class DataProxyFixture(BaseDataSourceFixture, BarDictPriceBoardFixture):
def __init__(self, *args, **kwargs):
super(DataProxyFixture, self).__init__(*args, **kwargs)
self.data_proxy = None
self.data_source = None
def init_fixture(self):
from rqalpha.data.data_proxy import DataProxy
super(DataProxyFixture, self).init_fixture()
if not self.data_source:
self.data_source = self.base_data_source
self.data_proxy = DataProxy(self.data_source, self.price_board)
self.env.set_data_proxy(self.data_proxy)
try:
self.env.config.base.trading_calendar = self.data_proxy.get_trading_dates(
self.env.config.base.start_date, self.env.config.base.end_date)
except AttributeError:
pass
@contextmanager
def mock_data_proxy_method(self, name, mock_method):
origin_method = getattr(self.env.data_proxy, name)
setattr(self.env.data_proxy, name, mock_method)
yield
setattr(self.env.data_proxy, name, origin_method)
class DataProxyFixture(BaseDataSourceFixture, BarDictPriceBoardFixture):
def __init__(self, *args, **kwargs):
super(DataProxyFixture, self).__init__(*args, **kwargs)
self.data_proxy = None
self.data_source = None
def init_fixture(self):
from rqalpha.data.data_proxy import DataProxy
super(DataProxyFixture, self).init_fixture()
if not self.data_source:
self.data_source = self.base_data_source
self.data_proxy = DataProxy(self.data_source, self.price_board)
self.env.set_data_proxy(self.data_proxy)
try:
self.env.config.base.trading_calendar = self.data_proxy.get_trading_dates(
self.env.config.base.start_date, self.env.config.base.end_date
)
except AttributeError:
pass
@contextmanager
def mock_data_proxy_method(self, name, mock_method):
origin_method = getattr(self.env.data_proxy, name)
setattr(self.env.data_proxy, name, mock_method)
yield
setattr(self.env.data_proxy, name, origin_method)
class RQAlphaDataBackend(DataBackend):
"""
目前仅支持日数据
"""
skip_suspended = True
def __init__(self, bundle_path="~/.rqalpha/bundle"):
try:
import rqalpha
except ImportError:
print("-" * 50)
print("Run `pip install rqalpha` to install rqalpha first")
print("-" * 50)
raise
# # FIXME
# import warnings
# warnings.simplefilter(action="ignore", category=FutureWarning)
from rqalpha.data.base_data_source import BaseDataSource
from rqalpha.data.data_proxy import DataProxy
self.data_proxy = DataProxy(
BaseDataSource(os.path.expanduser(bundle_path)))
def get_price(self, order_book_id, start, end, freq):
"""
:param order_book_id: e.g. 000002.XSHE
:param start: 20160101
:param end: 20160201
:returns:
:rtype: numpy.rec.array
"""
assert freq == "1d"
start = get_date_from_int(start)
end = get_date_from_int(end)
bar_count = (end - start).days
bars = self.data_proxy.history_bars(order_book_id,
bar_count,
freq,
field=None,
dt=datetime.datetime.combine(
end, datetime.time(23, 59,
59)))
if bars is None or len(bars) == 0:
raise KeyError("empty bars {}".format(order_book_id))
bars = bars.copy()
return bars
def get_order_book_id_list(self):
"""获取所有的
"""
import pandas as pd
insts = self.data_proxy.all_instruments("CS")
if isinstance(insts, pd.DataFrame):
# for old version of RQAlpha
return sorted(insts.order_book_id.tolist())
else:
# for new version fo RQAlpha
return sorted([inst.order_book_id for inst in insts])
def symbol(self, order_book_id):
"""获取order_book_id对应的名字
:param order_book_id str: 股票代码
:returns: 名字
:rtype: str
"""
return self.data_proxy.instruments(order_book_id).symbol
def get_trading_dates(self, start, end):
"""获取所有的交易日
:param start: 20160101
:param end: 20160201
"""
start = get_date_from_int(start)
end = get_date_from_int(end)
trading_dates = self.data_proxy.get_trading_dates(start, end).tolist()
trading_dates = [get_int_date(dt.date()) for dt in trading_dates]
return trading_dates
class RQAlphaDataBackend(DataBackend):
"""
目前仅支持日数据
"""
skip_suspended = True
def __init__(self,
bundle_path="~/.rqalpha/bundle",
start_date="2010-01-01"):
try:
import rqalpha
except ImportError:
print("-" * 50)
print("Run `pip install rqalpha` to install rqalpha first")
print("-" * 50)
raise
# FIXME
import warnings
warnings.simplefilter(action="ignore", category=FutureWarning)
from rqalpha.data.base_data_source import BaseDataSource
from rqalpha.data.data_proxy import DataProxy
self.analyse_start_date = start_date
self.data_proxy = DataProxy(
BaseDataSource(os.path.expanduser(bundle_path)))
def get_price(self, order_book_id, start, end):
"""
:param order_book_id: e.g. 000002.XSHE
:param start: 20160101
:param end: 20160201
:returns:
:rtype: numpy.rec.array
"""
start = get_date_from_int(start)
end = get_date_from_int(end)
bar_count = (end - start).days
bars = self.data_proxy.history_bars(order_book_id,
bar_count,
"1d",
field=None,
dt=datetime.datetime.combine(
end, datetime.time(23, 59,
59)))
if bars is None or len(bars) == 0:
raise KeyError("empty bars {}".format(order_book_id))
bars = bars.copy()
origin_bars = bars = bars.astype([('datetime', '<u8'), ('open', '<f8'),
('close', '<f8'), ('high', '<f8'),
('low', '<f8'), ('volume', '<f8'),
('total_turnover', '<f8')])
dtype = copy.deepcopy(bars.dtype)
names = list(dtype.names)
names[0] = "date"
dtype.names = names
bars = np.array(bars, dtype=dtype)
bars["date"] = origin_bars["datetime"] / 1000000
return bars
def get_order_book_id_list(self):
"""获取所有的
"""
return sorted(
self.data_proxy.all_instruments("CS").order_book_id.tolist())
def get_start_date(self):
"""获取回溯开始时间
"""
return str(self.analyse_start_date)
def symbol(self, order_book_id):
"""获取order_book_id对应的名字
:param order_book_id str: 股票代码
:returns: 名字
:rtype: str
"""
return self.data_proxy.instruments(order_book_id).symbol
def get_trading_dates(self, start, end):
"""获取所有的交易日
:param start: 20160101
:param end: 20160201
"""
start = get_date_from_int(start)
end = get_date_from_int(end)
trading_dates = self.data_proxy.get_trading_dates(start, end).tolist()
trading_dates = [get_int_date(dt.date()) for dt in trading_dates]
return trading_dates