def __init__(self,
entity_schema: Type[EntityMixin] = Stock,
provider: str = None,
entity_provider: str = None,
entity_ids: List[str] = None,
exchanges: List[str] = None,
codes: List[str] = None,
the_timestamp: Union[str, pd.Timestamp] = None,
start_timestamp: Union[str, pd.Timestamp] = None,
end_timestamp: Union[str, pd.Timestamp] = None,
columns: List = None,
filters: List = None,
order: object = None,
limit: int = None,
level: Union[str, IntervalLevel] = IntervalLevel.LEVEL_1DAY,
category_field: str = 'entity_id',
time_field: str = 'timestamp',
computing_window: int = None,
keep_all_timestamp: bool = False,
fill_method: str = 'ffill',
effective_number: int = None,
transformer: Transformer = None,
accumulator: Accumulator = None,
need_persist: bool = False,
dry_run: bool = False,
factor_name: str = None,
clear_state: bool = False,
adjust_type: Union[AdjustType, str] = None) -> None:
if columns is None:
columns = [
'id', 'entity_id', 'timestamp', 'level', 'open', 'close',
'high', 'low'
]
# 股票默认使用后复权
if entity_schema == Stock and not adjust_type:
adjust_type = AdjustType.hfq
self.adjust_type = adjust_type
self.data_schema = get_kdata_schema(entity_schema.__name__,
level=level,
adjust_type=adjust_type)
if transformer:
self.indicator_cols = transformer.indicators
if not factor_name:
if type(level) == str:
factor_name = f'{type(self).__name__.lower()}_{level}'
else:
factor_name = f'{type(self).__name__.lower()}_{level.value}'
super().__init__(self.data_schema, entity_schema, provider,
entity_provider, entity_ids, exchanges, codes,
the_timestamp, start_timestamp, end_timestamp,
columns, filters, order, limit, level, category_field,
time_field, computing_window, keep_all_timestamp,
fill_method, effective_number, transformer,
accumulator, need_persist, dry_run, factor_name,
clear_state)
def get_top_volume_entities(region: Region,
entity_type=EntityType.Stock,
entity_ids=None,
start_timestamp=None,
end_timestamp=None,
pct=0.1,
return_type=TopType.positive,
adjust_type: Union[AdjustType, str] = None,
method=WindowMethod.avg):
if not adjust_type and entity_type == EntityType.Stock:
adjust_type = AdjustType.hfq
data_schema = get_kdata_schema(entity_type=entity_type,
adjust_type=adjust_type)
filters = None
if entity_ids:
filters = [data_schema.entity_id.in_(entity_ids)]
result, _ = get_top_entities(region=region,
data_schema=data_schema,
start_timestamp=start_timestamp,
end_timestamp=end_timestamp,
column='turnover',
pct=pct,
method=method,
return_type=return_type,
filters=filters)
return result
def __init__(self,
exchanges=['sh', 'sz'],
entity_ids=None,
codes=None,
batch_size=10,
force_update=True,
sleeping_time=0,
default_size=zvt_config['batch_size'],
real_time=False,
fix_duplicate_way='ignore',
start_timestamp=None,
end_timestamp=None,
level=IntervalLevel.LEVEL_1WEEK,
kdata_use_begin_time=False,
close_hour=15,
close_minute=0,
one_day_trading_minutes=4 * 60,
adjust_type=AdjustType.qfq,
share_para=None) -> None:
level = IntervalLevel(level)
adjust_type = AdjustType(adjust_type)
self.data_schema = get_kdata_schema(entity_type=EntityType.Stock, level=level, adjust_type=adjust_type)
self.bao_trading_level = to_bao_trading_level(level)
super().__init__(EntityType.Stock, exchanges, entity_ids, codes, batch_size, force_update, sleeping_time,
default_size, real_time, fix_duplicate_way, start_timestamp, end_timestamp, close_hour,
close_minute, level, kdata_use_begin_time, one_day_trading_minutes, share_para=share_para)
self.adjust_type = adjust_type
def __init__(self,
exchanges=['sh', 'sz'],
entity_ids=None,
codes=None,
day_data=True,
batch_size=10,
force_update=True,
sleeping_time=0,
default_size=2000,
real_time=False,
fix_duplicate_way='ignore',
start_timestamp=None,
end_timestamp=None,
level=IntervalLevel.LEVEL_1WEEK,
kdata_use_begin_time=False,
close_hour=15,
close_minute=0,
one_day_trading_minutes=4 * 60) -> None:
level = IntervalLevel(level)
self.data_schema = get_kdata_schema(entity_type='index', level=level)
self.jq_trading_level = to_jq_trading_level(level)
super().__init__('index', exchanges, entity_ids, codes, day_data,
batch_size, force_update, sleeping_time, default_size,
real_time, fix_duplicate_way, start_timestamp,
end_timestamp, close_hour, close_minute, level,
kdata_use_begin_time, one_day_trading_minutes)
get_token(zvt_config['jq_username'],
zvt_config['jq_password'],
force=True)
def __init__(self,
exchanges=['sh', 'sz'],
entity_ids=None,
codes=None,
batch_size=10,
force_update=True,
sleeping_time=0,
default_size=2000,
real_time=False,
fix_duplicate_way='ignore',
start_timestamp=None,
end_timestamp=None,
level=IntervalLevel.LEVEL_1WEEK,
kdata_use_begin_time=False,
close_hour=15,
close_minute=0,
one_day_trading_minutes=4 * 60,
adjust_type=AdjustType.qfq) -> None:
level = IntervalLevel(level)
adjust_type = AdjustType(adjust_type)
self.data_schema = get_kdata_schema(entity_type='stock', level=level, adjust_type=adjust_type)
self.tl_trading_level = to_jq_trading_level(level)
if self.tl_trading_level != "1d":
self.logger.info('通联数据目前仅支持日K线，level入参仅支持：1d，实际level入参为'.format(self.tl_trading_level))
raise Exception
super().__init__('stock', exchanges, entity_ids, codes, batch_size, force_update, sleeping_time,
default_size, real_time, fix_duplicate_way, start_timestamp, end_timestamp, close_hour,
close_minute, level, kdata_use_begin_time, one_day_trading_minutes)
self.adjust_type = adjust_type
self.tonglian_conn = create_engine(
f"mysql://{zvt_env['tl_username']}:{zvt_env['tl_password']}@{zvt_env['tl_server_address']}:"
f"{zvt_env['tl_server_port']}/{zvt_env['tl_db_name']}?charset=utf8mb4", pool_recycle=3600, echo=False).connect()
def __init__(self,
# exchanges=['hk','sh','sz','o','a','n'],
exchanges=['o','a','n'],
entity_ids=None,
codes=None,
batch_size=10,
force_update=True,
sleeping_time=0,
default_size=2000,
real_time=False,
fix_duplicate_way='ignore',
start_timestamp=None,
end_timestamp=None,
level=IntervalLevel.LEVEL_1WEEK,
kdata_use_begin_time=False,
close_hour=15,
close_minute=0,
one_day_trading_minutes=4 * 60,
adjust_type=AdjustType.qfq) -> None:
level = IntervalLevel(level)
adjust_type = AdjustType(adjust_type)
self.data_schema = get_kdata_schema(entity_type='stock', level=level, adjust_type=adjust_type)
self.jq_trading_level = to_jq_trading_level(level)
super().__init__('stock', exchanges, entity_ids, codes, batch_size, force_update, sleeping_time,
default_size, real_time, fix_duplicate_way, start_timestamp, end_timestamp, close_hour,
close_minute, level, kdata_use_begin_time, one_day_trading_minutes)
self.adjust_type = adjust_type
# 调用登录函数（激活后使用，不需要用户名密码）
loginResult = c.start("ForceLogin=1", '')
if (loginResult.ErrorCode != 0):
print("login in fail")
exit()
def get_trading_signals_figure(order_reader: OrderReader,
entity_id: str,
start_timestamp=None,
end_timestamp=None):
entity_type, _, _ = decode_entity_id(entity_id)
data_schema = get_kdata_schema(entity_type=entity_type,
level=order_reader.level)
if not start_timestamp:
start_timestamp = order_reader.start_timestamp
if not end_timestamp:
end_timestamp = order_reader.end_timestamp
kdata_reader = DataReader(entity_ids=[entity_id],
data_schema=data_schema,
entity_schema=entity_schema_map.get(entity_type),
start_timestamp=start_timestamp,
end_timestamp=end_timestamp,
level=order_reader.level)
# generate the annotation df
order_reader.move_on(timeout=0)
df = order_reader.data_df.copy()
df = df[df.entity_id == entity_id].copy()
if pd_is_not_null(df):
df['value'] = df['order_price']
df['flag'] = df['order_type'].apply(lambda x: order_type_flag(x))
df['color'] = df['order_type'].apply(lambda x: order_type_color(x))
print(df.tail())
drawer = Drawer(main_df=kdata_reader.data_df, annotation_df=df)
return drawer.draw_kline(show=False)
def __init__(self,
entity_type='index',
exchanges=None,
entity_ids=None,
codes=None,
day_data=False,
batch_size=10,
force_update=False,
sleeping_time=10,
default_size=10000,
real_time=True,
fix_duplicate_way='add',
start_timestamp=None,
end_timestamp=None,
level=IntervalLevel.LEVEL_1WEEK,
kdata_use_begin_time=False,
close_hour=0,
close_minute=0,
one_day_trading_minutes=24 * 60) -> None:
self.data_schema = get_kdata_schema(entity_type=entity_type,
level=level)
super().__init__(entity_type, exchanges, entity_ids, codes, day_data,
batch_size, force_update, sleeping_time, default_size,
real_time, fix_duplicate_way, start_timestamp,
end_timestamp, close_hour, close_minute, level,
kdata_use_begin_time, one_day_trading_minutes)
def __init__(self,
exchanges=['huobipro', 'binance'],
entity_ids=None,
codes=None,
batch_size=10,
force_update=True,
sleeping_time=0,
default_size=2000,
real_time=False,
fix_duplicate_way='ignore',
start_timestamp=None,
end_timestamp=None,
level=IntervalLevel.LEVEL_1DAY,
kdata_use_begin_time=False,
close_hour=15,
close_minute=0,
one_day_trading_minutes=4 * 60,
adjust_type=AdjustType.qfq) -> None:
level = IntervalLevel(level)
adjust_type = AdjustType(adjust_type)
self.data_schema = get_kdata_schema(entity_type='coin',
level=level,
adjust_type=adjust_type)
super().__init__('coin', exchanges, entity_ids, codes, batch_size,
force_update, sleeping_time, default_size, real_time,
fix_duplicate_way, start_timestamp, end_timestamp,
close_hour, close_minute, level, kdata_use_begin_time,
one_day_trading_minutes)
self.adjust_type = adjust_type
def on_trading_close(self, timestamp):
self.logger.debug('on_trading_close:{}'.format(timestamp))
self.account.value = 0
self.account.all_value = 0
for position in self.account.positions:
entity_type, _, _ = decode_entity_id(position.entity_id)
data_schema = get_kdata_schema(entity_type,
level=IntervalLevel.LEVEL_1DAY,
adjust_type=self.adjust_type)
kdata = get_kdata(provider=self.provider,
level=IntervalLevel.LEVEL_1DAY,
entity_id=position.entity_id,
order=data_schema.timestamp.desc(),
end_timestamp=timestamp,
limit=1,
adjust_type=self.adjust_type)
closing_price = kdata['close'][0]
position.available_long = position.long_amount
position.available_short = position.short_amount
if closing_price:
if (position.long_amount
is not None) and position.long_amount > 0:
position.value = position.long_amount * closing_price
self.account.value += position.value
elif (position.short_amount
is not None) and position.short_amount > 0:
position.value = 2 * (position.short_amount *
position.average_short_price)
position.value -= position.short_amount * closing_price
self.account.value += position.value
else:
self.logger.warning(
'could not refresh close value for position:{},timestamp:{}'
.format(position['entity_id'], timestamp))
# remove the empty position
self.account.positions = [
position for position in self.account.positions
if position.long_amount > 0 or position.short_amount > 0
]
self.account.all_value = self.account.value + self.account.cash
self.account.closing = True
self.account.timestamp = to_pd_timestamp(timestamp)
self.logger.debug('on_trading_close:{},latest_account:{}'.format(
timestamp, self.account))
self.persist_account(timestamp)
def on_trading_close(self, timestamp):
self.logger.info('on_trading_close:{}'.format(timestamp))
self.latest_account['value'] = 0
self.latest_account['all_value'] = 0
for position in self.latest_account['positions']:
entity_type, _, _ = decode_entity_id(position['entity_id'])
data_schema = get_kdata_schema(entity_type, level=self.level)
kdata = get_kdata(provider=self.provider,
level=IntervalLevel.LEVEL_1DAY,
entity_id=position['entity_id'],
order=data_schema.timestamp.desc(),
end_timestamp=timestamp,
limit=1)
closing_price = kdata['close'][0]
position['available_long'] = position['long_amount']
position['available_short'] = position['short_amount']
if closing_price:
if (position['long_amount']
is not None) and position['long_amount'] > 0:
position['value'] = position['long_amount'] * closing_price
self.latest_account['value'] += position['value']
elif (position['short_amount']
is not None) and position['short_amount'] > 0:
position['value'] = 2 * (position['short_amount'] *
position['average_short_price'])
position[
'value'] -= position['short_amount'] * closing_price
self.latest_account['value'] += position['value']
else:
self.logger.warning(
'could not refresh close value for position:{},timestamp:{}'
.format(position['entity_id'], timestamp))
# remove the empty position
self.latest_account['positions'] = [
position for position in self.latest_account['positions']
if position['long_amount'] > 0 or position['short_amount'] > 0
]
self.latest_account['all_value'] = self.latest_account[
'value'] + self.latest_account['cash']
self.latest_account['closing'] = True
self.latest_account['timestamp'] = to_pd_timestamp(timestamp)
self.logger.info('on_trading_close:{},latest_account:{}'.format(
timestamp, self.latest_account))
self.persist_account(timestamp)
def __init__(self,
region: Region,
entity_schema: EntityMixin = Stock,
provider: Provider = Provider.Default,
entity_provider: Provider = Provider.Default,
entity_ids: List[str] = None,
exchanges: List[str] = None,
codes: List[str] = None,
the_timestamp: Union[str, pd.Timestamp] = None,
start_timestamp: Union[str, pd.Timestamp] = None,
end_timestamp: Union[str, pd.Timestamp] = None,
columns: List = [
'id', 'entity_id', 'timestamp', 'level', 'open', 'close',
'high', 'low'
],
filters: List = None,
order: object = None,
limit: int = None,
level: Union[str, IntervalLevel] = IntervalLevel.LEVEL_1DAY,
category_field: str = 'entity_id',
time_field: str = 'timestamp',
computing_window: int = None,
keep_all_timestamp: bool = False,
fill_method: str = 'ffill',
effective_number: int = None,
transformer: Transformer = MacdTransformer(),
accumulator: Accumulator = None,
need_persist: bool = False,
dry_run: bool = False,
adjust_type: Union[AdjustType, str] = None) -> None:
self.adjust_type = adjust_type
self.data_schema = get_kdata_schema(EntityType(
entity_schema.__name__.lower()),
level=level,
adjust_type=adjust_type)
if transformer:
self.indicator_cols = transformer.indicators
super().__init__(self.data_schema, region, entity_schema, provider,
entity_provider, entity_ids, exchanges, codes,
the_timestamp, start_timestamp, end_timestamp,
columns, filters, order, limit, level, category_field,
time_field, computing_window, keep_all_timestamp,
fill_method, effective_number, transformer,
accumulator, need_persist, dry_run)
def get_top_performance_entities(entity_type=EntityType.Stock,
start_timestamp=None,
end_timestamp=None,
pct=0.1,
return_type=None,
adjust_type: Union[AdjustType, str] = None):
if not adjust_type and entity_type == EntityType.Stock:
adjust_type = AdjustType.hfq
data_schema = get_kdata_schema(entity_type=entity_type,
adjust_type=adjust_type)
return get_top_entities(data_schema=data_schema,
start_timestamp=start_timestamp,
end_timestamp=end_timestamp,
column='close',
pct=pct,
method=WindowMethod.change,
return_type=return_type)
def get_performance(region: Region,
entity_ids,
start_timestamp=None,
end_timestamp=None,
adjust_type: Union[AdjustType, str] = None):
entity_type, _, _ = decode_entity_id(entity_ids[0])
if not adjust_type and entity_type == EntityType.Stock:
adjust_type = AdjustType.hfq
data_schema = get_kdata_schema(entity_type=entity_type,
adjust_type=adjust_type)
result, _ = get_top_entities(
region=region,
data_schema=data_schema,
column='close',
start_timestamp=start_timestamp,
end_timestamp=end_timestamp,
pct=1,
method=WindowMethod.change,
return_type=TopType.positive,
filters=[data_schema.entity_id.in_(entity_ids)])
return result
def __init__(self,
exchanges=['sh', 'sz'],
entity_ids=None,
codes=None,
batch_size=10,
force_update=True,
sleeping_time=0,
default_size=2000,
real_time=False,
fix_duplicate_way='ignore',
start_timestamp=None,
end_timestamp=None,
level=IntervalLevel.LEVEL_1WEEK,
kdata_use_begin_time=False,
close_hour=15,
close_minute=0,
one_day_trading_minutes=4 * 60,
adjust_type=AdjustType.qfq) -> None:
level = IntervalLevel(level)
adjust_type = AdjustType(adjust_type)
self.data_schema = get_kdata_schema(entity_type='stock',
level=level,
adjust_type=adjust_type)
self.bs_trading_level = to_bs_trading_level(level)
super().__init__('stock', exchanges, entity_ids, codes, batch_size,
force_update, sleeping_time, default_size, real_time,
fix_duplicate_way, start_timestamp, end_timestamp,
close_hour, close_minute, level, kdata_use_begin_time,
one_day_trading_minutes)
self.adjust_type = adjust_type
print("尝试登陆baostock")
#####login#####
lg = bs.login(user_id="anonymous", password="******")
if (lg.error_code == '0'):
print("登陆成功")
else:
print("登录失败")
def on_trading_close(self, timestamp):
self.logger.info('on_trading_close:{}'.format(timestamp))
# remove the empty position
self.account.positions = [
position for position in self.account.positions
if position.long_amount > 0 or position.short_amount > 0
]
# clear the data which need recomputing
the_id = '{}_{}'.format(self.trader_name,
to_time_str(timestamp, TIME_FORMAT_ISO8601))
self.account.value = 0
self.account.all_value = 0
for position in self.account.positions:
entity_type, _, _ = decode_entity_id(position.entity_id)
data_schema = get_kdata_schema(entity_type,
level=IntervalLevel.LEVEL_1DAY,
adjust_type=self.adjust_type)
kdata = get_kdata(provider=self.provider,
level=IntervalLevel.LEVEL_1DAY,
entity_id=position.entity_id,
order=data_schema.timestamp.desc(),
end_timestamp=timestamp,
limit=1,
adjust_type=self.adjust_type)
closing_price = kdata['close'][0]
position.available_long = position.long_amount
position.available_short = position.short_amount
if closing_price:
if (position.long_amount
is not None) and position.long_amount > 0:
position.value = position.long_amount * closing_price
self.account.value += position.value
elif (position.short_amount
is not None) and position.short_amount > 0:
position.value = 2 * (position.short_amount *
position.average_short_price)
position.value -= position.short_amount * closing_price
self.account.value += position.value
# refresh profit
position.profit = (closing_price - position.average_long_price) \
* position.long_amount
position.profit_rate = position.profit / (
position.average_long_price * position.long_amount)
else:
self.logger.warning(
'could not refresh close value for position:{},timestamp:{}'
.format(position.entity_id, timestamp))
position.id = '{}_{}_{}'.format(
self.trader_name, position.entity_id,
to_time_str(timestamp, TIME_FORMAT_ISO8601))
position.timestamp = to_pd_timestamp(timestamp)
position.account_stats_id = the_id
self.account.id = the_id
self.account.all_value = self.account.value + self.account.cash
self.account.closing = True
self.account.timestamp = to_pd_timestamp(timestamp)
self.account.profit = (
self.account.all_value -
self.account.input_money) / self.account.input_money
self.session.add(self.account)
self.session.commit()
account_info = f'on_trading_close,holding size:{len(self.account.positions)} profit:{self.account.profit} input_money:{self.account.input_money} ' \
f'cash:{self.account.cash} value:{self.account.value} all_value:{self.account.all_value}'
self.logger.info(account_info)