Esempio n. 1
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 def __init__(self, engine, user, strategy, name, symbols, time_frame, id=None, parent=None):
     """
     信号对象,每一个信号即为策略代码中不以init为名的任意最外层函数,订阅某些品种的行情数据,运行于特定时间框架下。
     通过两个EventPacker(事件打包器)接受StrategyEngine中的DataCache(数据中转器)发出的行情事件来管理Bar数据的结构。
     :param engine:挂载运行的策略引擎
     :param symbols:所订阅行情数据的品种列表
     :param time_frame:所订阅行情数据的事件框架
     :param id:不需要传入,由SignalFactory自动管理。
     """
     Runnable.__init__(self)
     APIInterface.__init__(self)
     ConfigInterface.__init__(self, parent=parent)
     self._id = id
     self._user = user
     self._strategy = strategy
     self._name = name
     self._event_update = Event.create_event_type('SignalUpdate.%s.%s.%s' % (self._user, self._strategy, self._name),
                                                  priority=1).get_id()
     self._event_completed = Event.create_event_type(
         'SignalCompleted.%s.%s.%s' % (self._user, self._strategy, self._name), priority=2).get_id()
     self._update = SymbolBarUpdateEventsPacker(engine, symbols, time_frame, self._event_update)
     self._completed = SymbolBarCompletedEventsPacker(engine, symbols, time_frame, self._event_completed)
     self._parameters = OrderedDict()
     self._symbols = symbols
     self._time_frame = time_frame
     self._engine = engine
     self._handler = None
     self._generator = None
     self._gene_instance = None
     self._bar_num = 0  # 暂时使用在LocalsInjector中改写的方式
     self._environment = None
Esempio n. 2
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 def __init__(self, engine, code, parent=None):
     """Constructor"""
     super().__init__()
     LoggerInterface.__init__(self, parent=parent)
     APIInterface.__init__(self)
     Runnable.__init__(self)
     ConfigInterface.__init__(self, parent=parent)
     self.__id = self.next_auto_inc()
     self.user = self.config.user
     self.user_dir = UserDirectory(User(self.config.user))
     self.__strategy_code = StrategyCode(self.config.name, code)
     self.__code_parser = None
     self.engine = proxy(engine)
     self.time_frame = self.config.time_frame
     self.symbols = self.config.symbols
     self.start_time = self.config.start_time
     self.end_time = self.config.end_time
     self.capital_base = self.config.capital_base
     self.handlers = {}
     self.signal_factory = SignalFactory()
     self.signals = {}
     self.system_functions = {}
     self.series_storage = {}
     self.printer = FilePrinter(self.config.user, self.config.name, self.engine)
     self.__context = {}
     self._setting()
     self.logger_name = "Strategy"
Esempio n. 3
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 def __init__(self, engine, code, parent=None):
     """Constructor"""
     super().__init__()
     LoggerInterface.__init__(self, parent=parent)
     APIInterface.__init__(self)
     Runnable.__init__(self)
     ConfigInterface.__init__(self, parent=parent)
     self.__id = self.next_auto_inc()
     self.user = self.config.user
     self.user_dir = UserDirectory(User(self.config.user))
     self.__strategy_code = StrategyCode(self.config.name, code)
     self.__code_parser = None
     self.engine = proxy(engine)
     self.time_frame = self.config.time_frame
     self.symbols = self.config.symbols
     self.start_time = self.config.start_time
     self.end_time = self.config.end_time
     self.capital_base = self.config.capital_base
     self.handlers = {}
     self.signal_factory = SignalFactory()
     self.signals = {}
     self.system_functions = {}
     self.series_storage = {}
     self.printer = FilePrinter(self.config.user, self.config.name,
                                self.engine)
     self.__context = {}
     self._setting()
     self.logger_name = "Strategy"
Esempio n. 4
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 def __init__(self, engine, parent=None):
     LoggerInterface.__init__(self, parent=parent)
     Runnable.__init__(self)
     APIInterface.__init__(self)
     ConfigInterface.__init__(self, parent=parent)
     self._engine = proxy(engine)  # 避免循环引用
     self._tick_cache = {}
     self._running = False
     self._data_view = QuotationDataView()
     self._symbol_pool = {}
     self.current_time = None  # 目前数据运行到的时间,用于计算回测进度
     self._min_time_frame = None
     self._count = 0
     self.logger_name = "QuotationManager"
Esempio n. 5
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 def __init__(self, engine, quotation_manager, account_manager, parent=None):
     APIInterface.__init__(self)
     LoggerInterface.__init__(self, parent=parent)
     ConfigInterface.__init__(self, parent=parent)
     self._engine = proxy(engine)
     self.__quotation_manager = proxy(quotation_manager)
     self.__account_manager = proxy(account_manager)
     self.__factory = TradingDataFactory(parent=self)
     self.__orders_ur = defaultdict(OrdersUr)  # orders unrealized 还未被处理的订单请求
     self.__orders_done = {}  # 保存所有已处理报单数据的字典
     self.__orders_todo = {}  # 保存所有未处理报单(即挂单)数据的字典 key:id
     self.__orders_todo_index = {}  # 同上 key:symbol
     self.__positions = {}  # Key:id, value:position with responding id
     self.__current_positions = {}  # key:symbol,value:current position
     self.max_margin = 0
     self.logger_name = "TradingManager"
Esempio n. 6
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 def __init__(self,
              engine,
              user,
              strategy,
              name,
              symbols,
              time_frame,
              id=None,
              parent=None):
     """
     信号对象,每一个信号即为策略代码中不以init为名的任意最外层函数,订阅某些品种的行情数据,运行于特定时间框架下。
     通过两个EventPacker(事件打包器)接受StrategyEngine中的DataCache(数据中转器)发出的行情事件来管理Bar数据的结构。
     :param engine:挂载运行的策略引擎
     :param symbols:所订阅行情数据的品种列表
     :param time_frame:所订阅行情数据的事件框架
     :param id:不需要传入,由SignalFactory自动管理。
     """
     Runnable.__init__(self)
     APIInterface.__init__(self)
     ConfigInterface.__init__(self, parent=parent)
     self._id = id
     self._user = user
     self._strategy = strategy
     self._name = name
     self._event_update = Event.create_event_type(
         'SignalUpdate.%s.%s.%s' % (self._user, self._strategy, self._name),
         priority=1).get_id()
     self._event_completed = Event.create_event_type(
         'SignalCompleted.%s.%s.%s' %
         (self._user, self._strategy, self._name),
         priority=2).get_id()
     self._update = SymbolBarUpdateEventsPacker(engine, symbols, time_frame,
                                                self._event_update)
     self._completed = SymbolBarCompletedEventsPacker(
         engine, symbols, time_frame, self._event_completed)
     self._parameters = OrderedDict()
     self._symbols = symbols
     self._time_frame = time_frame
     self._engine = engine
     self._handler = None
     self._generator = None
     self._gene_instance = None
     self._bar_num = 0  # 暂时使用在LocalsInjector中改写的方式
     self._environment = None
Esempio n. 7
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 def __init__(self, parent=None):
     """Constructor"""
     LoggerInterface.__init__(self, parent=parent)
     Runnable.__init__(self)
     ConfigInterface.__init__(self, parent=parent)
     APIInterface.__init__(self)
     self.__event_engine = EventEngine(parent=self)  # 事件处理引擎
     self.__quotation_manager = QuotationManager(self, parent=self)  # 行情数据管理器
     if self.config.running_mode == RunningMode.backtest:
         self.__account_manager = BfAccountManager(parent=self)  # 账户管理
     else:
         self.__account_manager = FDTAccountManager(parent=self)
         self.mongo_user = MongoUser(self.config.user)
     self.__trading_manager = TradingManager(self, self.__quotation_manager, self.__account_manager,
                                             parent=self)  # 交易管理器
     if self.config.running_mode == RunningMode.backtest:
         self.__account_manager.set_trading_manager(self.__trading_manager)
     self.__strategys = {}  # 策略管理器
     self.__profit_records = []  # 保存账户净值的列表
     self.logger_name = "StrategyEngine"