def do_initialize(self, engine: Engine):
engine.register_event(
EventDefinition(ed_type=EventDefinitionType.TIME,
time_rule=MarketOpen()), self.market_open)
engine.register_event(
EventDefinition(ed_type=EventDefinitionType.TIME,
time_rule=MarketClose(offset=-1)),
self.market_close)
def do_initialize(self, engine: Engine, data_portal: DataPortal):
if engine.is_backtest:
market_close = EventDefinition(ed_type=EventDefinitionType.TIME, time_rule=MarketClose())
market_open = EventDefinition(ed_type=EventDefinitionType.TIME, time_rule=MarketOpen())
else:
market_open = EventDefinition(ed_type=EventDefinitionType.TIME, time_rule=MarketOpen(second_offset=5))
market_close = EventDefinition(ed_type=EventDefinitionType.TIME, time_rule=MarketClose(second_offset=-60))
market_close_set_price = EventDefinition(ed_type=EventDefinitionType.TIME,
time_rule=MarketClose())
engine.register_event(market_close_set_price, self.set_close_price)
engine.register_event(market_open, self.market_open)
engine.register_event(market_close, self.market_close)
# 初始化昨日开盘价和收盘价
self.last_open = None
self.last_close = None
if not engine.is_backtest:
command = HistoryDataQueryCommand(None, None, self.scope.codes, window=1)
command.with_calendar(trading_calendar=self.scope.trading_calendar)
df = data_portal.history_data("ibAdjustedDailyBar", command)
if len(df) >= 1:
self.last_open = df.iloc[-1]['open']
self.last_close = df.iloc[-1]['close']
logging.info("初始化数据成功，昨日开盘价:{}, 昨日收盘价:{}, bar的开始时间:{}"
.format(self.last_open, self.last_close, df.iloc[-1]['start_time']))
else:
raise RuntimeError("没有获取到昨日开盘价和收盘价")
# self.last_open = 35.17
# self.last_close = 33.77
if len(self.scope.codes) != 1:
raise RuntimeError("wrong codes")
self.code = self.scope.codes[0]
def do_initialize(self, engine: Engine, data_portal: DataPortal):
if engine.is_backtest:
raise RuntimeError("不支持回测")
engine.register_event(EventDefinition(ed_type=EventDefinitionType.DATA, ts_type_name='ibTick',
event_data_type=EventDataType.TICK), self.on_tick)
engine.register_event(event_definition=EventDefinition(ed_type=EventDefinitionType.TIME, time_rule=MarketOpen()),
callback=self.market_open)
engine.register_event(
event_definition=EventDefinition(ed_type=EventDefinitionType.TIME, time_rule=MarketOpen()),
callback=self.market_close)
self.daily_ticks: DataFrame = DataFrame()
self.time_span = Timedelta(minutes=1)
self.threshold = 0.005
self.code = self.scope.codes[0]
self.market_is_open = self.scope.trading_calendar.is_open_on_minute(Timestamp.now(tz='Asia/Shanghai'))