async def update_trade(self, trade):
""" 逐笔成交更新
"""
newMinute = False #默认不是新的一分钟
#尚未创建对象
if not self.bar:
self.bar = Kline()
newMinute = True
#新的一分钟
elif int(self.bar.timestamp//ONE_MINUTE) != int(trade.timestamp//ONE_MINUTE):
#生成上一分钟K线的时间戳
self.bar.timestamp = int(self.bar.timestamp//ONE_MINUTE)*ONE_MINUTE
#推送已经结束的上一分钟K线
await self.onBar(self.bar)
#创建新的K线对象
self.bar = Kline()
newMinute = True
#初始化新一分钟的K线数据
if newMinute:
self.bar.platform = trade.platform
self.bar.symbol = trade.symbol
self.bar.open = trade.price
self.bar.high = trade.price
self.bar.low = trade.price
self.bar.kline_type = const.MARKET_TYPE_KLINE
self.bar.volume = 0
#累加更新老一分钟的K线数据
else:
self.bar.high = max(self.bar.high, trade.price)
self.bar.low = min(self.bar.low, trade.price)
#通用更新部分
self.bar.close = trade.price
self.bar.timestamp = trade.timestamp
self.bar.volume += trade.quantity
async def on_kline_update_callback(self, kline: Kline):
""" 市场K线更新
"""
if self.native_to_system:
kline.symbol = self.native_to_system[
kline.symbol] #'交易所原始符号'转换成'量化平台通用符号'
await self._original_on_kline_update_callback(kline)
def _update_kline(self, kline_info, symbol):
""" kline update.
Args:
kline_info: kline information.
Returns:
None.
"""
info = {
"platform":
self._platform,
"symbol":
symbol,
"open":
kline_info["open"],
"high":
kline_info["high"],
"low":
kline_info["low"],
"close":
kline_info["close"],
"volume":
kline_info["volume"],
"timestamp":
tools.utctime_str_to_mts(kline_info["startTime"],
"%Y-%m-%dT%H:%M:%S+00:00"),
"kline_type":
MARKET_TYPE_KLINE
}
kline = Kline(**info)
SingleTask.run(self.cb.on_kline_update_callback, kline)
async def update_bar(self, bar):
""" 1分钟K线更新
"""
#尚未创建对象
if not self.xminBar:
self.xminBar = Kline()
self.xminBar.kline_type = self.bar_type
self.xminBar.platform = bar.platform
self.xminBar.symbol = bar.symbol
self.xminBar.open = bar.open
self.xminBar.high = bar.high
self.xminBar.low = bar.low
self.xminBar.timestamp = bar.timestamp #以第一根分钟K线的开始时间戳作为X分钟线的时间戳
self.xminBar.volume = 0
#累加老K线
else:
self.xminBar.high = max(self.xminBar.high, bar.high)
self.xminBar.low = min(self.xminBar.low, bar.low)
#通用部分
self.xminBar.close = bar.close
self.xminBar.volume += bar.volume
#X分钟已经走完
minute = int(bar.timestamp//ONE_MINUTE)
if not (minute + 1) % self.xmin: #可以用X整除
#推送
await self.onXminBar(self.xminBar)
#清空老K线缓存对象
self.xminBar = None
async def on_kline_update_callback(self, kline: Kline):
""" 市场K线更新
"""
#logger.info("kline:", kline, caller=self)
self.last_kline = kline
#如果收到的是'交易所提供的K线'而不是'自合成K线'的话就直接忽略
if not kline.is_custom_and_usable():
return
await super(CTAMultiTimeframeStrategy, self).on_kline_update_callback(kline)
async def on_kline_update_callback(self, kline: Kline):
""" 市场K线更新
"""
#logger.info("kline:", kline, caller=self)
self.last_kline = kline
#历史数据还没准备好
if not self.init_history_data:
return
#如果收到的是'交易所提供的K线'而不是'自合成K线'的话就直接忽略
if not kline.is_custom_and_usable():
return
await super(CTAStrategy, self).on_kline_update_callback(kline)
async def load_history_data(self, platform, symbol):
""" 加载历史数据
"""
now = ModelAPI.current_milli_timestamp()
prev = now - 4 * 24 * 60 * 60 * 1000 #四天的数据
ks = await ModelAPI.get_klines_between(platform, symbol, prev, now)
for k in ks:
kwargs = {
"platform": platform,
"symbol": symbol,
"timestamp": k["begin_dt"],
"kline_type": const.MARKET_TYPE_KLINE
}
kwargs.update(k) #填充剩余字段
kline = Kline(**kwargs)
for model in self.models:
model.on_history_kline(kline)
async def feed(self, row):
""" 通过历史数据驱动策略进行回测
"""
drive_type = row["drive_type"] #数据驱动方式
if drive_type == "kline" and self.cb.on_kline_update_callback:
kw = row.to_dict()
del kw["drive_type"]
del kw["gw"]
del kw["dt"]
kw["platform"] = self._platform
kw["timestamp"] = int(kw["begin_dt"])
kw["kline_type"] = MARKET_TYPE_KLINE
kline = Kline(**kw)
await self.cb.on_kline_update_callback(kline)
elif drive_type == "trade" and self.cb.on_trade_update_callback:
kw = {
"platform": self._platform,
"symbol": row["symbol"],
"action": row["direction"],
"price": row["tradeprice"],
"quantity": row["volume"],
"timestamp": int(row["tradedt"])
}
trade = Trade(**kw)
await self.cb.on_trade_update_callback(trade)
elif drive_type == "orderbook" and self.cb.on_orderbook_update_callback:
asks = []
bids = []
for i in range(1, 20 + 1):
asks.append([row[f'askprice{i}'], row[f'asksize{i}']])
bids.append([row[f'bidprice{i}'], row[f'bidsize{i}']])
kw = {
"platform": self._platform,
"symbol": row["symbol"],
"asks": asks,
"bids": bids,
"timestamp": int(row["pubdt"])
}
ob = Orderbook(**kw)
await self.cb.on_orderbook_update_callback(ob)
async def process_kline(self, data):
symbol = data["instrument_id"]
if symbol not in self._symbols:
return
cur_kline = data["candle"]
if self._prev_kline_map[symbol]: #如果存在前一根k线
prev_kline = self._prev_kline_map[symbol]
prev_timestamp = tools.utctime_str_to_mts(prev_kline[0])
cur_timestamp = tools.utctime_str_to_mts(cur_kline[0])
if prev_timestamp != cur_timestamp: #前一根k线的开始时间与当前k线开始时间不同,意味着前一根k线已经统计完毕,通知上层策略
info = {
"platform": self._platform,
"symbol": symbol,
"open": float(prev_kline[1]),
"high": float(prev_kline[2]),
"low": float(prev_kline[3]),
"close": float(prev_kline[4]),
"volume": float(prev_kline[5]),
"timestamp": prev_timestamp,
"kline_type": MARKET_TYPE_KLINE
}
kline = Kline(**info)
SingleTask.run(self.cb.on_kline_update_callback, kline)
self._prev_kline_map[symbol] = cur_kline
def parse(self):
kline = Kline(**self.data)
return kline
def parse(self):
""" 解析self._data数据
"""
kline = Kline(**self.data)
return kline