def quotation_server(redis_url):
"""
[sys_stock_realtime] quotation service, download market data into redis
Multiple RQAlpha instance can use single market data service.
"""
import redis
import time
import json
from .utils import get_realtime_quotes
redis_client = redis.from_url(redis_url)
from rqalpha.data.data_proxy import DataProxy
config = parse_config({}, verify_config=False)
data_source = BaseDataSource(config.base.data_bundle_path)
data_proxy = DataProxy(data_source)
order_book_id_list = sorted(ins.order_book_id for ins in data_proxy.all_instruments("CS"))
def record_market_data(total_df):
for order_book_id, item in total_df.iterrows():
redis_client[order_book_id] = json.dumps(item.to_dict())
while True:
try:
total_df = get_realtime_quotes(order_book_id_list, include_limit=True)
except Exception as e:
system_log.exception("get_realtime_quotes fail. {}", e)
continue
system_log.info("Fetching snapshots, size {}", len(total_df))
record_market_data(total_df)
time.sleep(1)
def quotation_server(redis_url):
"""
[stock_realtime] quotation service, download market data into redis
Multiple RQAlpha instance can use single market data service.
"""
import redis
import time
import json
from .utils import get_realtime_quotes
redis_client = redis.from_url(redis_url)
from rqalpha.environment import Environment
from rqalpha.data.data_proxy import DataProxy
# 通过 parse_config 函数 获取 默认 data_bundle 的配置
# 由于 parse_config 会进行配置检查，如果没有设置 account 会提示报错，因此随意设置一个股票初始资金，来保证正确获取默认参数配置
config = parse_config({
'base': {
'accounts': {
'stock': 10000
}
}
})
Environment(config)
data_source = BaseDataSource(config.base.data_bundle_path)
data_proxy = DataProxy(data_source)
order_book_id_list = sorted(ins.order_book_id for ins in data_proxy.all_instruments("CS"))
def record_market_data(total_df):
for order_book_id, item in total_df.iterrows():
redis_client[order_book_id] = json.dumps(item.to_dict())
retry_cnt = 0
while True:
try:
total_df = get_realtime_quotes(order_book_id_list, include_limit=True)
except (OSError, IOError) as e:
system_log.exception("get_realtime_quotes socket error. retry {} {}", retry_cnt, e)
time.sleep(retry_cnt * 2)
retry_cnt += 1
continue
system_log.info("Fetching snapshots, size {}", len(total_df))
record_market_data(total_df)
time.sleep(1)
retry_cnt = 0
def quotation_server(redis_url):
"""
[sys_stock_realtime] quotation service, download market data into redis
Multiple RQAlpha instance can use single market data service.
"""
import redis
import time
import json
from .utils import get_realtime_quotes
redis_client = redis.from_url(redis_url)
from rqalpha.data.data_proxy import DataProxy
config = parse_config({}, verify_config=False)
data_source = BaseDataSource(config.base.data_bundle_path)
data_proxy = DataProxy(data_source)
order_book_id_list = sorted(ins.order_book_id
for ins in data_proxy.all_instruments("CS"))
def record_market_data(total_df):
for order_book_id, item in total_df.iterrows():
redis_client[order_book_id] = json.dumps(item.to_dict())
while True:
try:
total_df = get_realtime_quotes(order_book_id_list,
include_limit=True)
except Exception as e:
system_log.exception("get_realtime_quotes fail. {}", e)
continue
system_log.info("Fetching snapshots, size {}", len(total_df))
record_market_data(total_df)
time.sleep(1)
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