def showCompare(self, bars: [], code: str):
from earnmi.data.MarketImpl import MarketImpl
market = MarketImpl()
market.addNotice(code)
today: datetime = bars[-1].datetime
market.setToday(today + timedelta(days=1))
start: datetime = bars[0].datetime
baseBars = market.getHistory().getKbarFrom(
code, datetime(start.year, start.month, start.day))
#baseBar = mainBar
### 初始化columns
columns = ['Open', 'High', 'Low', 'Close', "Volume", "Close2"]
data = []
index = []
bars1 = baseBars
bars2 = bars
size1 = len(bars1)
size2 = len(bars2)
rate = bars1[0].close_price / bars2[0].close_price
bar_pre_2 = bars2[0]
i2 = 0
for i1 in range(size1):
bar1 = bars1[i1]
index.append(bar1.datetime)
list = [
bar1.open_price, bar1.high_price, bar1.low_price,
bar1.close_price, bar1.volume
]
if i2 < size2:
bar2 = bars2[i2]
if utils.is_same_day(bar1.datetime, bar2.datetime):
list.append(bar2.close_price * rate)
bar_pre_2 = bar2
i2 = i2 + 1
else:
##bar2缺少今天数据。
list.append(bar_pre_2.close_price * rate)
##保证i2要大于大
while (i2 < size2):
bar2 = bars2[i2]
days = (bar2.datetime - bar1.datetime).days
if days > 0:
break
i2 = i2 + 1
else:
list.append(bar_pre_2.close_price * rate)
data.append(list)
trades = pd.DataFrame(data, index=index, columns=columns)
apds = []
apds.append(mpf.make_addplot(trades['Close'], color='gray'))
apds.append(mpf.make_addplot(trades['Close2'], color='r'))
mpf.plot(trades, type='line', figscale=1.3, addplot=apds)
pass
def historyTest():
market2 = MarketImpl()
market2.setToday(datetime.now())
#获取沪市数据
code = "600000"
market2.addNotice(code)
bars = market2.getHistory().getKbars(code, 20)
assert len(bars) == 20
##获取指数数据
codes = ['000300']
for code in codes:
market2.addNotice(code)
assert len(market2.getHistory().getKbars(code, 20)) == 20
code = "300004"
market2.addNotice(code)
todayListBar = market2.getHistory().getKbars(code, 50)
pre_bares = None
for todayBar in todayListBar:
today = datetime(year=todayBar.datetime.year,
month=todayBar.datetime.month,
day=todayBar.datetime.day,
minute=1)
market2.setToday(today)
bars1 = market2.getHistory().getKbars(code, 100)
##最后一个bar不应该包含今天：
assert not utils.is_same_day(bars1[-1].datetime, today)
assert len(bars1) == 100
pre_bar = None
for bar in bars1:
assert bar.datetime < today
if pre_bar:
assert pre_bar.datetime < bar.datetime
pre_bar = bar
bars2 = market2.getHistory().getKbarFrom(code, bars1[0].datetime)
for index in range(len(bars1)):
assert bars1[index].datetime == bars2[index].datetime
#昨天的bar数据
if pre_bares:
for index in range(len(pre_bares) - 1):
assert pre_bares[index + 1].datetime == bars1[index].datetime
pre_bares = bars1
pass
def on_market_prepare_close(self, protfolio: Portfolio):
"""
市场准备关市.
"""
time = self.market.getToday()
assert time.hour == 14 and time.minute == 57
# 最开始datetime(2019, 2, 26, 10, 28)买入100股，由于A股T+1的限制，是不可以当天卖的
if (utils.is_same_day(datetime(2019, 2, 26, 10, 28), time)):
assert protfolio.sell("601318", 67.00, 100) == False
pass
def on_trade(self, trade: TradeData):
print(f"{self.market.getToday()}：on_trade: {trade}")
# 中国平安601318 在datetime(2019, 2, 26, 10, 28)时刻，最低到达 low_price=67.15,到达买入价
# 中国平安601318 在datetime(2019, 2, 27, 9, 48)时刻，最高到达 high_price=68.57，到达卖出价
# 中国平安601318 在datetime(2019, 3, 25, 13, 10)时刻，从最高价71到一个新底69.75, 后面再到一个新的高点。7.38左右
# 中国平安601318 在datetime(2019, 2, 28)时刻，9点40分左右到最低点66.8，10:47最高到达68.08，然后14:00后面出现新的第二低点67.2-67.4
is_buy = trade.direction == Direction.LONG and trade.offset == Offset.OPEN
is_sell = trade.direction == Direction.SHORT and trade.offset == Offset.CLOSE
is_short = trade.direction == Direction.SHORT and trade.offset == Offset.OPEN
is_cover = trade.direction == Direction.LONG and trade.offset == Offset.CLOSE
if (utils.is_same_time(datetime(2019, 2, 26, 10, 28),
self.market.getToday(),
deltaSecond=30)):
if is_buy:
self.buy_at_2019_2_26_10_28 = self.buy_at_2019_2_26_10_28 + 1
assert utils.isEqualFloat(67.15, trade.price,
0.5) #成交价格在67.15中间
if (utils.is_same_day(datetime(2019, 2, 28), self.market.getToday())):
if is_cover:
assert self.cover_at_2019_2_28_14_more == False
self.cover_at_2019_2_28_14_more = True
assert utils.isEqualFloat(67.3, trade.price,
0.5) #成交价格在67.15中间
if (utils.is_same_time(self.market.getToday(),
datetime(2019, 2, 27, 9, 48),
deltaMinitue=1,
deltaSecond=2)):
if is_sell:
self.sell_at_2019_2_27_9_48 = True
assert utils.isEqualFloat(68.57, trade.price,
0.5) # 成交价格在68.57中间
if is_short:
self.short_at_2019_2_27_9_48 = True
assert utils.isEqualFloat(68.57, trade.price,
0.5) # 成交价格在68.57中间
# 中国平安601318
# 2019-03-25 10:35:00:open = 71.03,close=70.96 一天最高点
# 2019-03-25 13:12:00:open = 69.97,close=69.79 下午开盘的一个低点
# 2019-03-25 13:47:00:open = 70.33,close=70.41 下午的一个高点
if (utils.is_same_time(self.market.getToday(),
datetime(2019, 3, 25, 13, 47),
deltaMinitue=4,
deltaSecond=2)):
if is_sell:
self.sell_at_2019_3_25_13_47 = True
assert utils.isEqualFloat(70.36, trade.price,
0.5) # 成交价格在68.57中间
def getData(self, end: datetime, count: int) -> Sequence["BarData"]:
#是否满足从缓存里面取
__pool_data = self.setPoolAt(end, count)
ret = []
addingCount = 0
pool_size = len(__pool_data)
for i in range(pool_size):
index = pool_size - i - 1
data = __pool_data[index]
if addingCount == 0:
if data.datetime < end and not utils.is_same_day(
data.datetime, end):
ret.insert(0, data)
addingCount = 1
else:
ret.insert(0, data)
addingCount = addingCount + 1
if (addingCount >= count):
break
return ret
def on_market_close(self, protfolio: Portfolio):
"""
市场关市.
"""
time = self.market.getToday()
assert time.hour == 15 and time.minute == 0
assert self.on_bar_per_minute_count > 200
self.final_valid_capital = protfolio.getValidCapital()
# 中国平安601318 在datetime(2019, 2, 26, 10, 28)时刻，最低到达 low_price=67.15
if utils.is_same_day(datetime(2019, 2, 26), self.market.getToday()):
#当天已经买入121*100股，持有仓位资金不为0
assert protfolio.getTotalHoldCapital() > 810700
position = protfolio.getLongPosition("601318")
assert position.is_long == True
assert position.pos_total == 121 * 100
assert position.getPosAvailable() == 0 # 因为今天才交易，可用仓位为0
pass
def printTop5(patternList=[]):
end = utils.to_end_date(datetime.now() - timedelta(days=1)) ##昨天数据集
start = end - timedelta(days=60)
#sw = SWImpl()
generateTrainData = Generate_Feature_KPattern_skip1_predit2(
kPatters=patternList)
code = sw.getSW2List()[0]
bars = sw.getSW2Daily(code, start, end)
yestoday = bars[-1].datetime
yestoday2 = bars[-2].datetime
class TopData(object):
kCode = 0
predict: PredictData = None
code = ""
name = ""
sw.collect(start, end, generateTrainData)
yestoday_top = []
yestoday2_top = []
print(f"count:{len(generateTrainData.predictTraceDatas)},上个交易日:{yestoday}")
for ___traceData in generateTrainData.predictTraceDatas:
traceData: Skip1_Predict2_TraceData = ___traceData
topData = TopData()
topData.code = traceData.code
topData.name = sw.getSw2Name(topData.code)
if len(traceData.predictBars) > 0:
yestoday2_top.append(topData)
assert utils.is_same_day(traceData.predictBars[-1].datetime,
yestoday)
else:
yestoday_top.append(topData)
kPattern = traceData.kPatternValue
filleName = f"models/predict_sw_top_k_{kPattern}.m"
model = PredictModel()
model.loadFromFile(filleName)
feature = generateTrainData.generateData([traceData])
predict = model.predict(feature)[0]
topData.kCode = kPattern
topData.predict = predict
occurBar = traceData.occurBar
close_price = occurBar.close_price
topData.start_price = close_price
#topData.sell_price = close_price * (1 + predict.percent / 100.0)
#topData.buy_price = close_price * (1 + predict.buy.percent / 100.0)
def compareTopBar(d1: TopData, d2: TopData):
if d1.predict.level != d2.predict.level:
return d1.predict.level - d2.predict.level
delta = d1.predict.percent - d2.predict.percent
if delta != 0:
return delta
if d1.predict.probability < d2.predict.probability:
return -1
else:
return 1
yestoday_top = sorted(yestoday_top,
key=cmp_to_key(compareTopBar),
reverse=True)
yestoday2_top = sorted(yestoday2_top,
key=cmp_to_key(compareTopBar),
reverse=True)
def printTopData(topData, isDouble=False):
if topData is None:
return
pct = topData.predict.percent - topData.predict.buy.percent
double_info = ""
if isDouble:
double_info = "****************"
print(f"[code:{topData.code},name:{topData.name},kCode:{topData.kCode}"
f",[sell:%.2f%%,buy:%.2f%%,pct=%.2f%%]] {double_info}" %
(topData.predict.percent, topData.predict.buy.percent, pct))
print(f"昨天top数据")
for topData in yestoday_top:
yestory_data = None
for topData2 in yestoday2_top:
if topData.code == topData2.code:
yestory_data = topData2
break
printTopData(topData)
printTopData(yestory_data, True)
print(f" {topData.predict.getLogInfo()}")
print(f"前天top数据")
for topData in yestoday2_top:
printTopData(topData)
print(f" {topData.predict.getLogInfo()}")