def to_pd(var,index):
ret =[]
for i in var:
ret.append(to_dict(i))
ret = pd.DataFrame (ret)
ret = ret.set_index(index)
return ret
def to_pd(var, index):
ret = []
for i in var:
ret.append(to_dict(i))
ret = pd.DataFrame(ret)
ret = ret.set_index(index)
return ret
def on_backtest_finish(self, indicator):
print('backtest finished', to_dict(indicator))
list1 = self.get_instruments('SHSE', 1, 1)
#list2=self.get_instruments('SZSE', 1, 1)
#list3=list(set(list1).union(set(list2)))
print(len(list1))
bars = self.get_last_dailybars('SZSE.002760')
dailybars = self.get_last_n_dailybars('SHSE.000300', 160)
print(bars[0].open)
print(bars[0].close)
def get_k_data(self,
code=None,
start=None,
end=ct._TODAY_,
ktype='D',
isOHLC=True):
if code[:2] == '60' or\
code[:2] == '00':
code = 'SHSE.' + code
else:
code = 'SZSE.' + code
if len(start) == 10:
start += ' 09:00:00'
if len(end) == 10:
end += ' 15:00:00'
tmp_end = start
last_end = -1
dat = pd.DataFrame()
while (tmp_end < end and tmp_end != last_end):
if ktype == 'D':
bars = md.get_dailybars(code, tmp_end, end)
else:
bars = md.get_bars(code, self.k_dic[ktype], tmp_end, end)
if len(bars) == 0:
break
rt = []
for i in bars:
rt.append(to_dict(i))
dt = pd.DataFrame(rt)
if start == tmp_end:
dat = dt
else:
dat = dat.append(dt)
print '-----', code, dt.iloc[-1, 12][:19]
last_end = tmp_end
tmp_end = dt.iloc[-1, 12][:19]
next_5min = datetime.strptime(
tmp_end, '%Y-%m-%dT%H:%M:%S') + timedelta(minutes=int(ktype))
tmp_end = datetime.strftime(next_5min, '%Y-%m-%d %H:%M:%S')
if dat.empty:
return dat
dat.drop_duplicates(['strendtime'], inplace=True)
dat['date'] = dat['strendtime'].apply(
lambda x: x[:10] + ' ' + x[11:19])
dat.insert(len(dat.columns), "code", code[5:])
#dat.index = dat['strtime'].apply(lambda x: datetime.strptime(x, '%Y-%m-%dT%H:%M:%S+08:00'))
if isOHLC:
return dat[[
'date', 'high', 'low', 'open', 'close', 'volume', 'code'
]]
return dat
def get_hist_data(self, code=None, start=None, end=ct._TODAY_, ktype='D'):
if code[:2] == '60':
code = 'SHSE.' + code
else:
code = 'SZSE.' + code
tmp_end = start
last_end = -1
dat = pd.DataFrame()
while (tmp_end < end and tmp_end != last_end):
if ktype == 'D':
bars = md.get_dailybars(code, tmp_end, end)
else:
bars = md.get_bars(code, self.k_dic[ktype],
tmp_end + ' 09:00:00', end + ' 15:00:00')
if len(bars) == 0:
return pd.DataFrame(
[], columns=['high', 'low', 'open', 'close', 'volume'])
rt = []
for i in bars:
rt.append(to_dict(i))
dt = pd.DataFrame(rt)
if start == tmp_end:
dat = dt
else:
dat = dat.append(dt)
print '-----', code, dt.iloc[-1, 12][:10]
last_end = tmp_end
tmp_end = dt.iloc[-1, 12][:10]
tomorrow = datetime.strptime(tmp_end,
'%Y-%m-%d') + timedelta(days=1)
tmp_end = datetime.strftime(tomorrow, '%Y-%m-%d')
dat.drop_duplicates(['strendtime'], inplace=True)
dat.index = dat['strendtime'].apply(
lambda x: datetime.strptime(x, '%Y-%m-%dT%H:%M:%S+08:00'))
return dat[['high', 'low', 'open', 'close', 'volume']]
def on_backtest_finish(self, indicator):
print('backtest finished', to_dict(indicator))
def on_backtest_finish(self, indicator):
print('backtest finished', to_dict(indicator))
qh_data_five_min = db['qh_data_five_min']
qh_data_five_daily = db['qh_data_five_daily']
###############################
end = datetime.datetime.now()
start_m = end.month - 1
start = datetime.datetime(end.year, start_m, 1, 9, 0, 0)
start_e = datetime.datetime(end.year, start_m, 1, 15, 0, 0)
e_s_timedetlta = (end - start).days
for day in range(e_s_timedetlta):
this_start = start + datetime.timedelta(days=day)
this_end = start_e + datetime.timedelta(days=day)
for f in f_list:
bars = md.get_bars(f, 60, this_start.strftime('%Y-%m-%d %H:%M:%S'),
this_end.strftime('%Y-%m-%d %H:%M:%S'))
for bar in bars:
print to_dict(bar)
qh_data_one_min.insert_one(to_dict(bar))
time.sleep(2)
for day in range(e_s_timedetlta):
this_start = start + datetime.timedelta(days=day)
this_end = start_e + datetime.timedelta(days=day)
for f in f_list:
bars = md.get_bars(f, 300, this_start.strftime('%Y-%m-%d %H:%M:%S'),
this_end.strftime('%Y-%m-%d %H:%M:%S'))
for bar in bars:
print to_dict(bar)
qh_data_five_min.insert(to_dict(bar))
time.sleep(2)
for day in range(e_s_timedetlta):
