def setup(ctx, session_id, cmd, instance):
ctx.journal_util_location = pyyjj.location(pyyjj.mode.LIVE,
pyyjj.category.SYSTEM, 'util',
'journal', ctx.locator)
if not session_id:
all_sessions = kfj.find_sessions(ctx)
all_sessions['begin_time'] = all_sessions['begin_time'].apply(
lambda t: kft.strftime(t, kft.SESSION_DATETIME_FORMAT))
all_sessions['end_time'] = all_sessions['end_time'].apply(
lambda t: kft.strftime(t, kft.SESSION_DATETIME_FORMAT))
all_sessions['duration'] = all_sessions['duration'].apply(
lambda t: kft.strftime(t - kft.DURATION_TZ_ADJUST, kft.
DURATION_FORMAT))
click.echo(cmd.get_help(ctx))
click.echo('please select sessions:')
click.echo(
tabulate(all_sessions.values,
headers=all_sessions.columns,
tablefmt='simple'))
sys.exit(-1)
else:
session = kfj.find_session(ctx, session_id)
instance.set_begin_time(session['begin_time'])
instance.set_end_time(session['end_time'])
# yarn dev -l trace backtest -g tushare -n 20190808 run -p ../examples/strategy/py/strategy_demo.py -i 1
def setup(ctx, session_id, cmd, instance):
#ctx.mode = 'live' # to get live data
ctx.journal_util_location = pyyjj.location(pyyjj.mode.LIVE,
pyyjj.category.SYSTEM, 'util',
'journal', ctx.locator)
if not session_id:
all_sessions = kfj.find_sessions(ctx)
all_sessions['begin_time'] = all_sessions['begin_time'].apply(
lambda t: kft.strftime(t, kft.SESSION_DATETIME_FORMAT))
all_sessions['end_time'] = all_sessions['end_time'].apply(
lambda t: kft.strftime(t, kft.SESSION_DATETIME_FORMAT))
all_sessions['duration'] = all_sessions['duration'].apply(
lambda t: kft.strftime(t - kft.DURATION_TZ_ADJUST, kft.
DURATION_FORMAT))
click.echo(cmd.get_help(ctx))
click.echo('please select sessions:')
click.echo(
tabulate(all_sessions.values,
headers=all_sessions.columns,
tablefmt='simple'))
sys.exit(-1)
else:
session = kfj.find_session(ctx, session_id)
instance.set_begin_time(session['begin_time'])
instance.set_end_time(session['end_time'])
instance.set_bt_source(ctx.group)
def trace(ctx, session_id, io_type, tablefmt, pager):
pass_ctx_from_parent(ctx)
trace_df = kfj.trace_journal(ctx, session_id, io_type)
trace_df['gen_time'] = trace_df['gen_time'].apply(
lambda t: kft.strftime(t))
trace_df['trigger_time'] = trace_df['trigger_time'].apply(
lambda t: kft.strftime(t))
table = tabulate(trace_df.values,
headers=trace_df.columns,
tablefmt=tablefmt)
if pager:
click.echo_via_pager(table)
else:
click.echo(table)
def on_quote(context, quote):
context.logger.info("position: {}".format(
context.ledger.get_position(quote.instrument_id, exchange)))
order_id = context.insert_order(quote.instrument_id, exchange, "15040900",
quote.ask_price[0], 200, PriceType.Limit,
Side.Buy, Offset.Open)
context.log.info(
"quote received: [time]{} [instrument_id]{} [last_price]{}".format(
kft.strftime(quote.data_time), quote.instrument_id,
quote.last_price))
def sessions(ctx, sortby, ascending, tablefmt, pager):
pass_ctx_from_parent(ctx)
all_sessions = kfj.find_sessions(ctx).sort_values(by=sortby,
ascending=ascending)
all_sessions['begin_time'] = all_sessions['begin_time'].apply(
lambda t: kft.strftime(t, kft.SESSION_DATETIME_FORMAT))
all_sessions['end_time'] = all_sessions['end_time'].apply(
lambda t: kft.strftime(t, kft.SESSION_DATETIME_FORMAT))
all_sessions['duration'] = all_sessions['duration'].apply(
lambda t: kft.strftime(t - kft.DURATION_TZ_ADJUST, kft.DURATION_FORMAT
))
table = tabulate(all_sessions.values,
headers=all_sessions.columns,
tablefmt=tablefmt)
if pager:
click.echo_via_pager(table)
else:
click.echo(table)
def on_quote(context, quote):
#context.log.info("{} {}".format(quote.data_time, quote.last_price))
order_id = context.insert_limit_order("601988", exchange, "15040900", 75,
200, Side.Buy, Offset.Open)
context.log.info(
"quote received: [time]{} [instrument_id]{} [last_price]{}".format(
kft.strftime(quote.data_time), quote.instrument_id,
quote.last_price))
# context.insert_market_order("000001.SZ", "", "15040900", 20, Side.Buy, Offset.Open)
pass
def setup(ctx, session_id, cmd, instance):
ctx.mode = 'live' # to get live data
if not session_id:
all_sessions = kfj.find_sessions(ctx)
all_sessions['begin_time'] = all_sessions['begin_time'].apply(
lambda t: kft.strftime(t, kft.SESSION_DATETIME_FORMAT))
all_sessions['end_time'] = all_sessions['end_time'].apply(
lambda t: kft.strftime(t, kft.SESSION_DATETIME_FORMAT))
all_sessions['duration'] = all_sessions['duration'].apply(
lambda t: kft.strftime(t - kft.DURATION_TZ_ADJUST, kft.
DURATION_FORMAT))
click.echo(cmd.get_help(ctx))
click.echo('please select sessions:')
click.echo(
tabulate(all_sessions.values,
headers=all_sessions.columns,
tablefmt='simple'))
sys.exit(-1)
else:
session = kfj.find_session(ctx, session_id)
instance.set_begin_time(session['begin_time'])
instance.set_end_time(session['end_time'])
def on_quote(context, quote):
context.logger.info("exexute[on_quote]position: {}".format(
context.book.get_position(quote.instrument_id, exchange)))
if (quote.instrument_id == "600000"
or quote.instrument_id == "601988") and context.count > 0:
order_id = context.insert_order(quote.instrument_id, exchange, account,
quote.ask_price[0], 600,
PriceType.Limit, Side.Buy, Offset.Open)
context.count = context.count - 1
context.log.info(
"quote received: [time]{} [instrument_id]{} [last_price]{}".format(
kft.strftime(quote.data_time), quote.instrument_id,
quote.last_price))
def read_data_from_journal(self):
frame_count = 0
reader = self.reader
while reader.data_available():
frame = reader.current_frame()
frame_count = frame_count + 1
print('*' * 10 + ' frame-' + str(frame_count) + ' ' + '*' * 10)
print(frame.msg_type)
if frame.msg_type == MsgType.Quote:
quote = pywingchun.utils.get_quote(frame)
print(quote)
print("gen_time: {}".format(kft.strftime(frame.gen_time)))
print("gen_time: {}".format(frame.gen_time))
reader.next()
self.logger.info("read journal success!")
def on_app_location(self, trigger_time, location):
self.ctx.logger.info("{} {} [{:08x}]".format(kft.strftime(trigger_time), location.uname, location.uid))
if location.category == pyyjj.category.TD:
tags = kwb.book.AccountBookTags.make_from_location(location)
self.ctx.logger.info("mark orders status unknown for {}[{:08x}] with tags: {}".format(location.uname, location.uid, tags))
orders = self.ctx.db.mark_orders_status_unknown(tags.source_id, tags.account_id)
for order in orders:
self.publish(json.dumps({"msg_type": msg.Order, "data": order}, cls = wc_utils.WCEncoder))
book = self._get_book(location)
book.subject.subscribe(self.on_book_event)
self.book_context.add_book(location, book)
elif location.category == pyyjj.category.STRATEGY:
book = self._get_book(location)
book.subject.subscribe(self.on_book_event)
self.book_context.add_book(location, book)
self.ctx.db.add_location(location)
def on_trade(context, trade):
context.log.info(
'trade received: {} [trade_id]{} [volume]{} [price]{}'.format(
kft.strftime(trade.trade_time), trade.order_id, trade.volume,
trade.price))
def reader(ctx, session_id, io_type, from_beginning, max_messages, msg,
continuous, output):
pass_ctx_from_parent(ctx)
session = kfj.find_session(ctx, session_id)
uname = '{}/{}/{}/{}'.format(session['category'], session['group'],
session['name'], session['mode'])
uid = pyyjj.hash_str_32(uname)
ctx.category = '*'
ctx.group = '*'
ctx.name = '*'
ctx.mode = '*'
locations = kfj.collect_journal_locations(ctx)
location = locations[uid]
home = kfj.make_location_from_dict(ctx, location)
io_device = pyyjj.io_device(home)
reader = io_device.open_reader_to_subscribe()
if io_type == 'out' or io_type == 'all':
for dest in location['readers']:
dest_id = int(dest, 16)
reader.join(home, dest_id, session['begin_time'])
if (io_type == 'in' or io_type == 'all'
) and not (home.category == pyyjj.category.SYSTEM
and home.group == 'master' and home.name == 'master'):
master_home_uid = pyyjj.hash_str_32('system/master/master/live')
master_home_location = kfj.make_location_from_dict(
ctx, locations[master_home_uid])
reader.join(master_home_location, 0, session['begin_time'])
master_cmd_uid = pyyjj.hash_str_32('system/master/{:08x}/live'.format(
location['uid']))
master_cmd_location = kfj.make_location_from_dict(
ctx, locations[master_cmd_uid])
reader.join(master_cmd_location, location['uid'],
session['begin_time'])
start_time = pyyjj.now_in_nano(
) if not from_beginning else session["begin_time"]
msg_count = 0
if output:
if msg == "all":
raise ValueError(
"invalid msg {}, please choose from ('quote', 'order', 'trade')"
.format(msg))
msg_type = wc_utils.get_msg_type(msg)
fieldnames = wc_utils.get_csv_header(msg_type)
csv_writer = csv.DictWriter(
open(output, "w"), fieldnames=wc_utils.get_csv_header(msg_type))
csv_writer.writeheader()
pp = pprint.PrettyPrinter(indent=4)
while True:
if reader.data_available() and msg_count < max_messages:
frame = reader.current_frame()
if frame.dest == home.uid and (
frame.msg_type == yjj_msg.RequestReadFrom
or frame.msg_type == yjj_msg.RequestReadFromPublic):
request = pyyjj.get_RequestReadFrom(frame)
source_location = kfj.make_location_from_dict(
ctx, locations[request.source_id])
reader.join(
source_location, location['uid'] if frame.msg_type
== yjj_msg.RequestReadFrom else 0, request.from_time)
if frame.dest == home.uid and frame.msg_type == yjj_msg.Deregister:
loc = json.loads(frame.data_as_string())
reader.disjoin(loc['uid'])
if frame.msg_type == yjj_msg.SessionEnd:
ctx.logger.info("session reach end at %s",
kft.strftime(frame.gen_time))
break
elif frame.gen_time >= start_time and (
msg == "all"
or wc_utils.get_msg_type(msg) == frame.msg_type):
dict_row = wc_utils.flatten_json(
wc_utils.object_as_dict(frame.data))
if output:
csv_writer.writerow(dict_row)
else:
pp.pprint(dict_row)
msg_count += 1
reader.next()
elif msg_count >= max_messages:
ctx.logger.info("reach max messages {}".format(max_messages))
break
elif not reader.data_available():
if not continuous:
ctx.logger.info("no data is available")
break
else:
time.sleep(0.1)
def reader(ctx, session_id, io_type, from_beginning, max_messages, msg,
continuous, output, script):
pass_ctx_from_parent(ctx)
session = kfj.find_session(ctx, session_id)
uname = '{}/{}/{}/{}'.format(session['category'], session['group'],
session['name'], session['mode'])
uid = pyyjj.hash_str_32(uname)
ctx.category = '*'
ctx.group = '*'
ctx.name = '*'
ctx.mode = '*'
locations = kfj.collect_journal_locations(ctx)
location = locations[uid]
home = kfj.make_location_from_dict(ctx, location)
io_device = pyyjj.io_device(home)
reader = io_device.open_reader_to_subscribe()
if io_type == 'out' or io_type == 'all':
for dest in location['readers']:
dest_id = int(dest, 16)
reader.join(home, dest_id, session['begin_time'])
if (io_type == 'in' or io_type == 'all'
) and not (home.category == pyyjj.category.SYSTEM
and home.group == 'master' and home.name == 'master'):
master_home_uid = pyyjj.hash_str_32('system/master/master/live')
master_home_location = kfj.make_location_from_dict(
ctx, locations[master_home_uid])
reader.join(master_home_location, 0, session['begin_time'])
master_cmd_uid = pyyjj.hash_str_32('system/master/{:08x}/live'.format(
location['uid']))
master_cmd_location = kfj.make_location_from_dict(
ctx, locations[master_cmd_uid])
reader.join(master_cmd_location, location['uid'],
session['begin_time'])
start_time = pyyjj.now_in_nano(
) if not from_beginning else session["begin_time"]
msg_count = 0
msg_type_to_read = None if msg == "all" else kungfu.msg.Registry.meta_from_name(
msg)["id"]
if output:
if msg not in kungfu.msg.Registry.type_names():
raise ValueError("invalid msg {}, please choose from {}".format(
kungfu.msg.Registry.type_names()))
csv_writer = None
def handle(frame):
data_as_dict = frame["data"]
dict_row = kungfu.msg.utils.flatten_json(data_as_dict)
nonlocal csv_writer
if not csv_writer:
csv_writer = csv.DictWriter(open(output, "w"),
fieldnames=dict_row.keys())
csv_writer.writeheader()
csv_writer.writerow(dict_row)
frame_handler = handle
elif script:
dir = os.path.dirname(script)
name_no_ext = os.path.split(os.path.basename(script))
sys.path.append(os.path.relpath(dir))
impl = importlib.import_module(os.path.splitext(name_no_ext[1])[0])
frame_handler = getattr(impl, 'on_frame', lambda frame: None)
else:
pp = pprint.PrettyPrinter(indent=4)
frame_handler = pp.pprint
while True:
if reader.data_available() and msg_count < max_messages:
frame = reader.current_frame()
if frame.dest == home.uid and (
frame.msg_type == yjj_msg.RequestReadFrom
or frame.msg_type == yjj_msg.RequestReadFromPublic):
request = pyyjj.get_RequestReadFrom(frame)
source_location = kfj.make_location_from_dict(
ctx, locations[request.source_id])
reader.join(
source_location, location['uid'] if frame.msg_type
== yjj_msg.RequestReadFrom else 0, request.from_time)
if frame.dest == home.uid and frame.msg_type == yjj_msg.Deregister:
loc = json.loads(frame.data_as_string())
reader.disjoin(loc['uid'])
if frame.msg_type == yjj_msg.SessionEnd:
ctx.logger.info("session reach end at %s",
kft.strftime(frame.gen_time))
break
elif frame.gen_time >= start_time and (
msg == "all" or msg_type_to_read == frame.msg_type):
try:
frame_handler(frame.as_dict())
except Exception as e:
exc_type, exc_obj, exc_tb = sys.exc_info()
ctx.logger.error(
'error [%s] %s', exc_type,
traceback.format_exception(exc_type, exc_obj, exc_tb))
msg_count += 1
reader.next()
elif msg_count >= max_messages:
ctx.logger.info("reach max messages {}".format(max_messages))
break
elif not reader.data_available():
if not continuous:
ctx.logger.info("no data is available")
break
else:
time.sleep(0.1)
