def main(self, coinname):
# 获取数据文件列表
klineFileList = self.model.getKlineFileList(coinname)
# 获取运行期间
timestamp_start = Base.date_to_timestamp(self.dict_param['date_start'])
timestamp_end = Base.date_to_timestamp(self.dict_param['date_end'])
self.dict_record['timestampNow'] = timestamp_start
# 获取面值
mianzhi = Base.get_contract_size(coinname)
# 遍历listKline
for klineFile in klineFileList:
df_1m = pd.read_csv(klineFile, index_col=0).reset_index()
for i in range(len(df_1m)):
timestamp = int(df_1m.loc[i, 'timestamp'])
if timestamp_start <= self.dict_record[
'timestampNow'] < timestamp <= timestamp_end:
# 解析数据
self.dict_record['timestampNow'] = timestamp
date = df_1m.loc[i, 'date']
self.date = df_1m.loc[i, 'date']
open = float(df_1m.loc[i, 'open'])
high = float(df_1m.loc[i, 'high'])
low = float(df_1m.loc[i, 'low'])
close = float(df_1m.loc[i, 'close'])
# 执行循环
self.loop(timestamp, date, open, high, low, close, mianzhi)
elif timestamp > timestamp_end:
# 总结数据
self.dict_param['isStop'] = True
print('end')
break
if self.dict_param['isStop']:
break
#总结
self.zongjie()
return
def merge1m(path, symbol):
df = None
symbol = str(symbol).lower()
list_csv = sorted(os.listdir(path), reverse=False)
is_creat = False
for i in range(len(list_csv)):
csv = list_csv[i]
if int(str(csv)[:10]) > Base.date_to_timestamp('2018-09-14 08:00'):
print('i=' + str(i) + ' ' + csv)
if not is_creat:
is_creat = True
df = pd.read_csv(path + csv, index_col=0)
else:
df = df.append(pd.read_csv(path + csv, index_col=0))
# 如果超过104.8w条,就跳出循环
if len(df) > 1048000:
break
# 去重
df.drop_duplicates(keep='last', inplace=True)
df.to_csv(symbol + 'merge1m.csv', encoding="utf-8")
print(symbol + '合并完成')
def get_atr(coin, path):
atr_0615 = {
'btc': 378.52,
'eth': 45.54,
'eos': 1.5553,
'ltc': 8.71,
'etc': 1.6945,
}
df = pd.read_csv(path, index_col=0)
df = df.reset_index()
df['yesterday_close'] = df['close'].shift(1)
# 计算tr
df['tr'] = 0
print(df)
print(df)
for i in range(len(df)):
df.loc[i, 'tr'] = max(
abs(df.loc[i, 'high'] - df.loc[i, 'low']),
abs(df.loc[i, 'high'] - df.loc[i, 'yesterday_close']),
abs(df.loc[i, 'yesterday_close'] - df.loc[i, 'low']))
# 计算atr
df['atr'] = 0
for i in range(len(df)):
if i == 0:
df.loc[i, 'atr'] = atr_0615[coin]
else:
if coin == 'etc' and df.loc[i,
'timestamp'] == Base.date_to_timestamp(
'2018-06-25 08:00'):
df.loc[i, 'atr'] = atr_0615[coin]
df.loc[i, 'atr'] = round(
(df.loc[i - 1, 'atr'] * 13 + df.loc[i, 'tr']) / 14, 4)
# 删除多余的列
df.drop(columns=['yesterday_close', 'tr'], inplace=True)
df.to_csv(path, index=None, encoding="utf-8")
print(path + '增加atr成功')
def main(self, date_start, date_end, param=None):
if param is None:
param = {}
return
# 初始化容器
self.coin = str(param['symbol']).lower()[0:3]
self.symbol = param['symbol']
self.param = param
self.param['contract_size'] = Base.get_contract_size(self.coin)
self.list_wg_trade = []
self.dict_acc = {
'money': 10000,
'margin_balance': 0,
'fund_start': 0,
'price_start': 0,
'lun_price_start': 0,
'lun_timestamp_start': 0,
'lun_margin_balance_start': 0,
'lun_fund_start': 0,
}
self.dict_record = {
'timestamp': 0,
'list_margin_balance': [],
'list_rate_kline': [],
'list_rate_profit': [],
'list_fund': [],
'list_money': [],
'list_rate_paper_duo': [],
'list_rate_paper_kong': [],
'list_rate_paper': [],
}
Base.txt_remove(self.symbol + '.txt')
self.log('进入策略main函数,准备容器完成,param=' + str(param))
self.log('dict_acc=' + str(self.dict_acc))
# 遍历数据
path = os.path.abspath(
os.getcwd()) + '/klineok/' + self.coin + '1m1dok.csv'
df_1m = pd.read_csv(path, index_col=0).reset_index()
for i in range(len(df_1m)):
timestamp = int(df_1m.loc[i, 'timestamp'])
if Base.date_to_timestamp(
date_start) < timestamp < Base.date_to_timestamp(date_end):
close = float(df_1m.loc[i, 'close'])
high = float(df_1m.loc[i, 'high'])
low = float(df_1m.loc[i, 'low'])
atr = float(df_1m.loc[i, 'atr'])
self.dict_data = {
'date': df_1m.loc[i, 'date'],
'timestamp': timestamp,
'open': float(df_1m.loc[i, 'open']),
'high': high,
'low': low,
'close': close,
'day_date': df_1m.loc[i, 'day_date'],
'ma60': float(df_1m.loc[i, 'ma60']),
'ma91': float(df_1m.loc[i, 'ma91']),
'atr': atr,
}
# 判断是否首次遍历
if self.dict_acc['price_start'] == 0:
self.dict_acc['price_start'] = close
self.dict_acc['fund_start'] = self.dict_acc['money']
continue
# 判断买币
if self.dict_acc['margin_balance'] == 0 and self.dict_acc[
'money'] == self.dict_acc['fund_start']:
self.trade_coin(close,
round(self.dict_acc['money'] / close, 4),
True)
continue
# 判断创建网格
if len(self.list_wg_trade) <= 1:
self.creat_wg_trade(close, self.dict_data['ma91'])
continue
# 合约交易
self.trade_contract(high, low, close,
self.param['contract_size'])
# 记录日志
self.record(close)
elif timestamp > Base.date_to_timestamp(date_end):
break
elif len(self.dict_record['list_rate_profit']) > 0:
if self.dict_record['list_rate_profit'][-1] < -30:
Base.txt_write(
'./result/' + 'index',
'err' + str(self.dict_record['list_rate_profit'][-1]))
break
# 绘图
Base.txt_write(
'./result/' + 'index',
'通过,最大回撤' + str(min(self.dict_record['list_rate_profit'])))
Base.chart('margin_balance',
self.dict_record['list_margin_balance'],
path=self.path)
Base.chart('rate_kline_rate_profit',
self.dict_record['list_rate_kline'],
self.dict_record['list_rate_profit'],
path=self.path)
Base.chart('fund_money',
self.dict_record['list_fund'],
self.dict_record['list_money'],
path=self.path)
Base.chart('paper_duo_paper_kong_paper',
self.dict_record['list_rate_paper_duo'],
self.dict_record['list_rate_paper_kong'],
self.dict_record['list_rate_paper'],
path=self.path)
Base.wg_csv('final', int(self.dict_data['timestamp']),
self.list_wg_trade, self.path)
def main(self, symbol, date_start, date_end, param=None):
if param is None:
param = {}
coin = str(symbol).lower()[0:3]
# 填充容器
self.symbol = symbol
self.param = param
self.param['contract_size'] = Base.get_contract_size(coin)
self.list_wg = []
self.dict_acc = {
'fund_start': 10000,
'price_start': 0,
'lun_timestamp_start': 0,
'lun_margin_start': 0,
'margin_balance': 0,
'money': 10000,
'record_timestamp': 0,
'record_list_margin_balance': [],
'record_list_fund': [],
'record_list_rate_kline': [],
'record_list_rate_profit': [],
'record_list_rate_paper': [],
'record_list_rate_paper_duo': [],
'record_list_rate_paper_kong': []
}
Base.txt_remove(self.symbol + '.txt')
self.log('进入策略main函数,准备容器完成,param=' + str(param))
self.log('dict_acc=' + str(self.dict_acc))
# 遍历数据
path = os.path.abspath(os.getcwd()) + '/klineok/' + coin + '1m1dok.csv'
df_1m = pd.read_csv(path, index_col=0).reset_index()
for i in range(len(df_1m)):
timestamp = int(df_1m.loc[i, 'timestamp'])
if Base.date_to_timestamp(
date_start) < timestamp < Base.date_to_timestamp(date_end):
close = float(df_1m.loc[i, 'close'])
high = float(df_1m.loc[i, 'high'])
low = float(df_1m.loc[i, 'low'])
atr = float(df_1m.loc[i, 'atr'])
self.dict_data = {
'date': df_1m.loc[i, 'date'],
'timestamp': timestamp,
'open': float(df_1m.loc[i, 'open']),
'high': high,
'low': low,
'close': close,
'day_date': df_1m.loc[i, 'day_date'],
'ma60': float(df_1m.loc[i, 'ma60']),
'ma91': float(df_1m.loc[i, 'ma91']),
'atr': atr,
}
if self.dict_acc['price_start'] == 0:
self.dict_acc['price_start'] = close
margin_balance = self.dict_acc['margin_balance']
contract_size = self.param['contract_size']
paper_cover = int(margin_balance * close / contract_size)
paper_each = max(1, round(paper_cover * self.param['paper'],
2))
self.check(close, timestamp)
self.wg_trade(close, high, low, atr, timestamp, paper_each)
elif timestamp > Base.date_to_timestamp(date_end):
break
# 绘图
Base.chart('margin_balance',
self.dict_acc['record_list_margin_balance'])
Base.chart('fund', self.dict_acc['record_list_fund'])
Base.chart('kline_profit', self.dict_acc['record_list_rate_kline'],
self.dict_acc['record_list_rate_profit'])
Base.chart('record_list_rate_paper',
self.dict_acc['record_list_rate_paper'])
Base.chart('kline_paperduo_paperkong',
self.dict_acc['record_list_rate_kline'],
self.dict_acc['record_list_rate_paper_duo'],
self.dict_acc['record_list_rate_paper_kong'])
Base.wg_csv('final', int(self.dict_data['timestamp']), self.list_wg)