def init_fixture(self):
from rqalpha.data.bar_dict_price_board import BarDictPriceBoard
super(BarDictPriceBoardFixture, self).init_fixture()
self.price_board = BarDictPriceBoard()
self.env.set_price_board(self.price_board)
def __init__(self, bundle_path="~/.rqalpha/bundle"):
try:
import rqalpha
except ImportError:
print("-" * 50)
print("Run `pip install rqalpha` to install rqalpha first")
print("-" * 50)
raise
# # FIXME
# import warnings
# warnings.simplefilter(action="ignore", category=FutureWarning)
from rqalpha.data.base_data_source import BaseDataSource
from rqalpha.data.data_proxy import DataProxy
self.data_proxy = DataProxy(
BaseDataSource(os.path.expanduser(bundle_path), None),
BarDictPriceBoard())
def run(config, source_code=None, user_funcs=None):
env = Environment(config)
persist_helper = None
init_succeed = False
mod_handler = ModHandler()
try:
# avoid register handlers everytime
# when running in ipython
set_loggers(config)
init_rqdatac(getattr(config.base, 'rqdatac_uri', None))
system_log.debug("\n" + pformat(config.convert_to_dict()))
env.set_strategy_loader(
init_strategy_loader(env, source_code, user_funcs, config))
mod_handler.set_env(env)
mod_handler.start_up()
if not env.data_source:
env.set_data_source(
BaseDataSource(config.base.data_bundle_path,
getattr(config.base, "future_info", {})))
if env.price_board is None:
from rqalpha.data.bar_dict_price_board import BarDictPriceBoard
env.price_board = BarDictPriceBoard()
env.set_data_proxy(DataProxy(env.data_source, env.price_board))
_adjust_start_date(env.config, env.data_proxy)
ctx = ExecutionContext(const.EXECUTION_PHASE.GLOBAL)
ctx._push()
# FIXME
start_dt = datetime.datetime.combine(config.base.start_date,
datetime.datetime.min.time())
env.calendar_dt = start_dt
env.trading_dt = start_dt
assert env.broker is not None
assert env.event_source is not None
if env.portfolio is None:
from rqalpha.portfolio import Portfolio
env.set_portfolio(
Portfolio(config.base.accounts, config.base.init_positions))
env.event_bus.publish_event(Event(EVENT.POST_SYSTEM_INIT))
scope = create_base_scope()
scope.update({"g": env.global_vars})
scope.update(get_strategy_apis())
scope = env.strategy_loader.load(scope)
if config.extra.enable_profiler:
enable_profiler(env, scope)
ucontext = StrategyContext()
executor = Executor(env)
persist_helper = init_persist_helper(env, ucontext, executor, config)
user_strategy = Strategy(env.event_bus, scope, ucontext)
env.user_strategy = user_strategy
env.event_bus.publish_event(Event(EVENT.BEFORE_STRATEGY_RUN))
if persist_helper:
with LogCapture(user_log) as log_capture:
user_strategy.init()
else:
user_strategy.init()
if config.extra.context_vars:
for k, v in config.extra.context_vars.items():
if isinstance(v, RqAttrDict):
v = v.__dict__
setattr(ucontext, k, v)
if persist_helper:
env.event_bus.publish_event(Event(EVENT.BEFORE_SYSTEM_RESTORED))
restored_obj_state = persist_helper.restore(None)
check_key = ["global_vars", "user_context", "executor", "universe"]
kept_current_init_data = not any(
v for k, v in restored_obj_state.items() if k in check_key)
system_log.debug(
"restored_obj_state: {}".format(restored_obj_state))
system_log.debug(
"kept_current_init_data: {}".format(kept_current_init_data))
if kept_current_init_data:
# 未能恢复init相关数据 保留当前策略初始化变量(展示当前策略初始化日志)
log_capture.replay()
else:
user_system_log.info(_('system restored'))
env.event_bus.publish_event(Event(EVENT.POST_SYSTEM_RESTORED))
init_succeed = True
bar_dict = BarMap(env.data_proxy, config.base.frequency)
executor.run(bar_dict)
env.event_bus.publish_event(Event(EVENT.POST_STRATEGY_RUN))
if env.profile_deco:
output_profile_result(env)
release_print(scope)
except CustomException as e:
if init_succeed and persist_helper and env.config.base.persist_mode == const.PERSIST_MODE.ON_CRASH:
persist_helper.persist()
code = _exception_handler(e)
mod_handler.tear_down(code, e)
except Exception as e:
system_log.error(traceback.format_exc())
if init_succeed and persist_helper and env.config.base.persist_mode == const.PERSIST_MODE.ON_CRASH:
persist_helper.persist()
exc_type, exc_val, exc_tb = sys.exc_info()
user_exc = create_custom_exception(exc_type, exc_val, exc_tb,
config.base.strategy_file)
code = _exception_handler(user_exc)
mod_handler.tear_down(code, user_exc)
else:
if persist_helper and env.config.base.persist_mode == const.PERSIST_MODE.ON_NORMAL_EXIT:
persist_helper.persist()
result = mod_handler.tear_down(const.EXIT_CODE.EXIT_SUCCESS)
system_log.debug(_(u"strategy run successfully, normal exit"))
return result
def run(config, source_code=None, user_funcs=None):
env = Environment(config)
persist_helper = None
init_succeed = False
mod_handler = ModHandler()
try:
# avoid register handlers everytime
# when running in ipython
set_loggers(config)
basic_system_log.debug("\n" + pformat(config.convert_to_dict()))
env.set_strategy_loader(
init_strategy_loader(env, source_code, user_funcs, config))
env.set_global_vars(GlobalVars())
mod_handler.set_env(env)
mod_handler.start_up()
if not env.data_source:
env.set_data_source(
BaseDataSource(config.base.data_bundle_path,
getattr(config.base, "future_info", {})))
if env.price_board is None:
from rqalpha.data.bar_dict_price_board import BarDictPriceBoard
env.price_board = BarDictPriceBoard()
env.set_data_proxy(DataProxy(env.data_source, env.price_board))
Scheduler.set_trading_dates_(env.data_source.get_trading_calendar())
scheduler = Scheduler(config.base.frequency)
mod_scheduler._scheduler = scheduler
env._universe = StrategyUniverse()
_adjust_start_date(env.config, env.data_proxy)
# FIXME
start_dt = datetime.datetime.combine(config.base.start_date,
datetime.datetime.min.time())
env.calendar_dt = start_dt
env.trading_dt = start_dt
broker = env.broker
assert broker is not None
env.portfolio = broker.get_portfolio()
if env.benchmark_provider:
env.benchmark_portfolio = BenchmarkPortfolio(
env.benchmark_provider, env.portfolio.units)
event_source = env.event_source
assert event_source is not None
bar_dict = BarMap(env.data_proxy, config.base.frequency)
env.set_bar_dict(bar_dict)
ctx = ExecutionContext(const.EXECUTION_PHASE.GLOBAL)
ctx._push()
env.event_bus.publish_event(Event(EVENT.POST_SYSTEM_INIT))
scope = create_base_scope(config.base.run_type == RUN_TYPE.BACKTEST)
scope.update({"g": env.global_vars})
apis = api_helper.get_apis()
scope.update(apis)
scope = env.strategy_loader.load(scope)
if env.config.extra.enable_profiler:
enable_profiler(env, scope)
ucontext = StrategyContext()
scheduler.set_user_context(ucontext)
from .core.executor import Executor
executor = Executor(env)
persist_helper = init_persist_helper(env, scheduler, ucontext,
executor, config)
if persist_helper:
should_resume = persist_helper.should_resume()
should_run_init = persist_helper.should_run_init()
else:
should_resume = False
should_run_init = True
user_strategy = Strategy(env.event_bus, scope, ucontext,
should_run_init)
env.user_strategy = user_strategy
if (should_resume and not should_run_init) or not should_resume:
with run_with_user_log_disabled(disabled=should_resume):
user_strategy.init()
if config.extra.context_vars:
for k, v in six.iteritems(config.extra.context_vars):
if isinstance(v, RqAttrDict):
v = v.__dict__
setattr(ucontext, k, v)
if persist_helper:
env.event_bus.publish_event(Event(EVENT.BEFORE_SYSTEM_RESTORED))
env.event_bus.publish_event(Event(EVENT.DO_RESTORE))
env.event_bus.publish_event(Event(EVENT.POST_SYSTEM_RESTORED))
init_succeed = True
if should_resume and should_run_init:
user_strategy.init()
executor.run(bar_dict)
if env.profile_deco:
output_profile_result(env)
except CustomException as e:
if init_succeed and persist_helper and env.config.base.persist_mode == const.PERSIST_MODE.ON_CRASH:
persist_helper.persist()
code = _exception_handler(e)
mod_handler.tear_down(code, e)
except Exception as e:
if init_succeed and persist_helper and env.config.base.persist_mode == const.PERSIST_MODE.ON_CRASH:
persist_helper.persist()
exc_type, exc_val, exc_tb = sys.exc_info()
user_exc = create_custom_exception(exc_type, exc_val, exc_tb,
config.base.strategy_file)
code = _exception_handler(user_exc)
mod_handler.tear_down(code, user_exc)
else:
if persist_helper and env.config.base.persist_mode == const.PERSIST_MODE.ON_NORMAL_EXIT:
persist_helper.persist()
result = mod_handler.tear_down(const.EXIT_CODE.EXIT_SUCCESS)
system_log.debug(_(u"strategy run successfully, normal exit"))
return result
