def _Generate_Bar(self, tick):
"""生成、推送、保存Bar"""
id = tick.Instrument
if id in self.bar_dict:
bar = self.bar_dict[id]
else:
bar = VtBarData()
today = time.strftime('%Y-%m-%d', time.localtime())
min = ''.join(tick.UpdateTime)
#print('before ',min)
min = min[:-2] + '00'
#print('after ',min)
if bar.time != min:
if len(bar.time) > 0:
df = pd.DataFrame([bar.__dict__])
cols = [
'date', 'time', 'open', 'high', 'low', 'close', 'volume'
]
df = df[cols]
# send bar to port
self.send_bar(str(bar.__dict__))
#self.put_bar(df, id)
# save bar
# 出现了怪的问题，发布了多条重复的tick，但分种线的加工不应该出现此问题，多线程 ? ? ?
fname = self.dss + 'fut/bar/min1_' + self.tradeDay + '_' + id + '.csv'
if os.path.exists(fname):
df.to_csv(fname, index=False, mode='a', header=False)
else:
df.to_csv(fname, index=False, mode='a')
bar.date = today
bar.time = min
bar.vtSymbol = tick.Instrument
bar.open = tick.LastPrice
bar.high = tick.LastPrice
bar.low = tick.LastPrice
bar.close = tick.LastPrice
bar.volume = tick.Volume
else:
if bar.high < tick.LastPrice:
bar.high = tick.LastPrice
if bar.low > tick.LastPrice:
bar.low = tick.LastPrice
bar.close = tick.LastPrice
bar.volume = tick.Volume
self.bar_dict[id] = bar
def loadData(self, vtSymbol):
"""加载数据"""
df = pd.read_csv(vtSymbol + '.csv')
for i, d in df.iterrows():
#print(d)
#set_trace()
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
date = str(d['date'])
if '-' in date:
date = date.split('-')
date = ''.join(date)
bar.date = date
bar.time = d['time']
#bar.time = '00:00:00'
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
bar.volume = d['volume']
barDict = self.dataDict.setdefault(bar.datetime, OrderedDict())
barDict[bar.vtSymbol] = bar
self.output(u'全部数据加载完成')
def loadData(self, dbName):
"""加载数据"""
for vtSymbol in self.vtSymbolList:
df = get_stk_hfq(dss, vtSymbol)
df = df.sort_values(['date'])
for i, d in df.iterrows():
#print(d)
#set_trace()
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
date = d['date'].split('-')
date = ''.join(date)
bar.date = date
bar.time = '00:00:00'
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
bar.volume = d['volume']
barDict = self.dataDict.setdefault(bar.datetime, OrderedDict())
barDict[bar.vtSymbol] = bar
self.output(u'全部数据加载完成')
def _bc_loadInitBar(self, vtSymbol, initBars):
"""读取Bar数据，"""
r = []
#df = get_stk_hfq(self.dss, vtSymbol, begin_date=None, end_date='2019-07-18')
df = get_stk_hfq(self.dss, vtSymbol, begin_date=None, end_date=None)
if df is not None:
df = df.iloc[:initBars]
df = df.sort_values('date')
for i, row in df.iterrows():
d = dict(row)
#print(d)
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
date = d['date'].split('-') #去掉字符串中间的'-'
date = ''.join(date)
bar.date = date
bar.time = '00:00:00'
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
bar.volume = float(d['volume'])
r.append(bar)
return r
def loadData(self, vtSymbol):
"""加载数据"""
df = pd.read_csv(self.dss + 'fut/bar/min5_' + vtSymbol + '.csv')
for i, d in df.iterrows():
#print(d)
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
bar.volume = d['volume']
date = str(d['date'])
bar.date = date
bar.time = str(d['time'])
if '-' in date:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y-%m-%d %H:%M:%S')
else:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
#bar.time = '00:00:00'
#bar.datetime = bar.date + ' ' + bar.time
bar.datetime = datetime.strftime(bar.datetime, '%Y%m%d %H:%M:%S')
self.barDict[bar.datetime] = bar
# print(bar.__dict__)
# break
self.output(u'全部数据加载完成')
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 worker_1450(self):
"""盘中推送bar"""
to_log('in TradeEngine.worker_1450')
for p in self.portfolio_list:
for vtSymbol in p.vtSymbolList:
#print(vtSymbol)
df = None
i = 0
while df is None and i < 2:
try:
i += 1
df = ts.get_realtime_quotes(vtSymbol)
except Exception as e:
print('error get_realtime_quotes')
print(e)
time.sleep(0.1)
if df is None:
continue
code = vtSymbol
df1 = None
i = 0
while df1 is None and i < 2:
try:
i += 1
df1 = get_adj_factor(self.dss, code)
except Exception as e:
print('error adj_factor ' + code)
print(e)
time.sleep(0.1)
if df1 is None:
continue
factor = float(df1.at[0, 'adj_factor'])
d = df.loc[0, :]
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open']) * factor
bar.high = float(d['high']) * factor
bar.low = float(d['low']) * factor
bar.close = float(d['price']) * factor
bar.close_bfq = float(d['price'])
date = d['date'].split('-') #去掉字符串中间的'-'
date = ''.join(date)
bar.date = date
bar.time = '00:00:00'
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
bar.volume = float(d['volume'])
p.onBar(bar)
send_email(self.dss, 'worker_1450处理完毕', '')
def loadData(self):
"""加载数据"""
for vtSymbol in self.symbol_list:
filename = get_dss() + 'fut/bar/min1_' + vtSymbol + '.csv'
df = pd.read_csv(filename)
for i, d in df.iterrows():
# print(d)
# print('here')
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
bar.volume = d['volume']
dt = d['datetime']
bar.date = dt[:4] + dt[5:7] + dt[8:10]
bar.time = dt[11:19]
bar.datetime = bar.date + ' ' + bar.time
# print(bar.datetime, bar.date, bar.time)
# return
# date = str(d['date'])
# bar.date = date
# bar.time = str(d['time'])
# if '-' in date:
# bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y-%m-%d %H:%M:%S')
# else:
# bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S')
#
# #bar.time = '00:00:00'
# #bar.datetime = bar.date + ' ' + bar.time
# bar.datetime = datetime.strftime(bar.datetime, '%Y%m%d %H:%M:%S')
barDict = self.dataDict.setdefault(bar.datetime, OrderedDict())
barDict[bar.vtSymbol] = bar
# break
self.output(u'全部数据加载完成')
def loadData(self):
"""加载数据"""
for vtSymbol in self.symbol_list:
#filename = get_dss( )+ 'fut/bar/min5_' + vtSymbol + '.csv'
#filename = get_dss( ) + 'fut/bar/' + self.minx + '_' + vtSymbol + '.csv'
#filename = get_dss( ) + 'backtest/bar/' + self.minx + '_' + vtSymbol + '.csv'
filename = get_dss(
) + 'backtest/fut/' + vtSymbol + '/' + self.minx + '_' + vtSymbol + '.csv'
df = pd.read_csv(filename)
for i, d in df.iterrows():
#print(d)
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
bar.volume = d['volume']
date = str(d['date'])
bar.date = date
bar.time = str(d['time'])
if '-' in date:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y-%m-%d %H:%M:%S')
else:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
#bar.time = '00:00:00'
#bar.datetime = bar.date + ' ' + bar.time
bar.datetime = datetime.strftime(bar.datetime,
'%Y%m%d %H:%M:%S')
barDict = self.dataDict.setdefault(bar.datetime, OrderedDict())
barDict[bar.vtSymbol] = bar
# break
print(vtSymbol + '全部数据加载完成，数据量：' + str(len(df)))
def loadData(self):
"""加载数据"""
for vtSymbol in self.vtSymbol_list:
# print(vtSymbol)
test_list = ['IF2011', 'IO2011-C-4700', 'IO2011-P-4700']
# test_list = ['m2101', 'RM101', 'MA101', 'p2101']
if vtSymbol in test_list:
fn = get_dss( )+ 'fut/bar/min1_' + vtSymbol + '.csv'
if os.path.exists(fn):
df = pd.read_csv(fn)
for i, d in df.iterrows():
# print(i)
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
bar.volume = d['volume']
date = str(d['date'])
bar.date = date
bar.time = str(d['time'])
if '-' in date:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y-%m-%d %H:%M:%S')
else:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S')
bar.datetime = datetime.strftime(bar.datetime, '%Y-%m-%d %H:%M:%S')
# barDict = self.dataDict.setdefault(bar.datetime, OrderedDict())
# barDict[bar.vtSymbol] = bar
if bar.datetime in self.dataDict:
self.dataDict[bar.datetime][bar.vtSymbol] = bar
else:
self.dataDict[bar.datetime] = {}
self.dataDict[bar.datetime][bar.vtSymbol] = bar
def loadData(self):
"""加载数据"""
for vtSymbol in self.vtSymbol_list:
fname = vtSymbol + '.csv'
#print(fname)
df = pd.read_csv(fname,dtype='str')
df = df[df.date>datetime.strftime(self.startDt, '%Y%m%d')]
df = df[df.date<datetime.strftime(self.endDt, '%Y%m%d')]
df = df.sort_values(by=['date','time'])
#print(df)
for i, row in df.iterrows():
d = dict(row)
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
bar.volume = d['volume']
date = str(d['date'])
bar.date = date
bar.time = str(d['time'])
if '-' in date:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y-%m-%d %H:%M:%S')
else:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S')
#bar.datetime = datetime.strftime(bar.datetime, '%Y%m%d %H:%M:%S')
barDict = self.dataDict.setdefault(bar.datetime, OrderedDict())
barDict[bar.vtSymbol] = bar
self.output(u'%s数据加载完成，总数据量：%s' %(vtSymbol, len(df)))
self.output(u'全部数据加载完成')
def worker_1450(self):
"""盘中推送bar"""
to_log('in TradeEngine.worker_1450')
for p in self.portfolio_list:
for vtSymbol in p.vtSymbolList:
#print(vtSymbol)
df = None
i = 0
while df is None and i < 2:
try:
i += 1
df = ts.get_realtime_quotes(vtSymbol)
except Exception as e:
print('error get_realtime_quotes')
print(e)
time.sleep(0.1)
if df is None:
to_log('ignore ' + vtSymbol)
continue
adj_factor = None
df1 = None
i = 0
while df1 is None and i < 2:
try:
i += 1
df1 = get_adj_factor(self.dss, vtSymbol)
adj_factor = float(df1.at[0, 'adj_factor'])
except Exception as e:
print('error adj_factor ' + vtSymbol)
print(e)
time.sleep(0.1)
if df1 is None:
to_log('ignore ' + vtSymbol)
continue
hfq_factor = get_hfq_factor(self.dss, vtSymbol)
factor = hfq_factor
if adj_factor is not None:
if abs((adj_factor - hfq_factor) /
adj_factor) > 0.01: # 差异大，今天有除权
factor = adj_factor
d = df.loc[0, :]
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open']) * factor
bar.high = float(d['high']) * factor
bar.low = float(d['low']) * factor
bar.close = float(d['price']) * factor
bar.close_bfq = float(d['price'])
date = d['date'].split('-') #去掉字符串中间的'-'
date = ''.join(date)
bar.date = date
bar.time = '00:00:00'
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
bar.volume = float(d['volume'])
#to_log(vtSymbol+' '+d['price']+' * '+str(factor)+' = '+str(bar.close))
p.onBar(bar)
send_email(self.dss, 'worker_1450处理完毕', '')
def worker_1450(self):
"""盘中推送bar"""
to_log('in TradeEngine.worker_1450')
print('begin worker_1450')
r, dt = self.is_trade_day()
if r == False:
return
self.currentDt = dt
for vtSymbol in self.vtSymbolList:
#print(vtSymbol)
df = None
i = 0
while df is None and i < 3:
try:
i += 1
df = ts.get_realtime_quotes(vtSymbol)
except Exception as e:
print('error get_realtime_quotes')
print(e)
time.sleep(1)
if df is None:
continue
code = vtSymbol
df1 = None
i = 0
while df1 is None and i < 3:
try:
i += 1
df1 = get_adj_factor(self.dss, code)
except Exception as e:
print('error adj_factor')
print(e)
time.sleep(1)
if df1 is None:
continue
factor = float(df1.at[0, 'adj_factor'])
d = df.loc[0, :]
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open']) * factor
bar.high = float(d['high']) * factor
bar.low = float(d['low']) * factor
bar.close = float(d['price']) * factor
bar.close_bfq = float(d['price'])
date = d['date'].split('-') #去掉字符串中间的'-'
date = ''.join(date)
bar.date = date
bar.time = '00:00:00'
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
bar.volume = float(d['volume'])
barDict = self.dataDict.setdefault(bar.datetime, OrderedDict())
barDict[bar.vtSymbol] = bar
self.portfolio.onBar(bar)
send_email(self.dss, 'worker_1450处理完毕', '')
