config.base.persist:
persist_provider = env.persist_provider
if persist_provider is None:
raise RuntimeError(
_(u"Missing persist provider. You need to set persist_provider before use persist"
))
persist_helper = PersistHelper(persist_provider, env.event_bus,
config.base.persist_mode)
env.set_persist_helper(persist_helper)
persist_helper.register('core', CoreObjectsPersistProxy(scheduler))
persist_helper.register('user_context', ucontext)
persist_helper.register('global_vars', env.global_vars)
persist_helper.register('universe', env._universe)
if isinstance(event_source, Persistable):
persist_helper.register('event_source', event_source)
persist_helper.register('portfolio', env.portfolio)
if env.benchmark_portfolio:
persist_helper.register('benchmark_portfolio',
env.benchmark_portfolio)
for name, module in six.iteritems(env.mod_dict):
if isinstance(module, Persistable):
persist_helper.register('mod_{}'.format(name), module)
# broker will restore open orders from account
if isinstance(broker, Persistable):
persist_helper.register('broker', broker)
env.event_bus.publish_event(Event(EVENT.BEFORE_SYSTEM_RESTORED))
persist_helper.restore()
env.event_bus.publish_event(Event(EVENT.POST_SYSTEM_RESTORED))
init_succeed = True
#若启用回测数据持久化，恢复时重新初始化用户策略
# When force_run_init_when_pt_resume is active,
# we should run `init` after restore persist data
if config.extra.force_run_init_when_pt_resume:
assert config.base.resume_mode == True
with run_with_user_log_disabled(disabled=False):
env._universe._set = set()
user_strategy.init()
from .core.executor import Executor
Executor(env).run(bar_dict)
if env.profile_deco:
output_profile_result(env)
except CustomException as e:
if init_succeed and env.config.base.persist and persist_helper and env.config.base.persist_mode == const.PERSIST_MODE.ON_CRASH:
persist_helper.persist()
code = _exception_handler(e)
mod_handler.tear_down(code, e)
except Exception as e:
if init_succeed and env.config.base.persist and persist_helper and env.config.base.persist_mode == const.PERSIST_MODE.ON_CRASH:
persist_helper.persist()
exc_type, exc_val, exc_tb = sys.exc_info()
user_exc = create_custom_exception(exc_type, exc_val, exc_tb,
config.base.strategy_file)
code = _exception_handler(user_exc)
mod_handler.tear_down(code, user_exc)
else:
if (env.config.base.persist and persist_helper
and env.config.base.persist_mode
== const.PERSIST_MODE.ON_NORMAL_EXIT):
persist_helper.persist()
result = mod_handler.tear_down(const.EXIT_CODE.EXIT_SUCCESS)
system_log.debug(_(u"strategy run successfully, normal exit"))
return result