async def _report(strategy):
global error_complete
try:
while True:
await asyncio.sleep(1)
if error_complete == 1:
return
clock = strategy.portfolio.context.clock
if clock.current_timestamp > clock.end_timestamp:
clock.run_end = time.time()
strategy.portfolio.context.completed_time = round(
clock.run_end - clock.run_start, 4)
# print('【handle总耗时】：{} s'.format(strategy.portfolio.context.completed_time))
strategy.simple_report()
strategy.complete_report()
break
if strategy.frequency in ['d', '1d', 'day', '1day']:
if clock.bars > Config.bars_length(): #这个在分钟线里怎么解决出错的问题
clock.reset_bars()
strategy.simple_report()
elif strategy.frequency in ['m', '1m', 'min', 'minute']:
if clock.bars > Config.bars_length_1m():
clock.reset_bars()
strategy.simple_report()
elif strategy.frequency in ['5m', '5mins', '5minutes']:
if clock.bars > Config.bars_length_5m():
clock.reset_bars()
strategy.simple_report()
except Exception as e:
error_complete = 1
raise e
def create_universe(universe=None):
"""
:param universe: ['BTC/USDT.okex', 'ETH/BTC.okex']/'csi5'
:return:
"""
if universe:
if universe in Config.benchmarks():
return IndexUniverse(universe).get()
else:
return StaticUniverse(universe).get()
def output(report):
if Config.mode() == 'jupyter':
display(report)
else:
if isinstance(report, dict):
for key, value in report.items():
print(key, value)
else:
print(report)
def backtest(strategy, start, end, commission):
"""
:param strategy: strategy
:param start: '2019-06-01' # 回测起始时间
:param end: '2019-07-01' # 回测结束时间
:param commission: {'buy': 0.001, 'sell': 0.001, 'open': 0.001, 'close': 0.001}
:return: portfolio
"""
global error_complete
error_complete = 0
strategy._initialize(strategy, start, end, commission)
loop = asyncio.get_event_loop()
if Config.mode() == 'jupyter':
loop.create_task(_handle(strategy))
loop.create_task(_report(strategy))
else:
loop.run_until_complete(
asyncio.gather(_handle(strategy), _report(strategy)))
loop.close()
async def _handle(strategy):
global error_complete
try:
while True:
clock = strategy.portfolio.context.clock
timenow = time.time()
if (timenow - clock.datestart) > Config.heartbeat_timelength():
clock.reset_datestart()
output('heartbeating')
if error_complete == 1:
return
if clock.current_timestamp > clock.end_timestamp:
break
error_complete = await strategy._handle_data()
clock.next()
await asyncio.sleep(0)
except Exception as e:
error_complete = 1
raise e
async def _report(strategy):
global error_complete
try:
while True:
await asyncio.sleep(1)
if error_complete == 1:
return
clock = strategy.portfolio.context.clock
if clock.current_timestamp > clock.end_timestamp:
clock.run_end = time.time()
strategy.portfolio.context.completed_time = round(
clock.run_end - clock.run_start, 4)
# print('【handle总耗时】：{} s'.format(strategy.portfolio.context.completed_time))
strategy.simple_report()
strategy.complete_report()
break
if clock.bars > Config.bars_length():
clock.reset_bars()
strategy.simple_report()
except Exception as e:
error_complete = 1
raise e
def __get_path(exchange, symbol, freq, year):
dir = Config.h5_root_dir() + '/' + exchange.lower() + '/' + freq.lower() + '/' + symbol.replace('/', '')
# dir=dir.lower()
if not os.path.exists(dir):
os.makedirs(dir, 0o755)
return dir + '/' + str(year)
import os from matplotlib.font_manager import FontProperties from vitu.data_api import API from vitu.configuration import Config from vitu.utils.log_utils import logger api = API(Config.tushare_token()) log = logger font = None dirName = os.path.dirname(os.path.abspath(__file__)) font = FontProperties(fname=os.path.join(dirName, 'wqy-microhei.ttc'), size=10)
def get_date(exchange, symbol, freq, start_date, end_date):
date = API(Config.tushare_token()).get_data(exchange, symbol, freq,
start_date, end_date)
return date
def get_price(exchange, symbol, freq, date):
price = API(Config.tushare_token()).get_price(exchange, symbol, freq, date)
return price