def __init__(self, engine, user, strategy, name, symbols, time_frame, id=None, parent=None):
"""
信号对象，每一个信号即为策略代码中不以init为名的任意最外层函数，订阅某些品种的行情数据，运行于特定时间框架下。
通过两个EventPacker(事件打包器)接受StrategyEngine中的DataCache(数据中转器)发出的行情事件来管理Bar数据的结构。
:param engine:挂载运行的策略引擎
:param symbols:所订阅行情数据的品种列表
:param time_frame:所订阅行情数据的事件框架
:param id:不需要传入，由SignalFactory自动管理。
"""
Runnable.__init__(self)
APIInterface.__init__(self)
ConfigInterface.__init__(self, parent=parent)
self._id = id
self._user = user
self._strategy = strategy
self._name = name
self._event_update = Event.create_event_type('SignalUpdate.%s.%s.%s' % (self._user, self._strategy, self._name),
priority=1).get_id()
self._event_completed = Event.create_event_type(
'SignalCompleted.%s.%s.%s' % (self._user, self._strategy, self._name), priority=2).get_id()
self._update = SymbolBarUpdateEventsPacker(engine, symbols, time_frame, self._event_update)
self._completed = SymbolBarCompletedEventsPacker(engine, symbols, time_frame, self._event_completed)
self._parameters = OrderedDict()
self._symbols = symbols
self._time_frame = time_frame
self._engine = engine
self._handler = None
self._generator = None
self._gene_instance = None
self._bar_num = 0 # 暂时使用在LocalsInjector中改写的方式
self._environment = None
def __onTimer(self):
"""向事件队列中存入计时器事件"""
# 创建计时器事件
event = Event(type=EVENT_TIMER)
# 向队列中存入计时器事件
self.put(event)
def __init__(self,
engine,
user,
strategy,
name,
symbols,
time_frame,
id=None,
parent=None):
"""
信号对象，每一个信号即为策略代码中不以init为名的任意最外层函数，订阅某些品种的行情数据，运行于特定时间框架下。
通过两个EventPacker(事件打包器)接受StrategyEngine中的DataCache(数据中转器)发出的行情事件来管理Bar数据的结构。
:param engine:挂载运行的策略引擎
:param symbols:所订阅行情数据的品种列表
:param time_frame:所订阅行情数据的事件框架
:param id:不需要传入，由SignalFactory自动管理。
"""
Runnable.__init__(self)
APIInterface.__init__(self)
ConfigInterface.__init__(self, parent=parent)
self._id = id
self._user = user
self._strategy = strategy
self._name = name
self._event_update = Event.create_event_type(
'SignalUpdate.%s.%s.%s' % (self._user, self._strategy, self._name),
priority=1).get_id()
self._event_completed = Event.create_event_type(
'SignalCompleted.%s.%s.%s' %
(self._user, self._strategy, self._name),
priority=2).get_id()
self._update = SymbolBarUpdateEventsPacker(engine, symbols, time_frame,
self._event_update)
self._completed = SymbolBarCompletedEventsPacker(
engine, symbols, time_frame, self._event_completed)
self._parameters = OrderedDict()
self._symbols = symbols
self._time_frame = time_frame
self._engine = engine
self._handler = None
self._generator = None
self._gene_instance = None
self._bar_num = 0 # 暂时使用在LocalsInjector中改写的方式
self._environment = None
def update_bar(self, bar: Bar):
symbol = bar.symbol
time_frame = bar.time_frame
quotation = self._data_view.find(symbol, time_frame)
self.current_time = bar.close_time if not self.current_time else max(self.current_time, bar.close_time)
last_time = quotation.timestamp[0] if quotation.timestamp else 0
if self.config.trading_mode == TradingMode.on_tick:
quotation.tick_open = bar.open
if bar.timestamp - last_time >= tf2s(time_frame): # 当last_time = 0时，该条件显然成立
for field in ['open', 'high', 'low', 'close', 'datetime', 'timestamp', 'volume']:
getattr(quotation, field).appendleft(getattr(bar, field))
self._engine.put_event(Event(EVENT_SYMBOL_BAR_COMPLETED[symbol][time_frame]))
else:
quotation.high[0] = max(quotation.high[0], bar.high)
quotation.low[0] = min(quotation.low[0], bar.low)
quotation.volume[0] += bar.volume
for field in ["datetime", "timestamp", "close"]:
getattr(quotation, field)[0] = getattr(bar, field)
self._engine.put_event(Event(EVENT_SYMBOL_BAR_UPDATE[symbol][time_frame]))
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 init(self):
if self.__initialized:
return None
assert self._config is not None # 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 = DataGenerator(
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 __run(self):
"""引擎运行"""
self.logger.debug("事件引擎开始运行")
while self.__active:
try:
*_, event = self.__queue.get(block=True,
timeout=0.5) # 获取事件的阻塞时间设为0.5秒
self.__process(event)
except Empty:
self.put(Event(EVENT_EMPTY, message=None)) # 标志队列已空
time.sleep(0)
except Exception as e:
self.__exc_type, self.__exc_value, self.__exc_traceback = sys.exc_info(
)
self.logger.error("\n" + traceback.format_exc())
self.__active = False
self.stop()
for file in self.__file_opened:
if not file.closed:
file.flush()
file.close()
self.__file_opened.clear()
self.logger.debug("事件引擎停止运行")
def out(self):
if self.events_out:
self.engine.put_event(Event(type=self.events_out))
def target(*args, **kwargs):
result = func(*args, **kwargs)
event = Event(
EVENT_ASYNC,
{'func': partial(callback, *result[0], **result[1])})
engine.put(event)
def to_event(self):
event = Event(EVENT_SYMBOL_BAR_RAW[self.symbol][self.time_frame],
data=self)
return event
def to_event(cls, bar):
event = Event(EVENT_SYMBOL_BAR_RAW[bar.symbol][bar.time_frame],
data=bar)
return event
def to_event(self):
event = Event(EVENT_SYMBOL_TICK_RAW[self.symbol], data=self)
return event
def to_event(self):
event = Event(EVENT_BAR_SYMBOL[self.symbol][self.time_frame], {'data': self})
return event
def write_log(self, log):
"""写日志"""
self.__event_engine.put(Event(type=EVENT_LOG, log=log))