def do_initialize(self, engine: Engine):
engine.register_event(
EventDefinition(ed_type=EventDefinitionType.TIME,
time_rule=MarketOpen()), self.market_open)
engine.register_event(
EventDefinition(ed_type=EventDefinitionType.TIME,
time_rule=MarketClose(offset=-1)),
self.market_close)
def do_initialize(self, engine: Engine, data_portal: DataPortal):
if engine.is_backtest:
market_close = EventDefinition(ed_type=EventDefinitionType.TIME, time_rule=MarketClose())
market_open = EventDefinition(ed_type=EventDefinitionType.TIME, time_rule=MarketOpen())
else:
market_open = EventDefinition(ed_type=EventDefinitionType.TIME, time_rule=MarketOpen(second_offset=5))
market_close = EventDefinition(ed_type=EventDefinitionType.TIME, time_rule=MarketClose(second_offset=-60))
market_close_set_price = EventDefinition(ed_type=EventDefinitionType.TIME,
time_rule=MarketClose())
engine.register_event(market_close_set_price, self.set_close_price)
engine.register_event(market_open, self.market_open)
engine.register_event(market_close, self.market_close)
# 初始化昨日开盘价和收盘价
self.last_open = None
self.last_close = None
if not engine.is_backtest:
command = HistoryDataQueryCommand(None, None, self.scope.codes, window=1)
command.with_calendar(trading_calendar=self.scope.trading_calendar)
df = data_portal.history_data("ibAdjustedDailyBar", command)
if len(df) >= 1:
self.last_open = df.iloc[-1]['open']
self.last_close = df.iloc[-1]['close']
logging.info("初始化数据成功，昨日开盘价:{}, 昨日收盘价:{}, bar的开始时间:{}"
.format(self.last_open, self.last_close, df.iloc[-1]['start_time']))
else:
raise RuntimeError("没有获取到昨日开盘价和收盘价")
# self.last_open = 35.17
# self.last_close = 33.77
if len(self.scope.codes) != 1:
raise RuntimeError("wrong codes")
self.code = self.scope.codes[0]
def do_initialize(self, engine: Engine, data_portal: DataPortal):
if engine.is_backtest:
raise RuntimeError("不支持回测")
engine.register_event(EventDefinition(ed_type=EventDefinitionType.DATA, ts_type_name='ibTick',
event_data_type=EventDataType.TICK), self.on_tick)
engine.register_event(event_definition=EventDefinition(ed_type=EventDefinitionType.TIME, time_rule=MarketOpen()),
callback=self.market_open)
engine.register_event(
event_definition=EventDefinition(ed_type=EventDefinitionType.TIME, time_rule=MarketOpen()),
callback=self.market_close)
self.daily_ticks: DataFrame = DataFrame()
self.time_span = Timedelta(minutes=1)
self.threshold = 0.005
self.code = self.scope.codes[0]
self.market_is_open = self.scope.trading_calendar.is_open_on_minute(Timestamp.now(tz='Asia/Shanghai'))
from trading_calendars import get_calendar
from se import config, BeanContainer, AccountRepo
from se.domain2.engine.engine import Engine, Scope
from se.infras.td import TDAccount
from st import SPCEStrategy
engine = Engine()
scope = Scope(["SPCE_STK_USD_SMART"], trading_calendar=get_calendar("NYSE"))
strategy = SPCEStrategy(scope)
account_name = "td_local_spce"
repo: AccountRepo = BeanContainer.getBean(AccountRepo)
acc: TDAccount = repo.find_one(account_name)
if not acc:
acc = TDAccount(account_name, 100)
acc.with_order_callback(strategy).with_client(
config.get("td_account", "client_id"),
config.get("td_account", 'redirect_url'),
config.get("td_account", 'credentials_path'),
config.get("td_account", 'account_id'))
acc.start_save_thread()
engine.run(strategy, acc)
buy_order = LimitOrder(self.code, OrderDirection.BUY,
dest_quantity - hold_quantity, current_time,
down_price)
account.place_order(buy_order)
def __init__(self, scope: Scope, n=5, p=0.02):
super().__init__(scope)
self.n = n
self.p = p
self.code = scope.codes[0]
# from trading_calendars import get_calendar
# scope = Scope(codes=['CCL_STK_USD_SMART'], trading_calendar=get_calendar("NYSE"))
# start = Timestamp("2020-01-01", tz='Asia/Shanghai')
# end = Timestamp("2020-01-30", tz='Asia/Shanghai')
# Engine().run_backtest(TestStrategy1(scope), start, end, 10000, "test3")
if __name__ == "__main__":
# 计算策略的回报序列
from trading_calendars import get_calendar
import pandas as pd
calendar = get_calendar("NYSE")
engine = Engine()
scope = Scope(['CCL_STK_USD_SMART'], calendar)
st = TestStrategy1(scope, n=5, p=0.01)
start = pd.Timestamp("2020-01-01", tz='Asia/Shanghai')
end = pd.Timestamp("2020-01-30", tz='Asia/Shanghai')
result = engine.run_backtest(st, start, end, 10000, "test16")
print("done")
import os
os.environ[
'config.dir'] = "/Users/zhang/PycharmProjects/strategy_engine_v2/interface"
# 如果没有日志目录的话，则创建
if not os.path.exists("log"):
os.makedirs("log")
from se import BeanContainer, AccountRepo
from se.domain2.account.account import AbstractAccount
import pandas as pd
from trading_calendars import get_calendar
from se.domain2.engine.engine import Engine, Scope
from strategies.strategy import TestStrategy2
engine = Engine()
scope = Scope(["SPCE_STK_USD_SMART"], trading_calendar=get_calendar("NYSE"))
strategy = TestStrategy2(scope)
# 回测
start = pd.Timestamp("2021-02-01", tz='Asia/Shanghai')
end = pd.Timestamp("2021-02-18", tz='Asia/Shanghai')
result = engine.run_backtest(strategy, start, end, 10000, "test60",
"ibAdjustedDailyBar")
print("done")
# 查看结果
# repo: AccountRepo = BeanContainer.getBean(AccountRepo)
# account: AbstractAccount = repo.find_one("test56")
# s = pd.Series(account.history_net_value)
# s.plot()
from configparser import ConfigParser
from pandas._libs.tslibs.timestamps import Timestamp
from trading_calendars import get_calendar
from se.domain2.engine.engine import Engine, Scope, EventDefinition, MarketOpen, \
MarketClose, Event
from se.infras.ib import IBAccount
from se.strategies.strategy import TestStrategy2
import pandas as pd
engine = Engine()
scope = Scope(["SPCE_STK_USD_SMART"], trading_calendar=get_calendar("NYSE"))
strategy = TestStrategy2(scope)
# 初始化配置
config_file_name = 'config.ini'
config = ConfigParser()
config.read(config_file_name)
# 回测
start = pd.Timestamp("2020-01-01", tz='Asia/Shanghai')
end = pd.Timestamp("2020-12-01", tz='Asia/Shanghai')
result = engine.run_backtest(strategy, start, end, 10000, "test55")
print("done")
# 实盘测试
# acc = IBAccount("ib_test1", 10000)
#
# # acc_repo: AccountRepo = BeanContainer.getBean(AccountRepo)
# # acc = acc_repo.find_one("ib_test1")
