def setUp(self):
from dali.queue import sim_queue
eq = sim_queue.SimQueue()
from dali.price_handler import sim_bar_handler
barObj = sim_bar_handler.SimBarHandler(
'/Users/Hans/Desktop/Dali/data/zz500_15min',
eq,
start_date='2019-08-13',
end_date='2019-08-16',
look_back=10,
store_path='/Users/Hans/Desktop/Dali/account/test/',
fill_nan=True,
init_tickers=[
'000008', '000009', '000012', '000021', '000025', '000027',
'000028', '000031', '000039', '000050', '000060', '000061',
'000062', '000066', '000078', '000089', '000090', '000156',
'000158'
])
signal = Signal_test(eq, '/Users/Hans/Desktop/Dali/account/test/')
from dali import position_handler
self.posObj = position_handler.Position(
price_handler=barObj,
store_path='/Users/Hans/Desktop/Dali/account/test/')
from dali.portfolio_handler import equal_wgts_portfolio_handler
self.portfolioObj = equal_wgts_portfolio_handler.EqualWgtsPortfolioHandler(
eq, ['Signal_test'],
self.posObj,
1e7,
store_path='/Users/Hans/Desktop/Dali/account/test/')
from dali.execution_handler import sim_exec_handler
self.seObj = sim_exec_handler.SimExecHandler(
eq,
barObj,
self.posObj,
store_path='/Users/Hans/Desktop/Dali/account/test/')
eq.register('BAR', signal)
eq.register('SIGNAL', self.portfolioObj)
eq.register('ORDER', self.seObj)
eq.register('FILL', self.posObj)
while not barObj.is_iteration_end():
barObj.update_bar()
eq.run()
eq.unregister('BAR', signal)
eq.unregister('SIGNAL', self.portfolioObj)
eq.unregister('ORDER', self.seObj)
eq.unregister('FILL', self.posObj)
def setUp(self):
init_cash = 1e7
store_path = '/Users/Hans/Desktop/Dali/account/test/'
account_path = store_path
from dali.queue import sim_queue
eq = sim_queue.SimQueue()
from dali.price_handler import sim_bar_handler
barObj = sim_bar_handler.SimBarHandler(
'/Users/Hans/Desktop/Dali/data/zz500_15min',
eq,
start_date='2019-08-13 10:45:00',
end_date='2019-08-15',
look_back=10,
store_path='/Users/Hans/Desktop/Dali/account/test/',
fill_nan=True,
init_tickers=['000008', '000009']) #,'000012'])
# ,'000021','000025',
# '000027','000028','000031','000039','000050','000060',
# '000061','000062','000066','000078','000089','000090',
# '000156','000158'])
self.signal = Signal_test(eq, '/Users/Hans/Desktop/Dali/account/test/')
from dali.position_handler import stock_position_handler
posObj = stock_position_handler.PositionHandler(
price_handler=barObj,
init_cash=init_cash,
store_path='/Users/Hans/Desktop/Dali/account/test/')
from dali.portfolio_handler import equal_wgts_portfolio_handler
self.port = equal_wgts_portfolio_handler.EqualWgtsPortfolioHandler(
eq, ['Signal_test'],
store_path='/Users/Hans/Desktop/Dali/account/test/')
from dali.order_handler import order_handler
self.orderObj = order_handler.OrderHandler(
eq,
price_handler=barObj,
position_handler=posObj,
init_cash=init_cash,
store_path='/Users/Hans/Desktop/Dali/account/test/')
from dali.execution_handler import sim_exec_handler
self.seObj = sim_exec_handler.SimExecHandler(
eq,
barObj,
posObj,
store_path='/Users/Hans/Desktop/Dali/account/test/')
eq.register('BAR', self.signal)
eq.register('SIGNAL', self.port)
eq.register('PORTFOLIO', self.orderObj)
eq.register('ORDER', self.seObj)
eq.register('FILL', posObj)
while not barObj.is_iteration_end():
barObj.update_bar()
eq.run()
eq.unregister('BAR', self.signal)
eq.unregister('SIGNAL', self.port)
eq.register('PORTFOLIO', self.orderObj)
eq.unregister('ORDER', self.seObj)
eq.unregister('FILL', posObj)
from dali.statistics import books
b = books.Books(account_path=account_path)
b.run()
from dali.statistics import benchmark
b = benchmark.Benchmark(account_path=account_path)
b.run()
from dali.statistics import trades
t = trades.Trades(account_path=account_path)
t.run()
from dali.statistics import profiling
pro = profiling.Profiling(account_path=account_path,
benchmark='equal_wgts_benchmark')
pro.run()
def Dali_cal(config, expr_dict):
print('-'*30 + time.strftime('%H:%M') + ' V' + version.__version__ + '-'*30)
dali_dict = {}
dali_dict['_id'] = str(expr_dict['_id'])
dali_dict['expr'] = expr_dict['expr']
# 删文件夹========================================================================
store_path = os.path.join(config['output_dir'].replace('~', '/home/%s/' %getpass.getuser()), str(expr_dict['_id']))
if not os.path.exists(store_path):
os.mkdir(store_path)
#try:
# Queue========================================================================
from dali.queue import sim_queue
eq = sim_queue.SimQueue()
# Signals========================================================================
init_cash = config['init_cash']
look_back = config['lookback']
start_date = config['start_date']
end_date = config['end_date']
signal_name = str(expr_dict['_id'])
signal_list = [signal_name]
signal_obj = Signal(eq, store_path=store_path,
signal_name=signal_name,
expr=expr_dict['expr'],
lookback=look_back)
# BarHandler========================================================================
from dali.price_handler import sim_bar_handler
barObj = sim_bar_handler.SimBarHandler(config['data_path'].replace('~', '/home/%s/' %getpass.getuser()), eq,
start_date=start_date, end_date=end_date, look_back=look_back,
store_path=store_path,
fill_nan=True)
# PositionHandler========================================================================
from dali.position_handler import stock_position_handler
posObj = stock_position_handler.PositionHandler(price_handler=barObj, init_cash=init_cash,
store_path=store_path)
# Portf========================================================================
from dali.portfolio_handler import equal_wgts_portfolio_handler
port = equal_wgts_portfolio_handler.EqualWgtsPortfolioHandler(eq,
signal_list,
store_path=store_path)
# ========================================================================
from dali.order_handler import order_handler
orderObj = order_handler.OrderHandler(eq, price_handler=barObj,
position_handler=posObj,
init_cash=init_cash,
store_path=store_path)
# ========================================================================
from dali.execution_handler import sim_exec_handler
seObj = sim_exec_handler.SimExecHandler(eq, barObj, posObj, store_path=store_path)
# ========================================================================
eq.register('BAR', signal_obj)
eq.register('SIGNAL', port)
eq.register('PORTFOLIO', orderObj)
eq.register('ORDER', seObj)
eq.register('FILL', posObj)
# ========================================================================
while not barObj.is_iteration_end():
barObj.update_bar()
eq.run()
# ========================================================================
eq.unregister('BAR', signal_obj)
eq.unregister('SIGNAL', port)
eq.unregister('PORTFOLIO', orderObj)
eq.unregister('ORDER', seObj)
eq.unregister('FILL', posObj)
# ========================================================================
from dali.statistics import benchmark
b = benchmark.Benchmark(account_path=store_path)
b.run()
# ========================================================================
from dali.statistics import trades
b = trades.Trades(account_path=store_path)
b.run()
# ========================================================================
from dali.statistics import profiling
pro = profiling.Profiling(account_path=store_path, benchmark='equal_wgts_benchmark')
pro.run()
dali_dict.update(pro.profiles)
# except Exception as e:
# print('[kitkit_cal] raise Exception:%s' %e)
# dali_dict['dali_cal_error'] = str(e)
# with open(os.path.join(store_path, 'dali_profiles.yaml'), 'w') as f:
# yaml.dump(dali_dict, f, encoding='unicode', sort_keys=False)
return dali_dict