def __init__(self, wrapper, window_size):
""" window_size: 滚动窗口大小 """
self.wrapper = wrapper
self.window_size = window_size
self.series = [[{}]]
self.indicators = [[{}]]
self.variables = [[{}]]
data = self.wrapper.data
if window_size == 0:
self.window_size = len(data)
self.open = NumberSeries(data.open.values, self.window_size, "open")
self.close = NumberSeries(data.close.values, self.window_size, "close")
self.high = NumberSeries(data.high.values, self.window_size, "high")
self.low = NumberSeries(data.low.values, self.window_size, "low")
self.volume = NumberSeries(data.volume.values, self.window_size, "volume")
self.datetime = DateTimeSeries(data.index, self.window_size, "datetime")
self.i = -1 # 第i个组合
self.j = -1 # 第j个策略
self.curbar = 0
self.bar = Bar(None, None, None, None, None, None)
class DataContext(object):
def __init__(self, wrapper, window_size):
""" window_size: 滚动窗口大小 """
self.wrapper = wrapper
self.window_size = window_size
self.series = [[{}]]
self.indicators = [[{}]]
self.variables = [[{}]]
data = self.wrapper.data
if window_size == 0:
self.window_size = len(data)
self.open = NumberSeries(data.open.values, self.window_size, "open")
self.close = NumberSeries(data.close.values, self.window_size, "close")
self.high = NumberSeries(data.high.values, self.window_size, "high")
self.low = NumberSeries(data.low.values, self.window_size, "low")
self.volume = NumberSeries(data.volume.values, self.window_size, "volume")
self.datetime = DateTimeSeries(data.index, self.window_size, "datetime")
self.i = -1 # 第i个组合
self.j = -1 # 第j个策略
self.curbar = 0
self.bar = Bar(None, None, None, None, None, None)
@property
def raw_data(self):
return self.wrapper.data
@property
def pcontract(self):
return self.wrapper.pcontract
@property
def contract(self):
return self.wrapper.pcontract.contract
def rolling_foward(self):
## @todo next
"""
滚动读取下一步的数据。
"""
new_row, self.curbar = self.wrapper.rolling_foward()
if not new_row:
self.curbar -= 1
return False
# 为当天数据预留空间, 改变g_window或者一次性分配
# self.data = np.append(data, tracker.container_day)
self.open.update_curbar(self.curbar)
self.close.update_curbar(self.curbar)
self.high.update_curbar(self.curbar)
self.low.update_curbar(self.curbar)
self.volume.update_curbar(self.curbar)
self.datetime.update_curbar(self.curbar)
# 更新数据源
if series.g_rolling:
self.datetime.update(new_row[0])
self.open.update(new_row[1])
self.close.update(new_row[2])
self.high.update(new_row[3])
self.low.update(new_row[4])
self.volume.update(new_row[5])
self.bar.datetime = self.datetime[0]
self.bar.open = self.open[0]
self.bar.close = self.close[0]
self.bar.high = self.high[0]
self.bar.low = self.low[0]
self.bar.volume = self.volume[0]
return True
def update_user_vars(self):
""" 更新用户定义的变量。 """
try:
siter = self.series[self.i][self.j].iteritems()
except Exception:
pass
else:
for key, s in siter:
s.update_curbar(self.curbar)
s.duplicate_last_element()
try:
indic_iter = self.indicators[self.i][self.j].iteritems()
except Exception:
pass
else:
for key, indic in indic_iter:
if indic.multi_value:
for key, value in indic.series.iteritems():
value.update_curbar(self.curbar)
else:
for s in indic.series:
s.update_curbar(self.curbar)
def add_series(self, key, s):
""" 添加on_init中初始化的序列变量
Args:
key (str): 属性名
s (Series): 序列变量
"""
s.reset_data([], self.window_size + series.g_window)
if self.i < len(self.series):
if self.j < len(self.series[self.i]):
self.series[self.i][self.j][key] = s
else:
self.series[self.i].append({key: s})
else:
self.series.append([{key: s}])
return
def add_indicator(self, key, indic):
if self.i < len(self.indicators):
if self.j < len(self.indicators[self.i]):
self.indicators[self.i][self.j][key] = indic
else:
self.indicators[self.i].append({key: indic})
else:
self.indicators.append([{key: indic}])
def add_variable(self, key, var):
if self.i < len(self.variables):
if self.j < len(self.variables[self.i]):
self.variables[self.i][self.j][key] = var
else:
self.variables[self.i].append({key: var})
else:
self.variables.append([{key: var}])
def __len__(self):
return len(self.wrapper)
def get_item(self, name):
""" 获取用户在策略on_init函数中初始化的变量
Args:
name (str): 变量名
"""
try:
return self.indicators[self.i][self.j][name]
except KeyError:
try:
return self.series[self.i][self.j][name]
except KeyError:
return self.variables[self.i][self.j][name]
def add_item(self, name, value):
"""
添加用户初始化的变量。
"""
if isinstance(value, series.SeriesBase):
self.add_series(name, value)
elif isinstance(value, IndicatorBase):
self.add_indicator(name, value)
else:
self.add_variable(name, value)
def __getattr__(self, name):
return self.get_item(name)