def run(self, save_trade_record=False):
self.initialize()
# 初始化 account_data
if self.account:
for account in self.account:
Environment.current_account_data = AccountData()
Environment.current_account_data.account_id = generate_random_id.generate_random_id(account)
Environment.current_account_data.total_balance = self.capital[account]
Environment.current_account_data.available = self.capital[account]
# Environment.logger(Environment.current_account_data.account_id, Environment.current_account_data.available)
Environment.bar_account_data_list.append(Environment.current_account_data)
# if self.run_mode == RunMode.TRADE.value:
# self.end = self._get_data.get_end_time_tag(benchmark=self.benchmark, period=Period.DAILY.value)
# 缓存数据开关，和bar_index的计算
if self.period == Period.DAILY.value:
self.daily_data_cache = True
elif self.period == Period.ONE_MIN.value:
self.one_min_data_cache = True
#
security_list = copy.copy(self.universe)
security_list = list(set(security_list))
if self._daily_data_cache:
Environment.daily_data = self._get_data.cache_all_stock_data(dividend_type=self.rights_adjustment)
Environment.index_daily_data = self._get_data.cache_all_index_data()
if self.one_min_data_cache:
Environment.one_min_data = self._get_data.cache_all_stock_data(period=Period.ONE_MIN.value)
if self.period == Period.DAILY.value:
Environment.benchmark_index = [i for i in Environment.index_daily_data['close'][self.benchmark].index
if self.start <= i <= self.end]
elif self.period == Period.ONE_MIN.value:
Environment.benchmark_index = [data_transfer.date_to_millisecond(str(int(i)), '%Y%m%d') for i in
Environment.one_min_data['open'].ix[self.benchmark].index
if i >= data_transfer.date_str_to_int(self.start)]
self.bar_index = 0
while True:
try:
# Environment.logger(self.time_tag, Environment.benchmark_index)
self.time_tag = Environment.benchmark_index[self.bar_index]
except IndexError:
if self.run_mode == RunMode.BACKTESTING.value:
if save_trade_record:
run_backtesting_analysis_engine(self)
break
# elif self.run_mode == RunMode.TRADE.value:
# 读取最新tick, 更新最新的分钟或者日线
# if 读取最新tick, 更新最新的分钟或者日线 == done:
# daily_data.append(new_day_data)
# self.bar_index += 1
# benchmark_index.append(new_day_time_tag)
else:
run_bar_engine(self)
def run(self, save_trade_record=False):
self.initialize()
# 初始化 account_data
if self.account:
for account in self.account:
Environment.current_account_data = AccountData()
Environment.current_account_data.account_id = generate_random_id.generate_random_id(
account)
Environment.current_account_data.total_balance = self.capital[
account]
Environment.current_account_data.available = self.capital[
account]
Environment.bar_account_data_list.append(
Environment.current_account_data)
if self.run_mode == RunMode.TRADE.value:
self.end = self._get_data.get_end_timetag(
benchmark=self.benchmark, period=Period.DAILY.value)
# 缓存数据开关，和bar_index的计算
if self.period == Period.DAILY.value:
self.daily_data_cache = True
elif self.period == Period.ONE_MIN.value:
self.one_min_data_cache = True
stock_list = copy.copy(self.universe)
stock_list.append(self.benchmark)
stock_list = list(set(stock_list))
if self._daily_data_cache:
Environment.daily_data = self._get_data.get_all_market_data(
stock_code=stock_list,
field=["open", "high", "low", "close", "volumn", "amount"],
end=self.end,
period=Period.DAILY.value)
if self.one_min_data_cache:
Environment.one_min_data = self._get_data.get_all_market_data(
stock_code=stock_list,
field=["open", "high", "low", "close", "volumn", "amount"],
end=self.end,
period=Period.ONE_MIN.value)
if self.period == Period.DAILY.value:
Environment.benchmark_index = [
data_transfer.date_to_millisecond(str(int(i)), '%Y%m%d') for i
in Environment.daily_data["open"].ix[self.benchmark].index
if i >= data_transfer.date_str_to_int(self.start)
]
elif self.period == Period.ONE_MIN.value:
Environment.benchmark_index = [
data_transfer.date_to_millisecond(str(int(i)), '%Y%m%d') for i
in Environment.one_min_data["open"].ix[self.benchmark].index
if i >= data_transfer.date_str_to_int(self.start)
]
# print(self.benchmark, self.start, self.end, self.period, self.rights_adjustment, self.run_mode)
self.bar_index = 0
while True:
try:
self.timetag = Environment.benchmark_index[self.bar_index]
except IndexError:
if self.run_mode == RunMode.BACKTESTING.value:
if save_trade_record:
run_backtesting_analysis_engine(self)
break
elif self.run_mode == RunMode.TRADE.value:
'''读取最新tick, 更新最新的分钟或者日线
if 读取最新tick, 更新最新的分钟或者日线 == done:
daily_data.append(new_day_data)
self.bar_index += 1
benchmark_index.append(new_day_timetag)
'''
pass
else:
date = int(
data_transfer.millisecond_to_date(millisecond=self.timetag,
format="%Y%m%d"))
run_bar_engine(self)
@abstractmethod
def initialize(self):
pass
@abstractmethod
def handle_bar(self, event):
pass
