def generate(self):
if self.bar is not None:
self.bar.interval = 1
event = Event(type=EVENT_BAR, data=self.bar)
common_signals.bar_signal.send(event)
for x in self.XMIN:
if self.bar is not None:
bar = getattr(self, "min_{}_bar".format(x))
bar.interval = x
event = Event(type=EVENT_BAR, data=bar)
common_signals.bar_signal.send(event)
self.bar = None
[setattr(self, "min_{}_bar".format(x), None) for x in self.XMIN]
def update_bar(self, xmin, bar: BarData):
"""
Update 1 minute bar into generator
"""
xmin_bar = getattr(self, f"min_{xmin}_bar", None)
if not xmin_bar:
xmin_bar = BarData(symbol=bar.symbol,
exchange=bar.exchange,
datetime=bar.datetime,
gateway_name=bar.gateway_name,
open_price=bar.open_price,
high_price=bar.high_price,
low_price=bar.low_price)
setattr(self, f"min_{xmin}_bar", xmin_bar)
else:
xmin_bar.high_price = max(xmin_bar.high_price, bar.high_price)
xmin_bar.low_price = min(xmin_bar.low_price, bar.low_price)
xmin_bar.close_price = bar.close_price
xmin_bar.volume += int(bar.volume)
if not (bar.datetime.minute + 1) % xmin:
xmin_bar.datetime = xmin_bar.datetime.replace(second=0,
microsecond=0)
xmin_bar.interval = xmin
event = Event(type=EVENT_BAR, data=xmin_bar)
common_signals.bar_signal.send(event)
setattr(self, f"min_{xmin}_bar", None)
def _start_looper(self):
"""
基于现有的数据进行回测数据, 此API用户不需要关注
"""
d = VessData(*self.data)
if self.basic_info is not None:
self.trader.account.basic_info = self.basic_info
""" trader初始化参数"""
self.trader.init_params(params=self.config)
flag = False
while True:
try:
if flag:
p = next(d)
self.trader(p)
else:
print("===> 发送初始化信号")
from ctpbee.constant import EVENT_INIT_FINISHED
self.app_signal.init_signal.send(
Event(type=EVENT_INIT_FINISHED, data=None))
flag = True
except StopIteration:
self.logger.info("回测结束,正在生成结果")
break
except ValueError:
raise ValueError("数据存在问题, 请检查")
return self.trader
def on_event(self, type, data):
event = Event(type=type, data=data)
if type == EVENT_BAR or type == EVENT_TICK:
import ctpbee.signals as signals
signal = getattr(signals.common_signals, f"{type}_signal")
else:
signal = getattr(self.app_signal, f"{type}_signal")
signal.send(event)
def update_tick(self, tick: TickData):
"""
Update new tick data into generator and new_shared time data.
"""
new_minute = False
""" 更新价位 """
self.last_price = tick.last_price
self.open_interest = tick.open_interest
self.volume = tick.volume
if self.last_volume is None:
self.last_volume = tick.volume
if self.local_symbol is None:
self.local_symbol = tick.local_symbol
if not self.bar:
new_minute = True
elif self.bar.datetime.minute != tick.datetime.minute:
self.bar.datetime = self.bar.datetime.replace(second=0,
microsecond=0)
self.bar.interval = 1
event = Event(type=EVENT_BAR, data=self.bar)
common_signals.bar_signal.send(event)
[self.update_bar(x, self.bar) for x in self.XMIN]
new_minute = True
if new_minute:
self.last_volume = tick.volume
gateway_name = tick.gateway_name if getattr(
tick, "gateway_name", None) else "looper"
self.bar = BarData(
symbol=tick.symbol,
exchange=tick.exchange,
datetime=tick.datetime,
gateway_name=gateway_name,
open_price=tick.last_price,
high_price=tick.last_price,
low_price=tick.last_price,
close_price=tick.last_price,
)
else:
self.bar.high_price = max(self.bar.high_price, tick.last_price)
self.bar.low_price = min(self.bar.low_price, tick.last_price)
self.bar.close_price = tick.last_price
self.bar.datetime = tick.datetime
if self.last_tick:
""" 更新volume的改变 """
volume_change = tick.volume - self.last_tick.volume
self.bar.volume += max(volume_change, 0)
self.last_tick = tick
def update_tick(self, tick: TickData):
bar = self.resample(tick)
for x in bar:
event = Event(type=EVENT_BAR, data=x)
common_signals.bar_signal.send(event)
def __del__(self):
for x in self.last_entity.values():
event = Event(type=EVENT_BAR, data=x)
common_signals.bar_signal.send(event)
self.last_entity.clear()
def on_event(self, type, data):
event = Event(type=type, data=data)
signal = getattr(self.app_signal, f"{type}_signal")
signal.send(event)
def on_event(self, type, data):
if type == EVENT_TICK:
event = Event(type=type, data=data)
signal = getattr(common_signals, f"{type}_signal")
signal.send(event)
def running_timer(common_signal):
while True:
event = Event(type=EVENT_TIMER)
common_signal.timer_signal.send(event)
sleep(self.config['TIMER_INTERVAL'])
