def showCompare(self, bars: [], code: str):
from earnmi.data.MarketImpl import MarketImpl
market = MarketImpl()
market.addNotice(code)
today: datetime = bars[-1].datetime
market.setToday(today + timedelta(days=1))
start: datetime = bars[0].datetime
baseBars = market.getHistory().getKbarFrom(
code, datetime(start.year, start.month, start.day))
#baseBar = mainBar
### 初始化columns
columns = ['Open', 'High', 'Low', 'Close', "Volume", "Close2"]
data = []
index = []
bars1 = baseBars
bars2 = bars
size1 = len(bars1)
size2 = len(bars2)
rate = bars1[0].close_price / bars2[0].close_price
bar_pre_2 = bars2[0]
i2 = 0
for i1 in range(size1):
bar1 = bars1[i1]
index.append(bar1.datetime)
list = [
bar1.open_price, bar1.high_price, bar1.low_price,
bar1.close_price, bar1.volume
]
if i2 < size2:
bar2 = bars2[i2]
if utils.is_same_day(bar1.datetime, bar2.datetime):
list.append(bar2.close_price * rate)
bar_pre_2 = bar2
i2 = i2 + 1
else:
##bar2缺少今天数据。
list.append(bar_pre_2.close_price * rate)
##保证i2要大于大
while (i2 < size2):
bar2 = bars2[i2]
days = (bar2.datetime - bar1.datetime).days
if days > 0:
break
i2 = i2 + 1
else:
list.append(bar_pre_2.close_price * rate)
data.append(list)
trades = pd.DataFrame(data, index=index, columns=columns)
apds = []
apds.append(mpf.make_addplot(trades['Close'], color='gray'))
apds.append(mpf.make_addplot(trades['Close2'], color='r'))
mpf.plot(trades, type='line', figscale=1.3, addplot=apds)
pass
def historyTest():
market2 = MarketImpl()
market2.setToday(datetime.now())
#获取沪市数据
code = "600000"
market2.addNotice(code)
bars = market2.getHistory().getKbars(code, 20)
assert len(bars) == 20
##获取指数数据
codes = ['000300']
for code in codes:
market2.addNotice(code)
assert len(market2.getHistory().getKbars(code, 20)) == 20
code = "300004"
market2.addNotice(code)
todayListBar = market2.getHistory().getKbars(code, 50)
pre_bares = None
for todayBar in todayListBar:
today = datetime(year=todayBar.datetime.year,
month=todayBar.datetime.month,
day=todayBar.datetime.day,
minute=1)
market2.setToday(today)
bars1 = market2.getHistory().getKbars(code, 100)
##最后一个bar不应该包含今天：
assert not utils.is_same_day(bars1[-1].datetime, today)
assert len(bars1) == 100
pre_bar = None
for bar in bars1:
assert bar.datetime < today
if pre_bar:
assert pre_bar.datetime < bar.datetime
pre_bar = bar
bars2 = market2.getHistory().getKbarFrom(code, bars1[0].datetime)
for index in range(len(bars1)):
assert bars1[index].datetime == bars2[index].datetime
#昨天的bar数据
if pre_bares:
for index in range(len(pre_bares) - 1):
assert pre_bares[index + 1].datetime == bars1[index].datetime
pre_bares = bars1
pass
def test():
strategy = MyStrategy()
pdData = runner.backtest(testDataSouce, strategy, min_deal_count=15)
writer = pd.ExcelWriter('models\output.xlsx')
pdData.to_excel(writer, sheet_name="data", index=False)
writer.save()
writer.close()
import numpy as np
countList = np.array(list(strategy.mDateHoldCountMap.values()))
print(
f"每天操作平均发生:{countList.mean()},最大:{countList.max()},最小:{countList.min()}"
)
countList = np.array(list(model.mDateOccurCountMap.values()))
print(
f"每个交易日平均发生:{countList.mean()},最大:{countList.max()},最小:{countList.min()}"
)
countList = countList + 1
from vnpy.trader.constant import Exchange, Interval
swBars = []
for dt, count in model.mDateOccurCountMap.items():
value = 1000 * (count + 1) / 89
bar = BarData(symbol="sw_code",
exchange=Exchange.SZSE,
datetime=dt,
interval=Interval.DAILY,
volume=value,
open_price=value,
high_price=value,
low_price=value,
close_price=value,
open_interest=0,
gateway_name="DB")
swBars.append(bar)
bars = swBars
code = "000300"
from earnmi.data.MarketImpl import MarketImpl
market = MarketImpl()
market.addNotice(code)
today: datetime = bars[-1].datetime
market.setToday(today + timedelta(days=1))
start: datetime = bars[0].datetime
baseBars = market.getHistory().getKbarFrom(
code, datetime(start.year, start.month, start.day))
chart = Chart()
#chart.show(swBars)
chart.showCompare(swBars, "000300")
values["arron_up_25"] = 50
values["arron_down_25"] = 50
return values
def getColor(self, name: str):
if name == "arron_up_25":
return 'r'
return 'y'
def isLowerPanel(self):
return True
if __name__ == "__main__":
from earnmi.data.MarketImpl import MarketImpl
code = "600155"
# 801161.XSHG
market = MarketImpl()
market.addNotice(code)
market.setToday(datetime.now())
bars = market.getHistory().getKbars(code, 360)
print(f"bar.size = {bars.__len__()}")
chart = Chart()
#chart.open_kdj = True
#chart.show(bars,KDJItem())
chart.showCompare(bars, "000300")
from datetime import datetime, timedelta
from earnmi.chart.Chart import Chart
from earnmi.data.Market import Market
from earnmi.data.MarketImpl import MarketImpl
from vnpy.trader.constant import Interval, Exchange
from vnpy.trader.database import database_manager
from earnmi.data import import_data_from_jqdata
def assertEqual(d1, d2):
if( not d1.__eq__(d2)):
raise AssertionError(f"asset fail!,d1={d1},d2={d2}")
def assertLittle(d1, d2):
if (not d1.__le__(d2)):
raise AssertionError(f"asset fail!,d1={d1},d2={d2}")
code = "000300"
startDate = datetime(2019,4,1)
endDate = datetime(2020,5,1)
today = datetime(2020,3,24)
keepN = 88
market = MarketImpl()
market.addNotice(code)
market.setToday(today)
from datetime import datetime
from earnmi.data.MarketImpl import MarketImpl
from earnmi.data.SWImpl import SWImpl
import time
sw = SWImpl()
swCode = sw.getSW2List()[0]
stockslist = sw.getSW2Stocks(swCode)
print(f"stockslist:{len(stockslist)}")
startDate = datetime(2015, 4, 1)
endDate = datetime(2020, 5, 1)
market = MarketImpl()
market.setToday(endDate)
market.addNotice('002852')
bars = market.getHistory().getKbars('002852', 300 * 3)
for code in stockslist:
market.addNotice(code)
print(f"getBars:{code}")
bars = market.getHistory().getKbars(code, 300 * 3)
#time.sleep(2)
print(f"getBars size:{len(bars)}")
class Strategy1(StockStrategy):
def __init__(self):
pass
code = "300004"
window_size = 30
def on_create(self):
"""
决策初始化.
"""
self.write_log("on_create")
self.market = MarketImpl()
self.market.addNotice(self.code)
pass
def on_destroy(self):
"""
决策结束.（被停止之后）
"""
self.write_log("on_destroy")
pass
def on_market_prepare_open(self, protfolio: Portfolio, today: datetime):
"""
市场准备开始（比如：竞价）.
"""
#准备线程池，准备数据。
self.market.setToday(today)
self.today_has_buy = False
self.today_has_sell = False
pass
__history_bar100 = None
def on_market_open(self, protfolio: Portfolio):
"""
市场开市.
"""
def on_market_prepare_close(self, protfolio: Portfolio):
"""
市场准备关市.
"""
pass
def on_market_close(self, protfolio: Portfolio):
"""
市场关市.
"""
pass
def on_bar_per_minute(self, time: datetime, protfolio: Portfolio):
"""
市场开市后的每分钟。
"""
#每天两点半的后尝试去做交易。
if time.hour == 14 and time.minute == 30:
self.__history_bar100 = self.market.getHistory().getKbars(
self.code, 100)
assert len(self.__history_bar100) == 100
bars = self.__history_bar100
todayBar = self.market.getRealTime().getKBar(self.code)
indicator = Indicator(40)
indicator.update_bar(bars)
dif, dea, macd_bar = indicator.macd(fast_period=12,
slow_period=26,
signal_period=9,
array=True)
if (not self.today_has_buy):
# 预测金叉
todayBar.close_price = todayBar.close_price * 1.01
indicator.update_bar(todayBar)
dif, dea, predict_macd_bar = indicator.macd(fast_period=12,
slow_period=26,
signal_period=9,
array=True)
print(
f"[{self.market.getToday()}]:bar={macd_bar[-1]},predic_bar={predict_macd_bar[-1]}"
)
if (predict_macd_bar[-1] > 0 and macd_bar[-1] <= 0):
targetPrice = todayBar.close_price # 上一个交易日的收盘价作为买如价
print(f" gold cross!!!")
if protfolio.buy(self.code, targetPrice, 100):
self.today_has_buy = True
elif (not self.today_has_sell):
todayBar.close_price = todayBar.close_price * 0.99
indicator.update_bar(todayBar)
dif, dea, predict_macd_bar = indicator.macd(fast_period=12,
slow_period=26,
signal_period=9,
array=True)
print(
f"[{self.market.getToday()}]:bar={macd_bar[-1]},predic_bar={predict_macd_bar[-1]}"
)
if (predict_macd_bar[-1] <= 0 and macd_bar[-1] > 0):
targetPrice = todayBar.close_price
print(f" dead cross!!!")
if protfolio.sell(self.code, targetPrice, 100):
self.today_has_sell = True
def realTimeTest():
market2 = MarketImpl()
code = "300004"
market2.addNotice(code)
has_data_day1 = datetime(year=2020, month=5, day=8, hour=1)
market2.setToday(has_data_day1)
bar = market2.getRealTime().getKBar(code)
assert bar is None
market2.setToday(
datetime(year=2020, month=5, day=8, hour=9, minute=31, second=30))
bar = market2.getRealTime().getKBar(code)
assert not bar is None
bar = market2.getRealTime().getKBar(code, hour=9, minute=31, second=31)
assert bar is None
begin = datetime(year=2020, month=4, day=9, hour=1)
for i in range(50):
day = begin + timedelta(days=i)
market2.setToday(
datetime(year=day.year,
month=day.month,
day=day.day,
hour=9,
minute=50,
second=30))
bar = market2.getRealTime().getKBar(code)
todayIsTrade = not bar is None
if todayIsTrade:
print(f"realTimeTest：test in trad day : {day}")
"""
今天是交易日
"""
day1 = datetime(year=day.year,
month=day.month,
day=day.day,
hour=9,
minute=31,
second=30)
day2 = datetime(year=day.year,
month=day.month,
day=day.day,
hour=10,
minute=31,
second=30)
day3 = datetime(year=day.year,
month=day.month,
day=day.day,
hour=13,
minute=50,
second=30)
day4 = datetime(year=day.year,
month=day.month,
day=day.day,
hour=15,
minute=0,
second=30)
market2.setToday(day1)
bar1 = market2.getRealTime().getKBar(code)
market2.setToday(day2)
bar2 = market2.getRealTime().getKBar(code)
market2.setToday(day3)
bar3 = market2.getRealTime().getKBar(code)
market2.setToday(day4)
bar4 = market2.getRealTime().getKBar(code)
assert is_same_day(bar1.datetime, bar2.datetime) and is_same_day(
bar3.datetime, bar4.datetime) and is_same_day(
bar2.datetime, bar3.datetime)
assert bar1.datetime < bar2.datetime and bar2.datetime < bar3.datetime and bar3.datetime < bar4.datetime
assert isPostMinitueBar(bar1, bar2) and isPostMinitueBar(
bar2, bar3) and isPostMinitueBar(
bar3, bar4) and isPostMinitueBar(bar2, bar4)
class ZZ500DataSource(BarDataSource):
#中证500的股票列表，过滤掉最近2年新上市的，jq模式的代码，总共485个
SZ500_JQ_CODE_LIST = [
'000008.XSHE', '000009.XSHE', '000012.XSHE', '000021.XSHE',
'000025.XSHE', '000027.XSHE', '000028.XSHE', '000031.XSHE',
'000039.XSHE', '000046.XSHE', '000050.XSHE', '000060.XSHE',
'000061.XSHE', '000062.XSHE', '000078.XSHE', '000089.XSHE',
'000090.XSHE', '000156.XSHE', '000158.XSHE', '000301.XSHE',
'000400.XSHE', '000401.XSHE', '000402.XSHE', '000415.XSHE',
'000488.XSHE', '000501.XSHE', '000513.XSHE', '000519.XSHE',
'000528.XSHE', '000537.XSHE', '000543.XSHE', '000547.XSHE',
'000553.XSHE', '000559.XSHE', '000563.XSHE', '000564.XSHE',
'000581.XSHE', '000598.XSHE', '000600.XSHE', '000623.XSHE',
'000629.XSHE', '000630.XSHE', '000636.XSHE', '000681.XSHE',
'000685.XSHE', '000686.XSHE', '000690.XSHE', '000712.XSHE',
'000717.XSHE', '000718.XSHE', '000729.XSHE', '000732.XSHE',
'000738.XSHE', '000739.XSHE', '000750.XSHE', '000758.XSHE',
'000778.XSHE', '000785.XSHE', '000800.XSHE', '000807.XSHE',
'000813.XSHE', '000825.XSHE', '000826.XSHE', '000830.XSHE',
'000848.XSHE', '000869.XSHE', '000877.XSHE', '000878.XSHE',
'000883.XSHE', '000887.XSHE', '000898.XSHE', '000930.XSHE',
'000932.XSHE', '000937.XSHE', '000959.XSHE', '000960.XSHE',
'000967.XSHE', '000970.XSHE', '000975.XSHE', '000983.XSHE',
'000987.XSHE', '000988.XSHE', '000990.XSHE', '000997.XSHE',
'000998.XSHE', '000999.XSHE', '001872.XSHE', '001914.XSHE',
'002002.XSHE', '002004.XSHE', '002010.XSHE', '002013.XSHE',
'002019.XSHE', '002028.XSHE', '002030.XSHE', '002038.XSHE',
'002048.XSHE', '002051.XSHE', '002056.XSHE', '002064.XSHE',
'002074.XSHE', '002075.XSHE', '002078.XSHE', '002080.XSHE',
'002081.XSHE', '002085.XSHE', '002092.XSHE', '002093.XSHE',
'002110.XSHE', '002118.XSHE', '002124.XSHE', '002127.XSHE',
'002128.XSHE', '002131.XSHE', '002138.XSHE', '002152.XSHE',
'002155.XSHE', '002156.XSHE', '002174.XSHE', '002183.XSHE',
'002185.XSHE', '002191.XSHE', '002195.XSHE', '002203.XSHE',
'002212.XSHE', '002217.XSHE', '002221.XSHE', '002223.XSHE',
'002233.XSHE', '002242.XSHE', '002244.XSHE', '002249.XSHE',
'002250.XSHE', '002266.XSHE', '002268.XSHE', '002273.XSHE',
'002281.XSHE', '002285.XSHE', '002294.XSHE', '002302.XSHE',
'002317.XSHE', '002340.XSHE', '002353.XSHE', '002368.XSHE',
'002372.XSHE', '002373.XSHE', '002375.XSHE', '002382.XSHE',
'002385.XSHE', '002387.XSHE', '002390.XSHE', '002396.XSHE',
'002399.XSHE', '002407.XSHE', '002408.XSHE', '002414.XSHE',
'002416.XSHE', '002419.XSHE', '002423.XSHE', '002424.XSHE',
'002429.XSHE', '002434.XSHE', '002439.XSHE', '002440.XSHE',
'002444.XSHE', '002458.XSHE', '002465.XSHE', '002491.XSHE',
'002500.XSHE', '002503.XSHE', '002505.XSHE', '002506.XSHE',
'002507.XSHE', '002511.XSHE', '002544.XSHE', '002557.XSHE',
'002563.XSHE', '002572.XSHE', '002583.XSHE', '002589.XSHE',
'002595.XSHE', '002603.XSHE', '002625.XSHE', '002635.XSHE',
'002640.XSHE', '002648.XSHE', '002653.XSHE', '002665.XSHE',
'002670.XSHE', '002690.XSHE', '002701.XSHE', '002709.XSHE',
'002745.XSHE', '002797.XSHE', '002807.XSHE', '002815.XSHE',
'002818.XSHE', '002821.XSHE', '002831.XSHE', '002839.XSHE',
'002867.XSHE', '002901.XSHE', '002920.XSHE', '002925.XSHE',
'002926.XSHE', '002936.XSHE', '300001.XSHE', '300002.XSHE',
'300009.XSHE', '300010.XSHE', '300012.XSHE', '300017.XSHE',
'300024.XSHE', '300026.XSHE', '300058.XSHE', '300070.XSHE',
'300072.XSHE', '300088.XSHE', '300113.XSHE', '300115.XSHE',
'300133.XSHE', '300134.XSHE', '300166.XSHE', '300168.XSHE',
'300180.XSHE', '300182.XSHE', '300197.XSHE', '300207.XSHE',
'300212.XSHE', '300244.XSHE', '300251.XSHE', '300253.XSHE',
'300257.XSHE', '300271.XSHE', '300274.XSHE', '300285.XSHE',
'300296.XSHE', '300315.XSHE', '300316.XSHE', '300324.XSHE',
'300357.XSHE', '300376.XSHE', '300418.XSHE', '300459.XSHE',
'300474.XSHE', '300482.XSHE', '300496.XSHE', '300558.XSHE',
'300595.XSHE', '300618.XSHE', '300630.XSHE', '600006.XSHG',
'600008.XSHG', '600017.XSHG', '600021.XSHG', '600022.XSHG',
'600026.XSHG', '600037.XSHG', '600039.XSHG', '600053.XSHG',
'600056.XSHG', '600058.XSHG', '600060.XSHG', '600062.XSHG',
'600064.XSHG', '600073.XSHG', '600079.XSHG', '600094.XSHG',
'600120.XSHG', '600125.XSHG', '600126.XSHG', '600132.XSHG',
'600138.XSHG', '600141.XSHG', '600143.XSHG', '600153.XSHG',
'600155.XSHG', '600158.XSHG', '600160.XSHG', '600161.XSHG',
'600166.XSHG', '600167.XSHG', '600171.XSHG', '600195.XSHG',
'600201.XSHG', '600216.XSHG', '600256.XSHG', '600258.XSHG',
'600259.XSHG', '600260.XSHG', '600266.XSHG', '600273.XSHG',
'600277.XSHG', '600282.XSHG', '600291.XSHG', '600298.XSHG',
'600307.XSHG', '600312.XSHG', '600315.XSHG', '600316.XSHG',
'600325.XSHG', '600329.XSHG', '600335.XSHG', '600338.XSHG',
'600339.XSHG', '600348.XSHG', '600350.XSHG', '600373.XSHG',
'600376.XSHG', '600380.XSHG', '600388.XSHG', '600392.XSHG',
'600409.XSHG', '600410.XSHG', '600415.XSHG', '600418.XSHG',
'600426.XSHG', '600428.XSHG', '600435.XSHG', '600446.XSHG',
'600460.XSHG', '600466.XSHG', '600478.XSHG', '600486.XSHG',
'600497.XSHG', '600500.XSHG', '600507.XSHG', '600511.XSHG',
'600515.XSHG', '600521.XSHG', '600528.XSHG', '600529.XSHG',
'600535.XSHG', '600545.XSHG', '600549.XSHG', '600557.XSHG',
'600563.XSHG', '600565.XSHG', '600566.XSHG', '600567.XSHG',
'600572.XSHG', '600575.XSHG', '600580.XSHG', '600582.XSHG',
'600597.XSHG', '600598.XSHG', '600623.XSHG', '600633.XSHG',
'600639.XSHG', '600640.XSHG', '600642.XSHG', '600643.XSHG',
'600645.XSHG', '600648.XSHG', '600649.XSHG', '600657.XSHG',
'600664.XSHG', '600667.XSHG', '600673.XSHG', '600675.XSHG',
'600694.XSHG', '600699.XSHG', '600704.XSHG', '600707.XSHG',
'600717.XSHG', '600718.XSHG', '600728.XSHG', '600729.XSHG',
'600733.XSHG', '600737.XSHG', '600739.XSHG', '600748.XSHG',
'600751.XSHG', '600754.XSHG', '600755.XSHG', '600757.XSHG',
'600765.XSHG', '600770.XSHG', '600776.XSHG', '600777.XSHG',
'600779.XSHG', '600782.XSHG', '600787.XSHG', '600801.XSHG',
'600804.XSHG', '600808.XSHG', '600811.XSHG', '600820.XSHG',
'600823.XSHG', '600827.XSHG', '600835.XSHG', '600839.XSHG',
'600845.XSHG', '600859.XSHG', '600862.XSHG', '600863.XSHG',
'600869.XSHG', '600874.XSHG', '600875.XSHG', '600879.XSHG',
'600881.XSHG', '600884.XSHG', '600885.XSHG', '600895.XSHG',
'600901.XSHG', '600903.XSHG', '600908.XSHG', '600909.XSHG',
'600917.XSHG', '600959.XSHG', '600967.XSHG', '600970.XSHG',
'600985.XSHG', '600996.XSHG', '601000.XSHG', '601003.XSHG',
'601005.XSHG', '601016.XSHG', '601019.XSHG', '601068.XSHG',
'601098.XSHG', '601099.XSHG', '601106.XSHG', '601118.XSHG',
'601127.XSHG', '601128.XSHG', '601139.XSHG', '601168.XSHG',
'601179.XSHG', '601200.XSHG', '601228.XSHG', '601233.XSHG',
'601333.XSHG', '601608.XSHG', '601611.XSHG', '601678.XSHG',
'601689.XSHG', '601699.XSHG', '601717.XSHG', '601718.XSHG',
'601799.XSHG', '601801.XSHG', '601811.XSHG', '601866.XSHG',
'601869.XSHG', '601880.XSHG', '601928.XSHG', '601958.XSHG',
'601966.XSHG', '601969.XSHG', '603000.XSHG', '603025.XSHG',
'603056.XSHG', '603077.XSHG', '603198.XSHG', '603225.XSHG',
'603228.XSHG', '603233.XSHG', '603328.XSHG', '603338.XSHG',
'603355.XSHG', '603377.XSHG', '603444.XSHG', '603486.XSHG',
'603515.XSHG', '603517.XSHG', '603556.XSHG', '603568.XSHG',
'603605.XSHG', '603650.XSHG', '603659.XSHG', '603707.XSHG',
'603708.XSHG', '603712.XSHG', '603766.XSHG', '603806.XSHG',
'603816.XSHG', '603858.XSHG', '603866.XSHG', '603868.XSHG',
'603882.XSHG', '603883.XSHG', '603885.XSHG', '603888.XSHG',
'603939.XSHG'
]
def __init__(self, start: datetime, end: datetime, limit_size=-1):
self.index = 0
self.start = start
self.end = end
from earnmi.data.MarketImpl import MarketImpl
self.market = MarketImpl()
self.market.setToday(end + timedelta(days=1))
self.limitSize = len(ZZ500DataSource.SZ500_JQ_CODE_LIST)
if limit_size > 0:
self.limitSize = min(limit_size, self.limitSize)
"""
清空缓存
"""
def clearAll(self):
code_list = ZZ500DataSource.SZ500_JQ_CODE_LIST
for code in code_list:
self.market.addNotice(code)
bars = self.market.getHistory().clean(code)
self.market.removeNotice(code)
return code, bars
def nextBars(self) -> Tuple[Sequence['BarData'], str]:
# if self.index > 2:
# return None,None
code_list = ZZ500DataSource.SZ500_JQ_CODE_LIST
if self.index < self.limitSize:
code = code_list[self.index]
self.index += 1
self.market.addNotice(code)
bars = self.market.getHistory().getKbarFrom(code, self.start)
self.market.removeNotice(code)
return bars, code
return None, None