def _bc_loadInitBar(self, vtSymbol, initBars, minx):
"""反调函数，因引擎知道数据在哪，初始化Bar数据，"""
r = []
today = time.strftime('%Y%m%d', time.localtime())
# 直接读取signal对应minx相关的文件。
#fname = self.dss + 'fut/bar/' + minx + '_' + vtSymbol + '.csv'
fname = self.dss + 'fut/put/rec/' + minx + '_' + vtSymbol + '.csv'
#print(fname)
if os.path.exists(fname):
df = pd.read_csv(fname)
assert len(df) >= initBars
df = df.sort_values(by=['date', 'time'])
df = df.iloc[-initBars:]
#print(df)
for i, row in df.iterrows():
d = dict(row)
# print(d)
# print(type(d))
bar = VtBarData()
bar.__dict__ = d
r.append(bar)
return r
def control_in_p(self, bar):
try:
for k in self.spread_dict.keys():
s0 = self.spread_dict[k][0]
s1 = self.spread_dict[k][1]
if s0 not in self.got_dict or s1 not in self.got_dict:
continue
if self.got_dict[s0] and self.got_dict[
s1] and self.process_dict[k] == False:
self.process_dict[k] = True
s0 = self.signalDict[s0][0]
s1 = self.signalDict[s1][0]
bar_s = VtBarData()
bar_s.vtSymbol = k
bar_s.symbol = k
bar_s.exchange = s0.bar.exchange
bar_s.date = s0.bar.date
bar_s.time = s0.bar.time
bar_s.close = s0.bar.close - s1.bar.close
bar_s.AskPrice = s0.bar.AskPrice - s1.bar.BidPrice
bar_s.BidPrice = s0.bar.BidPrice - s1.bar.AskPrice
# print(bar_s.time, bar_s.vtSymbol, bar_s.close, bar_s.AskPrice, bar_s.BidPrice)
self.engine.lock.acquire()
self.engine.bar_list.append(bar_s)
self.engine.lock.release()
except Exception as e:
s = traceback.format_exc()
to_log(s)
def put_service(self):
print('in put_svervice')
while True:
time.sleep(1)
for id in self.vtSymbol_list:
try:
fname = self.dss + 'fut/put/' + self.minx + '_' + id + '.csv'
#print(fname)
df = pd.read_csv(fname)
d = dict(df.loc[0, :])
#print(d)
#print(type(d))
bar = VtBarData()
bar.__dict__ = d
bar.vtSymbol = id
bar.symbol = id
if id not in self.vtSymbol_dict:
self.vtSymbol_dict[id] = bar
elif self.vtSymbol_dict[id].time != bar.time:
self.vtSymbol_dict[id] = bar
#self.onBar(bar)
for p in self.portfolio_list:
p.onBar(bar)
except Exception as e:
print('error，读取文件错误')
print(e)
def _bc_loadInitBar(self, vtSymbol, initBars, minx):
"""读取startDt前n条Bar数据，用于初始化am"""
assert minx != 'min1'
r = []
# 直接读取signal对应minx相关的文件。
fname = self.dss + 'fut/bar/' + self.minx + '_' + vtSymbol + '.csv'
#print(fname)
df = pd.read_csv(fname)
df['datetime'] = df['date'] + ' ' + df['time']
df = df[df.datetime < self.startDt]
assert len(df) >= initBars
df = df.sort_values(by=['date', 'time'])
df = df.iloc[-initBars:]
#print(df)
for i, row in df.iterrows():
d = dict(row)
# print(d)
# print(type(d))
bar = VtBarData()
bar.__dict__ = d
r.append(bar)
return r
def _bc_loadInitBar(self, vtSymbol, initBars, minx):
"""反调函数，因引擎知道数据在哪，初始化Bar数据，"""
# assert minx != 'min1'
r = []
# 直接读取signal对应minx相关的文件。
fn = self.dss + 'fut/bar/' + minx + '_' + vtSymbol + '.csv'
if os.path.exists(fn):
df = pd.read_csv(fn)
df['datetime'] = df['date'] + ' ' + df['time']
df = df[df.datetime < self.startDt]
# print(vtSymbol, len(df), minx)
assert len(df) >= initBars
df = df.sort_values(by=['date','time'])
df = df.iloc[-initBars:]
# print(df)
for i, row in df.iterrows():
d = dict(row)
#print(d)
# print(type(d))
bar = VtBarData()
bar.__dict__ = d
#print(bar.__dict__)
r.append(bar)
return r
def onBar(self, bar, minx='min1'):
"""引擎新推送过来bar，传递给每个signal"""
# 不处理不相关的品种
if bar.vtSymbol not in self.vtSymbolList:
return
if minx != 'min15': # 本策略为min15
return
if self.result.date != bar.date + ' ' + bar.time:
previousResult = self.result
self.result = DailyResult(bar.date + ' ' + bar.time)
self.resultList.append(self.result)
if previousResult:
self.result.updateClose(previousResult.closeDict)
# 将bar推送给signal
for signal in self.signalDict[bar.vtSymbol]:
signal.onBar(bar, minx)
# print(bar.vtSymbol, bar.time)
"""
在此实现P层的业务控制逻辑
为每一个品种来检查是否触发下单条件
# 开始处理组合关心的bar , 尤其是品种对价差的加工和处理
"""
if self.got_dict[self.symbol_g] == True and self.got_dict[self.symbol_d] == True:
for signal in self.signalDict[self.dual_name]:
for s_g in self.signalDict[self.symbol_g]:
price_g = s_g.bar.close
for s_d in self.signalDict[self.symbol_d]:
price_d = s_d.bar.close
price_gap = price_g - price_d
bar_dual = VtBarData()
bar_dual.vtSymbol = self.dual_name
bar_dual.open = price_gap
bar_dual.high = price_gap
bar_dual.low = price_gap
bar_dual.close = price_gap
bar_dual.date = bar.date
bar_dual.time = bar.time
bar_dual.datetime = bar.date + ' ' + bar.time
# 将bar推送给signal
signal.onBar(bar_dual, minx)
self.result.updateBar(bar_dual)
# print(bar_dual.vtSymbol, bar_dual.datetime )
self.got_dict[self.symbol_g] = False
self.got_dict[self.symbol_d] = False
self.result.updateBar(bar)
self.result.updatePos(self.posDict)
def calcData_min5(self):
"""加载数据"""
bar_minX = VtBarData()
for dt, bar in self.min1barDict.items():
if str(bar.datetime)[-5:-3] in [
'00', '05', '10', '15', '20', '25', '30', '35', '40', '45',
'50', '55'
]:
if bar_minX.datetime is not None:
self.min5barDict[bar_minX.datetime] = bar_minX
bar_minX = VtBarData()
if bar_minX.datetime is None:
bar_minX.__dict__ = bar.__dict__
else:
if bar_minX.high < bar.high:
bar_minX.high = bar.high
if bar_minX.low > bar.low:
bar_minX.low = bar.low
bar_minX.close = bar.close
bar_minX.volume = bar.volume
if bar_minX.datetime is not None:
self.min5barDict[bar_minX.datetime] = bar_minX
self.barDict = self.min5barDict
def _Generate_Bar_MinOne(self, tick, UpdateDate):
"""生成、推送、保存Bar"""
new_bar = VtBarData()
new_bar.date = UpdateDate
new_bar.time = tick.UpdateTime
new_bar.vtSymbol = tick.Instrument
new_bar.open = tick.LastPrice
new_bar.high = tick.LastPrice
new_bar.low = tick.LastPrice
new_bar.close = tick.LastPrice
# 上一个bar存储在变量bar中，最新bar存储在变量new_bar中，
id = new_bar.vtSymbol
if id in self.bar_min1_dict:
bar = self.bar_min1_dict[id]
else:
bar = new_bar
self.bar_min1_dict[id] = bar
return
if bar.time[3:5] != new_bar.time[3:5]:
# 将 bar的分钟改为整点，推送并保存bar
bar.date = new_bar.date
bar.time = new_bar.time[:-2] + '00'
self.put_bar(bar, 'min1')
bar.open = new_bar.open
bar.high = new_bar.high
bar.low = new_bar.low
bar.close = new_bar.close
else:
# 分钟内，仅更新数据即可
if bar.high < new_bar.high:
bar.high = new_bar.high
if bar.low > new_bar.low:
bar.low = new_bar.low
bar.close = new_bar.close
bar.volume = tick.Volume
bar.OpenInterest = tick.OpenInterest
bar.AskPrice = tick.AskPrice
bar.BidPrice = tick.BidPrice
bar.AskVolume = tick.AskVolume
bar.BidVolume = tick.BidVolume
bar.AveragePrice = tick.AveragePrice
bar.UpperLimitPrice = tick.UpperLimitPrice
bar.LowerLimitPrice = tick.LowerLimitPrice
bar.PreOpenInterest = tick.PreOpenInterest
bar.PreSettlementPrice = tick.PreSettlementPrice
bar.PreClosePrice = tick.PreClosePrice
bar.OpenPrice = tick.OpenPrice
bar.PreDelta = tick.PreDelta
bar.CurrDelta = tick.CurrDelta
self.bar_min1_dict[id] = bar
def one2five(symbol):
filename = 'min1_' + symbol + '.csv'
df = pd.read_csv(filename)
# 生成min5
r5 = []
temp_bar = []
for i, row in df.iterrows():
dt = row.datetime
new_bar = VtBarData()
new_bar.date = dt[:10]
new_bar.time = dt[11:19]
new_bar.open = row.open
new_bar.high = row.high
new_bar.low = row.low
new_bar.close = row.close
Generate_Bar_Min5(new_bar, temp_bar, r5)
df_symbol = pd.DataFrame(
r5, columns=['date', 'time', 'open', 'high', 'low', 'close', 'volume'])
fname = 'min5_' + symbol + '.csv'
if os.path.exists(fname):
df_symbol.to_csv(fname, index=False, mode='a', header=False)
else:
df_symbol.to_csv(fname, index=False, mode='a')
def onBar(self, bar, minx='min1'):
"""引擎新推送过来bar，传递给每个signal"""
# 不处理不相关的品种
if bar.vtSymbol not in self.vtSymbolList:
return
if minx != 'min5': # 本策略为min5
return
if self.result.date != bar.date + ' ' + bar.time:
previousResult = self.result
self.result = DailyResult(bar.date + ' ' + bar.time)
self.resultList.append(self.result)
if previousResult:
self.result.updateClose(previousResult.closeDict)
# 将bar推送给signal
for signal in self.signalDict[bar.vtSymbol]:
signal.onBar(bar, minx)
# print(bar.vtSymbol, bar.time)
"""
在此实现P层的业务控制逻辑
为每一个品种来检查是否触发下单条件
# 开始处理组合关心的bar , 尤其是品种对价差的加工和处理
"""
if self.got_dict[self.symbol_a] == True and self.got_dict[
self.symbol_b] == True:
for signal in self.signalDict[self.dual_name]:
for s_a in self.signalDict[self.symbol_a]:
ask_price_a = float(s_a.bar.AskPrice) # 挂卖价
bid_price_a = float(s_a.bar.BidPrice) # 挂买价
for s_b in self.signalDict[self.symbol_b]:
ask_price_b = float(s_b.bar.AskPrice) # 挂卖价
bid_price_b = float(s_b.bar.BidPrice) # 挂买价
long_price = ask_price_a - bid_price_b
short_price = bid_price_a - ask_price_b
bar_dual = VtBarData()
bar_dual.vtSymbol = self.dual_name
bar_dual.high = short_price
bar_dual.low = long_price
bar_dual.date = bar.date
bar_dual.time = bar.time
bar_dual.datetime = bar.date + ' ' + bar.time
# 将bar推送给signal
signal.onBar(bar_dual, minx)
self.result.updateBar(bar_dual)
# print(bar_dual.vtSymbol, bar_dual.datetime )
self.got_dict[self.symbol_a] = False
self.got_dict[self.symbol_b] = False
self.result.updateBar(bar)
self.result.updatePos(self.posDict)
def bar_service(self):
print('in bar_svervice')
r, dt = is_trade_day()
if r == False:
return
address = ('localhost', SOCKET_BAR)
while True:
with Listener(address, authkey=b'secret password') as listener:
with listener.accept() as conn:
#print('connection accepted from', listener.last_accepted)
s = conn.recv()
d = eval(s)
bar = VtBarData()
bar.__dict__ = d
for p in self.portfolio_list:
p.onBar(bar)
def control_in_p(self, bar):
try:
for k in self.spread_dict.keys():
s0 = self.spread_dict[k][0]
s1 = self.spread_dict[k][1]
if s0 not in self.got_dict or s1 not in self.got_dict:
continue
if self.got_dict[s0] and self.got_dict[
s1] and self.process_dict[k] == False:
self.process_dict[k] = True
s0 = self.bar_dict[s0]
s1 = self.bar_dict[s1]
bar_s = VtBarData()
bar_s.vtSymbol = k
bar_s.symbol = k
bar_s.exchange = s0.exchange
bar_s.date = s0.date
bar_s.time = s0.time
bar_s.close = s0.close - s1.close
bar_s.AskPrice = s0.AskPrice - s1.BidPrice
bar_s.BidPrice = s0.BidPrice - s1.AskPrice
# print(bar_s.time, bar_s.vtSymbol, bar_s.close, bar_s.AskPrice, bar_s.BidPrice)
df = pd.DataFrame([bar_s.__dict__])
cols = [
'date', 'time', 'open', 'high', 'low', 'close',
'volume'
]
df = df[cols]
fname = get_dss() + 'fut/bar/min1_' + k + '.csv'
if os.path.exists(fname):
df.to_csv(fname, index=False, mode='a', header=False)
else:
df.to_csv(fname, index=False, mode='a')
return bar_s
except Exception as e:
s = traceback.format_exc()
to_log(s)
return None
def put_service(self):
print('in put_svervice')
vtSymbol_dict = {} # 缓存中间bar
g5 = BarGenerator('min5')
while True:
time.sleep(1)
for id in self.vtSymbol_list:
try:
fname = self.dss + 'fut/put/min1_' + id + '.csv'
#print(fname)
df = pd.read_csv(fname)
d = dict(df.loc[0,:])
#print(d)
#print(type(d))
bar = VtBarData()
bar.__dict__ = d
bar.vtSymbol = id
bar.symbol = id
if id not in vtSymbol_dict:
vtSymbol_dict[id] = bar
elif vtSymbol_dict[id].time != bar.time:
vtSymbol_dict[id] = bar
bar_min5 = g5.update_bar(bar)
if bar_min5 is not None:
g5.save_bar(bar_min5)
for p in self.portfolio_list:
p.onBar(bar_min5, 'min5')
for p in self.portfolio_list:
p.onBar(bar, 'min1')
except Exception as e:
# 对文件并发访问，存着读空文件的可能！！！
#print('-'*30)
#traceback.print_exc()
s = traceback.format_exc()
to_log(s)
def loadInitBar(self, vtSymbol, initBars):
"""读取Bar数据，"""
r = []
try:
today = time.strftime('%Y%m%d', time.localtime())
fname = self.dss + 'fut/bar/min1_' + today + '_' + vtSymbol + '.csv'
#print(fname)
df = pd.read_csv(fname)
df = df.sort_values(by=['date', 'time'])
df = df.iloc[-initBars:]
print(df)
for i, row in df.iterrows():
d = dict(row)
#print(d)
#print(type(d))
bar = VtBarData()
bar.__dict__ = d
r.append(bar)
except Exception as e:
print('error ')
print(e)
return r
def _Generate_Bar_MinOne(self, tick, UpdateDate):
"""生成、推送、保存Bar"""
new_bar = VtBarData()
new_bar.date = UpdateDate
new_bar.time = tick.UpdateTime
new_bar.vtSymbol = tick.Instrument
new_bar.open = tick.LastPrice
new_bar.high = tick.LastPrice
new_bar.low = tick.LastPrice
new_bar.close = tick.LastPrice
id = new_bar.vtSymbol
if id in self.bar_min1_dict:
bar = self.bar_min1_dict[id]
else:
bar = new_bar
self.bar_min1_dict[id] = bar
return
if bar.time[3:5] != new_bar.time[3:5]:
# 将 bar的分钟改为整点，推送并保存bar
bar.date = new_bar.date
bar.time = new_bar.time[:-2] + '00'
self.put_bar(bar, 'min1')
self._Generate_Bar_Min5(bar)
self._Generate_Bar_Min15(bar)
self.save_bar(bar, 'min1')
bar.open = new_bar.open
bar.high = new_bar.high
bar.low = new_bar.low
bar.close = new_bar.close
else:
# 更新数据
if bar.high < new_bar.high:
bar.high = new_bar.high
if bar.low > new_bar.low:
bar.low = new_bar.low
bar.close = new_bar.close
self.bar_min1_dict[id] = bar
def _Generate_Bar_MinOne(tick, temp_bar, r, today):
"""
从tick加工生成bar_min1
temp_bar：存储上一个bar
r：存储数据加工结果
today：tradeDay
"""
new_bar = VtBarData()
new_bar.date = today
new_bar.time = tick.UpdateTime
new_bar.open = tick.LastPrice
new_bar.high = tick.LastPrice
new_bar.low = tick.LastPrice
new_bar.close = tick.LastPrice
# 上一个bar存储在变量bar中，最新bar存储在变量new_bar中。
if temp_bar != []:
bar = temp_bar.pop()
else:
bar = new_bar
temp_bar.append(bar)
return
# if bar.time[3:5] != new_bar.time[3:5] :
if bar.time[:5] != new_bar.time[:5] :
# 将 bar的分钟改为整点，推送并保存bar
bar.date = new_bar.date
bar.time = new_bar.time[:-2] + '00'
r.append( [bar.date, bar.time, bar.open, bar.high, bar.low, bar.close, 0] )
bar.open = new_bar.open
bar.high = new_bar.high
bar.low = new_bar.low
bar.close = new_bar.close
else:
# 更新数据
if bar.high < new_bar.high:
bar.high = new_bar.high
if bar.low > new_bar.low:
bar.low = new_bar.low
bar.close = new_bar.close
temp_bar.append(bar)
def bar_listen_service(self):
print('bar_listen_svervice 线程开始工作')
server = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
server.bind(('localhost', SOCKET_BAR))
server.listen(5)
while True:
try:
conn, addr = server.accept()
b = conn.recv(10240)
s = str(b, encoding='utf-8')
# print( 'recive:', len(s) )
conn.close()
d = eval(s)
if d['vtSymbol'] in self.vtSymbol_list:
bar = VtBarData()
bar.__dict__ = d
bar.close = float(
'nan'
) if bar.close == sys.float_info.max else bar.close
bar.AskPrice = float(
'nan'
) if bar.AskPrice == sys.float_info.max else bar.AskPrice
# if bar.AskPrice != bar.AskPrice:
# print(bar.AskPrice)
bar.BidPrice = float(
'nan'
) if bar.BidPrice == sys.float_info.max else bar.BidPrice
# if np.isnan(bar.BidPrice):
# print(bar.BidPrice)
self.lock.acquire()
self.bar_list.append(bar)
self.lock.release()
else:
pass
except Exception as e:
print('error ')
r = traceback.format_exc()
to_log(r)
def one2x(pz, symbol, filename):
df = pd.read_csv(filename)
# 生成minx
g5 = BarGenerator('min5')
g15 = BarGenerator('min15')
g30 = BarGenerator('min30')
g_day = BarGenerator('day')
for i, row in df.iterrows():
new_bar = VtBarData()
new_bar.vtSymbol = symbol
new_bar.date = row.date
new_bar.time = row.time
new_bar.open = row.open
new_bar.high = row.high
new_bar.low = row.low
new_bar.close = row.close
g5.update_bar(new_bar)
g15.update_bar(new_bar)
g30.update_bar(new_bar)
g_day.update_bar(new_bar)
# 保存min5
r5 = g5.r_dict[symbol]
df_symbol = pd.DataFrame(
r5, columns=['date', 'time', 'open', 'high', 'low', 'close', 'volume'])
fname = get_dss() + 'backtest/fut/' + pz + '/min5_' + symbol + '.csv'
if os.path.exists(fname):
df_symbol.to_csv(fname, index=False, mode='a', header=False)
else:
df_symbol.to_csv(fname, index=False, mode='a')
# 保存min15
r15 = g15.r_dict[symbol]
df_symbol = pd.DataFrame(
r15,
columns=['date', 'time', 'open', 'high', 'low', 'close', 'volume'])
fname = get_dss() + 'backtest/fut/' + pz + '/min15_' + symbol + '.csv'
if os.path.exists(fname):
df_symbol.to_csv(fname, index=False, mode='a', header=False)
else:
df_symbol.to_csv(fname, index=False, mode='a')
# 保存min30
r30 = g30.r_dict[symbol]
df_symbol = pd.DataFrame(
r30,
columns=['date', 'time', 'open', 'high', 'low', 'close', 'volume'])
fname = get_dss() + 'backtest/fut/' + pz + '/min30_' + symbol + '.csv'
if os.path.exists(fname):
df_symbol.to_csv(fname, index=False, mode='a', header=False)
else:
df_symbol.to_csv(fname, index=False, mode='a')
# 保存day
r_day = g_day.r_dict[symbol]
df_symbol = pd.DataFrame(
r_day,
columns=['date', 'time', 'open', 'high', 'low', 'close', 'volume'])
fname = get_dss() + 'backtest/fut/' + pz + '/day_' + symbol + '.csv'
if os.path.exists(fname):
df_symbol.to_csv(fname, index=False, mode='a', header=False)
else:
df_symbol.to_csv(fname, index=False, mode='a')
def loadData(self):
"""加载数据"""
for vtSymbol in self.symbol_list:
#filename = get_dss( )+ 'fut/bar/min5_' + vtSymbol + '.csv'
#filename = get_dss( ) + 'fut/bar/' + self.minx + '_' + vtSymbol + '.csv'
#filename = get_dss( ) + 'backtest/bar/' + self.minx + '_' + vtSymbol + '.csv'
filename = get_dss(
) + 'backtest/fut/' + vtSymbol + '/' + self.minx + '_' + vtSymbol + '.csv'
df = pd.read_csv(filename)
for i, d in df.iterrows():
#print(d)
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
bar.volume = d['volume']
date = str(d['date'])
bar.date = date
bar.time = str(d['time'])
if '-' in date:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y-%m-%d %H:%M:%S')
else:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
#bar.time = '00:00:00'
#bar.datetime = bar.date + ' ' + bar.time
bar.datetime = datetime.strftime(bar.datetime,
'%Y%m%d %H:%M:%S')
barDict = self.dataDict.setdefault(bar.datetime, OrderedDict())
barDict[bar.vtSymbol] = bar
# break
print(vtSymbol + '全部数据加载完成，数据量：' + str(len(df)))
def loadData(self, vtSymbol):
"""加载数据"""
df = pd.read_csv(vtSymbol + '.csv')
for i, d in df.iterrows():
#print(d)
#set_trace()
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
date = str(d['date'])
if '-' in date:
date = date.split('-')
date = ''.join(date)
bar.date = date
bar.time = d['time']
#bar.time = '00:00:00'
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
bar.volume = d['volume']
barDict = self.dataDict.setdefault(bar.datetime, OrderedDict())
barDict[bar.vtSymbol] = bar
self.output(u'全部数据加载完成')
def _bc_loadInitBar(self, vtSymbol, initBars):
"""读取Bar数据，"""
r = []
#df = get_stk_hfq(self.dss, vtSymbol, begin_date=None, end_date='2019-07-18')
df = get_stk_hfq(self.dss, vtSymbol, begin_date=None, end_date=None)
if df is not None:
df = df.iloc[:initBars]
df = df.sort_values('date')
for i, row in df.iterrows():
d = dict(row)
#print(d)
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
date = d['date'].split('-') #去掉字符串中间的'-'
date = ''.join(date)
bar.date = date
bar.time = '00:00:00'
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
bar.volume = float(d['volume'])
r.append(bar)
return r
def _Generate_Bar(self, tick):
"""生成、推送、保存Bar"""
id = tick.Instrument
if id in self.bar_dict:
bar = self.bar_dict[id]
else:
bar = VtBarData()
today = time.strftime('%Y-%m-%d',time.localtime())
min = ''.join(tick.UpdateTime)
#print('before ',min)
min = min[:-2] + '00'
#print('after ',min)
if bar.time != min:
if len(bar.time) > 0:
df = pd.DataFrame([bar.__dict__])
cols = ['date','time','open','high','low','close','volume']
df = df[cols]
# send bar to port
self.send_bar(str(bar.__dict__))
#self.put_bar(df, id)
# save bar
# 出现了怪的问题，发布了多条重复的tick，但分种线的加工不应该出现此问题，多线程 ? ? ?
fname = self.dss + 'fut/bar/min1_' + self.tradeDay + '_' + id + '.csv'
if os.path.exists(fname):
df.to_csv(fname, index=False, mode='a', header=False)
else:
df.to_csv(fname, index=False, mode='a')
bar.date = today
bar.time = min
bar.vtSymbol = tick.Instrument
bar.open = tick.LastPrice
bar.high = tick.LastPrice
bar.low = tick.LastPrice
bar.close = tick.LastPrice
bar.volume = tick.Volume
else:
if bar.high < tick.LastPrice:
bar.high = tick.LastPrice
if bar.low > tick.LastPrice:
bar.low = tick.LastPrice
bar.close = tick.LastPrice
bar.volume = tick.Volume
self.bar_dict[id] = bar
def worker_1450(self):
"""盘中推送bar"""
to_log('in TradeEngine.worker_1450')
for p in self.portfolio_list:
for vtSymbol in p.vtSymbolList:
#print(vtSymbol)
df = None
i = 0
while df is None and i < 2:
try:
i += 1
df = ts.get_realtime_quotes(vtSymbol)
except Exception as e:
print('error get_realtime_quotes')
print(e)
time.sleep(0.1)
if df is None:
to_log('ignore ' + vtSymbol)
continue
adj_factor = None
df1 = None
i = 0
while df1 is None and i < 2:
try:
i += 1
df1 = get_adj_factor(self.dss, vtSymbol)
adj_factor = float(df1.at[0, 'adj_factor'])
except Exception as e:
print('error adj_factor ' + vtSymbol)
print(e)
time.sleep(0.1)
if df1 is None:
to_log('ignore ' + vtSymbol)
continue
hfq_factor = get_hfq_factor(self.dss, vtSymbol)
factor = hfq_factor
if adj_factor is not None:
if abs((adj_factor - hfq_factor) /
adj_factor) > 0.01: # 差异大，今天有除权
factor = adj_factor
d = df.loc[0, :]
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open']) * factor
bar.high = float(d['high']) * factor
bar.low = float(d['low']) * factor
bar.close = float(d['price']) * factor
bar.close_bfq = float(d['price'])
date = d['date'].split('-') #去掉字符串中间的'-'
date = ''.join(date)
bar.date = date
bar.time = '00:00:00'
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
bar.volume = float(d['volume'])
#to_log(vtSymbol+' '+d['price']+' * '+str(factor)+' = '+str(bar.close))
p.onBar(bar)
send_email(self.dss, 'worker_1450处理完毕', '')
def loadData(self):
"""加载数据"""
for vtSymbol in self.vtSymbol_list:
# print(vtSymbol)
test_list = ['IF2011', 'IO2011-C-4700', 'IO2011-P-4700']
# test_list = ['m2101', 'RM101', 'MA101', 'p2101']
if vtSymbol in test_list:
fn = get_dss( )+ 'fut/bar/min1_' + vtSymbol + '.csv'
if os.path.exists(fn):
df = pd.read_csv(fn)
for i, d in df.iterrows():
# print(i)
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
bar.volume = d['volume']
date = str(d['date'])
bar.date = date
bar.time = str(d['time'])
if '-' in date:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y-%m-%d %H:%M:%S')
else:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S')
bar.datetime = datetime.strftime(bar.datetime, '%Y-%m-%d %H:%M:%S')
# barDict = self.dataDict.setdefault(bar.datetime, OrderedDict())
# barDict[bar.vtSymbol] = bar
if bar.datetime in self.dataDict:
self.dataDict[bar.datetime][bar.vtSymbol] = bar
else:
self.dataDict[bar.datetime] = {}
self.dataDict[bar.datetime][bar.vtSymbol] = bar
def loadData(self, vtSymbol):
"""加载数据"""
df = pd.read_csv(self.dss + 'fut/bar/min5_' + vtSymbol + '.csv')
for i, d in df.iterrows():
#print(d)
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
bar.volume = d['volume']
date = str(d['date'])
bar.date = date
bar.time = str(d['time'])
if '-' in date:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y-%m-%d %H:%M:%S')
else:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
#bar.time = '00:00:00'
#bar.datetime = bar.date + ' ' + bar.time
bar.datetime = datetime.strftime(bar.datetime, '%Y%m%d %H:%M:%S')
self.barDict[bar.datetime] = bar
# print(bar.__dict__)
# break
self.output(u'全部数据加载完成')
def loadData(self):
"""加载数据"""
for vtSymbol in self.vtSymbol_list:
fname = vtSymbol + '.csv'
#print(fname)
df = pd.read_csv(fname,dtype='str')
df = df[df.date>datetime.strftime(self.startDt, '%Y%m%d')]
df = df[df.date<datetime.strftime(self.endDt, '%Y%m%d')]
df = df.sort_values(by=['date','time'])
#print(df)
for i, row in df.iterrows():
d = dict(row)
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
bar.volume = d['volume']
date = str(d['date'])
bar.date = date
bar.time = str(d['time'])
if '-' in date:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y-%m-%d %H:%M:%S')
else:
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S')
#bar.datetime = datetime.strftime(bar.datetime, '%Y%m%d %H:%M:%S')
barDict = self.dataDict.setdefault(bar.datetime, OrderedDict())
barDict[bar.vtSymbol] = bar
self.output(u'%s数据加载完成，总数据量：%s' %(vtSymbol, len(df)))
self.output(u'全部数据加载完成')
def loadData(self, dbName):
"""加载数据"""
for vtSymbol in self.vtSymbolList:
df = get_stk_hfq(dss, vtSymbol)
df = df.sort_values(['date'])
for i, d in df.iterrows():
#print(d)
#set_trace()
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
date = d['date'].split('-')
date = ''.join(date)
bar.date = date
bar.time = '00:00:00'
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
bar.volume = d['volume']
barDict = self.dataDict.setdefault(bar.datetime, OrderedDict())
barDict[bar.vtSymbol] = bar
self.output(u'全部数据加载完成')
fname = get_dss() + 'fut/bar/' + minx + '_' + vtSymbol + '.csv'
#print(fname)
df = pd.read_csv(fname)
df['datetime'] = df['date'] + ' ' + df['time']
df = df[df.datetime < startDt]
assert len(df) >= initBars
df = df.sort_values(by=['date', 'time'])
df = df.iloc[-initBars:]
print(df)
for i, row in df.iterrows():
d = dict(row)
#print(d)
# print(type(d))
bar = VtBarData()
bar.__dict__ = d
#print(bar.__dict__)
r.append(bar)
am = ArrayManager(initBars) # K线容器
for bar in r:
am.updateBar(bar)
#rsiValue = am.rsi(5, array=True)
#rsiArray50 = am.rsi(10, array=True)
#rsiMa = rsiValue[-30:].mean()
#atrValue = am.atr(30)
atrValue = am.atr(1, array=True)
atrMa = atrValue[-30:].mean()
def save_bar(r1, symbol):
# 保存min1
df_symbol = pd.DataFrame(r1, columns=['date','time','open','high','low','close','volume'])
fname = get_dss() + 'fut/bar/min1_' + symbol + '.csv'
if os.path.exists(fname):
df_symbol.to_csv(fname, index=False, mode='a', header=False)
else:
df_symbol.to_csv(fname, index=False, mode='a')
# 根据min1的结果集生成minx
g5 = BarGenerator('min5')
g15 = BarGenerator('min15')
g30 = BarGenerator('min30')
g_day = BarGenerator('day')
for row in r1:
new_bar = VtBarData()
new_bar.vtSymbol = symbol
new_bar.date = row[0]
new_bar.time = row[1]
new_bar.open = row[2]
new_bar.high = row[3]
new_bar.low = row[4]
new_bar.close = row[5]
g5.update_bar(new_bar)
g15.update_bar(new_bar)
g30.update_bar(new_bar)
g_day.update_bar(new_bar)
# 保存min5
r5 = g5.r_dict[symbol]
df_symbol = pd.DataFrame(r5, columns=['date','time','open','high','low','close','volume'])
fname = get_dss() + 'fut/bar/min5_' + symbol + '.csv'
if os.path.exists(fname):
df_symbol.to_csv(fname, index=False, mode='a', header=False)
else:
df_symbol.to_csv(fname, index=False, mode='a')
# 保存min15
r15 = g15.r_dict[symbol]
df_symbol = pd.DataFrame(r15, columns=['date','time','open','high','low','close','volume'])
fname = get_dss() + 'fut/bar/min15_' + symbol + '.csv'
if os.path.exists(fname):
df_symbol.to_csv(fname, index=False, mode='a', header=False)
else:
df_symbol.to_csv(fname, index=False, mode='a')
# 保存min30
r30 = g30.r_dict[symbol]
df_symbol = pd.DataFrame(r30, columns=['date','time','open','high','low','close','volume'])
fname = get_dss() + 'fut/bar/min30_' + symbol + '.csv'
if os.path.exists(fname):
df_symbol.to_csv(fname, index=False, mode='a', header=False)
else:
df_symbol.to_csv(fname, index=False, mode='a')
# 保存day
r_day = g_day.r_dict[symbol]
df_symbol = pd.DataFrame(r_day, columns=['date','time','open','high','low','close','volume'])
fname = get_dss() + 'fut/bar/day_' + symbol + '.csv'
if os.path.exists(fname):
df_symbol.to_csv(fname, index=False, mode='a', header=False)
else:
df_symbol.to_csv(fname, index=False, mode='a')
def loadData(self):
"""加载数据"""
for vtSymbol in self.symbol_list:
filename = get_dss() + 'fut/bar/min1_' + vtSymbol + '.csv'
df = pd.read_csv(filename)
for i, d in df.iterrows():
# print(d)
# print('here')
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open'])
bar.high = float(d['high'])
bar.low = float(d['low'])
bar.close = float(d['close'])
bar.volume = d['volume']
dt = d['datetime']
bar.date = dt[:4] + dt[5:7] + dt[8:10]
bar.time = dt[11:19]
bar.datetime = bar.date + ' ' + bar.time
# print(bar.datetime, bar.date, bar.time)
# return
# date = str(d['date'])
# bar.date = date
# bar.time = str(d['time'])
# if '-' in date:
# bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y-%m-%d %H:%M:%S')
# else:
# bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S')
#
# #bar.time = '00:00:00'
# #bar.datetime = bar.date + ' ' + bar.time
# bar.datetime = datetime.strftime(bar.datetime, '%Y%m%d %H:%M:%S')
barDict = self.dataDict.setdefault(bar.datetime, OrderedDict())
barDict[bar.vtSymbol] = bar
# break
self.output(u'全部数据加载完成')
