def __init__(self, config):
"""
1. read in configs
2. Set up backtest event engine
"""
self._current_time = None
## 0. read in configs
self._initial_cash = config['cash']
self._symbols = config['symbols']
self._benchmark = config['benchmark']
#self.start_date = datetime.datetime.strptime(config['start_date'], "%Y-%m-%d")
#self.end_date = datetime.datetime.strptime(config['end_date'], "%Y-%m-%d")
start_date = config['start_date']
send_date = config['end_date']
params = config['params']
strategy_name = config['strategy']
datasource = str(config['datasource'])
batch_tag = config['batch_tag']
root_multiplier = config['root_multiplier']
self._hist_dir = config['hist_dir']
self._fvp_file = config['fvp_file']
self._output_dir = config['output_dir']
## 1. data_feed
symbols_all = self._symbols[:] # copy
if self._benchmark is not None:
symbols_all.append(self._benchmark)
self._symbols = [str(s) for s in self._symbols]
symbols_all = set([str(s) for s in symbols_all]) # remove duplicates
if (datasource.upper() == 'LOCAL'):
print('Using local single symbol data feed')
self._data_feed = BacktestDataFeedLocalSingleSymbol(
hist_dir=self._hist_dir,
start_date=start_date,
end_date=send_date)
elif (datasource.upper() == 'MULTI_LOCAL'):
print('Using local multiple symbol data feed')
self._data_feed = BacktestDataFeedLocalMultipleSymbols(
hist_dir=self._hist_dir,
start_date=start_date,
end_date=send_date)
else:
print('Using Quandl data feed')
self._data_feed = BacktestDataFeedQuandl(start_date=start_date,
end_date=send_date)
self._data_feed.subscribe_market_data(self._symbols) # not symbols_all
## 2. event engine
self._events_engine = BacktestEventEngine(self._data_feed)
## 3. brokerage
self._data_board = DataBoard(hist_dir=self._hist_dir, syms=symbols_all)
self._backtest_brokerage = BacktestBrokerage(self._events_engine,
self._data_board)
## 4. portfolio_manager
self._df_fvp = None
if self._fvp_file is not None:
self._df_fvp = pd.read_csv(self._hist_dir + self._fvp_file,
index_col=0)
self._portfolio_manager = PortfolioManager(self._initial_cash,
self._df_fvp)
## 5. performance_manager
self._performance_manager = PerformanceManager(self._symbols,
self._benchmark,
batch_tag,
root_multiplier,
self._df_fvp)
## 6. risk_manager
self._risk_manager = PassThroughRiskManager()
## 7. load all strategies
strategyClass = strategy_list.get(strategy_name, None)
if not strategyClass:
print(u'can not find strategy：%s' % strategy_name)
return
else:
print(u'backtesting strategy：%s' % strategy_name)
self._strategy = strategyClass(self._events_engine, self._data_board)
self._strategy.set_symbols(self._symbols)
self._strategy.set_capital(self._initial_cash)
self._strategy.on_init(params)
self._strategy.on_start()
## 8. trade recorder
#self._trade_recorder = ExampleTradeRecorder(output_dir)
## 9. wire up event handlers
self._events_engine.register_handler(EventType.TICK,
self._tick_event_handler)
self._events_engine.register_handler(EventType.BAR,
self._bar_event_handler)
self._events_engine.register_handler(EventType.ORDER,
self._order_event_handler)
self._events_engine.register_handler(EventType.FILL,
self._fill_event_handler)
def __init__(self, config):
"""
1. read in configs
2. Set up backtest event engine
"""
self._current_time = Timestamp('1900-01-01')
## 0. read in configs
self._initial_cash = config['cash']
self._symbols = config['tickers']
self._benchmark = config['benchmark']
#self.start_date = datetime.datetime.strptime(config['start_date'], "%Y-%m-%d")
#self.end_date = datetime.datetime.strptime(config['end_date'], "%Y-%m-%d")
start_date = config['start_date']
send_date = config['end_date']
strategy_name = config['strategy']
datasource = str(config['datasource'])
self._hist_dir = config['hist_dir']
self._output_dir = config['output_dir']
## 1. data_feed
symbols_all = self._symbols[:] # copy
if self._benchmark is not None:
symbols_all.append(self._benchmark)
self._symbols = [str(s) for s in self._symbols]
symbols_all = [str(s) for s in symbols_all]
if (datasource.upper() == 'LOCAL'):
self._data_feed = BacktestDataFeedLocal(hist_dir=self._hist_dir,
start_date=start_date,
end_date=send_date)
elif (datasource.upper() == 'TUSHARE'):
self._data_feed = BacktestDataFeedTushare(start_date=start_date,
end_date=send_date)
else:
self._data_feed = BacktestDataFeedQuandl(start_date=start_date,
end_date=send_date)
self._data_feed.subscribe_market_data(symbols_all)
## 2. event engine
self._events_engine = BacktestEventEngine(self._data_feed)
## 3. brokerage
self._data_board = DataBoard()
self._backtest_brokerage = BacktestBrokerage(self._events_engine,
self._data_board)
## 4. portfolio_manager
self._portfolio_manager = PortfolioManager(self._initial_cash)
## 5. performance_manager
self._performance_manager = PerformanceManager(symbols_all)
## 6. risk_manager
self._risk_manager = PassThroughRiskManager()
## 7. load all strategies
strategyClass = strategy_list.get(strategy_name, None)
if not strategyClass:
print(u'can not find strategy：%s' % strategy_name)
return
self._strategy = strategyClass(self._symbols, self._events_engine)
self._strategy.on_init()
self._strategy.on_start()
## 8. trade recorder
#self._trade_recorder = ExampleTradeRecorder(output_dir)
## 9. wire up event handlers
self._events_engine.register_handler(EventType.TICK,
self._tick_event_handler)
self._events_engine.register_handler(EventType.BAR,
self._bar_event_handler)
self._events_engine.register_handler(EventType.ORDER,
self._order_event_handler)
self._events_engine.register_handler(EventType.FILL,
self._fill_event_handler)
def __init__(self, config_server, config_client, lang_dict):
super(MainWindow, self).__init__()
## member variables
self._current_time = None
self._config_server = config_server
self._config_client = config_client
self._symbols = config_server[config_server['accounts'][0]]['tickers']
self._lang_dict = lang_dict
self._font = lang_dict['font']
self._widget_dict = {}
self.central_widget = None
self.market_window = None
self.message_window = None
self.order_window = None
self.fill_window = None
self.position_window = None
self.account_window = None
self.strategy_window = None
# 0. order_manager; some of ui_windows uses order_manager
self._order_manager = OrderManager()
## 1. event engine
self._outgoing_queue = Queue() # outgoing queue from client side
self._ui_events_engine = LiveEventEngine() # update ui
self._outgoing_request_events_engine = LiveEventEngine() # events/actions request from client
self._schedule_timer = QtCore.QTimer() # task scheduler; TODO produce result_packet
# 3. data board
self._data_board = DataBoard()
# 5. risk manager and compliance manager
self.risk_manager = PassThroughRiskManager()
# 6. account manager
self.account_manager = AccountManager(self._config_server)
# 7 portfolio manager and position manager
self.portfolio_manager = PortfolioManager(self._config_client['initial_cash'])
## 4. strategy_manager
self._strategy_manager = StrategyManager(self._config_client, self._outgoing_request_events_engine,self._order_manager,self.portfolio_manager, self._data_board)
self._strategy_manager.load_strategy()
## 8. client mq
self._client_mq = ClientMq(self._ui_events_engine, self._outgoing_queue)
# 1. set up gui windows
self.setGeometry(50, 50, 600, 400)
self.setWindowTitle(lang_dict['Prog_Name'])
self.setWindowIcon(QtGui.QIcon("gui/image/logo.ico"))
self.init_menu()
self.init_status_bar()
self.init_central_area()
## 9. wire up event handlers
self._ui_events_engine.register_handler(EventType.TICK, self._tick_event_handler)
self._ui_events_engine.register_handler(EventType.ORDERSTATUS, self.order_window.order_status_signal.emit)
self._ui_events_engine.register_handler(EventType.FILL, self._fill_event_handler)
self._ui_events_engine.register_handler(EventType.POSITION, self._position_event_handler)
self._ui_events_engine.register_handler(EventType.ACCOUNT, self.account_window.account_signal.emit)
self._ui_events_engine.register_handler(EventType.CONTRACT, self._contract_event_handler)
self._ui_events_engine.register_handler(EventType.HISTORICAL, self._historical_event_handler)
self._ui_events_engine.register_handler(EventType.GENERAL, self.log_window.msg_signal.emit)
self._outgoing_request_events_engine.register_handler(EventType.ORDER, self._outgoing_order_request_handler)
self._outgoing_request_events_engine.register_handler(EventType.ACCOUNT, self._outgoing_account_request_handler)
self._outgoing_request_events_engine.register_handler(EventType.POSITION, self._outgoing_position_request_handler)
self._outgoing_request_events_engine.register_handler(EventType.GENERAL, self._outgoing_general_msg_request_handler)
## 10. start
self._ui_events_engine.start()
self._outgoing_request_events_engine.start()
self._client_mq.start()