def __init__(self, process, finish=None, maxsize=500, parent=None):
"""
Parameters
----------
process: 每个数据bar事件来时的回调方法
finish: 数据结束的回调方法
maxsize: 缓存大小,默认500
"""
# assert isinstance(config, Config)
LoggerInterface.__init__(self, parent=parent)
ConfigInterface.__init__(self, parent=parent)
self.__check_tf(self.config.time_frame)
self.__maxsize = maxsize
self.__dq = Queue(maxsize=maxsize * 2) # 数据缓存器,避免数据在内存里过大,造成内存不足的错误
self.__symbol = self.config.symbols[0]
self.__start_time = int(
get_datetime(self.config.start_time).timestamp())
if self.config.end_time:
self.__end_time = int(
get_datetime(self.config.end_time).timestamp())
else: # 如果没有指定结束时间,默认查询到最近的数据
self.__end_time = int(time.time())
self.__handle = process # 行情数据监听函数(可以想象成java的interface)
self.__finish = finish # 数据结束函数
self._finished = False
self.logger_name = "DataGenerator"
def __init__(self, engine, code, parent=None):
"""Constructor"""
super().__init__()
LoggerInterface.__init__(self, parent=parent)
APIInterface.__init__(self)
Runnable.__init__(self)
ConfigInterface.__init__(self, parent=parent)
self.__id = self.next_auto_inc()
self.user = self.config.user
self.user_dir = UserDirectory(User(self.config.user))
self.__strategy_code = StrategyCode(self.config.name, code)
self.__code_parser = None
self.engine = proxy(engine)
self.time_frame = self.config.time_frame
self.symbols = self.config.symbols
self.start_time = self.config.start_time
self.end_time = self.config.end_time
self.capital_base = self.config.capital_base
self.handlers = {}
self.signal_factory = SignalFactory()
self.signals = {}
self.system_functions = {}
self.series_storage = {}
self.printer = FilePrinter(self.config.user, self.config.name,
self.engine)
self.__context = {}
self._setting()
self.logger_name = "Strategy"
def __init__(self, process, finish=None, maxsize=500, parent=None):
"""
Parameters
----------
process: 每个数据bar事件来时的回调方法
finish: 数据结束的回调方法
maxsize: 缓存大小,默认500
"""
# assert isinstance(config, Config)
LoggerInterface.__init__(self, parent=parent)
ConfigInterface.__init__(self, parent=parent)
self.__check_tf(self.config.time_frame)
self.__maxsize = maxsize
self.__dq = Queue(maxsize=maxsize * 2) # 数据缓存器,避免数据在内存里过大,造成内存不足的错误
self.__symbol = self.config.symbols[0]
self.__start_time = int(get_datetime(self.config.start_time).timestamp())
if self.config.end_time:
self.__end_time = int(get_datetime(self.config.end_time).timestamp())
else: # 如果没有指定结束时间,默认查询到最近的数据
self.__end_time = int(time.time())
self.__handle = process # 行情数据监听函数(可以想象成java的interface)
self.__finish = finish # 数据结束函数
self._finished = False
self.logger_name = "DataGenerator"
def __init__(self, engine, user, strategy, name, symbols, time_frame, id=None, parent=None):
"""
信号对象，每一个信号即为策略代码中不以init为名的任意最外层函数，订阅某些品种的行情数据，运行于特定时间框架下。
通过两个EventPacker(事件打包器)接受StrategyEngine中的DataCache(数据中转器)发出的行情事件来管理Bar数据的结构。
:param engine:挂载运行的策略引擎
:param symbols:所订阅行情数据的品种列表
:param time_frame:所订阅行情数据的事件框架
:param id:不需要传入，由SignalFactory自动管理。
"""
Runnable.__init__(self)
APIInterface.__init__(self)
ConfigInterface.__init__(self, parent=parent)
self._id = id
self._user = user
self._strategy = strategy
self._name = name
self._event_update = Event.create_event_type('SignalUpdate.%s.%s.%s' % (self._user, self._strategy, self._name),
priority=1).get_id()
self._event_completed = Event.create_event_type(
'SignalCompleted.%s.%s.%s' % (self._user, self._strategy, self._name), priority=2).get_id()
self._update = SymbolBarUpdateEventsPacker(engine, symbols, time_frame, self._event_update)
self._completed = SymbolBarCompletedEventsPacker(engine, symbols, time_frame, self._event_completed)
self._parameters = OrderedDict()
self._symbols = symbols
self._time_frame = time_frame
self._engine = engine
self._handler = None
self._generator = None
self._gene_instance = None
self._bar_num = 0 # 暂时使用在LocalsInjector中改写的方式
self._environment = None
def __init__(self, engine, code, parent=None):
"""Constructor"""
super().__init__()
LoggerInterface.__init__(self, parent=parent)
APIInterface.__init__(self)
Runnable.__init__(self)
ConfigInterface.__init__(self, parent=parent)
self.__id = self.next_auto_inc()
self.user = self.config.user
self.user_dir = UserDirectory(User(self.config.user))
self.__strategy_code = StrategyCode(self.config.name, code)
self.__code_parser = None
self.engine = proxy(engine)
self.time_frame = self.config.time_frame
self.symbols = self.config.symbols
self.start_time = self.config.start_time
self.end_time = self.config.end_time
self.capital_base = self.config.capital_base
self.handlers = {}
self.signal_factory = SignalFactory()
self.signals = {}
self.system_functions = {}
self.series_storage = {}
self.printer = FilePrinter(self.config.user, self.config.name, self.engine)
self.__context = {}
self._setting()
self.logger_name = "Strategy"
def __init__(self, currency=Currency("USD"), parent=None):
LoggerInterface.__init__(self, parent=parent)
ConfigInterface.__init__(self, parent=parent)
self._capital_base = None
self._capital_net = None
self._capital_cash = None
self._capital_available = None
self._capital_margin = None
self._currency = currency
self.logger_name = "AccountManager"
def __init__(self, currency=Currency("USD"), parent=None):
LoggerInterface.__init__(self, parent=parent)
ConfigInterface.__init__(self, parent=parent)
self._capital_base = None
self._capital_net = None
self._capital_cash = None
self._capital_available = None
self._capital_margin = None
self._currency = currency
self.logger_name = "AccountManager"
def __init__(self):
LoggerInterface.__init__(self)
ConfigInterface.__init__(self)
Runnable.__init__(self)
self.__code = None
self.__strategy = None
self.__strategy_engine = None
self.__tb_data_generator = None
self.__rt_data_generator = None
self.__strategy_parameters = None
self.__initialized = False
self.logger_name = 'RuntimeSignal'
def __init__(self, parent=None):
ConfigInterface.__init__(self, parent=parent)
if self.config.running_mode == RunningMode.backtest:
self._position_factory = PositionFactory()
self._order_factory = OrderFactory()
self._deal_factory = DealFactory()
else:
# 暂时只用account当前缀，下单时间和策略，信号的信息有了，只有对应实盘账户信息没有
prefix = '-'.join([self.config['account']])
self._position_factory = PositionFactory(prefix + '-P', timestamp=True)
self._order_factory = OrderFactory(prefix + '-O', timestamp=True)
self._deal_factory = DealFactory(prefix + '-D', timestamp=True)
def __init__(self):
LoggerInterface.__init__(self)
ConfigInterface.__init__(self)
self.__code = None
self.__strategy = None
self.__strategy_engine = None
self.__data_generator = None
self.__strategy_parameters = None
self.__performance_manager = None
self.__is_alive = False
self.__initialized = False
self.logger_name = 'RuntimeSignal'
def __init__(self):
LoggerInterface.__init__(self)
ConfigInterface.__init__(self)
Runnable.__init__(self)
self.__code = None
self.__strategy = None
self.__strategy_engine = None
self.__tb_data_generator = None
self.__rt_data_generator = None
self.__strategy_parameters = None
self.__initialized = False
self.logger_name = 'RuntimeSignal'
def __init__(self, engine, parent=None):
LoggerInterface.__init__(self, parent=parent)
Runnable.__init__(self)
APIInterface.__init__(self)
ConfigInterface.__init__(self, parent=parent)
self._engine = proxy(engine) # 避免循环引用
self._tick_cache = {}
self._running = False
self._data_view = QuotationDataView()
self._symbol_pool = {}
self.current_time = None # 目前数据运行到的时间，用于计算回测进度
self._min_time_frame = None
self._count = 0
self.logger_name = "QuotationManager"
def __init__(self, engine, quotation_manager, account_manager, parent=None):
APIInterface.__init__(self)
LoggerInterface.__init__(self, parent=parent)
ConfigInterface.__init__(self, parent=parent)
self._engine = proxy(engine)
self.__quotation_manager = proxy(quotation_manager)
self.__account_manager = proxy(account_manager)
self.__factory = TradingDataFactory(parent=self)
self.__orders_ur = defaultdict(OrdersUr) # orders unrealized 还未被处理的订单请求
self.__orders_done = {} # 保存所有已处理报单数据的字典
self.__orders_todo = {} # 保存所有未处理报单（即挂单）数据的字典 key:id
self.__orders_todo_index = {} # 同上 key:symbol
self.__positions = {} # Key:id, value:position with responding id
self.__current_positions = {} # key：symbol，value：current position
self.max_margin = 0
self.logger_name = "TradingManager"
def __init__(self,
engine,
user,
strategy,
name,
symbols,
time_frame,
id=None,
parent=None):
"""
信号对象，每一个信号即为策略代码中不以init为名的任意最外层函数，订阅某些品种的行情数据，运行于特定时间框架下。
通过两个EventPacker(事件打包器)接受StrategyEngine中的DataCache(数据中转器)发出的行情事件来管理Bar数据的结构。
:param engine:挂载运行的策略引擎
:param symbols:所订阅行情数据的品种列表
:param time_frame:所订阅行情数据的事件框架
:param id:不需要传入，由SignalFactory自动管理。
"""
Runnable.__init__(self)
APIInterface.__init__(self)
ConfigInterface.__init__(self, parent=parent)
self._id = id
self._user = user
self._strategy = strategy
self._name = name
self._event_update = Event.create_event_type(
'SignalUpdate.%s.%s.%s' % (self._user, self._strategy, self._name),
priority=1).get_id()
self._event_completed = Event.create_event_type(
'SignalCompleted.%s.%s.%s' %
(self._user, self._strategy, self._name),
priority=2).get_id()
self._update = SymbolBarUpdateEventsPacker(engine, symbols, time_frame,
self._event_update)
self._completed = SymbolBarCompletedEventsPacker(
engine, symbols, time_frame, self._event_completed)
self._parameters = OrderedDict()
self._symbols = symbols
self._time_frame = time_frame
self._engine = engine
self._handler = None
self._generator = None
self._gene_instance = None
self._bar_num = 0 # 暂时使用在LocalsInjector中改写的方式
self._environment = None
def __init__(self, parent=None):
"""Constructor"""
LoggerInterface.__init__(self, parent=parent)
Runnable.__init__(self)
ConfigInterface.__init__(self, parent=parent)
APIInterface.__init__(self)
self.__event_engine = EventEngine(parent=self) # 事件处理引擎
self.__quotation_manager = QuotationManager(self, parent=self) # 行情数据管理器
if self.config.running_mode == RunningMode.backtest:
self.__account_manager = BfAccountManager(parent=self) # 账户管理
else:
self.__account_manager = FDTAccountManager(parent=self)
self.mongo_user = MongoUser(self.config.user)
self.__trading_manager = TradingManager(self, self.__quotation_manager, self.__account_manager,
parent=self) # 交易管理器
if self.config.running_mode == RunningMode.backtest:
self.__account_manager.set_trading_manager(self.__trading_manager)
self.__strategys = {} # 策略管理器
self.__profit_records = [] # 保存账户净值的列表
self.logger_name = "StrategyEngine"
def __init__(self, process, finish=None, maxsize=500, parent=None):
"""
Parameters
----------
config: BfConfig对象
process: 每个数据bar事件来时的回调方法
finish: 数据结束的回调方法
maxsize: 缓存大小,默认500
"""
LoggerInterface.__init__(self, parent=parent)
ConfigInterface.__init__(self, parent=parent)
self.__check_tf(self.config.time_frame)
self.__maxsize = maxsize
self.__dq = Queue(maxsize=maxsize * 2) # 数据缓存器,避免数据在内存里过大,造成内存不足的错误
self.__receiver = TickDataReceiver(parent=self)
self.__receiver.register_event(self.config.symbols[0], self.product)
self.__symbol = self.config.symbols[0]
self.__handle = process # 行情数据监听函数(可以想象成java的interface)
self.__finish = finish # 数据结束函数
self._finished = False
self.logger_name = "TickDataGenerator"
def __init__(self, process, finish=None, maxsize=500, parent=None):
"""
Parameters
----------
config: BfConfig对象
process: 每个数据bar事件来时的回调方法
finish: 数据结束的回调方法
maxsize: 缓存大小,默认500
"""
LoggerInterface.__init__(self, parent=parent)
ConfigInterface.__init__(self, parent=parent)
self.__check_tf(self.config.time_frame)
self.__maxsize = maxsize
self.__dq = Queue(maxsize=maxsize * 2) # 数据缓存器,避免数据在内存里过大,造成内存不足的错误
self.__receiver = TickDataReceiver(parent=self)
self.__receiver.register_event(self.config.symbols[0], self.product)
self.__symbol = self.config.symbols[0]
self.__handle = process # 行情数据监听函数(可以想象成java的interface)
self.__finish = finish # 数据结束函数
self._finished = False
self.logger_name = "TickDataGenerator"
