def test_macd():
factor = TechnicalFactor(codes=['000338'],
start_timestamp='2019-01-01',
end_timestamp='2019-06-10',
level=IntervalLevel.LEVEL_1DAY,
provider=Provider.JoinQuant,
computing_window=None,
transformer=MacdTransformer(),
adjust_type='qfq')
print(factor.factor_df.tail())
# compare with east money manually
diff = factor.factor_df['diff']
dea = factor.factor_df['dea']
macd = factor.factor_df['macd']
assert round(diff.loc[('stock_sz_000338', '2019-06-10')], 2) == -0.14
assert round(dea.loc[('stock_sz_000338', '2019-06-10')], 2) == -0.15
assert round(macd.loc[('stock_sz_000338', '2019-06-10')], 2) == 0.02
factor.move_on(to_timestamp='2019-06-17')
diff = factor.factor_df['diff']
dea = factor.factor_df['dea']
macd = factor.factor_df['macd']
assert round(diff.loc[('stock_sz_000338', '2019-06-17')], 2) == 0.06
assert round(dea.loc[('stock_sz_000338', '2019-06-17')], 2) == -0.03
assert round(macd.loc[('stock_sz_000338', '2019-06-17')], 2) <= 0.19
def get_trading_signals_figure(order_reader: OrderReader, security_id: str,
provider: Union[str, Provider], level):
security_type, _, _ = decode_security_id(security_id)
security_factor = TechnicalFactor(security_type=security_type,
security_list=[security_id],
level=level,
provider=provider)
if df_is_not_null(security_factor.get_data_df()):
print(security_factor.get_data_df().tail())
# generate the annotation df
order_reader.move_on(timeout=0)
df = order_reader.get_data_df().copy()
if df_is_not_null(df):
df['value'] = df['order_price']
df['flag'] = df['order_type'].apply(lambda x: order_type_flag(x))
df['color'] = df['order_type'].apply(lambda x: order_type_color(x))
print(df.tail())
data, layout = security_factor.draw(render=None,
figures=go.Candlestick,
annotation_df=df)
return go.Figure(data=data, layout=layout)
def test_macd():
factor = TechnicalFactor(
provider="joinquant",
codes=["000338"],
start_timestamp="2019-01-01",
end_timestamp="2019-06-10",
level=IntervalLevel.LEVEL_1DAY,
computing_window=None,
transformer=MacdTransformer(),
adjust_type="qfq",
)
print(factor.factor_df.tail())
# compare with east money manually
diff = factor.factor_df["diff"]
dea = factor.factor_df["dea"]
macd = factor.factor_df["macd"]
assert round(diff.loc[("stock_sz_000338", "2019-06-10")], 2) == -0.14
assert round(dea.loc[("stock_sz_000338", "2019-06-10")], 2) == -0.15
assert round(macd.loc[("stock_sz_000338", "2019-06-10")], 2) == 0.02
factor.move_on(to_timestamp="2019-06-17")
diff = factor.factor_df["diff"]
dea = factor.factor_df["dea"]
macd = factor.factor_df["macd"]
assert round(diff.loc[("stock_sz_000338", "2019-06-17")], 2) == 0.06
assert round(dea.loc[("stock_sz_000338", "2019-06-17")], 2) == -0.03
assert round(macd.loc[("stock_sz_000338", "2019-06-17")], 2) <= 0.19
def test_ma():
factor = TechnicalFactor(codes=['000338'],
start_timestamp='2019-01-01',
end_timestamp='2019-06-10',
level=IntervalLevel.LEVEL_1DAY,
provider=Provider.JoinQuant,
computing_window=30,
transformer=MaTransformer(windows=[5, 10, 30]),
adjust_type='qfq')
print(factor.factor_df.tail())
# compare with east money manually
ma5 = factor.factor_df['ma5']
ma10 = factor.factor_df['ma10']
ma30 = factor.factor_df['ma30']
assert round(ma5.loc[('stock_sz_000338', '2019-06-10')], 2) <= 11.23
assert round(ma10.loc[('stock_sz_000338', '2019-06-10')], 2) <= 11.43
assert round(ma30.loc[('stock_sz_000338', '2019-06-10')], 2) <= 11.52
factor.move_on(to_timestamp='2019-06-17')
ma5 = factor.factor_df['ma5']
ma10 = factor.factor_df['ma10']
ma30 = factor.factor_df['ma30']
assert round(ma5.loc[('stock_sz_000338', '2019-06-17')], 2) <= 12.06
assert round(ma10.loc[('stock_sz_000338', '2019-06-17')], 2) <= 11.64
assert round(ma30.loc[('stock_sz_000338', '2019-06-17')], 2) <= 11.50
def test_ma():
factor = TechnicalFactor(
provider="joinquant",
codes=["000338"],
start_timestamp="2019-01-01",
end_timestamp="2019-06-10",
level=IntervalLevel.LEVEL_1DAY,
computing_window=30,
transformer=MaTransformer(windows=[5, 10, 30]),
adjust_type="qfq",
)
print(factor.factor_df.tail())
# compare with east money manually
ma5 = factor.factor_df["ma5"]
ma10 = factor.factor_df["ma10"]
ma30 = factor.factor_df["ma30"]
assert round(ma5.loc[("stock_sz_000338", "2019-06-10")], 2) <= 11.23
assert round(ma10.loc[("stock_sz_000338", "2019-06-10")], 2) <= 11.43
assert round(ma30.loc[("stock_sz_000338", "2019-06-10")], 2) <= 11.52
factor.move_on(to_timestamp="2019-06-17")
ma5 = factor.factor_df["ma5"]
ma10 = factor.factor_df["ma10"]
ma30 = factor.factor_df["ma30"]
assert round(ma5.loc[("stock_sz_000338", "2019-06-17")], 2) <= 12.06
assert round(ma10.loc[("stock_sz_000338", "2019-06-17")], 2) <= 11.64
assert round(ma30.loc[("stock_sz_000338", "2019-06-17")], 2) <= 11.50
def test_ma():
factor = TechnicalFactor(security_type=SecurityType.stock,
codes=['000338'],
start_timestamp='2019-01-01',
end_timestamp='2019-06-10',
level=TradingLevel.LEVEL_1DAY,
provider=Provider.JOINQUANT,
indicators=['ma', 'ma', 'ma'],
indicators_param=[{
'window': 5
}, {
'window': 10
}, {
'window': 30
}])
print(factor.get_depth_df().tail())
# compare with east money manually
ma5 = factor.get_depth_df()['ma5']
ma10 = factor.get_depth_df()['ma10']
ma30 = factor.get_depth_df()['ma30']
assert round(ma5.loc[('stock_sz_000338', '2019-06-10')], 2) == 11.48
assert round(ma10.loc[('stock_sz_000338', '2019-06-10')], 2) == 11.69
assert round(ma30.loc[('stock_sz_000338', '2019-06-10')], 2) == 11.79
factor.move_on(to_timestamp='2019-06-17')
ma5 = factor.get_depth_df()['ma5']
ma10 = factor.get_depth_df()['ma10']
ma30 = factor.get_depth_df()['ma30']
assert round(ma5.loc[('stock_sz_000338', '2019-06-17')], 2) == 12.33
assert round(ma10.loc[('stock_sz_000338', '2019-06-17')], 2) == 11.91
assert round(ma30.loc[('stock_sz_000338', '2019-06-17')], 2) == 11.76
def get_trader_details(account_reader: AccountReader,
order_reader: OrderReader, provider: Union[str,
Provider]):
graph_list = []
account_data, account_layout = account_reader.draw(render=None,
value_field='all_value',
keep_ui_state=False)
for trader_name in account_reader.trader_names:
graph_list.append(
dcc.Graph(id='{}_account'.format(trader_name),
figure={
'data': account_data,
'layout': account_layout
}))
df_account = account_reader.get_data_df()
if df_is_not_null(df_account):
df_orders = order_reader.get_data_df()
if df_is_not_null(df_orders):
grouped = df_orders.groupby('security_id')
for security_id, order_df in grouped:
security_type, _, _ = decode_security_id(security_id)
security_factor = TechnicalFactor(security_type=security_type,
security_list=[security_id],
level=account_reader.level,
provider=provider)
if df_is_not_null(security_factor.get_data_df()):
print(security_factor.get_data_df().tail())
data, layout = security_factor.draw(figure=go.Candlestick,
render=None,
keep_ui_state=False)
graph_list.append(
dcc.Graph(id='{}_signals'.format(security_id),
figure={
'data': data,
'layout': layout
}))
return graph_list
def test_ma():
factor = TechnicalFactor(entity_type='stock',
codes=['000338'],
start_timestamp='2019-01-01',
end_timestamp='2019-06-10',
level=IntervalLevel.LEVEL_1DAY,
provider='joinquant',
indicators=['ma', 'ma', 'ma'],
indicators_param=[{
'window': 5
}, {
'window': 10
}, {
'window': 30
}],
auto_load=True)
print(factor.get_depth_df().tail())
# compare with east money manually
ma5 = factor.get_depth_df()['ma5']
ma10 = factor.get_depth_df()['ma10']
ma30 = factor.get_depth_df()['ma30']
assert round(ma5.loc[('stock_sz_000338', '2019-06-10')], 2) == 11.23
assert round(ma10.loc[('stock_sz_000338', '2019-06-10')], 2) == 11.43
assert round(ma30.loc[('stock_sz_000338', '2019-06-10')], 2) == 11.52
factor.move_on(to_timestamp='2019-06-17')
ma5 = factor.get_depth_df()['ma5']
ma10 = factor.get_depth_df()['ma10']
ma30 = factor.get_depth_df()['ma30']
assert round(ma5.loc[('stock_sz_000338', '2019-06-17')], 2) == 12.06
assert round(ma10.loc[('stock_sz_000338', '2019-06-17')], 2) == 11.64
assert round(ma30.loc[('stock_sz_000338', '2019-06-17')], 2) == 11.50
def get_trader_detail_figures(trader_domain: business.Trader,
account_reader: AccountReader,
order_reader: OrderReader):
graph_list = []
if account_reader:
account_data, account_layout = account_reader.draw(
render=None, value_fields=['all_value'], keep_ui_state=False)
for trader_name in account_reader.trader_names:
graph_list.append(
dcc.Graph(id='{}-account'.format(trader_name),
figure={
'data': account_data,
'layout': account_layout
}))
order_reader.move_on(timeout=0)
df_orders = order_reader.get_data_df().copy()
if df_is_not_null(df_orders):
grouped = df_orders.groupby('security_id')
for security_id, order_df in grouped:
security_type, _, _ = decode_security_id(security_id)
indicators = []
indicators_param = []
indicator_cols = []
if trader_domain.technical_factors:
tech_factors = simplejson.loads(
trader_domain.technical_factors)
for factor in tech_factors:
indicators += factor['indicators']
indicators_param += factor['indicators_param']
indicator_cols += factor['indicator_cols']
security_factor = TechnicalFactor(
security_type=security_type,
security_list=[security_id],
start_timestamp=trader_domain.start_timestamp,
end_timestamp=trader_domain.end_timestamp,
level=trader_domain.level,
provider=trader_domain.provider,
indicators=indicators,
indicators_param=indicators_param)
# generate the annotation df
df = order_df.copy()
if df_is_not_null(df):
df['value'] = df['order_price']
df['flag'] = df['order_type'].apply(
lambda x: order_type_flag(x))
df['color'] = df['order_type'].apply(
lambda x: order_type_color(x))
print(df.tail())
data, layout = security_factor.draw_with_indicators(
render=None,
annotation_df=df,
indicators=indicator_cols,
height=620)
if trader_domain.real_time:
result = get_current_price(security_list=[security_id])
bid_ask = result.get(security_id)
if bid_ask:
graph_list.append(
daq.LEDDisplay(id='ask',
label=f'ask price',
value=bid_ask[0],
color="#00da3c"))
graph_list.append(
daq.LEDDisplay(id='bid',
label=f'bid price',
value=bid_ask[1],
color="#FF5E5E"))
graph_list.append(
dcc.Graph(id='{}-{}-signals'.format(trader_domain.trader_name,
security_id),
figure={
'data': data,
'layout': layout
}))
return graph_list
def test_macd():
factor = TechnicalFactor(entity_type='stock',
codes=['000338'],
start_timestamp='2019-01-01',
end_timestamp='2019-06-10',
level=IntervalLevel.LEVEL_1DAY,
provider='joinquant',
indicators=['macd'],
indicators_param=[{
'slow': 26,
'fast': 12,
'n': 9
}],
auto_load=True)
print(factor.get_depth_df().tail())
# compare with east money manually
diff = factor.get_depth_df()['diff']
dea = factor.get_depth_df()['dea']
macd = factor.get_depth_df()['macd']
assert round(diff.loc[('stock_sz_000338', '2019-06-10')], 2) == -0.14
assert round(dea.loc[('stock_sz_000338', '2019-06-10')], 2) == -0.15
assert round(macd.loc[('stock_sz_000338', '2019-06-10')], 2) == 0.02
factor.move_on(to_timestamp='2019-06-17')
diff = factor.get_depth_df()['diff']
dea = factor.get_depth_df()['dea']
macd = factor.get_depth_df()['macd']
assert round(diff.loc[('stock_sz_000338', '2019-06-17')], 2) == 0.06
assert round(dea.loc[('stock_sz_000338', '2019-06-17')], 2) == -0.03
assert round(macd.loc[('stock_sz_000338', '2019-06-17')], 2) == 0.19
def get_trader_detail_figures(trader_domain: business.Trader,
account_reader: AccountReader,
order_reader: OrderReader):
graph_list = []
account_data, account_layout = account_reader.draw(
render=None, value_fields=['all_value'], keep_ui_state=False)
for trader_name in account_reader.trader_names:
graph_list.append(
dcc.Graph(id='{}-account'.format(trader_name),
figure={
'data': account_data,
'layout': account_layout
}))
df_orders = order_reader.get_data_df()
if df_is_not_null(df_orders):
grouped = df_orders.groupby('security_id')
for security_id, order_df in grouped:
security_type, _, _ = decode_security_id(security_id)
# TODO:just show the indicators used by the trader
security_factor = TechnicalFactor(
security_type=security_type,
security_list=[security_id],
start_timestamp=trader_domain.start_timestamp,
end_timestamp=trader_domain.end_timestamp,
level=trader_domain.level,
provider=trader_domain.provider,
indicators=['ma', 'ma'],
indicators_param=[{
'window': 5
}, {
'window': 10
}])
# if df_is_not_null(security_factor.get_data_df()):
# print(security_factor.get_data_df().tail())
# generate the annotation df
order_reader.move_on(timeout=0)
df = order_reader.get_data_df().copy()
if df_is_not_null(df):
df['value'] = df['order_price']
df['flag'] = df['order_type'].apply(
lambda x: order_type_flag(x))
df['color'] = df['order_type'].apply(
lambda x: order_type_color(x))
print(df.tail())
data, layout = security_factor.draw_with_indicators(
render=None, annotation_df=df)
graph_list.append(
dcc.Graph(id='{}-{}-signals'.format(trader_domain.trader_name,
security_id),
figure={
'data': data,
'layout': layout
}))
return graph_list
def test_macd():
factor = TechnicalFactor(security_type=SecurityType.stock,
codes=['000338'],
start_timestamp='2019-01-01',
end_timestamp='2019-06-10',
level=TradingLevel.LEVEL_1DAY,
provider=Provider.JOINQUANT,
indicators=['macd'],
indicators_param=[{
'slow': 26,
'fast': 12,
'n': 9
}])
print(factor.get_depth_df().tail())
# compare with east money manually
diff = factor.get_depth_df()['diff']
dea = factor.get_depth_df()['dea']
macd = factor.get_depth_df()['macd']
assert round(diff.loc[('stock_sz_000338', '2019-06-10')], 2) == -0.15
assert round(dea.loc[('stock_sz_000338', '2019-06-10')], 2) == -0.16
assert round(macd.loc[('stock_sz_000338', '2019-06-10')], 2) == 0.02
factor.move_on(to_timestamp='2019-06-17')
diff = factor.get_depth_df()['diff']
dea = factor.get_depth_df()['dea']
macd = factor.get_depth_df()['macd']
assert round(diff.loc[('stock_sz_000338', '2019-06-17')], 2) == 0.07
assert round(dea.loc[('stock_sz_000338', '2019-06-17')], 2) == -0.03
assert round(macd.loc[('stock_sz_000338', '2019-06-17')], 2) == 0.19
