class OnePiece(object):
env = Environment()
def __init__(self):
self.market_maker = MarketMaker()
self.order_checker = PendingOrderChecker()
self.cur_event = None
self.env.logger = logging.getLogger("OnePy")
def sunny(self, summary=True):
"""主循环，OnePy的核心"""
self._initialize_trading_system()
while True:
try:
self.cur_event = self.env.event_bus.get()
except queue.Empty:
try:
self.market_maker.update_market()
self.order_checker.run()
except BacktestFinished:
self.output.summary() if summary else None
break
else:
self._run_event_loop()
def _run_event_loop(self):
for element in self.env.event_loop:
if self._event_is_executed(**element):
break
def _event_is_executed(self, if_event, then_event, module_dict):
if self.cur_event.event_type == if_event:
[value.run() for value in module_dict.values()]
self.env.event_bus.put(Event(then_event)) if then_event else None
return True
def _initialize_trading_system(self):
self.env.refresh()
OnePyEnvBase.env = self.env
self.env.event_loop = EVENT_LOOP
self.market_maker.initialize()
if self.env.recorder:
self.env.recorder.initialize()
@property
def output(self):
return OutPut()
def show_log(self, file=False):
if file:
LoggerFactory("OnePy").logger
logging.basicConfig(level=logging.INFO)
class OnePiece(OnePyEnvBase):
def __init__(self):
# 内置模块
self.market_maker: MarketMaker = None
self.pending_order_checker: PendingOrderChecker = None
self.event_loop: list = None
# 其他模块
self.optimizer = Optimizer()
self.forward_analysis = ForwardAnalysis()
def _pre_initialize_trading_system(self):
self.event_loop = EVENT_LOOP
self.market_maker = MarketMaker()
self.pending_order_checker = PendingOrderChecker()
def initialize_trading_system(self): # 清空内存，便于参数优化
self._pre_initialize_trading_system()
self.env.initialize_env()
self.market_maker.initialize()
self.env.recorder.initialize()
def sunny(self, summary: bool = True, show_process: bool = False):
"""主循环，OnePy的核心"""
self.initialize_trading_system()
while True:
try:
if self.env.event_engine.is_empty():
self.market_maker.update_market()
self.pending_order_checker.run()
if show_process:
self._show_process()
else:
cur_event = self.env.event_engine.get()
self._run_event_loop(cur_event)
except BacktestFinished:
if summary:
print("\n")
self.output.summary()
break
def _run_event_loop(self, cur_event):
for element in self.event_loop:
if self._event_is_executed(cur_event, **element):
break
def _event_is_executed(self, cur_event, if_event: EVENT, then_event: EVENT,
module_dict: dict) -> bool:
if cur_event is None:
return True
elif cur_event == if_event:
[value.run() for value in module_dict.values()]
self.env.event_engine.put(then_event)
return True
else:
return False
def _show_process(self):
fromdate = arrow.get(self.env.fromdate)
todate = arrow.get(self.env.todate)
curdate = arrow.get(self.env.sys_date)
total_days = (todate - fromdate).days
finished_days = (curdate - fromdate).days
show_process(finished_days, total_days)
def set_date(self, fromdate: str, todate: str, frequency: str,
instrument: str):
"""
Instrument: A_shares, Forex
Frequency:
(S5, S10, S30, M1, M2, M4, M5) <- BAD Interval
M10, M15, M30, H1, H2, H3, H4, H6, H8, H12
"""
self.env.instrument = instrument
self.env.fromdate = fromdate
self.env.todate = todate
self.env.sys_frequency = frequency
def set_forex_live_trading(self, frequency: str):
"""
Frequency:
(S5, S10, S30, M1, M2, M4, M5) <- BAD Interval
M10, M15, M30, H1, H2, H3, H4, H6, H8, H12
"""
fromdate = arrow.utcnow().format("YYYY-MM-DD HH:mm:ss")
self.set_date(fromdate, None, frequency, "Forex")
self.env.sys_date = fromdate
self.env.is_live_trading = True
def show_today_signals(self):
"""
能够显示当天的最新信号，但是会导致回测结果不准确。
"""
self.env.is_show_today_signals = True
@classmethod
def show_log(cls, file=False, no_console=False):
if file:
LoggerFactory("OnePy")
if no_console:
logging.getLogger("OnePy").propagate = False
logging.basicConfig(level=logging.INFO)
@classmethod
def set_recursion_limit(cls, limit: int = 2000):
"""
突破递归次数限制，有时候信号太多会导致撮合引擎递归太多次而假死
"""
sys.setrecursionlimit(limit)
def save_original_signal(self):
self.env.is_save_original = True
@property
def output(self) -> OutPut:
return OutPut()