def quotation_server(redis_url):
"""
[sys_stock_realtime] quotation service, download market data into redis
Multiple RQAlpha instance can use single market data service.
"""
import redis
import time
import json
from .utils import get_realtime_quotes
redis_client = redis.from_url(redis_url)
from rqalpha.data.data_proxy import DataProxy
config = parse_config({}, verify_config=False)
data_source = BaseDataSource(config.base.data_bundle_path)
data_proxy = DataProxy(data_source)
order_book_id_list = sorted(ins.order_book_id for ins in data_proxy.all_instruments("CS"))
def record_market_data(total_df):
for order_book_id, item in total_df.iterrows():
redis_client[order_book_id] = json.dumps(item.to_dict())
while True:
try:
total_df = get_realtime_quotes(order_book_id_list, include_limit=True)
except Exception as e:
system_log.exception("get_realtime_quotes fail. {}", e)
continue
system_log.info("Fetching snapshots, size {}", len(total_df))
record_market_data(total_df)
time.sleep(1)
def init_fixture(self):
from rqalpha.data.data_proxy import DataProxy
super(DataProxyFixture, self).init_fixture()
if not self.data_source:
self.data_source = self.base_data_source
self.data_proxy = DataProxy(self.data_source, self.price_board)
self.env.set_data_proxy(self.data_proxy)
try:
self.env.config.base.trading_calendar = self.data_proxy.get_trading_dates(
self.env.config.base.start_date, self.env.config.base.end_date)
except AttributeError:
pass
def quotation_server(redis_url):
"""
[stock_realtime] quotation service, download market data into redis
Multiple RQAlpha instance can use single market data service.
"""
import redis
import time
import json
from .utils import get_realtime_quotes
redis_client = redis.from_url(redis_url)
from rqalpha.environment import Environment
from rqalpha.data.data_proxy import DataProxy
# 通过 parse_config 函数 获取 默认 data_bundle 的配置
# 由于 parse_config 会进行配置检查，如果没有设置 account 会提示报错，因此随意设置一个股票初始资金，来保证正确获取默认参数配置
config = parse_config({
'base': {
'accounts': {
'stock': 10000
}
}
})
Environment(config)
data_source = BaseDataSource(config.base.data_bundle_path)
data_proxy = DataProxy(data_source)
order_book_id_list = sorted(ins.order_book_id for ins in data_proxy.all_instruments("CS"))
def record_market_data(total_df):
for order_book_id, item in total_df.iterrows():
redis_client[order_book_id] = json.dumps(item.to_dict())
retry_cnt = 0
while True:
try:
total_df = get_realtime_quotes(order_book_id_list, include_limit=True)
except (OSError, IOError) as e:
system_log.exception("get_realtime_quotes socket error. retry {} {}", retry_cnt, e)
time.sleep(retry_cnt * 2)
retry_cnt += 1
continue
system_log.info("Fetching snapshots, size {}", len(total_df))
record_market_data(total_df)
time.sleep(1)
retry_cnt = 0
class DataProxyFixture(BaseDataSourceFixture, BarDictPriceBoardFixture):
def __init__(self, *args, **kwargs):
super(DataProxyFixture, self).__init__(*args, **kwargs)
self.data_proxy = None
self.data_source = None
def init_fixture(self):
from rqalpha.data.data_proxy import DataProxy
super(DataProxyFixture, self).init_fixture()
if not self.data_source:
self.data_source = self.base_data_source
self.data_proxy = DataProxy(self.data_source, self.price_board)
self.env.set_data_proxy(self.data_proxy)
try:
self.env.config.base.trading_calendar = self.data_proxy.get_trading_dates(
self.env.config.base.start_date, self.env.config.base.end_date)
except AttributeError:
pass
@contextmanager
def mock_data_proxy_method(self, name, mock_method):
origin_method = getattr(self.env.data_proxy, name)
setattr(self.env.data_proxy, name, mock_method)
yield
setattr(self.env.data_proxy, name, origin_method)
class DataProxyFixture(BaseDataSourceFixture, BarDictPriceBoardFixture):
def __init__(self, *args, **kwargs):
super(DataProxyFixture, self).__init__(*args, **kwargs)
self.data_proxy = None
self.data_source = None
def init_fixture(self):
from rqalpha.data.data_proxy import DataProxy
super(DataProxyFixture, self).init_fixture()
if not self.data_source:
self.data_source = self.base_data_source
self.data_proxy = DataProxy(self.data_source, self.price_board)
self.env.set_data_proxy(self.data_proxy)
try:
self.env.config.base.trading_calendar = self.data_proxy.get_trading_dates(
self.env.config.base.start_date, self.env.config.base.end_date
)
except AttributeError:
pass
@contextmanager
def mock_data_proxy_method(self, name, mock_method):
origin_method = getattr(self.env.data_proxy, name)
setattr(self.env.data_proxy, name, mock_method)
yield
setattr(self.env.data_proxy, name, origin_method)
def init_fixture(self):
from rqalpha.data.data_proxy import DataProxy
super(DataProxyFixture, self).init_fixture()
if not self.data_source:
self.data_source = self.base_data_source
self.env.set_data_proxy(DataProxy(self.data_source))
def start_up(self, env, mod_config):
if mod_config.data_source == 'tushare_pro':
apis = [ts.pro_api(token) for token in mod_config.tushare_tokens]
env.set_data_source(TushareProDataSource(env, apis))
if mod_config.broker == 'thsauto':
env.set_broker(ThsBroker(env, mod_config))
env.set_price_board(McTraderPriceBoard(env))
env.set_data_proxy(DataProxy(env.data_source, env.price_board))
env.set_event_source(McTraderEventSource(env, mod_config))
env.set_persist_provider(McPersistProvider(env, mod_config))
if mod_config.log_file:
user_log.handlers = []
user_system_log.handlers = []
user_handler = FileHandler(mod_config.log_file, bubble=True)
if not env.config.extra.user_log_disabled:
user_log.handlers.append(user_handler)
if not env.config.extra.user_system_log_disabled:
user_system_log.handlers.append(user_handler)
system_log.handlers = [
FileHandler(mod_config.log_file, mode='a', bubble=True)
]
basic_system_log.handlers = [
FileHandler(mod_config.log_file, bubble=True)
]
system_log.info('\n{}'.format(mod_config))
def start_up(self, env, mod_config):
print(mod_config)
if mod_config.data_source == 'tushare_pro':
apis = [ts.pro_api(token) for token in mod_config.tushare_tokens]
env.set_data_source(TushareProDataSource(env, apis))
env.set_price_board(McTraderPriceBoard())
env.set_data_proxy(DataProxy(env.data_source, env.price_board))
env.set_event_source(McTraderEventSource(env, mod_config))
env.set_broker(AgentBroker(env, mod_config))
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)))
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
from rqalpha.core.bar_dict_price_board import BarDictPriceBoard
from rqalpha.environment import Environment
environment = Environment(None)
self.data_proxy = DataProxy(BaseDataSource(os.path.expanduser(bundle_path)), BarDictPriceBoard())
def init_fixture(self):
from rqalpha.data.data_proxy import DataProxy
super(DataProxyFixture, self).init_fixture()
if not self.data_source:
self.data_source = self.base_data_source
self.data_proxy = DataProxy(self.data_source, self.price_board)
self.env.set_data_proxy(self.data_proxy)
try:
self.env.config.base.trading_calendar = self.data_proxy.get_trading_dates(
self.env.config.base.start_date, self.env.config.base.end_date
)
except AttributeError:
pass
def quotation_server(redis_url):
"""
[sys_stock_realtime] quotation service, download market data into redis
Multiple RQAlpha instance can use single market data service.
"""
import redis
import time
import json
from .utils import get_realtime_quotes
redis_client = redis.from_url(redis_url)
from rqalpha.data.data_proxy import DataProxy
config = parse_config({}, verify_config=False)
data_source = BaseDataSource(config.base.data_bundle_path)
data_proxy = DataProxy(data_source)
order_book_id_list = sorted(ins.order_book_id
for ins in data_proxy.all_instruments("CS"))
def record_market_data(total_df):
for order_book_id, item in total_df.iterrows():
redis_client[order_book_id] = json.dumps(item.to_dict())
while True:
try:
total_df = get_realtime_quotes(order_book_id_list,
include_limit=True)
except Exception as e:
system_log.exception("get_realtime_quotes fail. {}", e)
continue
system_log.info("Fetching snapshots, size {}", len(total_df))
record_market_data(total_df)
time.sleep(1)
class RQData:
def __init__(self, end_date, bar_count=20):
data_source = BaseDataSource('/home/daiab/.rqalpha/bundle')
self._data_proxy = DataProxy(data_source)
self.fields = ["open", "close", "high", "low", "volume"]
self.end_date = end_date
self.bar_count = bar_count
def get_data(self, code):
data = self._data_proxy.history_bars(code,
bar_count=self.bar_count,
frequency='1d',
field=self.fields,
dt=self.end_date)
return np.array(data.tolist())
def run(config, source_code=None, user_funcs=None):
env = Environment(config)
persist_helper = None
init_succeed = False
mod_handler = ModHandler() #初始化模块处理器，包含list和dict，存储模块名和配置信息
try:
# avoid register handlers everytime
# when running in ipython
set_loggers(config)
basic_system_log.debug("\n" + pformat(config.convert_to_dict()))
if source_code is not None:
env.set_strategy_loader(SourceCodeStrategyLoader(source_code))
elif user_funcs is not None:
env.set_strategy_loader(UserFuncStrategyLoader(user_funcs))
else: #将文件路径赋予env中的属性
env.set_strategy_loader(
FileStrategyLoader(config.base.strategy_file))
env.set_global_vars(GlobalVars())
mod_handler.set_env(env) #根据config读取mod，并绑定到env变量
mod_handler.start_up() #运行每个mod的启动函数，传入env.config，以及mod自己的config，后者冗余？
if not env.data_source:
env.set_data_source(data_k_bar) #BaseDataSource：读取bar数据，存储到对象属性中
env.set_data_proxy(DataProxy(env.data_source))
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)
_validate_benchmark(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()
env.benchmark_portfolio = create_benchmark_portfolio(env)
event_source = env.event_source
assert event_source is not None
#包含 data_proxy, frequency ...
bar_dict = BarMap(env.data_proxy, config.base.frequency)
env.set_bar_dict(bar_dict) #本地历史行情对象，包含所有
#获取最新价格
if env.price_board is None:
from .core.bar_dict_price_board import BarDictPriceBoard
env.price_board = BarDictPriceBoard()
ctx = ExecutionContext(const.EXECUTION_PHASE.GLOBAL)
ctx._push()
env.event_bus.publish_event(Event(EVENT.POST_SYSTEM_INIT))
#全局文件路径、文件名、log入口等，作为参数传递给编译
scope = create_base_scope()
scope.update({"g": env.global_vars})
#用户策略可调用的api，包括历史行情、下单函数等
apis = api_helper.get_apis()
scope.update(apis)
#加载用户策略文件，并执行？
scope = env.strategy_loader.load(scope)
#是否启用性能分析
if env.config.extra.enable_profiler:
enable_profiler(env, scope)
#生成用户策略运行时上下文变量
ucontext = StrategyContext()
user_strategy = Strategy(env.event_bus, scope, ucontext)
scheduler.set_user_context(ucontext)
#没有若策略运行时数据持久化，运行用户init
if not config.extra.force_run_init_when_pt_resume:
with run_with_user_log_disabled(disabled=config.base.resume_mode):
user_strategy.init()
#是否在参数中存在用户输入的运行时环境变量
if config.extra.context_vars:
for k, v in six.iteritems(config.extra.context_vars):
setattr(ucontext, k, v)
if config.base.persist:
persist_provider = env.persist_provider
if persist_provider is None:
raise RuntimeError(
_(u"Missing persist provider. You need to set persist_provider before use persist"
))
persist_helper = PersistHelper(persist_provider, env.event_bus,
config.base.persist_mode)
env.set_persist_helper(persist_helper)
persist_helper.register('core', CoreObjectsPersistProxy(scheduler))
persist_helper.register('user_context', ucontext)
persist_helper.register('global_vars', env.global_vars)
persist_helper.register('universe', env._universe)
if isinstance(event_source, Persistable):
persist_helper.register('event_source', event_source)
persist_helper.register('portfolio', env.portfolio)
if env.benchmark_portfolio:
persist_helper.register('benchmark_portfolio',
env.benchmark_portfolio)
for name, module in six.iteritems(env.mod_dict):
if isinstance(module, Persistable):
persist_helper.register('mod_{}'.format(name), module)
# broker will restore open orders from account
if isinstance(broker, Persistable):
persist_helper.register('broker', broker)
env.event_bus.publish_event(Event(EVENT.BEFORE_SYSTEM_RESTORED))
persist_helper.restore()
env.event_bus.publish_event(Event(EVENT.POST_SYSTEM_RESTORED))
init_succeed = True
#若启用回测数据持久化，恢复时重新初始化用户策略
# When force_run_init_when_pt_resume is active,
# we should run `init` after restore persist data
if config.extra.force_run_init_when_pt_resume:
assert config.base.resume_mode == True
with run_with_user_log_disabled(disabled=False):
env._universe._set = set()
user_strategy.init()
from .core.executor import Executor
Executor(env).run(bar_dict)
if env.profile_deco:
output_profile_result(env)
except CustomException as e:
if init_succeed and env.config.base.persist 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 env.config.base.persist 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 (env.config.base.persist and 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)
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
class RQAlphaDataBackend(DataBackend):
"""
目前仅支持日数据
"""
skip_suspended = True
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)))
def get_price(self, order_book_id, start, end, freq):
"""
:param order_book_id: e.g. 000002.XSHE
:param start: 20160101
:param end: 20160201
:returns:
:rtype: numpy.rec.array
"""
assert freq == "1d"
start = get_date_from_int(start)
end = get_date_from_int(end)
bar_count = (end - start).days
bars = self.data_proxy.history_bars(order_book_id,
bar_count,
freq,
field=None,
dt=datetime.datetime.combine(
end, datetime.time(23, 59,
59)))
if bars is None or len(bars) == 0:
raise KeyError("empty bars {}".format(order_book_id))
bars = bars.copy()
return bars
def get_order_book_id_list(self):
"""获取所有的
"""
import pandas as pd
insts = self.data_proxy.all_instruments("CS")
if isinstance(insts, pd.DataFrame):
# for old version of RQAlpha
return sorted(insts.order_book_id.tolist())
else:
# for new version fo RQAlpha
return sorted([inst.order_book_id for inst in insts])
def symbol(self, order_book_id):
"""获取order_book_id对应的名字
:param order_book_id str: 股票代码
:returns: 名字
:rtype: str
"""
return self.data_proxy.instruments(order_book_id).symbol
def get_trading_dates(self, start, end):
"""获取所有的交易日
:param start: 20160101
:param end: 20160201
"""
start = get_date_from_int(start)
end = get_date_from_int(end)
trading_dates = self.data_proxy.get_trading_dates(start, end).tolist()
trading_dates = [get_int_date(dt.date()) for dt in trading_dates]
return trading_dates
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()
try:
future_info = config.base.future_info
except AttributeError:
pass
else:
deep_update(future_info, future_info_cn.CN_FUTURE_INFO)
if not env.data_source:
env.set_data_source(BaseDataSource(config.base.data_bundle_path))
if env.price_board is None:
from .core.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
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()))
if source_code is not None:
env.set_strategy_loader(SourceCodeStrategyLoader(source_code))
elif user_funcs is not None:
env.set_strategy_loader(UserFuncStrategyLoader(user_funcs))
else:
env.set_strategy_loader(FileStrategyLoader(config.base.strategy_file))
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))
env.set_data_proxy(DataProxy(env.data_source))
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)
_validate_benchmark(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()
env.benchmark_portfolio = create_benchmark_portfolio(env)
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)
if env.price_board is None:
from .core.bar_dict_price_board import BarDictPriceBoard
env.price_board = BarDictPriceBoard()
ctx = ExecutionContext(const.EXECUTION_PHASE.GLOBAL)
ctx._push()
env.event_bus.publish_event(Event(EVENT.POST_SYSTEM_INIT))
scope = create_base_scope()
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()
user_strategy = Strategy(env.event_bus, scope, ucontext)
scheduler.set_user_context(ucontext)
if not config.extra.force_run_init_when_pt_resume:
with run_with_user_log_disabled(disabled=config.base.resume_mode):
user_strategy.init()
if config.extra.context_vars:
for k, v in six.iteritems(config.extra.context_vars):
setattr(ucontext, k, v)
if config.base.persist:
persist_provider = env.persist_provider
persist_helper = PersistHelper(persist_provider, env.event_bus, config.base.persist_mode)
persist_helper.register('core', CoreObjectsPersistProxy(scheduler))
persist_helper.register('user_context', ucontext)
persist_helper.register('global_vars', env.global_vars)
persist_helper.register('universe', env._universe)
if isinstance(event_source, Persistable):
persist_helper.register('event_source', event_source)
persist_helper.register('portfolio', env.portfolio)
if env.benchmark_portfolio:
persist_helper.register('benchmark_portfolio', env.benchmark_portfolio)
for name, module in six.iteritems(env.mod_dict):
if isinstance(module, Persistable):
persist_helper.register('mod_{}'.format(name), module)
# broker will restore open orders from account
if isinstance(broker, Persistable):
persist_helper.register('broker', broker)
persist_helper.restore()
env.event_bus.publish_event(Event(EVENT.POST_SYSTEM_RESTORED))
init_succeed = True
# When force_run_init_when_pt_resume is active,
# we should run `init` after restore persist data
if config.extra.force_run_init_when_pt_resume:
assert config.base.resume_mode == True
with run_with_user_log_disabled(disabled=False):
user_strategy.init()
from .core.executor import Executor
Executor(env).run(bar_dict)
if env.profile_deco:
output_profile_result(env)
except CustomException as e:
if init_succeed and env.config.base.persist and persist_helper:
persist_helper.persist()
code = _exception_handler(e)
mod_handler.tear_down(code, e)
except Exception as e:
if init_succeed and env.config.base.persist and persist_helper:
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:
result = mod_handler.tear_down(const.EXIT_CODE.EXIT_SUCCESS)
system_log.debug(_(u"strategy run successfully, normal exit"))
return result
def __init__(self, end_date, bar_count=20):
data_source = BaseDataSource('/home/daiab/.rqalpha/bundle')
self._data_proxy = DataProxy(data_source)
self.fields = ["open", "close", "high", "low", "volume"]
self.end_date = end_date
self.bar_count = bar_count
class RQAlphaDataBackend(DataBackend):
"""
目前仅支持日数据
"""
skip_suspended = True
def __init__(self,
bundle_path="~/.rqalpha/bundle",
start_date="2010-01-01"):
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.analyse_start_date = start_date
self.data_proxy = DataProxy(
BaseDataSource(os.path.expanduser(bundle_path)))
def get_price(self, order_book_id, start, end):
"""
:param order_book_id: e.g. 000002.XSHE
:param start: 20160101
:param end: 20160201
:returns:
:rtype: numpy.rec.array
"""
start = get_date_from_int(start)
end = get_date_from_int(end)
bar_count = (end - start).days
bars = self.data_proxy.history_bars(order_book_id,
bar_count,
"1d",
field=None,
dt=datetime.datetime.combine(
end, datetime.time(23, 59,
59)))
if bars is None or len(bars) == 0:
raise KeyError("empty bars {}".format(order_book_id))
bars = bars.copy()
origin_bars = bars = bars.astype([('datetime', '<u8'), ('open', '<f8'),
('close', '<f8'), ('high', '<f8'),
('low', '<f8'), ('volume', '<f8'),
('total_turnover', '<f8')])
dtype = copy.deepcopy(bars.dtype)
names = list(dtype.names)
names[0] = "date"
dtype.names = names
bars = np.array(bars, dtype=dtype)
bars["date"] = origin_bars["datetime"] / 1000000
return bars
def get_order_book_id_list(self):
"""获取所有的
"""
return sorted(
self.data_proxy.all_instruments("CS").order_book_id.tolist())
def get_start_date(self):
"""获取回溯开始时间
"""
return str(self.analyse_start_date)
def symbol(self, order_book_id):
"""获取order_book_id对应的名字
:param order_book_id str: 股票代码
:returns: 名字
:rtype: str
"""
return self.data_proxy.instruments(order_book_id).symbol
def get_trading_dates(self, start, end):
"""获取所有的交易日
:param start: 20160101
:param end: 20160201
"""
start = get_date_from_int(start)
end = get_date_from_int(end)
trading_dates = self.data_proxy.get_trading_dates(start, end).tolist()
trading_dates = [get_int_date(dt.date()) for dt in trading_dates]
return trading_dates
