def sub_cmd_refresh(args):
instance_id = args.sii
instance = get_instance(instance_id)
print('marketing data src: %s strategy config path: %s ' %
(instance['mds'], instance['sc']))
config = xq.get_strategy_config(instance['sc'])
pprint.pprint(config, indent=4)
engine = BackTest(instance_id, instance['mds'], config)
module_name = config["module_name"].replace("/", ".")
class_name = config["class_name"]
strategy = ts.createInstance(module_name, class_name, config, engine)
refresh(engine, engine.md, strategy, [
datetime.fromtimestamp(order["create_time"])
for order in instance['orders']
])
orders = engine.orders
for idx, order in enumerate(engine.orders):
old_order = instance['orders'][idx]
if "high" in old_order:
order["high"] = old_order["high"]
order["high_time"] = old_order["high_time"]
order["low"] = old_order["low"]
order["low_time"] = old_order["low_time"]
engine.analyze(config['symbol'], engine.orders, True, True)
def sub_cmd_chart_diff(args):
print(args.siis)
print(len(args.siis))
siis = args.siis
if len(siis) != 2:
exit(1)
instance_a = get_instance(siis[0])
instance_b = get_instance(siis[1])
if instance_a['sc'] != instance_b['sc']:
print(instance_a['sc'])
print(instance_b['sc'])
exit(1)
start_time = min(instance_a['start_time'], instance_b['start_time'])
end_time = max(instance_a['end_time'], instance_b['end_time'])
orders_a = instance_a['orders']
orders_b = instance_b['orders']
md = DBMD(instance_a['mds'])
md.tick_time = end_time
config = xq.get_strategy_config(instance_a['sc'])
symbol = config["symbol"]
interval = config["kline"]["interval"]
title = symbol + ' ' + config['kline']['interval'] + ' ' + config[
'class_name']
ordersets = []
ordersets.append(orders_a)
ordersets.append(orders_b)
chart(title, md, symbol, interval, start_time, end_time, ordersets, args)
def real2_update(args):
record = {}
if args.user:
record["user"] = args.user
if args.instance_id:
record["instance_id"] = args.instance_id
if args.config_path:
record["config_path"] = args.config_path
if args.exchange:
record["exchange"] = args.exchange
if args.value:
instance = si.get_strategy_instance(args.sii)
instance_id = instance["instance_id"]
exchange_name = instance["exchange"]
if not exchange_name:
exchange_name = record["exchange_name"]
config_path = instance["config_path"]
if not config_path:
config_path = record["config_path"]
value = instance["value"]
config = xq.get_strategy_config(config_path)
symbol = config['symbol']
realEngine = RealEngine(instance_id, exchange_name, config, value)
orders = realEngine.get_orders(symbol)
if orders:
return
record["value"] = args.value
if args.status:
record["status"] = args.status
if record:
si.update_strategy_instance({"instance_id": args.sii}, record)
def sub_cmd_search(args):
if not (args.m and args.sc):
exit(1)
instance_id = create_instance_id()
config = xq.get_strategy_config(args.sc)
pprint.pprint(config)
module_name = config["module_name"].replace("/", ".")
class_name = config["class_name"]
symbol = config['symbol']
engine = BackTest(instance_id, args.m, config, args.log)
strategy = ts.createInstance(module_name, class_name, config, engine)
md = engine.md
start_time, end_time = get_time_range(md, symbol, args.r)
count = args.count
result = []
for i in range(count):
rs = strategy.search_init()
print("%d/%d %s" % (i, count, rs))
tick_count = run2(engine, md, strategy, start_time, end_time)
result.append((i, rs, engine.search_calc(symbol, engine.orders)))
engine.orders = []
sorted_rs = sorted(result, key=lambda x: x[2][0], reverse=True)
for r in sorted_rs:
info = "%6s %30s %s " % r
print(info)
engine.log_debug(info)
def view(args):
instance_id = args.sii
instance = get_instance(instance_id)
config = xq.get_strategy_config(instance['sc'])
engine = BackTest(instance_id, instance['mds'], config)
engine.view(config['symbol'], instance['orders'])
def sub_cmd_multisearch(args):
if not (args.m and args.sc):
exit(1)
config = xq.get_strategy_config(args.sc)
pprint.pprint(config)
module_name = config["module_name"].replace("/", ".")
class_name = config["class_name"]
symbol = config['symbol']
md = DBMD(args.m, kl.KLINE_DATA_TYPE_JSON)
start_time, end_time = get_time_range(md, symbol, args.r)
count = args.count
cpus = cpu_count()
print("count: %s, cpus: %s" % (count, cpus))
result_q = Manager().Queue() #Manager中的Queue才能配合Pool
task_q = Manager().Queue() #Manager中的Queue才能配合Pool
for index in range(count):
task_q.put(index)
print('Parent process %s.' % os.getpid())
p = Pool(cpus)
for i in range(cpus):
#p.apply_async(child_process_test, args=(i, task_q, result_q))
p.apply_async(child_process,
args=(i, task_q, result_q, args.m, config, module_name,
class_name, start_time, end_time))
print('Waiting for all subprocesses done...')
p.close()
start_time = datetime.now()
result = []
while len(result) < count:
if result_q.empty():
time.sleep(1)
else:
value = result_q.get()
print("result value: ", value)
result.append(value)
sys.stdout.write(" %d/%d, cost: %s, progress: %g%% \r" %
(len(result), count, datetime.now() - start_time,
round((len(result) / count) * 100, 2)))
sys.stdout.flush()
print("")
#print("result queue(len: %s)" % (result_q.qsize()))
p.join()
print('All subprocesses done.')
sorted_rs = sorted(result, key=lambda x: x[1][0], reverse=True)
for r in sorted_rs:
#print("r: ", r)
info = "%6s %30s %s " % r
print(info)
def sub_cmd_continue(args):
old_instance = get_instance(args.sii)
mds_name = old_instance['mds']
sc = old_instance['sc']
print('marketing data src: %s strategy config path: %s ' %
(mds_name, sc))
config = xq.get_strategy_config(sc)
pprint.pprint(config, indent=4)
module_name = config["module_name"].replace("/", ".")
class_name = config["class_name"]
symbol = config['symbol']
instance_id = create_instance_id()
if args.log:
logfilename = class_name + "_" + symbol + "_" + instance_id + ".log"
print(logfilename)
log.init("backtest", logfilename)
log.info("strategy name: %s; config: %s" % (class_name, config))
engine = BackTest(instance_id, mds_name, config, args.log)
strategy = ts.createInstance(module_name, class_name, config, engine)
engine.orders = old_instance["orders"]
continue_time = old_instance["end_time"]
oldest_time = engine.md.get_oldest_time(strategy.config['symbol'],
kl.KLINE_INTERVAL_1MINUTE)
if continue_time < oldest_time:
continue_time = oldest_time
latest_time = engine.md.get_latest_time(strategy.config['symbol'],
kl.KLINE_INTERVAL_1MINUTE)
end_time = latest_time
print(" time range old( %s ~ %s ); continue( %s ~ %s )" %
(old_instance["start_time"].strftime("%Y-%m-%d %H:%M"),
old_instance["end_time"].strftime("%Y-%m-%d %H:%M"),
continue_time.strftime("%Y-%m-%d %H:%M"),
end_time.strftime("%Y-%m-%d %H:%M")))
print("run2 kline_data_type: %s " % (engine.md.kline_data_type))
tick_count = run2(engine, engine.md, strategy, continue_time, end_time)
print("\n total tick count: %d" % (tick_count))
engine.analyze_orders(engine.orders)
_id = bt_db.insert_one(
BACKTEST_INSTANCES_COLLECTION_NAME,
{
"instance_id": instance_id,
"start_time": old_instance["start_time"],
"end_time": end_time,
"orders": engine.orders,
"mds": mds_name,
"sc": sc,
},
)
engine.display(symbol, engine.orders, strategy.cur_price, end_time, True,
args.rmk)
def analyze(args):
instance_id = args.sii
instance = get_instance(instance_id)
print('marketing data src: %s strategy config path: %s ' % (instance['mds'], instance['sc']))
config = xq.get_strategy_config(instance['sc'])
pprint.pprint(config, indent=4)
engine = BackTest(instance_id, instance['mds'], config)
engine.analyze(config['symbol'], instance['orders'], args.hl, args.rmk)
def chart(args):
instance_id = args.sii
instance = get_instance(instance_id)
config = xq.get_strategy_config(instance['sc'])
engine = BackTest(instance_id, instance['mds'], config)
engine.md.tick_time = instance['end_time']
engine.orders = instance['orders']
engine.chart(config['symbol'], instance['start_time'],
instance['end_time'], args)
def real2_list(args):
td_db = get_mongodb(setup.trade_db_name)
ss = td_db.find(si.STRATEGY_INSTANCE_COLLECTION_NAME, {"user": args.user})
#pprint(ss)
all_value = 0
all_his_profit = 0
all_flo_profit = 0
all_commission = 0
title_head_fmt = "%-30s %10s%12s"
head_fmt = "%-30s %10s(%10.0f)"
title_profit_fmt = "%21s %21s %12s"
profit_fmt = "%12.2f(%6.2f%%) %12.2f(%6.2f%%) %12.2f"
title_tail_fmt = " %-60s %-20s %10s"
print(title_head_fmt % ("instance_id", "value", "") + title_profit_fmt % ("history_profit", "floating_profit", "commission") + title_tail_fmt % ("config_path", "exchange", "status"))
for s in ss:
instance_id = s["instance_id"]
exchange_name = s["exchange"]
value = s["value"]
config_path = s["config_path"]
if "status" in s:
status = s["status"]
else:
status = ""
if status != args.status and status != "":
continue
all_value += value
profit_info = ""
try:
config = xq.get_strategy_config(config_path)
symbol = config['symbol']
realEngine = RealEngine(instance_id, exchange_name, config, value)
orders = realEngine.get_orders(symbol)
pst_info = realEngine.get_pst_by_orders(orders)
history_profit, history_profit_rate, history_commission = realEngine.get_history(pst_info)
all_his_profit += history_profit
floating_profit, floating_profit_rate, floating_commission, cur_price = realEngine.get_floating(symbol, pst_info)
all_flo_profit += floating_profit
commission = history_commission + floating_commission
all_commission += commission
profit_info = profit_fmt % (history_profit, history_profit_rate*100, floating_profit, floating_profit_rate*100, commission)
except Exception as ept:
profit_info = "error: %s" % (ept)
print(head_fmt % (instance_id, value, (value+history_profit+floating_profit)) + profit_info + title_tail_fmt % (config_path, exchange_name, status))
if args.stat:
print(head_fmt % ("all", all_value, all_value+all_his_profit+all_flo_profit) + profit_fmt % (all_his_profit, all_his_profit/all_value*100, all_flo_profit, all_flo_profit/all_value*100, all_commission))
def sub_cmd_signal(args):
if not (args.m and args.sc):
exit(1)
instance_id = create_instance_id()
config = xq.get_strategy_config(args.sc)
pprint.pprint(config)
module_name = config["module_name"].replace("/", ".")
class_name = config["class_name"]
symbol = config['symbol']
interval = config["kline"]["interval"]
if args.log:
logfilename = class_name + "_" + symbol + "_" + instance_id + ".log"
print(logfilename)
log.init("testsignal", logfilename)
log.info("strategy name: %s; config: %s" % (class_name, config))
md = DBMD(args.m, kl.KLINE_DATA_TYPE_JSON)
engine = TestSignal(md, instance_id, config, args.log)
strategy = ts.createInstance(module_name, class_name, config, engine)
start_time, end_time = get_time_range(md, symbol, args.r)
print("run2 kline_data_type: %s " % (md.kline_data_type))
tick_count = run2(engine, md, strategy, start_time, end_time)
print("\n total tick count: %d" % (tick_count))
#pprint.pprint(engine.signals)
print("signal count: ", len(engine.signals))
'''
_id = bt_db.insert_one(
BACKTEST_INSTANCES_COLLECTION_NAME,
{
"instance_id": instance_id,
"start_time": start_time,
"end_time": end_time,
"signals": engine.signals,
"mds": args.m,
"sc": args.sc,
},
)
'''
if args.chart:
signalsets = engine.get_signalsets()
title = "signal: " + symbol + ' ' + config['kline']['interval'] + ' '
if strategy.name:
title += strategy.name
else:
title += config['class_name']
chart(title, engine.md, symbol, interval, start_time, end_time, [],
args, signalsets)
def sub_cmd_run(args):
if not (args.m and args.sc):
exit(1)
instance_id = create_instance_id()
config = xq.get_strategy_config(args.sc)
pprint.pprint(config)
module_name = config["module_name"].replace("/", ".")
class_name = config["class_name"]
symbol = config['symbol']
if args.log:
logfilename = class_name + "_" + symbol + "_" + instance_id + ".log"
print(logfilename)
log.init("backtest", logfilename)
log.info("strategy name: %s; config: %s" % (class_name, config))
engine = BackTest(instance_id, args.m, config, args.log)
strategy = ts.createInstance(module_name, class_name, config, engine)
md = engine.md
start_time, end_time = get_time_range(md, symbol, args.r)
print("run2 kline_data_type: %s " % (md.kline_data_type))
tick_count = run2(engine, md, strategy, start_time, end_time)
print("\n total tick count: %d" % (tick_count))
engine.analyze_orders(engine.orders)
_id = bt_db.insert_one(
BACKTEST_INSTANCES_COLLECTION_NAME,
{
"instance_id": instance_id,
"start_time": start_time,
"end_time": end_time,
"orders": engine.orders,
"mds": args.m,
"sc": args.sc,
},
)
engine.display(symbol, engine.orders, strategy.cur_price, end_time, True,
args.rmk)
if args.chart:
ordersets = []
ordersets.append(engine.orders)
chart(md, engine.config, start_time, end_time, ordersets, args)
def real2_list(args):
td_db = get_mongodb(setup.trade_db_name)
ss = td_db.find(si.STRATEGY_INSTANCE_COLLECTION_NAME, {"user": args.user})
#pprint(ss)
title1_fmt = "%-30s %10s"
title2_fmt = "%-60s %-20s %10s"
print((title1_fmt + " %s " + title2_fmt) %
("instance_id", "value", " history_profit floating_profit",
"config_path", "exchange", "status"))
for s in ss:
instance_id = s["instance_id"]
exchange_name = s["exchange"]
value = s["value"]
config_path = s["config_path"]
if "status" in s:
status = s["status"]
else:
status = ""
if status != args.status and status != "":
continue
profit_info = ""
try:
config = xq.get_strategy_config(config_path)
symbol = config['symbol']
realEngine = RealEngine(instance_id, exchange_name, config, value)
orders = realEngine.get_orders(symbol)
pst_info = realEngine.get_pst_by_orders(orders)
history_profit, history_profit_rate, history_commission = realEngine.get_history(
pst_info)
floating_profit, floating_profit_rate, floating_commission, cur_price = realEngine.get_floating(
symbol, pst_info)
profit_info = "%10.2f(%6.2f%%) %10.2f(%6.2f%%)" % (
history_profit, history_profit_rate * 100, floating_profit,
floating_profit_rate * 100)
except Exception as ept:
profit_info = "error: %s" % (ept)
print((title1_fmt + " %s " + title2_fmt) %
(instance_id, value, profit_info, config_path, exchange_name,
status))
def sub_cmd_chart(args):
instance_id = args.sii
instance = get_instance(instance_id)
start_time = instance['start_time']
end_time = instance['end_time']
orders = instance['orders']
md = DBMD(instance['mds'])
md.tick_time = end_time
config = xq.get_strategy_config(instance['sc'])
symbol = config["symbol"]
interval = config["kline"]["interval"]
title = symbol + ' ' + config['kline']['interval'] + ' ' + config['class_name']
ordersets = []
ordersets.append(orders)
chart(title, md, symbol, interval, start_time, end_time, ordersets, args)
def run(args):
if not (args.m and args.sc and args.r):
exit(1)
instance_id = datetime.now().strftime("%Y%m%d-%H%M%S_") + str(
uuid.uuid1()) # 每次回测都是一个独立的实例
print('instance_id: %s' % instance_id)
config = xq.get_strategy_config(args.sc)
module_name = config["module_name"].replace("/", ".")
class_name = config["class_name"]
symbol = config['symbol']
time_range = args.r
start_time, end_time = ts.parse_date_range(time_range)
if args.log:
logfilename = class_name + "_" + symbol + "_" + time_range + "_" + instance_id + ".log"
print(logfilename)
log.init("backtest", logfilename)
log.info("strategy name: %s; config: %s" % (class_name, config))
engine = BackTest(instance_id, args.m, config)
strategy = ts.createInstance(module_name, class_name, config, engine)
engine.run(strategy, start_time, end_time)
engine.analyze(symbol, engine.orders)
_id = bt_db.insert_one(
BACKTEST_INSTANCES_COLLECTION_NAME,
{
"instance_id": instance_id,
"start_time": start_time,
"end_time": end_time,
"orders": engine.orders,
"mds": args.m,
"sc": args.sc,
},
)
if args.chart:
engine.chart(symbol, start_time, end_time, args)
parser.add_argument('-direction',
choices=[bl.DIRECTION_LONG, bl.DIRECTION_SHORT],
help='direction')
parser.add_argument('-action',
choices=[bl.OPEN_POSITION, bl.CLOSE_POSITION],
help='action')
#parser.add_argument('-pr', type=float, default=0, help='postion rate')
parser.add_argument('-rmk', help='remark')
args = parser.parse_args()
print(args)
if not (args.sii and args.action):
parser.print_help()
exit(1)
instance = get_strategy_instance(args.sii)
config = xq.get_strategy_config(instance['config_path'])
re = RealEngine(args.sii, instance['exchange'], config, instance['value'])
symbol = config['symbol']
klines = re.md.get_klines(symbol, config["kline"]["interval"], 1)
if len(klines) <= 0:
exit(1)
cur_price = float(klines[-1][re.md.get_kline_seat_close()])
pst_info = re.get_position(symbol, cur_price)
if args.action == bl.OPEN_POSITION:
pst_rate = 1
else:
pst_rate = 0
print('before position info: %s' % (pst_info))
realEngine = RealEngine(instance_id, exchange_name, config, value)
orders = realEngine.get_orders(symbol)
realEngine.view(symbol, orders)
def real_analyze(config, instance_id, exchange_name, value, display_rmk):
symbol = config['symbol']
realEngine = RealEngine(instance_id, exchange_name, config, value)
orders = realEngine.get_orders(symbol)
realEngine.analyze(symbol, orders, display_rmk)
if __name__ == "__main__":
parser = argparse.ArgumentParser(description='real')
parser.add_argument('-e', help='exchange')
parser.add_argument('-sc', help='strategy config')
parser.add_argument('-sii', help='strategy instance id')
parser.add_argument('-v', type=int, help='value')
parser.add_argument('--debug', help='debug', action="store_true")
parser.add_argument('--log', help='log', action="store_true")
args = parser.parse_args()
print(args)
if not (args.e and args.sc and args.sii and args.v):
parser.print_help()
exit(1)
config = xq.get_strategy_config(args.sc)
real_run(config, args.sii, args.e, args.v, args)
def real2_analyze(args):
instance = si.get_strategy_instance(args.sii)
config = xq.get_strategy_config(instance['config_path'])
real_analyze(config, args.sii, instance['exchange'], instance['value'],
args.hl, args.rmk)
def real2_view(args):
instance = si.get_strategy_instance(args.sii)
config = xq.get_strategy_config(instance['config_path'])
real_view(config, args.sii, instance['exchange'], instance['value'])
