def query_by_group(
self,
start_timestamp: int,
finish_timestamp: int,
interval: str,
standard: bool = False,
):
if interval == KLINE_INTERVAL_1MIN:
return self.query(start_timestamp, finish_timestamp, interval, standard)
intervals = {
KLINE_INTERVAL_1DAY: 24 * 60 * 60 * 1000,
KLINE_INTERVAL_4HOUR: 4 * 60 * 60 * 1000,
KLINE_INTERVAL_1HOUR: 60 * 60 * 1000,
KLINE_INTERVAL_15MIN: 15 * 60 * 1000,
}
if intervals.get(interval) is None:
raise RuntimeError("can not use the interval", interval)
num = intervals[interval]
flag_timestamp = start_timestamp
result = []
while flag_timestamp < finish_timestamp:
candles = self.query(flag_timestamp, flag_timestamp + num, KLINE_INTERVAL_1MIN, standard)
flag_timestamp += num
if len(candles) == 0:
continue
tmp_candle = candles[0].copy()
tmp_candle["high"] = candles[0]["high"]
tmp_candle["low"] = candles[0]["low"]
tmp_candle["close"] = candles[-1]["close"]
tmp_candle["vol"] = 0
tmp_candle["timestamp"] = flag_timestamp
tmp_candle["date"] = moment.get(flag_timestamp).to("Asia/Shanghai").format("YYYY-MM-DD HH:mm:ss")
for candle in candles:
if candle["high"] > tmp_candle["high"]:
tmp_candle["high"] = candle["high"]
if candle["low"] < tmp_candle["low"]:
tmp_candle["low"] = candle["low"]
tmp_candle["vol"] += candle["vol"]
result.append(tmp_candle)
return result
def freeze(
self,
amount: float,
position: float,
timestamp: int,
) -> None:
m = moment.get(timestamp).to("Asia/Shanghai")
self.__freeze(
-standard_number(amount),
-position,
m.millisecond_timestamp,
m.format("YYYY-MM-DD HH:mm:ss"),
)
return self.__insert_asset_item(
m.millisecond_timestamp,
m.format("YYYY-MM-DD HH:mm:ss"),
)
def _get_risk_level(self, timestamp: int, instance_id: int) -> int:
conn = Conn(self["db_name"])
table_name = "{trade_type}_instance_{mode}".format(
trade_type=self["trade_type"],
mode=MODE_BACKTEST if self["mode"] == MODE_BACKTEST else MODE_STRATEGY,
)
m = moment.get(timestamp).to(self.get("timezone") or "Asia/Shanghai").floor("day")
query_sql = """
SELECT id FROM {} WHERE symbol = ? AND exchange = ? AND strategy = ?
AND (status IN (?, ?, ?) OR ( status = ? AND liquidate_finish_timestamp > ? )) ORDER BY open_start_timestamp, id
"""
params = (
self["symbol"], self["exchange"], self["strategy"],
INSTANCE_STATUS_OPENING, INSTANCE_STATUS_LIQUIDATING, INSTANCE_STATUS_ERROR,
INSTANCE_STATUS_FINISHED, m.millisecond_timestamp,
)
if self["mode"] == MODE_BACKTEST:
query_sql = """
SELECT id FROM {} WHERE backtest_id = ? AND symbol = ? AND exchange = ?
AND strategy = ? AND open_start_timestamp < ? AND (liquidate_finish_timestamp > ? OR status in (?,?))
ORDER BY open_start_timestamp, id
"""
params = (
self["backtest_id"],
self["symbol"],
self["exchange"],
self["strategy"],
timestamp,
timestamp,
INSTANCE_STATUS_OPENING,
INSTANCE_STATUS_LIQUIDATING,
)
instances = conn.query(
query_sql.format(table_name),
params,
)
instance_ids = [i["id"] for i in instances]
risk_level = len(instance_ids)
if instance_id in instance_ids:
risk_level = instance_ids.index(instance_id)
return risk_level
def first_invest(
self,
asset_total: float,
position_total: float,
position_sub: float,
) -> None:
m = moment.get(BIRTHDAY_BTC).to(
self.get("timezone") or "Asia/Shanghai")
query_sql = "SELECT * FROM {} WHERE exchange = ? AND settle_mode = ? AND settle_currency = ? AND subject = ?" \
" AND timestamp <= ? AND backtest_id = ? LIMIT 1".format(self._account_flow_table_name)
query_param = (
self._exchange,
self._settle_mode,
self._settle_currency,
SUBJECT_INVEST,
m.millisecond_timestamp,
self._backtest_id,
)
conn = Conn(self._db_name)
one = conn.query_one(query_sql, query_param)
if one:
return
self.__invest(
standard_number(asset_total),
position_total,
m.millisecond_timestamp,
m.format("YYYY-MM-DD HH:mm:ss"),
)
self.__transfer_in(
standard_number(asset_total * position_sub / position_total),
position_sub,
m.millisecond_timestamp,
m.format("YYYY-MM-DD HH:mm:ss"),
)
self.__insert_asset_item(
m.millisecond_timestamp,
m.format("YYYY-MM-DD HH:mm:ss"),
)
def unfreeze_and_settle(
self,
unfreeze_asset: float,
unfreeze_position: float,
settle_asset: float,
timestamp: int,
) -> None:
m = moment.get(timestamp).to("Asia/Shanghai")
self.__unfreeze(
standard_number(unfreeze_asset),
unfreeze_position,
m.millisecond_timestamp,
m.format("YYYY-MM-DD HH:mm:ss"),
)
self.__settle(
standard_number(settle_asset),
0.0,
m.millisecond_timestamp,
m.format("YYYY-MM-DD HH:mm:ss"),
)
return self.__insert_asset_item(
m.millisecond_timestamp,
m.format("YYYY-MM-DD HH:mm:ss"),
)
def get_wait_open(self, timestamp):
moment = m.get(timestamp)
the_last_day = moment.to(self["timezone"]
or "Asia/Shanghai").floor("day")
the_start_day = the_last_day.shift(days=-20)
results = self._kline.query(
the_start_day.millisecond_timestamp,
the_last_day.millisecond_timestamp,
KLINE_INTERVAL_1DAY,
standard=True,
)
self["a"].init_account(10)
price = max([result["high"] for result in results])
asset = self._a.get_last_asset(timestamp)["total_account_asset"]
amount = int(asset * price * self["param"]["position"] / 100000000 /
self["unit_amount"])
return [
FutureOrder(
trade_type=self["trade_type"],
place_type=ORDER_PLACE_TYPE_T_TAKER,
db_name=self["db_name"],
mode=self["mode"],
symbol=self["symbol"],
exchange=self["exchange"],
contract_type=self["contract_type"],
instance_id=self["instance_id"],
sequence=0,
backtest_id=self["backtest_id"],
price=price,
amount=amount,
lever=self["lever"],
)
]
def __update_instance(self):
conn = Conn(self._db_name)
orders = conn.query(
"SELECT * FROM {} WHERE instance_id = ? ORDER BY sequence".format(
self._table_name),
(self["instance_id"], ),
)
open_amount, open_fee = 0, 0.0
open_start_timestamp, open_finish_timestamp = 0, 0
open_start_datetime, open_finish_datetime = "", ""
open_type, open_place_type = ORDER_TYPE_OPEN_LONG, ""
liquidate_amount, liquidate_fee = 0, 0.0
liquidate_start_timestamp, liquidate_finish_timestamp = 0, 0
liquidate_start_datetime, liquidate_finish_datetime = "", ""
liquidate_type, liquidate_place_type = ORDER_TYPE_LIQUIDATE_LONG, ""
swap_times, swap_fee, swap_asset_pnl = 0, 0.0, 0
swap_contract = {
"open_amount": 0,
"open_sum": 0,
"open_avg_price": 0,
"liquidate_sum": 0,
"liquidate_amount": 0,
"liquidate_avg_price": 0,
}
for order in orders:
place_timestamp = order["place_timestamp"]
place_datetime = moment.get(order["place_timestamp"]).to(
"Asia/Shanghai").format("YYYY-MM-DD HH:mm:ss")
if order["type"] in (
ORDER_TYPE_OPEN_LONG,
ORDER_TYPE_OPEN_SHORT,
) and order["place_type"] not in (
ORDER_PLACE_TYPE_L_SWAP,
ORDER_PLACE_TYPE_O_SWAP,
):
open_amount += order["deal_amount"]
open_fee += order["fee"]
open_type = order["type"]
open_place_type = order["place_type"]
if open_start_timestamp == 0:
open_start_timestamp = place_timestamp
open_start_datetime = place_datetime
open_finish_timestamp = place_timestamp
open_finish_datetime = place_datetime
if order["type"] in (
ORDER_TYPE_LIQUIDATE_LONG,
ORDER_TYPE_LIQUIDATE_SHORT,
) and order["place_type"] not in (
ORDER_PLACE_TYPE_L_SWAP,
ORDER_PLACE_TYPE_O_SWAP,
):
liquidate_amount += order["deal_amount"]
liquidate_fee += order["fee"]
liquidate_type = order["type"]
liquidate_place_type = order["place_type"]
if liquidate_start_timestamp == 0:
liquidate_start_timestamp = place_timestamp
liquidate_start_datetime = place_datetime
liquidate_finish_timestamp = place_timestamp
liquidate_finish_datetime = place_datetime
if order["place_type"] in (
ORDER_PLACE_TYPE_O_SWAP,
ORDER_PLACE_TYPE_L_SWAP,
):
swap_fee += order["fee"]
if order["type"] == ORDER_TYPE_OPEN_LONG:
swap_times += 1
swap_contract["open_amount"] += order["deal_amount"]
swap_contract["open_sum"] -= order["deal_amount"] * order[
"avg_price"]
swap_contract["open_avg_price"] = int(
-swap_contract["open_sum"] /
swap_contract["open_amount"])
elif order["type"] == ORDER_TYPE_OPEN_SHORT:
swap_times += 1
swap_contract["open_amount"] += order["deal_amount"]
swap_contract["open_sum"] += order["deal_amount"] * order[
"avg_price"]
swap_contract["open_avg_price"] = int(
swap_contract["open_sum"] /
swap_contract["open_amount"])
elif order["type"] == ORDER_TYPE_LIQUIDATE_LONG:
swap_contract["liquidate_amount"] += order["deal_amount"]
swap_contract["liquidate_sum"] += order[
"deal_amount"] * order["avg_price"]
swap_contract["liquidate_avg_price"] = int(
swap_contract["liquidate_sum"] /
swap_contract["liquidate_amount"])
elif order["type"] == ORDER_TYPE_LIQUIDATE_SHORT:
swap_contract["liquidate_amount"] += order["deal_amount"]
swap_contract["liquidate_sum"] -= order[
"deal_amount"] * order["avg_price"]
swap_contract["liquidate_avg_price"] = int(
-swap_contract["liquidate_sum"] /
swap_contract["liquidate_amount"])
else:
raise RuntimeError("can deal with the order type. ")
if open_amount != liquidate_amount:
return
# 不需要计算swap的情况。
if swap_contract["open_amount"] != swap_contract["liquidate_amount"]:
return
if swap_contract["open_amount"]:
swap_asset_pnl = (
swap_contract["open_sum"] +
swap_contract["liquidate_sum"]) * self["unit_amount"]
swap_asset_pnl = real_number(swap_asset_pnl)
swap_asset_pnl /= real_number(swap_contract["open_avg_price"])
swap_asset_pnl /= real_number(swap_contract["liquidate_avg_price"])
conn.execute(
"UPDATE future_instance_backtest SET open_fee = ?, open_type = ?, open_place_type = ?,"
" open_start_timestamp = ?, open_start_datetime = ?, open_finish_timestamp = ?, open_finish_datetime = ?, "
" liquidate_fee = ?, liquidate_type = ?, liquidate_place_type = ?,"
" liquidate_start_timestamp = ?, liquidate_start_datetime = ?,"
" liquidate_finish_timestamp = ?, liquidate_finish_datetime = ?,"
" swap_times = ?, swap_fee = ?, swap_asset_pnl = ? WHERE id = ?",
(
open_fee,
open_type,
open_place_type,
open_start_timestamp,
open_start_datetime,
open_finish_timestamp,
open_finish_datetime,
liquidate_fee,
liquidate_type,
liquidate_place_type,
liquidate_start_timestamp,
liquidate_start_datetime,
liquidate_finish_timestamp,
liquidate_finish_datetime,
swap_times,
swap_fee,
swap_asset_pnl,
self["instance_id"],
),
)
def save(self,
check: bool = False,
raw_order_data: str = None,
raw_market_data: str = None):
if check:
# 检验参数可用性
validate(instance=self, schema=order_input)
conn = Conn(self._db_name)
one = conn.query_one(
"SELECT id FROM {} WHERE instance_id = ? AND sequence = ?".format(
self._table_name),
(self["instance_id"], self["sequence"]),
)
if one:
conn.execute(
"UPDATE {} SET place_type = ?, `type` = ?, price = ?, amount = ?,"
" avg_price = ?, deal_amount = ?, status = ?, lever = ?, fee = ?,"
" symbol = ?, exchange = ?, unit_amount = ?, place_timestamp = ?, place_datetime = ?,"
" deal_timestamp = ?, deal_datetime = ?, swap_timestamp = ?, swap_datetime = ?,"
" cancel_timestamp = ?, cancel_datetime = ?, raw_order_data = ?, raw_market_data = ?"
" WHERE instance_id = ? AND sequence = ?".format(
self._table_name),
(
self["place_type"],
self["type"],
self["price"],
self["amount"],
self["avg_price"],
self["deal_amount"],
self["status"],
self["lever"],
self["fee"],
self["symbol"],
self["exchange"],
self["unit_amount"],
self["place_timestamp"],
self["place_datetime"],
self["deal_timestamp"],
self["deal_datetime"],
self["swap_timestamp"],
self["swap_datetime"],
self["cancel_timestamp"],
self["cancel_datetime"],
raw_order_data,
raw_market_data,
self["instance_id"],
self["sequence"],
),
)
else:
conn.insert(
"INSERT INTO {} (instance_id, sequence, place_type, `type`, price,"
" amount, avg_price, deal_amount, status, lever,"
" fee, symbol, exchange, unit_amount, place_timestamp, place_datetime, deal_timestamp, deal_datetime,"
" cancel_timestamp, cancel_datetime, raw_order_data, raw_market_data) VALUES"
" (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)"
.format(self._table_name, ),
(
self["instance_id"],
self["sequence"],
self["place_type"],
self["type"],
self["price"],
self["amount"],
self["avg_price"],
self["deal_amount"],
self["status"],
self["lever"],
self["fee"],
self["symbol"],
self["exchange"],
self["unit_amount"],
self["place_timestamp"],
self["place_datetime"],
self["deal_timestamp"],
self["deal_datetime"],
self["cancel_timestamp"],
self["cancel_datetime"],
raw_order_data,
raw_market_data,
),
)
orders = conn.query(
"SELECT * FROM {} WHERE instance_id = ? ORDER BY sequence".format(
self._table_name),
(self["instance_id"], ),
)
open_amount, open_fee = 0, 0.0
open_start_timestamp, open_finish_timestamp = 0, 0
open_start_datetime, open_finish_datetime = "", ""
open_type, open_place_type = ORDER_TYPE_OPEN_LONG, ""
liquidate_amount, liquidate_fee = 0, 0.0
liquidate_start_timestamp, liquidate_finish_timestamp = 0, 0
liquidate_start_datetime, liquidate_finish_datetime = "", ""
liquidate_type, liquidate_place_type = ORDER_TYPE_LIQUIDATE_LONG, ""
for order in orders:
place_timestamp = order["place_timestamp"]
place_datetime = moment.get(order["place_timestamp"]).to(
self.get("timezone")
or "Asia/Shanghai").format("YYYY-MM-DD HH:mm:ss")
if order["type"] in (ORDER_TYPE_OPEN_LONG, ORDER_TYPE_OPEN_SHORT):
open_amount += order["deal_amount"]
open_fee += order["fee"]
open_type = order["type"]
open_place_type = order["place_type"]
if order["sequence"] == 0:
open_start_timestamp = place_timestamp
open_start_datetime = place_datetime
open_finish_timestamp = place_timestamp
open_finish_datetime = place_datetime
if order["type"] in (ORDER_TYPE_LIQUIDATE_LONG,
ORDER_TYPE_LIQUIDATE_SHORT):
liquidate_amount += order["deal_amount"]
liquidate_fee += order["fee"]
liquidate_type = order["type"]
liquidate_place_type = order["place_type"]
if liquidate_start_timestamp == 0:
liquidate_start_timestamp = place_timestamp
liquidate_start_datetime = place_datetime
liquidate_finish_timestamp = place_timestamp
liquidate_finish_datetime = place_datetime
if open_amount != liquidate_amount:
return
conn.execute(
"UPDATE {trade_type}_instance_{mode} SET open_fee = ?, open_type = ?, open_place_type = ?,"
" open_start_timestamp = ?, open_start_datetime = ?, open_finish_timestamp = ?, open_finish_datetime = ?, "
" liquidate_fee = ?, liquidate_type = ?, liquidate_place_type = ?,"
" liquidate_start_timestamp = ?, liquidate_start_datetime = ?,"
" liquidate_finish_timestamp = ?, liquidate_finish_datetime = ? WHERE id = ?"
.format(
trade_type=self._trade_type,
mode=MODE_STRATEGY
if self._mode != MODE_BACKTEST else MODE_BACKTEST,
),
(
open_fee,
open_type,
open_place_type,
open_start_timestamp,
open_start_datetime,
open_finish_timestamp,
open_finish_datetime,
liquidate_fee,
liquidate_type,
liquidate_place_type,
liquidate_start_timestamp,
liquidate_start_datetime,
liquidate_finish_timestamp,
liquidate_finish_datetime,
self["instance_id"],
),
)
def test_get_datetime_fmt(self):
m = moment.get("2019-09-10 00:00:00", "YYYY-MM-DD HH:mm:ss")
print(m.format("YYYY-MM-DD HH:mm:ss"))
def test_get_datetime(self):
m = moment.get(datetime(2019, 9, 10), "Asia/Shanghai")
print(m.format("YYYY-MM-DD HH:mm:ss"))
def test_get_none(self):
m = moment.get().to("Asia/Shanghai")
print(m.format("YYYY-MM-DD HH:mm:ss.SSSSSS ZZ"))
def test_from_timestamp(self):
m = moment.get(1568585483123)
print(m.format("YYYY-MM-DD HH:mm:ss.SSSSSS ZZ"))
def _cp_instance_and_gen_order(
self,
sequence: int, # 所属顺序
timestamp: int, # 策略产生的时间戳
due_timestamp: int, # 对用contract的到期时间
price: int, # 标准化价格
amount: int, # 开仓/平仓数量
order_type: int, # 交易类型
place_type: str, # 下单手法
):
instance = self.copy()
param: Param = Param(
self["param"].copy(),
trade_type=self["trade_type"],
db_name=self["db_name"],
mode=self["mode"],
)
indices: Indices = Indices(
self["indices"].copy(),
trade_type=self["trade_type"],
db_name=self["db_name"],
mode=self["mode"],
)
instance["param"] = param
instance["indices"] = indices
if self["trade_type"] == TRADE_TYPE_FUTURE:
due_datetime = moment.get(due_timestamp).to(
self["timezone"] or "Asia/Shanghai",
).format("YYYY-MM-DD HH:mm:ss")
instance["order"] = FutureOrder(
{
"place_type": place_type,
"type": order_type,
"symbol": self["symbol"],
"exchange": self["exchange"],
"contract_type": get_contract_type(timestamp, due_timestamp),
"instance_id": self["id"],
"sequence": sequence,
"price": int(price),
"amount": int(amount),
"lever": self["lever"],
"due_timestamp": due_timestamp,
"due_datetime": due_datetime,
"unit_amount": self["unit_amount"],
},
trade_type=self["trade_type"],
db_name=self["db_name"],
mode=self["mode"],
settle_mode=self["settle_mode"]
)
return instance
instance["order"] = CommonOrder(
{
"place_type": place_type,
"type": order_type,
"symbol": self["symbol"],
"exchange": self["exchange"],
"instance_id": self["id"],
"sequence": sequence,
"price": int(price),
"amount": int(amount),
"lever": self["lever"],
"unit_amount": self.get("unit_amount") or 1,
},
trade_type=self["trade_type"],
db_name=self["db_name"],
mode=self["mode"],
settle_mode=self["settle_mode"]
)
return instance
