def init(self):
if self.__initialized:
return True
assert isinstance(self._config, BfConfig) # 判断初始化前是否设置好了基本参数
self.__strategy_engine = StrategyEngine(parent=self)
self.__strategy = Strategy(self.__strategy_engine, self.__code, parent=self)
self.__strategy_engine.add_strategy(self.__strategy)
self.__data_generator = TickDataGenerator(lambda x: self.__strategy_engine.put_event(x.to_event()),
lambda: self.__strategy_engine.put_event(Event(EVENT_FINISH)),
parent=self)
if DEBUG:
self.logger.setLevel(logging.DEBUG)
else:
self.logger.setLevel(logging.INFO)
self.__initialized = True
def init(self):
if self.__initialized:
return True
bf_config = BfConfig(**self.__config)
self.__strategy_engine = StrategyEngine(is_backtest=False, **self.__config)
self.__strategy = Strategy(self.__strategy_engine, code=self.__code, logger=self._logger,
**self.__config)
self.__strategy_engine.add_strategy(self.__strategy)
self.__data_generator = TickDataGenerator(bf_config,
lambda x: self.__strategy_engine.put_event(x.to_event()),
lambda: self.__strategy_engine.put_event(Event(EVENT_FINISH)))
self.__initialized = True
class TracebackSignal(LoggerInterface, ConfigInterface, Runnable):
def __init__(self):
LoggerInterface.__init__(self)
ConfigInterface.__init__(self)
Runnable.__init__(self)
self.__code = None
self.__strategy = None
self.__strategy_engine = None
self.__tb_data_generator = None
self.__rt_data_generator = None
self.__strategy_parameters = None
self.__initialized = False
self.logger_name = 'RuntimeSignal'
def init(self):
if self.__initialized:
return True
assert isinstance(self._config, BfConfig) # 判断初始化前是否设置好了基本参数
self.__strategy_engine = StrategyEngine(parent=self)
self.__strategy = Strategy(self.__strategy_engine,
self.__code,
parent=self)
self.__strategy_engine.add_strategy(self.__strategy)
self.__rt_data_generator = TickDataGenerator(
lambda x: self.__strategy_engine.put_event(x.to_event()),
partial(self.__strategy_engine.put_event, Event(EVENT_FINISH)),
parent=self)
self.__tb_data_generator = DataGenerator(
lambda x: self.__strategy_engine.put_event(x.to_event()),
partial(self.__strategy_engine.put_event,
Event(EVENT_EMPTY, message="traceback over")),
parent=self)
if DEBUG:
self.logger.setLevel(logging.DEBUG)
else:
self.logger.setLevel(logging.INFO)
self.__initialized = True
def set_config(self, config):
assert isinstance(config, BfConfig)
self._config = config
self._config.allow_trading = False
self._config.running_mode = RunningMode.traceback
@property
def code(self):
return self.__code
@code.setter
def code(self, value):
assert isinstance(value, str)
self.__code = value.replace('\t', ' ')
def register_event(self, event_type, func):
if self.__initialized:
self.__strategy_engine.register_event(event_type, func)
else:
self.logger.warning("无效的事件注册，原因：未初始化")
@property
def is_finished(self):
return self.__is_alive
def _start(self, paras=None):
"""
:param paras:
:param refresh: True表示刷新绩效且需要释放资源，即用户一个完整的请求已经结束；False的情况主要是参数优化时批量运行回测。
"""
try:
self.logger.info("<%s>策略回溯运算开始" % self._config["name"])
if not self.__initialized:
self.init()
if paras is not None:
self.__strategy.set_parameters(paras)
self.__strategy_engine.start()
self.__tb_data_generator.start()
self.__strategy_engine.register_event(EVENT_EMPTY,
self._change_trading_mode)
self.__strategy_engine.wait()
except:
self.logger.error("\n" + traceback.format_exc())
self.stop()
def _change_trading_mode(self, event):
if event.content["message"] == "traceback over":
try:
self.logger.info("<%s>策略回溯运算停止" % self._config["name"])
self._config.allow_trading = True
self.logger.info("<%s>策略实时运算开始" % self._config["name"])
self.__rt_data_generator.start()
except:
self.logger.error("\n" + traceback.format_exc())
self.stop()
def _stop(self):
self.logger.info("<%s>策略实时运算停止" % self._config["name"])
self.__tb_data_generator.stop()
self.__rt_data_generator.stop()
self.__strategy_engine.stop()
def get_output(self):
return self.__strategy.get_output()
def get_setting(self):
return self._config.to_dict()
def get_parameters(self):
if self.__strategy_parameters is None:
temp = self.__strategy.get_parameters()
for handle_name in temp.keys():
for para_name, values in temp[handle_name].items():
temp[handle_name][para_name] = {
'default': values,
'type': str(type(values))
}
self.__strategy_parameters = temp
return self.__strategy_parameters
class RuntimeSignal(LoggerInterface):
def __init__(self):
super().__init__()
self.__config = {}
self.__code = None
self.__strategy = None
self.__strategy_engine = None
self.__data_generator = None
self.__strategy_parameters = None
self._logger = None
self.__performance_manager = None
self.__timer = Timer()
self._login = False
self.__is_alive = False
self.__initialized = False
def init(self):
if self.__initialized:
return True
bf_config = BfConfig(**self.__config)
self.__strategy_engine = StrategyEngine(is_backtest=False, **self.__config)
self.__strategy = Strategy(self.__strategy_engine, code=self.__code, logger=self._logger,
**self.__config)
self.__strategy_engine.add_strategy(self.__strategy)
self.__data_generator = TickDataGenerator(bf_config,
lambda x: self.__strategy_engine.put_event(x.to_event()),
lambda: self.__strategy_engine.put_event(Event(EVENT_FINISH)))
self.__initialized = True
def set_config(self, **kwargs):
self.__config.update(kwargs)
def login(self):
if not self._login:
self._login = False
def set_logger(self, logger):
self._logger = logger
@property
def code(self):
return self.__code
@code.setter
def code(self, code):
if self.__code is None:
self.__code = code
@property
def is_finished(self):
return self.__is_alive
@profile
def start(self, paras=None, refresh=True):
"""
:param paras:
:param refresh: True表示刷新绩效且需要释放资源，即用户一个完整的请求已经结束；False的情况主要是参数优化时批量运行回测。
"""
try:
if not self.__initialized:
self.init()
gc.collect()
self.__is_alive = True
if paras is not None:
self.__strategy.set_parameters(paras)
self.__strategy_engine.start()
self.__data_generator.start()
if refresh:
self.__performance_manager = self.__strategy_engine.wait(self.__get_performance_manager)
self.__data_generator.stop()
if MEMORY_DEBUG:
print('gb:\n%s' % sys.getsizeof(gc.garbage)) # 写日志，计算垃圾占用的内存等
gb_log = {}
for gb in gc.garbage:
type_ = type(gb)
if type_ not in gb_log:
gb_log[type_] = 0
gb_log[type_] += sys.getsizeof(gb)
print(gb_log)
result = self.__performance_manager
else:
result = self.__strategy_engine.wait()
self.log(self.__timer.time("策略运算完成，耗时:{0}"), logging.INFO)
return result
except Exception as e:
self.stop()
raise e
def stop(self):
self.__is_alive = False
self.__timer.reset()
self.__data_generator.stop()
self.__strategy_engine.stop()
def __get_performance_manager(self):
# TODO 加入回测是否运行的判断
if False:
raise ValueError('please run the backtest first')
return StrategyPerformanceManagerOnline(self.__strategy_engine.get_profit_records(),
self.__strategy_engine.get_deals(),
self.__strategy_engine.get_positions())
def get_profit_records(self):
return self.__strategy_engine.get_profit_records()
def get_performance(self):
return self.__performance_manager.get_performance()
def get_output(self):
return self.__strategy.get_output()
def get_setting(self):
setting = self.__config.copy()
return setting
def get_parameters(self):
if self.__strategy_parameters is None:
temp = self.__strategy.get_parameters()
for handle_name in temp.keys():
for para_name, values in temp[handle_name].items():
temp[handle_name][para_name] = {'default': values, 'type': str(type(values))}
self.__strategy_parameters = temp
return self.__strategy_parameters
def time(self, *args):
return self.__timer.time(*args)
class TracebackSignal(LoggerInterface, ConfigInterface, Runnable):
def __init__(self):
LoggerInterface.__init__(self)
ConfigInterface.__init__(self)
Runnable.__init__(self)
self.__code = None
self.__strategy = None
self.__strategy_engine = None
self.__tb_data_generator = None
self.__rt_data_generator = None
self.__strategy_parameters = None
self.__initialized = False
self.logger_name = 'RuntimeSignal'
def init(self):
if self.__initialized:
return True
assert isinstance(self._config, BfConfig) # 判断初始化前是否设置好了基本参数
self.__strategy_engine = StrategyEngine(parent=self)
self.__strategy = Strategy(self.__strategy_engine, self.__code, parent=self)
self.__strategy_engine.add_strategy(self.__strategy)
self.__rt_data_generator = TickDataGenerator(lambda x: self.__strategy_engine.put_event(x.to_event()),
partial(self.__strategy_engine.put_event, Event(EVENT_FINISH)),
parent=self)
self.__tb_data_generator = DataGenerator(lambda x: self.__strategy_engine.put_event(x.to_event()),
partial(self.__strategy_engine.put_event,
Event(EVENT_EMPTY, message="traceback over")),
parent=self)
if DEBUG:
self.logger.setLevel(logging.DEBUG)
else:
self.logger.setLevel(logging.INFO)
self.__initialized = True
def set_config(self, config):
assert isinstance(config, BfConfig)
self._config = config
self._config.allow_trading = False
self._config.running_mode = RunningMode.traceback
@property
def code(self):
return self.__code
@code.setter
def code(self, value):
assert isinstance(value, str)
self.__code = value.replace('\t', ' ')
def register_event(self, event_type, func):
if self.__initialized:
self.__strategy_engine.register_event(event_type, func)
else:
self.logger.warning("无效的事件注册，原因：未初始化")
@property
def is_finished(self):
return self.__is_alive
def _start(self, paras=None):
"""
:param paras:
:param refresh: True表示刷新绩效且需要释放资源，即用户一个完整的请求已经结束；False的情况主要是参数优化时批量运行回测。
"""
try:
self.logger.info("<%s>策略回溯运算开始" % self._config["name"])
if not self.__initialized:
self.init()
if paras is not None:
self.__strategy.set_parameters(paras)
self.__strategy_engine.start()
self.__tb_data_generator.start()
self.__strategy_engine.register_event(EVENT_EMPTY, self._change_trading_mode)
self.__strategy_engine.wait()
except:
self.logger.error("\n" + traceback.format_exc())
self.stop()
def _change_trading_mode(self, event):
if event.content["message"] == "traceback over":
try:
self.logger.info("<%s>策略回溯运算停止" % self._config["name"])
self._config.allow_trading = True
self.logger.info("<%s>策略实时运算开始" % self._config["name"])
self.__rt_data_generator.start()
except:
self.logger.error("\n" + traceback.format_exc())
self.stop()
def _stop(self):
self.logger.info("<%s>策略实时运算停止" % self._config["name"])
self.__tb_data_generator.stop()
self.__rt_data_generator.stop()
self.__strategy_engine.stop()
def get_output(self):
return self.__strategy.get_output()
def get_setting(self):
return self._config.to_dict()
def get_parameters(self):
if self.__strategy_parameters is None:
temp = self.__strategy.get_parameters()
for handle_name in temp.keys():
for para_name, values in temp[handle_name].items():
temp[handle_name][para_name] = {'default': values, 'type': str(type(values))}
self.__strategy_parameters = temp
return self.__strategy_parameters
