def __init__(self, meigaras=[]):
self.meigaras = meigaras
ts = f.get_json_data("ts_default")
self.init_amount = ts["init_amount"]
self.one_cycle_period = ts["one_cycle_period"]
self.division = ts["division"]
self.max_trade_amount_rate = ts["max_trade_amount_rate"]
self.min_points = ts["min_points"]
self.min_field_cnt = ts["min_field_cnt"]
self.startd = ts["startd"]
self.endd = ts["endd"]
self.prgnames = ts["prgnames"]
self.stocks = {}
self.traders = {}
self.relative_date_idx = 0
self.tm = TraderMemory(meigaras, self.startd, self.endd)
self.account = Account(self.tm)
self._get_lms()
class Simulator(object):
account = None
one_cycle_period = 0
division = 0
max_trade_amount_rate = 0
min_points = 0
min_field_cnt = 0
startd = ""
endd = ""
traders = {}
prgnames = []
lms = []
tm = None
relative_date_idx = 0
meigaras = []
def __init__(self, meigaras=[]):
self.meigaras = meigaras
ts = f.get_json_data("ts_default")
self.init_amount = ts["init_amount"]
self.one_cycle_period = ts["one_cycle_period"]
self.division = ts["division"]
self.max_trade_amount_rate = ts["max_trade_amount_rate"]
self.min_points = ts["min_points"]
self.min_field_cnt = ts["min_field_cnt"]
self.startd = ts["startd"]
self.endd = ts["endd"]
self.prgnames = ts["prgnames"]
self.stocks = {}
self.traders = {}
self.relative_date_idx = 0
self.tm = TraderMemory(meigaras, self.startd, self.endd)
self.account = Account(self.tm)
self._get_lms()
def _get_lms(self):
tbl.create_table("learned_memory")
tbl.truncate_table("learned_memory")
for prg in self.prgnames:
pf_table = "pf_%s" % prg
tp_table = "tp_%s" % prg
self.lms.append(LearnedMemory(prg, "ts_default", "BUY"))
def simulate(self):
datelist = dtf.get_datestr(self.startd, self.endd)
self.relative_date_idx = 0
for d in datelist:
self._set_date(d)
self.sell()
trader = self.choose(self.meigaras, self.traders.keys())
self.buy(trader)
self.relative_date_idx += 1
if self.relative_date_idx == self.one_cycle_period and self.one_cycle_period > 0:
self.relative_date_idx = 0
eval_price = self.account.get_eval_price()
init_amount = self.account.get_init_amount()
#self._sell_all()
f.log("Final evaluate amount is " + str(eval_price))
f.log("Finished simulation.")
def sell(self):
for code in self.traders.keys():
buyprice = self.account.get_buy_price(code)
datestr = self.account.get_date()
trader = self.traders[code]
(sell_sign, desc) = trader.check_sell_sign(datestr, buyprice)
if sell_sign:
self.account.sell(code, 0, 0, desc)
del self.traders[code]
def _sell_all(self):
self.account.sell_all()
def choose(self, meigaras=[], ex_meigaras=[], choose_strictly=True):
for lm in self.lms:
lm.ins_top_meigaras(dtf.datestrsub(self._get_date(), 1), meigaras, ex_meigaras, choose_strictly)
return self._lm2trader()
def _lm2trader(self):
meigaras = self.traders.keys()
if len(meigaras) >= self.division:
f.log("Already holds %d stocks." % len(meigaras))
for i in range(0, self.division):
if len(meigaras) == 0:
wherestr = ""
else:
wherestr = "where %s" % (kf.where_code_in(meigaras, True))
strsql = "select name, code, fieldid, geneid, points, holding_days, trade_mode \
from trade.learned_memory %s order by points desc limit 100;" % (wherestr)
data = sql.exec_selsql(strsql)
if len(data) == 0:
f.log("No good meigaras to get this day.")
break
for row in data:
i = iter(row)
name = next(i)
code = next(i)
fieldid = next(i)
geneid = next(i)
points = next(i)
holding_days = int(next(i))
trade_mode = next(i)
if self.traders.has_key(code) == False:
return Trader(code, geneid, self.tm, trade_mode, holding_days,
"name=%s, fieldid=%s, geneid=%s, points=%s, holding_days=%s, trade_mode=%s" \
% (name, fieldid, geneid, str(points), str(holding_days), trade_mode))
#code, geneid, trader_memory, trade_mode, expected_trade_period, desc=""
def buy(self, trader):
holding_days = trader.get_max_holding_period()
if self.one_cycle_period > 0 and self.relative_date_idx + holding_days > self.one_cycle_period:
return
code = trader.get_code()
unit_price = self._get_price(code, self.account.get_date())
if unit_price <= 0:
return
cnt = self._get_buy_cnt(code, unit_price)
if cnt == 0:
return
desc = trader.get_desc()
self.account.buy(code, unit_price, cnt, desc)
self.traders[code] = trader
def _get_buy_cnt(self, code, unit_price):
balance = self.account.get_balance()
if unit_price > balance:
return 0
max_buy_price = self.init_amount / self.division
if max_buy_price < unit_price:
return 0
if max_buy_price > balance:
return balance / unit_price
return max_buy_price / unit_price
def _get_price(self, code, datestr):
try:
dateidx = self.tm.dates[code][datestr]
return self.tm.prices[code][dateidx]
except KeyError:
return -1
def _get_date(self):
return self.account.get_date()
def _set_date(self, datestr):
self.account.set_date(datestr)
