def strategy(ctx, group, name, path, low_latency, replay, session_id,
backtest):
pass_ctx_from_parent(ctx)
ctx.group = group
ctx.name = name
ctx.path = path
ctx.low_latency = low_latency if not replay else True
ctx.md_path = None
assert not (replay and backtest
), "Replay mode and BackTest mode cannot be selected together"
ctx.replay = replay
ctx.backtest = backtest
mode = pyyjj.mode.REPLAY if ctx.replay else pyyjj.mode.BACKTEST if ctx.backtest else pyyjj.mode.LIVE
ctx.logger = create_logger(
name, ctx.log_level,
pyyjj.location(mode, pyyjj.category.STRATEGY, group, name,
ctx.locator))
ctx.strategy = Strategy(ctx) # keep strategy alive for pybind11
runner = Runner(ctx, mode)
runner.add_strategy(ctx.strategy)
ctx.category = 'strategy'
if replay:
ctx.session_id = session_id
replay_setup.setup(ctx, session_id, strategy, runner)
if backtest:
#ctx.md_path = os.path.join(ctx.home, 'md', group, name, 'journal', 'backtest', '00000000.*.journal')
ctx.category = 'md'
ctx.mode = pyyjj.get_mode_name(mode)
ctx.session_id = session_id
backtest_setup.setup(ctx, session_id, strategy, runner)
runner.run()
def layout_dir(self, location, layout):
mode = pyyjj.get_mode_name(location.mode)
category = pyyjj.get_category_name(location.category)
p = os.path.join(self._home, category, location.group, location.name, pyyjj.get_layout_name(layout), mode)
if not os.path.exists(p):
os.makedirs(p)
return p
def strategy(ctx, group, name, path, low_latency, replay, session_id):
pass_ctx_from_parent(ctx)
ctx.group = group
ctx.name = name
ctx.path = path
ctx.low_latency = low_latency if not replay else True
ctx.replay = replay
ctx.category = 'strategy'
mode = pyyjj.mode.REPLAY if ctx.replay else pyyjj.mode.LIVE
ctx.mode = pyyjj.get_mode_name(mode)
ctx.location = pyyjj.location(mode, pyyjj.category.STRATEGY, group, name,
ctx.locator)
ctx.logger = create_logger(name, ctx.log_level, ctx.location)
if path.endswith('.py'):
ctx.strategy = Strategy(ctx) # keep strategy alive for pybind11
else:
spec = util.spec_from_file_location(
os.path.basename(path).split('.')[0], path)
cpp = util.module_from_spec(spec)
spec.loader.exec_module(cpp)
ctx.strategy = cpp.Strategy(ctx.location)
runner = Runner(ctx, mode)
runner.add_strategy(ctx.strategy)
if replay:
ctx.session_id = session_id
replay_setup.setup(ctx, session_id, strategy, runner)
runner.run()
def layout_dir(self, location, layout):
mode = pyyjj.get_mode_name(location.mode)
category = pyyjj.get_category_name(location.category)
p = os.path.join(self._home, category, location.group, location.name,
pyyjj.get_layout_name(layout), mode)
try:
os.makedirs(p)
except OSError as e:
if e.errno != errno.EEXIST:
raise
return p
def add_location(self, location):
with session_scope(self.session_factory) as session:
if not session.query(Location).get(location.uid):
info = {
"uid": location.uid,
"uname": location.uname,
"mode": pyyjj.get_mode_name(location.mode),
"category": pyyjj.get_category_name(location.category),
"group": location.group,
"name": location.name
}
loc_obj = Location(uid=location.uid, info=info)
session.add(loc_obj)
def strategy(ctx, group, name, path, low_latency, replay, session_id):
pass_ctx_from_parent(ctx)
ctx.group = group
ctx.name = name
ctx.path = path
ctx.low_latency = low_latency if not replay else True
ctx.replay = replay
ctx.category = 'strategy'
mode = pyyjj.mode.REPLAY if ctx.replay else pyyjj.mode.LIVE
ctx.mode = pyyjj.get_mode_name(mode)
ctx.logger = create_logger(
name, ctx.log_level,
pyyjj.location(mode, pyyjj.category.STRATEGY, group, name,
ctx.locator))
ctx.strategy = Strategy(ctx) # keep strategy alive for pybind11
runner = Runner(ctx, mode)
runner.add_strategy(ctx.strategy)
if replay:
ctx.session_id = session_id
replay_setup.setup(ctx, session_id, strategy, runner)
runner.run()