def _bc_loadInitBar(self, vtSymbol, initBars, minx):
"""反调函数，因引擎知道数据在哪，初始化Bar数据，"""
# assert minx != 'min1'
r = []
# 直接读取signal对应minx相关的文件。
fn = self.dss + 'fut/bar/' + minx + '_' + vtSymbol + '.csv'
if os.path.exists(fn):
df = pd.read_csv(fn)
df['datetime'] = df['date'] + ' ' + df['time']
df = df[df.datetime < self.startDt]
# print(vtSymbol, len(df), minx)
assert len(df) >= initBars
df = df.sort_values(by=['date','time'])
df = df.iloc[-initBars:]
# print(df)
for i, row in df.iterrows():
d = dict(row)
#print(d)
# print(type(d))
bar = VtBarData()
bar.__dict__ = d
#print(bar.__dict__)
r.append(bar)
return r
def _bc_loadInitBar(self, vtSymbol, initBars, minx):
"""反调函数，因引擎知道数据在哪，初始化Bar数据，"""
r = []
today = time.strftime('%Y%m%d', time.localtime())
# 直接读取signal对应minx相关的文件。
#fname = self.dss + 'fut/bar/' + minx + '_' + vtSymbol + '.csv'
fname = self.dss + 'fut/put/rec/' + minx + '_' + vtSymbol + '.csv'
#print(fname)
if os.path.exists(fname):
df = pd.read_csv(fname)
assert len(df) >= initBars
df = df.sort_values(by=['date', 'time'])
df = df.iloc[-initBars:]
#print(df)
for i, row in df.iterrows():
d = dict(row)
# print(d)
# print(type(d))
bar = VtBarData()
bar.__dict__ = d
r.append(bar)
return r
def _bc_loadInitBar(self, vtSymbol, initBars, minx):
"""读取startDt前n条Bar数据，用于初始化am"""
assert minx != 'min1'
r = []
# 直接读取signal对应minx相关的文件。
fname = self.dss + 'fut/bar/' + self.minx + '_' + vtSymbol + '.csv'
#print(fname)
df = pd.read_csv(fname)
df['datetime'] = df['date'] + ' ' + df['time']
df = df[df.datetime < self.startDt]
assert len(df) >= initBars
df = df.sort_values(by=['date', 'time'])
df = df.iloc[-initBars:]
#print(df)
for i, row in df.iterrows():
d = dict(row)
# print(d)
# print(type(d))
bar = VtBarData()
bar.__dict__ = d
r.append(bar)
return r
def put_service(self):
print('in put_svervice')
while True:
time.sleep(1)
for id in self.vtSymbol_list:
try:
fname = self.dss + 'fut/put/' + self.minx + '_' + id + '.csv'
#print(fname)
df = pd.read_csv(fname)
d = dict(df.loc[0, :])
#print(d)
#print(type(d))
bar = VtBarData()
bar.__dict__ = d
bar.vtSymbol = id
bar.symbol = id
if id not in self.vtSymbol_dict:
self.vtSymbol_dict[id] = bar
elif self.vtSymbol_dict[id].time != bar.time:
self.vtSymbol_dict[id] = bar
#self.onBar(bar)
for p in self.portfolio_list:
p.onBar(bar)
except Exception as e:
print('error，读取文件错误')
print(e)
def calcData_min5(self):
"""加载数据"""
bar_minX = VtBarData()
for dt, bar in self.min1barDict.items():
if str(bar.datetime)[-5:-3] in [
'00', '05', '10', '15', '20', '25', '30', '35', '40', '45',
'50', '55'
]:
if bar_minX.datetime is not None:
self.min5barDict[bar_minX.datetime] = bar_minX
bar_minX = VtBarData()
if bar_minX.datetime is None:
bar_minX.__dict__ = bar.__dict__
else:
if bar_minX.high < bar.high:
bar_minX.high = bar.high
if bar_minX.low > bar.low:
bar_minX.low = bar.low
bar_minX.close = bar.close
bar_minX.volume = bar.volume
if bar_minX.datetime is not None:
self.min5barDict[bar_minX.datetime] = bar_minX
self.barDict = self.min5barDict
def bar_service(self):
print('in bar_svervice')
r, dt = is_trade_day()
if r == False:
return
address = ('localhost', SOCKET_BAR)
while True:
with Listener(address, authkey=b'secret password') as listener:
with listener.accept() as conn:
#print('connection accepted from', listener.last_accepted)
s = conn.recv()
d = eval(s)
bar = VtBarData()
bar.__dict__ = d
for p in self.portfolio_list:
p.onBar(bar)
def bar_listen_service(self):
print('bar_listen_svervice 线程开始工作')
server = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
server.bind(('localhost', SOCKET_BAR))
server.listen(5)
while True:
try:
conn, addr = server.accept()
b = conn.recv(10240)
s = str(b, encoding='utf-8')
# print( 'recive:', len(s) )
conn.close()
d = eval(s)
if d['vtSymbol'] in self.vtSymbol_list:
bar = VtBarData()
bar.__dict__ = d
bar.close = float(
'nan'
) if bar.close == sys.float_info.max else bar.close
bar.AskPrice = float(
'nan'
) if bar.AskPrice == sys.float_info.max else bar.AskPrice
# if bar.AskPrice != bar.AskPrice:
# print(bar.AskPrice)
bar.BidPrice = float(
'nan'
) if bar.BidPrice == sys.float_info.max else bar.BidPrice
# if np.isnan(bar.BidPrice):
# print(bar.BidPrice)
self.lock.acquire()
self.bar_list.append(bar)
self.lock.release()
else:
pass
except Exception as e:
print('error ')
r = traceback.format_exc()
to_log(r)
def put_service(self):
print('in put_svervice')
vtSymbol_dict = {} # 缓存中间bar
g5 = BarGenerator('min5')
while True:
time.sleep(1)
for id in self.vtSymbol_list:
try:
fname = self.dss + 'fut/put/min1_' + id + '.csv'
#print(fname)
df = pd.read_csv(fname)
d = dict(df.loc[0,:])
#print(d)
#print(type(d))
bar = VtBarData()
bar.__dict__ = d
bar.vtSymbol = id
bar.symbol = id
if id not in vtSymbol_dict:
vtSymbol_dict[id] = bar
elif vtSymbol_dict[id].time != bar.time:
vtSymbol_dict[id] = bar
bar_min5 = g5.update_bar(bar)
if bar_min5 is not None:
g5.save_bar(bar_min5)
for p in self.portfolio_list:
p.onBar(bar_min5, 'min5')
for p in self.portfolio_list:
p.onBar(bar, 'min1')
except Exception as e:
# 对文件并发访问，存着读空文件的可能！！！
#print('-'*30)
#traceback.print_exc()
s = traceback.format_exc()
to_log(s)
def loadInitBar(self, vtSymbol, initBars):
"""读取Bar数据，"""
r = []
try:
today = time.strftime('%Y%m%d', time.localtime())
fname = self.dss + 'fut/bar/min1_' + today + '_' + vtSymbol + '.csv'
#print(fname)
df = pd.read_csv(fname)
df = df.sort_values(by=['date', 'time'])
df = df.iloc[-initBars:]
print(df)
for i, row in df.iterrows():
d = dict(row)
#print(d)
#print(type(d))
bar = VtBarData()
bar.__dict__ = d
r.append(bar)
except Exception as e:
print('error ')
print(e)
return r
#print(fname)
df = pd.read_csv(fname)
df['datetime'] = df['date'] + ' ' + df['time']
df = df[df.datetime < startDt]
assert len(df) >= initBars
df = df.sort_values(by=['date', 'time'])
df = df.iloc[-initBars:]
print(df)
for i, row in df.iterrows():
d = dict(row)
#print(d)
# print(type(d))
bar = VtBarData()
bar.__dict__ = d
#print(bar.__dict__)
r.append(bar)
am = ArrayManager(initBars) # K线容器
for bar in r:
am.updateBar(bar)
#rsiValue = am.rsi(5, array=True)
#rsiArray50 = am.rsi(10, array=True)
#rsiMa = rsiValue[-30:].mean()
#atrValue = am.atr(30)
atrValue = am.atr(1, array=True)
atrMa = atrValue[-30:].mean()
print(atrValue)
