def product(self):
"""
从数据库中取出数据
"""
conn = MySql().get_connection() # 得到连接
# 构造查询条件
query_params = " where ctime >= '%s'" % (self.__start_time,)
query_params += " and ctime < '%s'" % (self.__end_time,)
coll = "%s_%s" % (self.__symbol, self.__config.time_frame)
cur = conn.cursor(pymysql.cursors.DictCursor)
cur.execute("select * from %s " % coll + query_params + " limit %d " % self.__maxsize)
# print(cur.fetchall())
for row in cur.fetchall():
bar = Bar(self.__symbol)
bar.close = row["close"]
bar.timestamp = int(row["ctime"])
bar.high = row["high"]
bar.low = row["low"]
bar.open = row["open"]
bar.volume = row["volume"]
bar.time_frame = self.__config.time_frame
self.__dq.put(bar)
self.__start_time = bar.timestamp + tf2s(self.__config.time_frame)
cur.close()
# 如果开始时间距结束时间的距离不超过当前时间尺度,证明数据查询完成
if (cur.rownumber == 0) or self.__end_time - self.__start_time <= tf2s(self.__config.time_frame):
self._finished = True
class Bar(DictLike):
"""K线数据对象（开高低收成交量时间）"""
__slots__ = [
"symbol", "open", "high", "low", "close", "volume", "timestamp",
"time_frame"
]
__keys__ = __slots__ + ['datetime', "close_time"]
datetime = property(lambda self: datetime.fromtimestamp(self.timestamp))
close_time = property(lambda self: self.timestamp + tf2s(self.time_frame))
def __init__(self, symbol):
self.symbol = symbol
self.time_frame = None
self.open = 0
self.high = 0
self.low = 0
self.close = 0
self.volume = 0
self.timestamp = 0
def to_event(self):
event = Event(EVENT_SYMBOL_BAR_RAW[self.symbol][self.time_frame],
data=self)
return event
@classmethod
def get_keys(cls):
"""
:return: field names in print order use for create dataframe
"""
return cls.__keys__
def float_pnl_frequency(self):
if not self._is_backtest:
return 1
if self.min_time_frame in ['M1', 'M5']:
return 1
time = tf2s(self.min_time_frame)
result = 2 * 60 * 60 // time # 统计频率为2H一次
if result == 0:
return 1
else:
return result
def float_pnl_frequency(self):
if self.config.running_mode == RunningMode.runtime:
return 1
if self.min_time_frame in ['M1', 'M5']:
return 1
time = tf2s(self.min_time_frame)
result = 2 * 60 * 60 // time # 统计频率为2H一次
if result == 0:
return 1
else:
return result
def product(self):
"""
从数据库中取出数据
"""
try:
conn = MySql().get_connection() # 得到连接
# 构造查询条件
query_params = " where ctime >= '%s'" % (self.__start_time, )
query_params += " and ctime < '%s'" % (self.__end_time, )
coll = "%s_%s" % (self.__symbol, self.config.time_frame)
cur = conn.cursor(pymysql.cursors.DictCursor)
cur.execute("select * from %s " % coll + query_params +
" limit %d " % self.__maxsize)
# print(cur.fetchall())
for row in cur.fetchall():
bar = Bar(self.__symbol)
bar.close = row["close"]
bar.timestamp = int(row["ctime"])
bar.high = row["high"]
bar.low = row["low"]
bar.open = row["open"]
bar.volume = row["volume"]
# volume maybe None in mysql
if bar.volume is None:
bar.volume = 0
bar.time_frame = self.config.time_frame
self.__dq.put(bar)
self.__start_time = bar.timestamp + tf2s(
self.config.time_frame)
cur.close()
# 如果开始时间距结束时间的距离不超过当前时间尺度,证明数据查询完成
if (cur.rownumber
== 0) or self.__end_time - self.__start_time <= tf2s(
self.config.time_frame):
self.stop()
except:
self.logger.error('\n' + traceback.format_exc())
self.stop()
def update_bar(self, bar):
symbol = bar.symbol
time_frame = bar.time_frame
self.current_time = bar.close_time if not self.current_time else max(self.current_time, bar.close_time)
last_time = self._data[time_frame]['timestamp'][symbol][0] \
if self._data[time_frame]['timestamp'][symbol] else 0
if bar.timestamp - last_time >= tf2s(time_frame): # 当last_time = 0时，该条件显然成立
for field in ['open', 'high', 'low', 'close', 'datetime', 'timestamp', 'volume']:
self._data[time_frame][field][symbol].appendleft(getattr(bar, field))
self._engine.put_event(Event(EVENT_SYMBOL_BAR_COMPLETED[symbol][time_frame]))
else:
for field in ['open', 'high', 'low', 'close', 'datetime', 'timestamp', 'volume']:
self._data[time_frame][field][symbol][0] = getattr(bar, field)
self._engine.put_event(Event(EVENT_SYMBOL_BAR_UPDATE[symbol][time_frame]))
def on_bar(self, event):
if self._running:
bar = event.content['data']
symbol = bar.symbol
time_frame = bar.time_frame
self.current_time = bar.close_time if not self.current_time else max(self.current_time, bar.close_time)
last_time = self._data[time_frame]['timestamp'][symbol][0] \
if self._data[time_frame]['timestamp'][symbol] else 0
if bar.timestamp - last_time >= tf2s(time_frame): # 当last_time = 0时，该条件显然成立
for field in ['open', 'high', 'low', 'close', 'datetime', 'timestamp', 'volume']:
self._data[time_frame][field][symbol].appendleft(getattr(bar, field))
self._engine.put_event(Event(EVENT_SYMBOL_BAR_COMPLETED[symbol][time_frame]))
else:
for field in ['open', 'high', 'low', 'close', 'datetime', 'timestamp', 'volume']:
self._data[time_frame][field][symbol][0] = getattr(bar, field)
self._engine.put_event(Event(EVENT_SYMBOL_BAR_UPDATE[symbol][time_frame]))
def update_bar(self, bar: Bar):
symbol = bar.symbol
time_frame = bar.time_frame
quotation = self._data_view.find(symbol, time_frame)
self.current_time = bar.close_time if not self.current_time else max(self.current_time, bar.close_time)
last_time = quotation.timestamp[0] if quotation.timestamp else 0
if self.config.trading_mode == TradingMode.on_tick:
quotation.tick_open = bar.open
if bar.timestamp - last_time >= tf2s(time_frame): # 当last_time = 0时，该条件显然成立
for field in ['open', 'high', 'low', 'close', 'datetime', 'timestamp', 'volume']:
getattr(quotation, field).appendleft(getattr(bar, field))
self._engine.put_event(Event(EVENT_SYMBOL_BAR_COMPLETED[symbol][time_frame]))
else:
quotation.high[0] = max(quotation.high[0], bar.high)
quotation.low[0] = min(quotation.low[0], bar.low)
quotation.volume[0] += bar.volume
for field in ["datetime", "timestamp", "close"]:
getattr(quotation, field)[0] = getattr(bar, field)
self._engine.put_event(Event(EVENT_SYMBOL_BAR_UPDATE[symbol][time_frame]))
def __send_order_to_broker(self, order):
if self.__is_backtest:
time_frame = self.engine.strategys[order.strategy].signals[order.signal].get_time_frame()
time_ = self.engine.data[time_frame]["timestamp"][order.symbol][0] + tf2s(time_frame)
order.time_done = int(time_)
order.time_done_msc = int((time_ - int(time_)) * (10 ** 6))
order.volume_current = order.volume_initial
deal = self.__deal_factory(order.symbol, order.strategy, order.signal)
deal.volume = order.volume_current
deal.time = order.time_done
deal.time_msc = order.time_done_msc
deal.type = 1 - ((order.type & 1) << 1) # 参见ENUM_ORDER_TYPE和ENUM_DEAL_TYPE的定义
deal.price = self.engine.data[time_frame]["close"][order.symbol][0]
# TODO加入手续费等
order.deal = deal.get_id()
deal.order = order.get_id()
return [deal], {}
# TODO 市价单成交
else:
pass
def on_tick(self, event: Event):
if self._running:
tick = event.content['data']
symbol = tick.symbol
for time_frame in {item[1] for item in self._data_view.get_keys() if item[0] == symbol}:
bar_interval = tf2s(time_frame)
if symbol not in self._tick_cache:
self._tick_cache[symbol] = {}
if time_frame not in self._tick_cache[symbol]:
self._tick_cache[symbol][time_frame] = {
'open': tick.openPrice, 'high': tick.highPrice,
'low': tick.lastPrice, 'close': tick.lastPrice,
'volume': tick.volume, 'timestamp': tick.time // self.TICK_INTERVAL * self.TICK_INTERVAL,
}
else:
dict_ = self._tick_cache[symbol][time_frame]
if tick.time - dict_['timestamp'] >= self.TICK_INTERVAL: # bar_interval 能被TICK_INTERVAL整除
bar = Bar(symbol)
bar.time_frame = time_frame
bar.timestamp = dict_['timestamp'] // bar_interval * bar_interval
bar.open = dict_['open']
bar.high = dict_['high']
bar.low = dict_['low']
bar.close = dict_['close']
self.update_bar(bar)
dict_["open"] = tick.openPrice
dict_["high"] = tick.highPrice
dict_["low"] = tick.lowPrice
dict_["close"] = tick.lastPrice
dict_["volume"] = tick.volume
dict_["timestamp"] = tick.time // self.TICK_INTERVAL * self.TICK_INTERVAL
else:
dict_['low'] = min(dict_['low'], tick.lowPrice)
dict_['high'] = max(dict_['high'], tick.highPrice)
dict_['close'] = tick.lastPrice
dict_["volume"] += tick.volume
dict_['timestamp'] = tick.time // self.TICK_INTERVAL * self.TICK_INTERVAL
def __send_order_to_broker(self, order):
# if order.volume_initial == 0:
# return
if order.volume_initial <= 0:
return -1
if self.__is_backtest:
time_frame = self.engine.strategys[order.strategy].signals[order.signal].get_time_frame()
position = self.engine.current_positions[order.symbol]
symbol = self.engine.symbol_pool[order.symbol]
volume = order.volume_initial
margin = 0
if position.type * (1 - (order.type << 1)) < 0:
if symbol.code.startswith('USD'): # 间接报价
base_price = 1
elif symbol.code.endswith('USD'): # 直接报价
base_price = position.price_current
margin -= symbol.margin(min(position.volume, volume), commission=self.__config['commission'],
base_price=base_price)
volume -= position.volume
if volume > 0:
margin += symbol.margin(volume, commission=self.__config['commission'],
base_price=self.engine.get_base_price(order.symbol, time_frame))
if self.engine.capital_available - margin >= 0:
time_ = self.engine.data[time_frame]["timestamp"][order.symbol][0] + tf2s(time_frame)
order.time_done = int(time_)
order.time_done_msc = int((time_ - int(time_)) * (10 ** 6))
order.volume_current = order.volume_initial
deal = self.__deal_factory(order.symbol, order.strategy, order.signal)
deal.volume = order.volume_current
deal.time = order.time_done
deal.time_msc = order.time_done_msc
deal.type = 1 - ((order.type & 1) << 1) # 参见ENUM_ORDER_TYPE和ENUM_DEAL_TYPE的定义
deal.price = self.engine.data[time_frame]["close"][order.symbol][0]
# TODO加入手续费等
order.deal = deal.get_id()
deal.order = order.get_id()
order_id = order.get_id()
else:
print('下单失败,保证金不足')
return -1
else:
cash_old = self.engine.capital_cash
order_id = self.engine.send_order_to_broker(order)
if order_id != -1:
res = self.engine.order_status()
if res['ok']:
order_status = res.get('orders', [])
for state in order_status:
if state['id'] == order_id:
deal = self.__deal_factory(order.symbol, order.strategy, order.signal)
deal.type = 1 - ((order.type & 1) << 1)
deal.volume = round(state['quantity'] / 100000, 2) # 换算成手，精确到mini手
deal.time = parse(state['created']).timestamp()
deal.price = state['avgPx']
deal.symbol = order.symbol
deal.order = order.get_id()
cash_now = self.engine.capital_cash
deal.profit = cash_now - cash_old
break
if order_id != -1:
self.__update_position(deal) # TODO 加入事件引擎，支持异步
self.__orders_done[order.get_id()] = order
return order.get_id()
else:
return -1
def set_min_time_frame(self, time_frame):
if not self._min_time_frame or tf2s(time_frame) < tf2s(self._min_time_frame):
self._min_time_frame = time_frame
def min_time_frame(self, time_frame):
if not self._min_time_frame or tf2s(time_frame) < tf2s(self._min_time_frame):
self._min_time_frame = time_frame