def real2_list(args):
td_db = get_mongodb(setup.trade_db_name)
ss = td_db.find(si.STRATEGY_INSTANCE_COLLECTION_NAME, {"user": args.user})
#pprint(ss)
all_value = 0
all_his_profit = 0
all_flo_profit = 0
all_commission = 0
title_head_fmt = "%-30s %10s%12s"
head_fmt = "%-30s %10s(%10.0f)"
title_profit_fmt = "%21s %21s %12s"
profit_fmt = "%12.2f(%6.2f%%) %12.2f(%6.2f%%) %12.2f"
title_tail_fmt = " %-60s %-20s %10s"
print(title_head_fmt % ("instance_id", "value", "") + title_profit_fmt % ("history_profit", "floating_profit", "commission") + title_tail_fmt % ("config_path", "exchange", "status"))
for s in ss:
instance_id = s["instance_id"]
exchange_name = s["exchange"]
value = s["value"]
config_path = s["config_path"]
if "status" in s:
status = s["status"]
else:
status = ""
if status != args.status and status != "":
continue
all_value += value
profit_info = ""
try:
config = xq.get_strategy_config(config_path)
symbol = config['symbol']
realEngine = RealEngine(instance_id, exchange_name, config, value)
orders = realEngine.get_orders(symbol)
pst_info = realEngine.get_pst_by_orders(orders)
history_profit, history_profit_rate, history_commission = realEngine.get_history(pst_info)
all_his_profit += history_profit
floating_profit, floating_profit_rate, floating_commission, cur_price = realEngine.get_floating(symbol, pst_info)
all_flo_profit += floating_profit
commission = history_commission + floating_commission
all_commission += commission
profit_info = profit_fmt % (history_profit, history_profit_rate*100, floating_profit, floating_profit_rate*100, commission)
except Exception as ept:
profit_info = "error: %s" % (ept)
print(head_fmt % (instance_id, value, (value+history_profit+floating_profit)) + profit_info + title_tail_fmt % (config_path, exchange_name, status))
if args.stat:
print(head_fmt % ("all", all_value, all_value+all_his_profit+all_flo_profit) + profit_fmt % (all_his_profit, all_his_profit/all_value*100, all_flo_profit, all_flo_profit/all_value*100, all_commission))
def get_strategy_instance(sii):
db = get_mongodb(setup.trade_db_name)
db.ensure_index(STRATEGY_INSTANCE_COLLECTION_NAME, [("instance_id", 1)])
instances = db.find(STRATEGY_INSTANCE_COLLECTION_NAME,
{"instance_id": sii})
#print(instances)
if len(instances) is 0:
print("strategy instance id (%s) not exist!" % (sii))
exit(1)
elif len(instances) > 1:
exit(1)
return instances[0]
def __init__(self, exchange):
super().__init__(exchange)
self.md_db = get_mongodb(exchange)
self.tick_time = None
self.k1ms_cache = {}
self.k1ms_cache_s_time = {}
'''
self.k1ds_cache = None
self.k1ds_cache_s_time = None
self.k1ds_cache_e_time = None
'''
self.klines_cache = {}
def __init__(self, exchange_name, kline_data_type=kl.KLINE_DATA_TYPE_JSON):
super().__init__(exchange_name)
self.md_db = get_mongodb(exchange_name)
self.kline_data_type = kline_data_type
self.tick_time = None
self.k1ms_cache = {}
self.k1ms_cache_s_time = {}
'''
self.k1ds_cache = None
self.k1ds_cache_s_time = None
self.k1ds_cache_e_time = None
'''
self.klines_cache = {}
def __init__(self, instance_id, config, value, db_orders_name=None):
self.instance_id = instance_id
self.config = config
self.value = value
self.td_db = get_mongodb(db_order_name)
if db_orders_name:
self.db_orders_name = db_orders_name
self.td_db.ensure_index(db_orders_name, [("instance_id", 1),
("symbol", 1)])
self.can_open_long_time = None
self.can_open_short_time = None
self.tp_cc = {"base_open": 0}
def __init__(self,
instance_id,
exchange_name,
config,
value,
log_switch=False):
super().__init__(instance_id, config, value, log_switch)
self.db_orders_name = DB_ORDERS_NAME
self.td_db = get_mongodb(setup.trade_db_name)
self.td_db.ensure_index(self.db_orders_name, [("instance_id", 1),
("symbol", 1)])
self.__exchange = create_exchange(exchange_name)
if not self.__exchange:
print("Wrong exchange name: %s" % exchange_name)
exit(1)
self.md = ExchangeMD(self.__exchange, kl.KLINE_DATA_TYPE_JSON)
def real2_list(args):
td_db = get_mongodb(setup.trade_db_name)
ss = td_db.find(si.STRATEGY_INSTANCE_COLLECTION_NAME, {"user": args.user})
#pprint(ss)
title1_fmt = "%-30s %10s"
title2_fmt = "%-60s %-20s %10s"
print((title1_fmt + " %s " + title2_fmt) %
("instance_id", "value", " history_profit floating_profit",
"config_path", "exchange", "status"))
for s in ss:
instance_id = s["instance_id"]
exchange_name = s["exchange"]
value = s["value"]
config_path = s["config_path"]
if "status" in s:
status = s["status"]
else:
status = ""
if status != args.status and status != "":
continue
profit_info = ""
try:
config = xq.get_strategy_config(config_path)
symbol = config['symbol']
realEngine = RealEngine(instance_id, exchange_name, config, value)
orders = realEngine.get_orders(symbol)
pst_info = realEngine.get_pst_by_orders(orders)
history_profit, history_profit_rate, history_commission = realEngine.get_history(
pst_info)
floating_profit, floating_profit_rate, floating_commission, cur_price = realEngine.get_floating(
symbol, pst_info)
profit_info = "%10.2f(%6.2f%%) %10.2f(%6.2f%%)" % (
history_profit, history_profit_rate * 100, floating_profit,
floating_profit_rate * 100)
except Exception as ept:
profit_info = "error: %s" % (ept)
print((title1_fmt + " %s " + title2_fmt) %
(instance_id, value, profit_info, config_path, exchange_name,
status))
if __name__ == "__main__":
parser = add_common_arguments('Binance Importer')
args = parser.parse_args()
# print(args)
if not (args.s and args.k and args.m):
parser.print_help()
exit(1)
symbol = args.s
interval = timedelta(seconds=xq.get_interval_seconds(args.k))
collection = xq.get_kline_collection(symbol, args.k)
#print("collection: ", collection)
db = get_mongodb(args.m)
db.ensure_index(collection, [("open_time",1)], unique=True)
if args.r:
start_time, end_time = split_time_range(args.r)
else:
# 续接db中最后一条记录，至今天之前
klines = db.find_sort(collection, {}, 'open_time', -1, 1)
if len(klines) > 0:
start_time = (datetime.fromtimestamp(klines[0]["open_time"]/1000) + interval)
else:
start_time = None
end_time = datetime.now()
exchange = create_exchange(args.m)
if not exchange:
import utils.tools as ts
import common.xquant as xq
import common.kline as kl
import common.log as log
from exchange.exchange import get_exchange_names
from exchange.binanceExchange import BinanceExchange
import exchange.okex
from engine.backtestengine import BackTest
from engine.signalengine import TestSignal
from chart.chart import chart, chart_add_all_argument
from db.mongodb import get_mongodb
from md.dbmd import DBMD
BACKTEST_INSTANCES_COLLECTION_NAME = 'bt_instances'
bt_db = get_mongodb('backtest')
def create_instance_id():
instance_id = datetime.now().strftime("%Y%m%d-%H%M%S_") + str(
uuid.uuid1()) # 每次回测都是一个独立的实例
print('new id of instance: %s' % instance_id)
return instance_id
def get_time_range(md, symbol, time_range):
if time_range:
start_time, end_time = ts.parse_date_range(time_range)
else:
start_time = end_time = None
oldest_time = md.get_oldest_time(symbol, kl.KLINE_INTERVAL_1MINUTE)
def delete_strategy_instance(query):
db = get_mongodb(setup.trade_db_name)
db.delete_one(STRATEGY_INSTANCE_COLLECTION_NAME, query)
def update_strategy_instance(query, record):
db = get_mongodb(setup.trade_db_name)
db.update(STRATEGY_INSTANCE_COLLECTION_NAME, query, record)
def add_strategy_instance(record):
db = get_mongodb(setup.trade_db_name)
db.insert_one(STRATEGY_INSTANCE_COLLECTION_NAME, record)
