def sub_cmd_refresh(args):
instance_id = args.sii
instance = get_instance(instance_id)
print('marketing data src: %s strategy config path: %s ' %
(instance['mds'], instance['sc']))
config = xq.get_strategy_config(instance['sc'])
pprint.pprint(config, indent=4)
engine = BackTest(instance_id, instance['mds'], config)
module_name = config["module_name"].replace("/", ".")
class_name = config["class_name"]
strategy = ts.createInstance(module_name, class_name, config, engine)
refresh(engine, engine.md, strategy, [
datetime.fromtimestamp(order["create_time"])
for order in instance['orders']
])
orders = engine.orders
for idx, order in enumerate(engine.orders):
old_order = instance['orders'][idx]
if "high" in old_order:
order["high"] = old_order["high"]
order["high_time"] = old_order["high_time"]
order["low"] = old_order["low"]
order["low_time"] = old_order["low_time"]
engine.analyze(config['symbol'], engine.orders, True, True)
def sub_cmd_search(args):
if not (args.m and args.sc):
exit(1)
instance_id = create_instance_id()
config = xq.get_strategy_config(args.sc)
pprint.pprint(config)
module_name = config["module_name"].replace("/", ".")
class_name = config["class_name"]
symbol = config['symbol']
engine = BackTest(instance_id, args.m, config, args.log)
strategy = ts.createInstance(module_name, class_name, config, engine)
md = engine.md
start_time, end_time = get_time_range(md, symbol, args.r)
count = args.count
result = []
for i in range(count):
rs = strategy.search_init()
print("%d/%d %s" % (i, count, rs))
tick_count = run2(engine, md, strategy, start_time, end_time)
result.append((i, rs, engine.search_calc(symbol, engine.orders)))
engine.orders = []
sorted_rs = sorted(result, key=lambda x: x[2][0], reverse=True)
for r in sorted_rs:
info = "%6s %30s %s " % r
print(info)
engine.log_debug(info)
def sub_cmd_continue(args):
old_instance = get_instance(args.sii)
mds_name = old_instance['mds']
sc = old_instance['sc']
print('marketing data src: %s strategy config path: %s ' %
(mds_name, sc))
config = xq.get_strategy_config(sc)
pprint.pprint(config, indent=4)
module_name = config["module_name"].replace("/", ".")
class_name = config["class_name"]
symbol = config['symbol']
instance_id = create_instance_id()
if args.log:
logfilename = class_name + "_" + symbol + "_" + instance_id + ".log"
print(logfilename)
log.init("backtest", logfilename)
log.info("strategy name: %s; config: %s" % (class_name, config))
engine = BackTest(instance_id, mds_name, config, args.log)
strategy = ts.createInstance(module_name, class_name, config, engine)
engine.orders = old_instance["orders"]
continue_time = old_instance["end_time"]
oldest_time = engine.md.get_oldest_time(strategy.config['symbol'],
kl.KLINE_INTERVAL_1MINUTE)
if continue_time < oldest_time:
continue_time = oldest_time
latest_time = engine.md.get_latest_time(strategy.config['symbol'],
kl.KLINE_INTERVAL_1MINUTE)
end_time = latest_time
print(" time range old( %s ~ %s ); continue( %s ~ %s )" %
(old_instance["start_time"].strftime("%Y-%m-%d %H:%M"),
old_instance["end_time"].strftime("%Y-%m-%d %H:%M"),
continue_time.strftime("%Y-%m-%d %H:%M"),
end_time.strftime("%Y-%m-%d %H:%M")))
print("run2 kline_data_type: %s " % (engine.md.kline_data_type))
tick_count = run2(engine, engine.md, strategy, continue_time, end_time)
print("\n total tick count: %d" % (tick_count))
engine.analyze_orders(engine.orders)
_id = bt_db.insert_one(
BACKTEST_INSTANCES_COLLECTION_NAME,
{
"instance_id": instance_id,
"start_time": old_instance["start_time"],
"end_time": end_time,
"orders": engine.orders,
"mds": mds_name,
"sc": sc,
},
)
engine.display(symbol, engine.orders, strategy.cur_price, end_time, True,
args.rmk)
def sub_cmd_signal(args):
if not (args.m and args.sc):
exit(1)
instance_id = create_instance_id()
config = xq.get_strategy_config(args.sc)
pprint.pprint(config)
module_name = config["module_name"].replace("/", ".")
class_name = config["class_name"]
symbol = config['symbol']
interval = config["kline"]["interval"]
if args.log:
logfilename = class_name + "_" + symbol + "_" + instance_id + ".log"
print(logfilename)
log.init("testsignal", logfilename)
log.info("strategy name: %s; config: %s" % (class_name, config))
md = DBMD(args.m, kl.KLINE_DATA_TYPE_JSON)
engine = TestSignal(md, instance_id, config, args.log)
strategy = ts.createInstance(module_name, class_name, config, engine)
start_time, end_time = get_time_range(md, symbol, args.r)
print("run2 kline_data_type: %s " % (md.kline_data_type))
tick_count = run2(engine, md, strategy, start_time, end_time)
print("\n total tick count: %d" % (tick_count))
#pprint.pprint(engine.signals)
print("signal count: ", len(engine.signals))
'''
_id = bt_db.insert_one(
BACKTEST_INSTANCES_COLLECTION_NAME,
{
"instance_id": instance_id,
"start_time": start_time,
"end_time": end_time,
"signals": engine.signals,
"mds": args.m,
"sc": args.sc,
},
)
'''
if args.chart:
signalsets = engine.get_signalsets()
title = "signal: " + symbol + ' ' + config['kline']['interval'] + ' '
if strategy.name:
title += strategy.name
else:
title += config['class_name']
chart(title, engine.md, symbol, interval, start_time, end_time, [],
args, signalsets)
def child_process(name, task_q, result_q, instance_id, engine_config,
module_name, class_name, strategy_config, start_time,
end_time):
#print("child process name %s, id %s start" % (name, os.getpid()))
child_engine = MultiSearchChild(instance_id, engine_config)
child_strategy = ts.createInstance(module_name, class_name,
strategy_config, child_engine)
while not task_q.empty():
value = task_q.get(True, 1)
rs = child_strategy.search_init()
#print("child_process(%s) %s, rs: %s" % (name, value, rs))
result_q.put((value,
child_engine.handle_one(child_strategy, start_time,
end_time), rs))
def sub_cmd_run(args):
if not (args.m and args.sc):
exit(1)
instance_id = create_instance_id()
config = xq.get_strategy_config(args.sc)
pprint.pprint(config)
module_name = config["module_name"].replace("/", ".")
class_name = config["class_name"]
symbol = config['symbol']
if args.log:
logfilename = class_name + "_" + symbol + "_" + instance_id + ".log"
print(logfilename)
log.init("backtest", logfilename)
log.info("strategy name: %s; config: %s" % (class_name, config))
engine = BackTest(instance_id, args.m, config, args.log)
strategy = ts.createInstance(module_name, class_name, config, engine)
md = engine.md
start_time, end_time = get_time_range(md, symbol, args.r)
print("run2 kline_data_type: %s " % (md.kline_data_type))
tick_count = run2(engine, md, strategy, start_time, end_time)
print("\n total tick count: %d" % (tick_count))
engine.analyze_orders(engine.orders)
_id = bt_db.insert_one(
BACKTEST_INSTANCES_COLLECTION_NAME,
{
"instance_id": instance_id,
"start_time": start_time,
"end_time": end_time,
"orders": engine.orders,
"mds": args.m,
"sc": args.sc,
},
)
engine.display(symbol, engine.orders, strategy.cur_price, end_time, True,
args.rmk)
if args.chart:
ordersets = []
ordersets.append(engine.orders)
chart(md, engine.config, start_time, end_time, ordersets, args)
def child_process(name, task_q, result_q, md_name, config, module_name, class_name, start_time, end_time):
#print("child process name %s, id %s start" % (name, os.getpid()))
engine = BackTest(create_instance_id(), md_name, config)
strategy = ts.createInstance(module_name, class_name, config, engine)
while not task_q.empty():
value = task_q.get(True, 1)
rs = strategy.search_init()
#print("child_process(%s) %s, rs: %s" % (name, value, rs))
tick_count = run2(engine, engine.md, strategy, start_time, end_time, False)
#print("tick_count: %s" % (tick_count) )
symbol = config['symbol']
result_q.put((value, engine.search_calc(symbol, engine.orders), rs))
engine.orders = []
#print("child process name %s, id %s finish" % (name, os.getpid()))
return
def run(args):
if not (args.m and args.sc and args.r):
exit(1)
instance_id = datetime.now().strftime("%Y%m%d-%H%M%S_") + str(
uuid.uuid1()) # 每次回测都是一个独立的实例
print('instance_id: %s' % instance_id)
config = xq.get_strategy_config(args.sc)
module_name = config["module_name"].replace("/", ".")
class_name = config["class_name"]
symbol = config['symbol']
time_range = args.r
start_time, end_time = ts.parse_date_range(time_range)
if args.log:
logfilename = class_name + "_" + symbol + "_" + time_range + "_" + instance_id + ".log"
print(logfilename)
log.init("backtest", logfilename)
log.info("strategy name: %s; config: %s" % (class_name, config))
engine = BackTest(instance_id, args.m, config)
strategy = ts.createInstance(module_name, class_name, config, engine)
engine.run(strategy, start_time, end_time)
engine.analyze(symbol, engine.orders)
_id = bt_db.insert_one(
BACKTEST_INSTANCES_COLLECTION_NAME,
{
"instance_id": instance_id,
"start_time": start_time,
"end_time": end_time,
"orders": engine.orders,
"mds": args.m,
"sc": args.sc,
},
)
if args.chart:
engine.chart(symbol, start_time, end_time, args)
def real_run(config, instance_id, exchange_name, value, args):
info = 'instance_id: %s, exchange_name: %s, value: %s ' % (instance_id, exchange_name, value)
print(info)
module_name = config["module_name"].replace("/", ".")
class_name = config["class_name"]
if args.log:
logfilename = instance_id + ".log"
print(logfilename)
server_ip = os.environ.get('LOG_SERVER_IP')
server_port = os.environ.get('LOG_SERVER_PORT')
print('Log server IP: %s, Log server port: %s' % (server_ip, server_port))
log.init('real', logfilename, server_ip, server_port)
log.info("%s" % (info))
log.info("strategy name: %s; config: %s" % (class_name, config))
engine = RealEngine(instance_id, exchange_name, config, value, args.log)
strategy = ts.createInstance(module_name, class_name, config, engine)
engine.run(strategy, args.debug)
logfilename = (select + "_" + class_name + "_" + config["symbol"] +
"_" + date_range + "_" + instance_id + ".log")
start_time, end_time = parse_date_range(date_range)
else:
help_print()
exit(1)
print(logfilename)
log.init(logfilename)
log.info("strategy name: %s; config: %s" % (class_name, config))
if select == "real":
engine = RealEngine(instance_id, config)
strategy = ts.createInstance(module_name, class_name, config, engine)
engine.value = value
engine.run(strategy, debug)
elif select == "backtest":
if len(sys.argv) > params_index:
display_switch = sys.argv[params_index]
params_index += 1
else:
display_switch = False
engine = BackTest(instance_id, config)
strategy = ts.createInstance(module_name, class_name, config, engine)
engine.run(strategy, start_time, end_time, display_switch)