def save(self, instance_id):
if self._mode != MODE_BACKTEST:
raise RuntimeError("You only can save data in backtest mode")
# 入库前保证属性没有被篡改
validate(instance=self, schema=indices_input)
for name in self:
if isinstance(self[name], int):
sql_param = (PARAM_TYPE_INTEGER, str(self[name]), instance_id, name)
elif isinstance(self[name], float):
sql_param = (PARAM_TYPE_FLOAT, str(self[name]), instance_id, name)
else:
sql_param = (PARAM_TYPE_STRING, self[name], instance_id, name)
conn = Conn(self._db_name)
one = conn.query_one(
"SELECT * FROM {} WHERE instance_id = ? AND indices_name = ?".format(self._table_name),
(instance_id, name)
)
if one:
conn.execute(
"UPDATE {} SET indices_type = ?, indices_value = ?"
" WHERE instance_id = ? AND indices_name = ?".format(self._table_name),
sql_param,
)
else:
conn.insert(
"INSERT INTO {} (indices_type, indices_value, instance_id, indices_name)"
" VALUES (?, ?, ?, ?)".format(self._table_name),
sql_param,
)
def __insert_asset_item(self, timestamp, datetime):
position_total, asset_total = self.__calculate_total(timestamp)
position_freeze, asset_freeze = self.__calculate_freeze(timestamp)
position_sub, asset_sub = self.__calculate_sub(timestamp)
conn = Conn(self._db_name)
one = conn.query_one(
"""SELECT * FROM {} WHERE exchange = ? AND settle_mode = ? AND settle_currency = ?
AND timestamp = ? AND backtest_id = ?""".format(
self._asset_table_name),
(self._exchange, self._settle_mode, self._settle_currency,
timestamp, self._backtest_id))
if one:
conn.execute(
"""
UPDATE {} SET asset_total = ?, asset_sub = ?, asset_freeze = ?,
position_total = ?, position_sub = ?, position_freeze = ? WHERE id = ?
""".format(self._asset_table_name),
(
asset_total,
asset_sub,
asset_freeze,
position_total,
position_sub,
position_freeze,
one["id"],
),
)
else:
conn.insert(
"""
INSERT INTO {} (exchange, settle_mode, settle_currency, backtest_id,
asset_total, asset_sub, asset_freeze,
position_total, position_sub, position_freeze,
timestamp, datetime) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)
""".format(self._asset_table_name),
(
self._exchange,
self._settle_mode,
self._settle_currency,
self._backtest_id,
asset_total,
asset_sub,
asset_freeze,
position_total,
position_sub,
position_freeze,
timestamp,
datetime,
),
)
one = conn.query_one(
"""SELECT * FROM {} WHERE exchange = ? AND settle_mode = ? AND settle_currency = ?
AND timestamp > ? AND backtest_id = ? ORDER BY timestamp LIMIT 1"""
.format(self._asset_table_name),
(self._exchange, self._settle_mode, self._settle_currency,
timestamp, self._backtest_id))
if one:
self.__insert_asset_item(one["timestamp"], one["datetime"])
def __insert_account_flow_item(self, **kwargs):
"""
add record in account flow table
:param
subject: the item of account flow
amount: the amount of flow, the real amount * 100000000
position: the position of the flow
timestamp: the item of account flow
:return: None
"""
if self._mode != MODE_BACKTEST:
raise RuntimeError(
"Only backtest mode can insert data into table. ")
validate(instance=kwargs, schema=account_flow_input)
conn = Conn(self._db_name)
item = conn.query_one(
"""SELECT * FROM {} WHERE symbol = ? AND exchange = ? AND settle_mode = ? AND settle_currency = ?
AND subject = ? AND timestamp = ? AND backtest_id = ?""".format(
self._account_flow_table_name),
(
self._symbol,
self._exchange,
self._settle_mode,
self._settle_currency,
kwargs.get("subject"),
kwargs.get("timestamp"),
self._backtest_id,
),
)
conn.insert(
"""INSERT INTO {} (symbol, exchange, settle_mode, settle_currency, backtest_id,
subject, amount, position, timestamp, datetime) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?)
""".format(self._account_flow_table_name),
(
self._symbol,
self._exchange,
self._settle_mode,
self._settle_currency,
self._backtest_id,
kwargs.get("subject"),
kwargs.get("amount"),
kwargs.get("position"),
kwargs.get("timestamp") +
1 if item else kwargs.get("timestamp"),
kwargs.get("datetime"),
),
)
def _get_waiting_instance_id(self) -> int:
query_sql = """
SELECT id FROM {trade_type}_instance_backtest WHERE backtest_id = ? AND symbol = ? AND exchange = ?
AND strategy = ? AND status = ? AND wait_start_timestamp = ?
ORDER BY id DESC LIMIT 1
"""
insert_sql = """
INSERT INTO {trade_type}_instance_backtest
(backtest_id, symbol, exchange, strategy, status, wait_start_timestamp)
VALUES (?, ?, ?, ?, ?, ?)
"""
params = (
self["backtest_id"],
self["symbol"],
self["exchange"],
self["strategy"],
INSTANCE_STATUS_WAITING,
0,
)
if self["trade_type"] == TRADE_TYPE_FUTURE:
query_sql = """
SELECT id FROM {trade_type}_instance_backtest WHERE backtest_id = ? AND symbol = ? AND exchange = ?
AND contract_type = ? AND strategy = ? AND status = ? AND wait_start_timestamp = ?
ORDER BY id DESC LIMIT 1
"""
insert_sql = """
INSERT INTO {trade_type}_instance_backtest (backtest_id, symbol, exchange, contract_type, strategy, status,
wait_start_timestamp)
VALUES (?, ?, ?, ?, ?, ?, ?)
"""
params = (
self["backtest_id"],
self["symbol"],
self["exchange"],
self["contract_type"],
self["strategy"],
INSTANCE_STATUS_WAITING,
0,
)
conn = Conn(self["db_name"])
one = conn.query_one(
query_sql.format(trade_type=self["trade_type"]),
params,
)
if one:
return one["id"]
insert_id = conn.insert(
insert_sql.format(trade_type=self["trade_type"]),
params,
)
return insert_id
def save(self,
check: bool = False,
raw_order_data: str = None,
raw_market_data: str = None):
if check:
# 检验参数可用性
validate(instance=self, schema=future_order_init)
validate(instance=self, schema=future_order_save)
conn = Conn(self._db_name)
one = conn.query_one(
"SELECT id FROM {} WHERE instance_id = ? AND sequence = ?".format(
self._table_name),
(self["instance_id"], self["sequence"]),
)
if one:
conn.execute(
"UPDATE {} SET place_type = ?, `type` = ?, price = ?, amount = ?,"
" avg_price = ?, deal_amount = ?, status = ?, lever = ?, fee = ?,"
" symbol = ?, exchange = ?, contract_type = ?, unit_amount = ?, "
" place_timestamp = ?, place_datetime = ?, deal_timestamp = ?, deal_datetime = ?,"
" due_timestamp = ?, due_datetime = ?, swap_timestamp = ?, swap_datetime = ?,"
" cancel_timestamp = ?, cancel_datetime = ?, raw_order_data = ?, raw_market_data = ?"
" WHERE instance_id = ? AND sequence = ?".format(
self._table_name),
(
self["place_type"],
self["type"],
self["price"],
self["amount"],
self["avg_price"],
self["deal_amount"],
self["status"],
self["lever"],
self["fee"],
self["symbol"],
self["exchange"],
self["contract_type"],
self["unit_amount"],
self["place_timestamp"],
self["place_datetime"],
self["deal_timestamp"],
self["deal_datetime"],
self["due_timestamp"],
self["due_datetime"],
self["swap_timestamp"],
self["swap_datetime"],
self["cancel_timestamp"],
self["cancel_datetime"],
raw_order_data,
raw_market_data,
self["instance_id"],
self["sequence"],
),
)
else:
conn.insert(
"INSERT INTO {} (instance_id, sequence, place_type, `type`, price,"
" amount, avg_price, deal_amount, status, lever,"
" fee, symbol, exchange, contract_type, unit_amount,"
" place_timestamp, place_datetime, deal_timestamp, deal_datetime,"
" due_timestamp, due_datetime, swap_timestamp, swap_datetime,"
" cancel_timestamp, cancel_datetime, raw_order_data, raw_market_data) VALUES"
" (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)"
.format(self._table_name, ),
(
self["instance_id"],
self["sequence"],
self["place_type"],
self["type"],
self["price"],
self["amount"],
self["avg_price"],
self["deal_amount"],
self["status"],
self["lever"],
self["fee"],
self["symbol"],
self["exchange"],
self["contract_type"],
self["unit_amount"],
self["place_timestamp"],
self["place_datetime"],
self["deal_timestamp"],
self["deal_datetime"],
self["due_timestamp"],
self["due_datetime"],
self["swap_timestamp"],
self["swap_datetime"],
self["cancel_timestamp"],
self["cancel_datetime"],
raw_order_data,
raw_market_data,
),
)
self.__update_instance()
def save(self,
check: bool = False,
raw_order_data: str = None,
raw_market_data: str = None):
if check:
# 检验参数可用性
validate(instance=self, schema=order_input)
conn = Conn(self._db_name)
one = conn.query_one(
"SELECT id FROM {} WHERE instance_id = ? AND sequence = ?".format(
self._table_name),
(self["instance_id"], self["sequence"]),
)
if one:
conn.execute(
"UPDATE {} SET place_type = ?, `type` = ?, price = ?, amount = ?,"
" avg_price = ?, deal_amount = ?, status = ?, lever = ?, fee = ?,"
" symbol = ?, exchange = ?, unit_amount = ?, place_timestamp = ?, place_datetime = ?,"
" deal_timestamp = ?, deal_datetime = ?, swap_timestamp = ?, swap_datetime = ?,"
" cancel_timestamp = ?, cancel_datetime = ?, raw_order_data = ?, raw_market_data = ?"
" WHERE instance_id = ? AND sequence = ?".format(
self._table_name),
(
self["place_type"],
self["type"],
self["price"],
self["amount"],
self["avg_price"],
self["deal_amount"],
self["status"],
self["lever"],
self["fee"],
self["symbol"],
self["exchange"],
self["unit_amount"],
self["place_timestamp"],
self["place_datetime"],
self["deal_timestamp"],
self["deal_datetime"],
self["swap_timestamp"],
self["swap_datetime"],
self["cancel_timestamp"],
self["cancel_datetime"],
raw_order_data,
raw_market_data,
self["instance_id"],
self["sequence"],
),
)
else:
conn.insert(
"INSERT INTO {} (instance_id, sequence, place_type, `type`, price,"
" amount, avg_price, deal_amount, status, lever,"
" fee, symbol, exchange, unit_amount, place_timestamp, place_datetime, deal_timestamp, deal_datetime,"
" cancel_timestamp, cancel_datetime, raw_order_data, raw_market_data) VALUES"
" (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)"
.format(self._table_name, ),
(
self["instance_id"],
self["sequence"],
self["place_type"],
self["type"],
self["price"],
self["amount"],
self["avg_price"],
self["deal_amount"],
self["status"],
self["lever"],
self["fee"],
self["symbol"],
self["exchange"],
self["unit_amount"],
self["place_timestamp"],
self["place_datetime"],
self["deal_timestamp"],
self["deal_datetime"],
self["cancel_timestamp"],
self["cancel_datetime"],
raw_order_data,
raw_market_data,
),
)
orders = conn.query(
"SELECT * FROM {} WHERE instance_id = ? ORDER BY sequence".format(
self._table_name),
(self["instance_id"], ),
)
open_amount, open_fee = 0, 0.0
open_start_timestamp, open_finish_timestamp = 0, 0
open_start_datetime, open_finish_datetime = "", ""
open_type, open_place_type = ORDER_TYPE_OPEN_LONG, ""
liquidate_amount, liquidate_fee = 0, 0.0
liquidate_start_timestamp, liquidate_finish_timestamp = 0, 0
liquidate_start_datetime, liquidate_finish_datetime = "", ""
liquidate_type, liquidate_place_type = ORDER_TYPE_LIQUIDATE_LONG, ""
for order in orders:
place_timestamp = order["place_timestamp"]
place_datetime = moment.get(order["place_timestamp"]).to(
self.get("timezone")
or "Asia/Shanghai").format("YYYY-MM-DD HH:mm:ss")
if order["type"] in (ORDER_TYPE_OPEN_LONG, ORDER_TYPE_OPEN_SHORT):
open_amount += order["deal_amount"]
open_fee += order["fee"]
open_type = order["type"]
open_place_type = order["place_type"]
if order["sequence"] == 0:
open_start_timestamp = place_timestamp
open_start_datetime = place_datetime
open_finish_timestamp = place_timestamp
open_finish_datetime = place_datetime
if order["type"] in (ORDER_TYPE_LIQUIDATE_LONG,
ORDER_TYPE_LIQUIDATE_SHORT):
liquidate_amount += order["deal_amount"]
liquidate_fee += order["fee"]
liquidate_type = order["type"]
liquidate_place_type = order["place_type"]
if liquidate_start_timestamp == 0:
liquidate_start_timestamp = place_timestamp
liquidate_start_datetime = place_datetime
liquidate_finish_timestamp = place_timestamp
liquidate_finish_datetime = place_datetime
if open_amount != liquidate_amount:
return
conn.execute(
"UPDATE {trade_type}_instance_{mode} SET open_fee = ?, open_type = ?, open_place_type = ?,"
" open_start_timestamp = ?, open_start_datetime = ?, open_finish_timestamp = ?, open_finish_datetime = ?, "
" liquidate_fee = ?, liquidate_type = ?, liquidate_place_type = ?,"
" liquidate_start_timestamp = ?, liquidate_start_datetime = ?,"
" liquidate_finish_timestamp = ?, liquidate_finish_datetime = ? WHERE id = ?"
.format(
trade_type=self._trade_type,
mode=MODE_STRATEGY
if self._mode != MODE_BACKTEST else MODE_BACKTEST,
),
(
open_fee,
open_type,
open_place_type,
open_start_timestamp,
open_start_datetime,
open_finish_timestamp,
open_finish_datetime,
liquidate_fee,
liquidate_type,
liquidate_place_type,
liquidate_start_timestamp,
liquidate_start_datetime,
liquidate_finish_timestamp,
liquidate_finish_datetime,
self["instance_id"],
),
)