def on_bar(self, bar: BarData) -> None:
bar.datetime = str(bar)
data = {
"type": "bar",
"data": bar._to_dict()
}
self.io.emit('bar', data)
def __call__(self, data):
"""
你必须实现此方法以支持在此层进行中转
"""
if data.local_symbol not in self.instrument_set:
return
if not self.active:
return
if isinstance(data, ContractData):
self.on_contract(data)
elif isinstance(data, OrderData):
self.on_order(data)
elif isinstance(data, TradeData):
self.on_trade(data)
elif isinstance(data, AccountData):
self.on_account(data)
elif isinstance(data, PositionData):
self.on_position(data)
elif data['type'] == "bar":
self.on_bar(BarData(**data))
elif data['type'] == "tick":
self.on_tick(TickData(**data))
else:
raise ValueError("unsupported data")
def update_bar(self, xmin, bar: BarData):
"""
Update 1 minute bar into generator
"""
xmin_bar = getattr(self, f"min_{xmin}_bar", None)
if not xmin_bar:
xmin_bar = BarData(symbol=bar.symbol,
exchange=bar.exchange,
datetime=bar.datetime,
gateway_name=bar.gateway_name,
open_price=bar.open_price,
high_price=bar.high_price,
low_price=bar.low_price)
setattr(self, f"min_{xmin}_bar", xmin_bar)
else:
xmin_bar.high_price = max(xmin_bar.high_price, bar.high_price)
xmin_bar.low_price = min(xmin_bar.low_price, bar.low_price)
xmin_bar.close_price = bar.close_price
xmin_bar.volume += int(bar.volume)
if not (bar.datetime.minute + 1) % xmin:
xmin_bar.datetime = xmin_bar.datetime.replace(second=0,
microsecond=0)
xmin_bar.interval = xmin
event = Event(type=EVENT_BAR, data=xmin_bar)
common_signals.bar_signal.send(event)
setattr(self, f"min_{xmin}_bar", None)
def update_tick(self, tick: TickData):
"""
Update new tick data into generator and new_shared time data.
"""
new_minute = False
self.last_price = tick.last_price
self.open_interest = tick.open_interest
self.volume = tick.volume
self.molecule = self.molecule + tick.last_price * tick.volume
self.denominator = self.denominator + tick.volume
try:
self.average_price = self.molecule / self.denominator
except ZeroDivisionError:
self.average_price = tick.last_price
if self.last_volume is None:
self.last_volume = tick.volume
if self.local_symbol is None:
self.local_symbol = tick.local_symbol
if not self.bar:
new_minute = True
elif self.bar.datetime.minute != tick.datetime.minute:
self.bar.datetime = self.bar.datetime.replace(
second=0, microsecond=0
)
self.bar.interval = 1
event = Event(type=EVENT_BAR, data=self.bar)
self.rpo.put(event)
[self.update_bar(x, getattr(self, "min_{}_bar".format(x)), self.bar) for x in self.XMIN]
new_minute = True
if new_minute:
shared = SharedData(last_price=round(self.last_price, 2), datetime=tick.datetime, local_symbol=self.local_symbol,
open_interest=self.open_interest, average_price=round(self.average_price, 2),
volume=self.volume - self.last_volume, gateway_name=tick.gateway_name)
self.last_volume = tick.volume
event = Event(type=EVENT_SHARED, data=shared)
self.rpo.put(event)
self.bar = BarData(
symbol=tick.symbol,
exchange=tick.exchange,
datetime=tick.datetime,
gateway_name=tick.gateway_name,
open_price=tick.last_price,
high_price=tick.last_price,
low_price=tick.last_price,
close_price=tick.last_price,
)
else:
self.bar.high_price = max(self.bar.high_price, tick.last_price)
self.bar.low_price = min(self.bar.low_price, tick.last_price)
self.bar.close_price = tick.last_price
self.bar.datetime = tick.datetime
if self.last_tick:
volume_change = tick.volume - self.last_tick.volume
self.bar.volume += max(volume_change, 0)
self.last_tick = tick
def update_bar(self, xmin, xmin_bar: BarData, bar: BarData):
"""
Update 1 minute bar into generator
"""
if not xmin_bar:
xmin_bar = BarData(symbol=bar.symbol,
exchange=bar.exchange,
datetime=bar.datetime,
gateway_name=bar.gateway_name,
open_price=bar.open_price,
high_price=bar.high_price,
low_price=bar.low_price)
else:
xmin_bar.high_price = max(xmin_bar.high_price, bar.high_price)
xmin_bar.low_price = min(xmin_bar.low_price, bar.low_price)
xmin_bar.close_price = bar.close_price
xmin_bar.volume += int(bar.volume)
if not (bar.datetime.minute + 1) % xmin:
xmin_bar.datetime = xmin_bar.datetime.replace(second=0,
microsecond=0)
xmin_bar.interval = xmin
event = Event(type=EVENT_BAR, data=xmin_bar)
self.rpo.put(event)
xmin_bar = None
def update_tick(self, tick: TickData):
"""
Update new tick data into generator and new_shared time data.
"""
new_minute = False
""" 更新价位 """
self.last_price = tick.last_price
self.open_interest = tick.open_interest
self.volume = tick.volume
if self.last_volume is None:
self.last_volume = tick.volume
if self.local_symbol is None:
self.local_symbol = tick.local_symbol
if not self.bar:
new_minute = True
elif self.bar.datetime.minute != tick.datetime.minute:
self.bar.datetime = self.bar.datetime.replace(second=0,
microsecond=0)
self.bar.interval = 1
event = Event(type=EVENT_BAR, data=self.bar)
common_signals.bar_signal.send(event)
[self.update_bar(x, self.bar) for x in self.XMIN]
new_minute = True
if new_minute:
self.last_volume = tick.volume
gateway_name = tick.gateway_name if getattr(
tick, "gateway_name", None) else "looper"
self.bar = BarData(
symbol=tick.symbol,
exchange=tick.exchange,
datetime=tick.datetime,
gateway_name=gateway_name,
open_price=tick.last_price,
high_price=tick.last_price,
low_price=tick.last_price,
close_price=tick.last_price,
)
else:
self.bar.high_price = max(self.bar.high_price, tick.last_price)
self.bar.low_price = min(self.bar.low_price, tick.last_price)
self.bar.close_price = tick.last_price
self.bar.datetime = tick.datetime
if self.last_tick:
""" 更新volume的改变 """
volume_change = tick.volume - self.last_tick.volume
self.bar.volume += max(volume_change, 0)
self.last_tick = tick
def resample(self, tick_data: TickData) -> BarData or None:
data = []
for frq, last in self.last_entity.items():
if last is None:
self.last_entity[frq] = BarData(
datetime=tick_data.datetime,
high_price=tick_data.last_price,
low_price=tick_data.last_price,
close_price=tick_data.last_price,
open_price=tick_data.last_price,
interval=frq,
volume=0,
first_volume=tick_data.volume,
local_symbol=tick_data.local_symbol,
)
self.last_datetime[frq] = tick_data.datetime
else:
if frq != 1 and tick_data.datetime.minute % frq == 0 and abs(
(tick_data.datetime -
self.last_datetime[frq]).seconds) >= 60:
temp = deepcopy(last)
if self.check_tick(tick_data):
temp.high_price = max(temp.high_price,
tick_data.last_price)
temp.low_price = min(temp.low_price,
tick_data.last_price)
temp.close_price = tick_data.last_price
temp.volume += max(
tick_data.volume - temp.first_volume, 0)
self.last_entity[frq] = BarData(
datetime=tick_data.datetime,
high_price=tick_data.last_price,
low_price=tick_data.last_price,
close_price=tick_data.last_price,
open_price=tick_data.last_price,
interval=frq,
volume=tick_data.volume - temp.first_volume,
first_volume=tick_data.volume,
local_symbol=tick_data.local_symbol)
self.last_datetime[frq] = tick_data.datetime
data.append(temp)
elif frq != 1:
self.last_entity[frq].high_price = max(
self.last_entity[frq].high_price, tick_data.last_price)
self.last_entity[frq].low_price = min(
self.last_entity[frq].low_price, tick_data.last_price)
self.last_entity[frq].close_price = tick_data.last_price
self.last_entity[frq].volume += max(
tick_data.volume - self.last_entity[frq].first_volume,
0)
self.last_entity[frq].first_volume = tick_data.volume
# 处理一分钟的k线
if frq == 1 and tick_data.datetime.second == 0 and \
abs((tick_data.datetime - self.last_datetime[frq]).seconds) > 10:
temp = deepcopy(last)
if self.check_tick(tick_data):
temp.high_price = max(temp.high_price,
tick_data.last_price)
temp.low_price = min(temp.low_price,
tick_data.last_price)
temp.close_price = tick_data.last_price
temp.volume += max(
tick_data.volume - temp.first_volume, 0)
self.last_entity[frq] = BarData(
datetime=tick_data.datetime,
high_price=tick_data.last_price,
low_price=tick_data.last_price,
close_price=tick_data.last_price,
open_price=tick_data.last_price,
interval=frq,
volume=tick_data.volume - temp.first_volume,
first_volume=tick_data.volume,
local_symbol=tick_data.local_symbol)
self.last_datetime[frq] = tick_data.datetime
data.append(temp)
elif frq == 1:
self.last_entity[frq].high_price = max(
self.last_entity[frq].high_price, tick_data.last_price)
self.last_entity[frq].low_price = min(
self.last_entity[frq].low_price, tick_data.last_price)
self.last_entity[frq].close_price = tick_data.last_price
self.last_entity[frq].volume += max(
tick_data.volume - self.last_entity[frq].first_volume,
0)
self.last_entity[frq].first_volume = tick_data.volume
return data
def resample(self, tick_data: TickData) -> BarData or None:
data = []
for frq, last in self.last_entity.items():
if last is None:
self.last_entity[frq] = BarData(
datetime=tick_data.datetime,
high_price=tick_data.last_price,
low_price=tick_data.last_price,
close_price=tick_data.last_price,
open_price=tick_data.last_price,
interval=frq,
volume=0,
first_volume=tick_data.volume,
local_symbol=tick_data.local_symbol,
)
self.last_datetime[frq] = tick_data.datetime
else:
if self.lock_free[frq] is False:
if tick_data.datetime.hour == self.last_entity[frq].datetime.hour \
and tick_data.datetime.minute == self.last_entity[frq].datetime.minute \
and tick_data.datetime.second == self.last_entity[frq].datetime.second:
self.lock_free[frq] = True
if frq != 1 and tick_data.datetime.minute % frq == 0 and abs(
(tick_data.datetime - self.last_datetime[frq]).seconds) >= 60 \
and self.lock_free[frq] is True:
temp = deepcopy(last)
check, tim = self.check_tick(tick_data)
if check is True:
temp.high_price = max(temp.high_price,
tick_data.last_price)
temp.low_price = min(temp.low_price,
tick_data.last_price)
temp.close_price = tick_data.last_price
temp.volume += max(
tick_data.volume - temp.first_volume, 0)
self.last_entity[frq] = BarData(
datetime=tim,
high_price=tick_data.last_price,
low_price=tick_data.last_price,
close_price=tick_data.last_price,
open_price=tick_data.last_price,
interval=frq,
volume=0,
first_volume=tick_data.volume,
local_symbol=tick_data.local_symbol)
self.lock_free[frq] = False
self.last_datetime[frq] = tim
else:
self.last_entity[frq] = BarData(
datetime=tick_data.datetime,
high_price=tick_data.last_price,
low_price=tick_data.last_price,
close_price=tick_data.last_price,
open_price=tick_data.last_price,
interval=frq,
volume=tick_data.volume - temp.first_volume,
first_volume=tick_data.volume,
local_symbol=tick_data.local_symbol)
self.last_datetime[frq] = tick_data.datetime
data.append(temp)
elif frq != 1 and self.lock_free[frq] is True:
self.last_entity[frq].high_price = max(
self.last_entity[frq].high_price, tick_data.last_price)
self.last_entity[frq].low_price = min(
self.last_entity[frq].low_price, tick_data.last_price)
self.last_entity[frq].close_price = tick_data.last_price
self.last_entity[frq].volume += max(
tick_data.volume - self.last_entity[frq].first_volume,
0)
self.last_entity[frq].first_volume = tick_data.volume
"""
处理一分钟的k线数据
"""
if frq == 1 and tick_data.datetime.second == 0 and \
abs((tick_data.datetime - self.last_datetime[frq]).seconds) > 10 \
and self.lock_free[frq] is True:
temp = deepcopy(last)
check, tim = self.check_tick(tick_data)
if check is True:
""" 特殊时间需要特殊有处理 """
temp.high_price = max(temp.high_price,
tick_data.last_price)
temp.low_price = min(temp.low_price,
tick_data.last_price)
temp.close_price = tick_data.last_price
temp.volume += max(
tick_data.volume - temp.first_volume, 0)
self.last_entity[frq] = BarData(
datetime=tim,
high_price=tick_data.last_price,
low_price=tick_data.last_price,
close_price=tick_data.last_price,
open_price=tick_data.last_price,
interval=frq,
volume=0,
first_volume=tick_data.volume,
local_symbol=tick_data.local_symbol)
self.lock_free[frq] = False
self.last_datetime[frq] = tim
else:
self.last_entity[frq] = BarData(
datetime=tick_data.datetime,
high_price=tick_data.last_price,
low_price=tick_data.last_price,
close_price=tick_data.last_price,
open_price=tick_data.last_price,
interval=frq,
volume=tick_data.volume - temp.first_volume,
first_volume=tick_data.volume,
local_symbol=tick_data.local_symbol)
self.last_datetime[frq] = tick_data.datetime
data.append(temp)
elif frq == 1 and self.lock_free[frq]:
self.last_entity[frq].high_price = max(
self.last_entity[frq].high_price, tick_data.last_price)
self.last_entity[frq].low_price = min(
self.last_entity[frq].low_price, tick_data.last_price)
self.last_entity[frq].close_price = tick_data.last_price
""" 累积成交量 """
self.last_entity[frq].volume += max(
tick_data.volume - self.last_entity[frq].first_volume,
0)
self.last_entity[frq].first_volume = tick_data.volume
return data
def __call__(self, *args, **kwargs):
""" 回测周期 """
entity = args[0]
# 日期不相等时, 更新前日结算价格
if self.account.date is None:
self.account.date = self.date
if self.date is None:
self.date = entity.datetime.date()
if not self.auth_time(entity.datetime):
return
self.data_type = entity.type
# 回测的时候自动更新策略的日期
try:
seconds = (entity.datetime - self.datetime).seconds
if seconds >= 60 * 60 * 4 and (entity.datetime.hour >= 21 or (
(14 <= self.datetime.hour <= 15)
and entity.datetime.date() != self.datetime.date())):
self.account.settle(entity.datetime.date())
# 针对于账户的实现 我们需要将昨仓转换为今仓
self.app.recorder.position_manager.covert_to_yesterday_holding(
)
for local_symbol, price in self.price_mapping.items():
self.pre_close_price[local_symbol] = price
# 结算完触发初始化函数
self.on_event(EVENT_INIT_FINISHED, True)
except KeyError:
pass
except AttributeError:
pass
self.data_entity = entity
self.change_month_record["".join(
filter(str.isalpha,
entity.local_symbol.split(".")[0]))] = entity
# 维护一个最新的价格
self.price_mapping[self.data_entity.local_symbol] = self.data_entity.close_price if entity.type == "bar" \
else self.data_entity.last_price
if self.pre_close_price.get(self.data_entity.local_symbol) is None:
self.pre_close_price[
self.data_entity.
local_symbol] = self.data_entity.last_price if entity.type == "tick" else self.data_entity.close_price
self.datetime = entity.datetime
self.match_deal()
if entity.type == "tick":
self.account.position_manager.update_tick(
self.data_entity,
self.pre_close_price[self.data_entity.local_symbol])
self.app.recorder.position_manager.update_tick(
self.data_entity,
self.pre_close_price[self.data_entity.local_symbol])
self.on_event(EVENT_TICK, TickData(**entity))
if entity.type == "bar":
self.account.position_manager.update_bar(
self.data_entity,
self.pre_close_price[self.data_entity.local_symbol])
self.app.recorder.position_manager.update_bar(
self.data_entity,
self.pre_close_price[self.data_entity.local_symbol])
self.on_event(EVENT_BAR, BarData(**entity))
if entity.datetime.hour >= 21:
"""if hour > 21, switch to next trade day"""
index = trade_dates.index(str(entity.datetime.date()))
self.date = datetime.strptime(trade_dates[index + 1],
"%Y-%m-%d").date()
else:
if str(entity.datetime.date()) not in trade_dates:
last_day = entity.datetime + timedelta(days=-1)
self.date = datetime.strptime(
trade_dates[trade_dates.index(str(last_day.date())) + 1],
"%Y-%m-%d").date()
else:
self.date = entity.datetime.date()
# 穿过接口日期检查
self.account.via_aisle()
