def runDataChecking():
"""运行数据清洗"""
print(u'开始数据清洗工作')
# 加载配置
setting = {}
with open("DR_setting.json") as f:
setting = json.load(f)
volSize = get_VolSize()
symbolMap = getSymbolMapping()
print(symbolMap)
# 遍历执行清洗
today = datetime.now()
start = today - timedelta(10) # 清洗过去10天数据
end = start + timedelta(9)
start = start.replace(hour=0, minute=0, second=0, microsecond=0)
end = today.replace(hour=16, minute=0, second=0, microsecond=0)
#start = datetime.strptime('2019-03-13 00:00:00', '%Y-%m-%d %H:%M:%S')
#end = datetime.strptime('2019-07-01 16:00:00', '%Y-%m-%d %H:%M:%S')
for l in setting['bar']:
symbol = l[0]
#fillMissingData(MINUTE_DB_NAME, symbol, start,volSize,symbolMap)
findRepeatData(MINUTE_DB_NAME, symbol, start, end, volSize, symbolMap)
print(u'数据清洗工作完成')
def runDataRefilling():
"""运行数据清洗"""
print(u'开始数据清洗工作')
# 加载配置
setting = {}
with open("DR_setting.json") as f:
setting = json.load(f)
volSize = get_VolSize()
symbolMap = getSymbolMapping()
#print(symbolMap)
# 遍历执行清洗
today = datetime.now()
start = today - timedelta(10) # 清洗过去10天数据
end = start + timedelta(9)
start.replace(hour=0, minute=0, second=0, microsecond=0)
start = datetime.strptime('2019-03-09 00:00:00', '%Y-%m-%d %H:%M:%S')
end = datetime.strptime('2019-03-22 16:00:00', '%Y-%m-%d %H:%M:%S')
for l in setting['bar']:
symbol = l[0]
print(symbol)
#if symbol != 'MA909':
# continue
print('start')
#fillMissingData(MINUTE_DB_NAME, symbol, start,volSize,symbolMap)
fillMissingDailyData(MINUTE_DB_NAME, symbol, start, end, volSize,
symbolMap)
print(u'数据清洗工作完成')
def runDataCleaning():
"""运行数据清洗"""
print(u'开始数据清洗工作')
# 加载配置
setting = {}
with open("DR_setting.json") as f:
setting = json.load(f)
volSize = get_VolSize()
# 遍历执行清洗
today = datetime.now()
start = today - timedelta(10) # 清洗过去10天数据
start.replace(hour=0, minute=0, second=0, microsecond=0)
for l in setting['tick']:
symbol = l[0]
cleanData(TICK_DB_NAME, symbol, start)
for l in setting['bar']:
symbol = l[0]
cleanData(MINUTE_DB_NAME, symbol, start)
fillCloseData(MINUTE_DB_NAME, symbol, start, volSize)
print(u'数据清洗工作完成')
def runDataRefilling():
"""运行数据清洗"""
print(u'开始数据清洗工作')
# 加载配置
setting = {}
with open("DR_setting.json") as f:
setting = json.load(f)
volSize = get_VolSize()
symbolMap = getSymbolMapping()
print(symbolMap)
# 遍历执行清洗
tofill = ["TS"]
tofilllen = 100
today = datetime.now()
start = today - timedelta(tofilllen) # 清洗过去10天数据
end = start + timedelta(9)
start.replace(hour=0, minute=0, second=0, microsecond=0)
#start = datetime.strptime('2019-04-24 00:00:00', '%Y-%m-%d %H:%M:%S')
#end = datetime.strptime('2019-04-25 16:00:00', '%Y-%m-%d %H:%M:%S')
for l in setting['bar']:
symbol = l[0]
tempstr = symbol
tempstr = tempstr.rstrip(string.digits)
print(tempstr)
if tempstr in tofill:
#fillMissingData(MINUTE_DB_NAME, symbol, start,volSize,symbolMap)
fillMissingDailyData(MINUTE_DB_NAME, symbol, start,end,volSize,symbolMap)
sleep(5)
print(u'数据清洗工作完成')
def runDataRefilling():
"""运行数据清洗"""
print(u'开始数据清洗工作')
# 加载配置
setting = {}
with open("DR_setting.json") as f:
setting = json.load(f)
volSize = get_VolSize()
symbolMap = getSymbolMapping()
print(symbolMap)
# 遍历执行清洗
today = datetime.now()
start = today - timedelta(10) # 清洗过去10天数据
start.replace(hour=0, minute=0, second=0, microsecond=0)
end = start + timedelta(5)
for l in setting['bar']:
symbol = l[0]
fillMissingData(MINUTE_DB_NAME, symbol, start, volSize, symbolMap)
#fillMissingDailyData(MINUTE_DB_NAME, symbol, start,end,volSize,symbolMap)
print(u'数据清洗工作完成')
def __init__(self, ctaEngine, setting):
"""Constructor"""
self.ctaEngine = ctaEngine
# 设置策略的参数
if setting:
d = self.__dict__
for key in self.paramList:
if key in setting:
d[key] = setting[key]
if len(CtaTemplate.cust_Setting) > 0:
pass
else:
CtaTemplate.cust_Setting = get_CustSetting()
if len(CtaTemplate.vol_Size) > 0:
pass
else:
CtaTemplate.vol_Size = get_VolSize()
self.base_interval = 6
self.base_countdown = 0
# encoding: UTF-8
from __future__ import print_function
import sqlite3
import pandas as pd
from vnpy.trader.vtFunction import getJsonPath
from vnpy.trader.vtUtility import get_VolSize
result = pd.read_csv("./pal_templt.csv")
tr = result
volSize = get_VolSize()
#print(volSize)
def match_transaction(data, result):
#print("hello")
data[
"closestatus"] = 0 # 0 not process yet;1 match closed;2 partial match, partial close
data["qty"] = data["orderqty"]
data.loc[data.orderoffset == u'平昨', 'orderoffset'] = u'平仓'
#print(data[['contract','orderoffset']])
#data["qty"]=data.apply(lambda r:judgeLevel(r),axis=1)
#data[data["orderdirection"]=="空"]["qty"] = data[data["orderdirection"]=="空"]["qty"]*(-1)
#data.to_csv("./test.csv")
opens = data[data["orderoffset"] == u"开仓"]
opens = opens.reset_index(drop=True)
closes = data[data["orderoffset"] == u"平仓"]
closes = closes.reset_index(drop=True)
closes.sort_values(by=['contract', 'ordertime'], axis=0, ascending=True)
#print("123",opens)
partial = []
for index, row in opens.iterrows():
#print(index, row["qty"])
