def update_tick(self, tick: TickData) -> None:
"""
Update new tick data into generator.
"""
new_bar = False
# Filter tick data with 0 last price
if not tick.last_price:
return
# Filter tick data with less intraday trading volume (i.e. older timestamp)
if (self.last_tick and tick.volume
and tick.volume < self.last_tick.volume):
return
if not self.bar:
new_bar = True
elif (self.bar.datetime.second != tick.datetime.second
and not tick.datetime.second % self.window):
self.on_bar(self.bar)
new_bar = True
if new_bar:
self.bar = BarData(symbol=tick.symbol,
exchange=tick.exchange,
interval=Interval.MINUTE,
datetime=tick.datetime,
gateway_name=tick.gateway_name,
open_price=tick.last_price,
high_price=tick.last_price,
low_price=tick.last_price,
close_price=tick.last_price,
open_interest=tick.open_interest)
else:
self.bar.high_price = max(self.bar.high_price, tick.last_price)
self.bar.low_price = min(self.bar.low_price, tick.last_price)
self.bar.close_price = tick.last_price
self.bar.open_interest = tick.open_interest
self.bar.datetime = tick.datetime
if self.last_tick:
volume_change = tick.volume - self.last_tick.volume
self.bar.volume += max(volume_change, 0)
self.last_tick = tick
def update_tick(self, tick: TickData) -> None:
"""
修改分钟合成逻辑，由原来的标准时间，修改成当前50秒到下个49秒
"""
new_minute = False
# Filter tick data with 0 last price
if not tick.last_price:
return
if not self.bar:
new_minute = True
# elif self.bar.datetime.minute != tick.datetime.minute:
#当前k线时间大于52 并且 存的K线小于 51 来切分一根K线的开始结束时间
elif tick.datetime.second >= 52 and self.last_tick.datetime.second < 51:
self.bar.datetime = self.bar.datetime.replace(second=0,
microsecond=0)
self.on_bar(self.bar)
new_minute = True
if new_minute:
self.bar = BarData(symbol=tick.symbol,
exchange=tick.exchange,
interval=Interval.MINUTE,
datetime=tick.datetime,
gateway_name=tick.gateway_name,
open_price=tick.last_price,
high_price=tick.last_price,
low_price=tick.last_price,
close_price=tick.last_price,
open_interest=tick.open_interest)
else:
self.bar.high_price = max(self.bar.high_price, tick.last_price)
self.bar.low_price = min(self.bar.low_price, tick.last_price)
self.bar.close_price = tick.last_price
self.bar.open_interest = tick.open_interest
self.bar.datetime = tick.datetime
if self.last_tick:
volume_change = tick.volume - self.last_tick.volume
self.bar.volume += max(volume_change, 0)
self.last_tick = tick
def compute_index_zz500_specifications(self, df):
# 注意：所有的数据库数据和列表数据都按照日期的正序排序(从小到大)
# 计算zz500指数的技术指标并入库
"""
@ 入参：指数k线信息
"""
am = ArrayManager(size=600)
for ix, row in df.iterrows():
d = row.to_dict()
LOG.info(d['trade_date'])
d['ts_code'] = d['ts_code'].replace('.', '_')
bar = BarData(
gateway_name='ctp', symbol=d['ts_code'],
exchange=Exchange.SSE,
datetime=string_to_datetime(d['trade_date']))
bar.symbol = d['ts_code']
bar.open_price = d['open']
bar.high_price = d['high']
bar.low_price = d['low']
bar.close_price = d['close']
am.update_bar(bar)
rsi_20 = am.rsi(20)
d['rsi_20'] = rsi_20
try:
d['ma_5'] = am.sma(5)
except:
traceback.print_exc()
LOG.error('************************')
LOG.error(d['ts_code'])
LOG.error(d['trade_date'])
LOG.error(bar)
d['ma_10'] = am.sma(10)
d['ma_20'] = am.sma(20)
d['ma_30'] = am.sma(30)
d['ma_60'] = am.sma(60)
d['ma_120'] = am.sma(120)
d['ma_250'] = am.sma(250)
d['ma_500'] = am.sma(500)
flt = {'trade_date': d['trade_date']}
cl_index_zz500 = self.db[CL_INDEX_ZZ500]
# cl_index_zz500.replace_one(flt, d, upsert=False)
cl_index_zz500.update_one(flt, {'$setOnInsert': d}, upsert=True) # 插入数据时,flt不存在则插入d,存在则不执行
def update_bar(self, bar: BarData):
pre_price = bar.close_price
if self.up is None:
self.up = pre_price
self.down = pre_price
self.datetime = bar.datetime
self.volume = bar.volume
self.bar = BarData(
symbol=bar.symbol,
exchange=bar.exchange,
datetime=bar.datetime,
gateway_name=bar.gateway_name,
open_price=pre_price,
high_price=pre_price,
low_price=pre_price,
close_price=pre_price,
)
self.update_pre_price(pre_price)
self.datetime = bar.datetime
self.volume += bar.volume
def update_tick(self, tick: TickData):
pre_price = tick.last_price
if self.up is None:
self.up = pre_price
self.down = pre_price
self.datetime = tick.datetime
self.volume = tick.volume
self.bar = BarData(
symbol=tick.symbol,
exchange=tick.exchange,
datetime=tick.datetime,
gateway_name=tick.gateway_name,
open_price=pre_price,
high_price=pre_price,
low_price=pre_price,
close_price=pre_price,
)
self.update_pre_price(pre_price)
self.datetime = tick.datetime
self.volume += tick.volume
def on_x_min(self, bar: BarData):
self.am_x_min.update_bar(bar)
if not self.am_x_min.inited:
return
if not self.base_high_price:
self.base_high_price = bar.high_price
self.past_high_price = bar.high_price
self.base_low_price = bar.low_price
self.past_low_price = bar.low_price
bar.datetime = self.get_diff_datetime(bar.datetime)
high_price = bar.high_price
low_price = bar.low_price
"""分型处理"""
# 上升
if high_price > self.base_high_price and low_price > self.base_low_price:
if self.brush_signal_special2 == -2 and self.is_jump:
self.shape_dict[self.brush_datetime_special]["interval_down"] \
= self.shape_dict[self.brush_datetime_special]["interval_down_back"]
self.brush_signal_special2 = 0
if self.base_signal == 1 and low_price > self.base_high_price:
self.is_jump = True
self.handle_bars.append({
"high_price": self.base_high_price,
"low_price": self.base_low_price,
})
# 上升K线
if self.base_signal == 1:
pass
# 底分型
else:
self.trade_signal = None
self.brush_signal_special2 = 1
self.brush_datetime_special = self.past_bar.datetime
if self.brush_signal_special1 == 1:
_past_high_price = self.base_high_price
else:
_past_high_price = self.past_high_price
self.base_signal = 1
self.shape_dict[self.past_bar.datetime] = {
"datetime":
self.past_bar.datetime,
"signal":
-1,
"value":
self.base_low_price,
"interval_up":
max(_past_high_price, self.base_high_price, high_price),
"interval_up_back":
max(_past_high_price, self.base_high_price),
"interval_down":
self.base_low_price,
"bar":
copy.deepcopy(self.past_bar),
"bars":
copy.deepcopy(self.bars),
"handle_bars":
copy.deepcopy(self.handle_bars),
}
"""画笔处理"""
# 确认上顶分型，暂定当前底分型
self.brush_handle_bars = self.brush_handle_bars[:] + self.handle_bars[:]
if self.brush_signal is None:
self.brush_signal = -1
else:
if self.brush_signal == 1:
interval_up = self.shape_dict[
self.past_bar.datetime]["interval_up_back"]
interval_down = self.shape_dict[
self.past_bar.datetime]["interval_down"]
past_interval_up = interval_up if self.brush_past_datetime is None else \
self.shape_dict[self.brush_past_datetime]["interval_up"]
past_interval_down = interval_down if self.brush_past_datetime is None else \
self.shape_dict[self.brush_past_datetime]["interval_down"]
if (self.is_jump or (len(self.brush_bars) >= 4 and len(self.brush_handle_bars) > 2)) \
and not (interval_up < past_interval_up and interval_down > past_interval_down) \
and not (interval_up > past_interval_up and interval_down < past_interval_down):
# 确认上顶分型
if self.brush_past_datetime:
self.brush_dict[
self.
brush_past_datetime] = self.shape_dict[
self.brush_past_datetime]
if self.brush_past_datetime in self.brush_datetime_list.keys(
):
self.brush_datetime_list[self.brush_past_datetime] = \
self.shape_dict[self.brush_past_datetime]["value"]
self.KLine_chart_dict.list_dict[
"signal"] = list(
self.brush_datetime_list.values())
"""中枢处理"""
self.list_fixed_length(
self.four_list, self.brush_past_datetime,
4)
if self.center_signal is None:
self.judge_center_signal()
else:
zg, zd, gg, dd = self.get_center_info(
is_skip_last=True)
if self.shape_dict[
self.
brush_past_datetime]["value"] < zd:
"""交易信号判定：3卖"""
if self.on_trade_signal3:
self.on_trade_signal3("short", bar)
current_value = self.brush_dict[
self.brush_past_datetime]["value"]
self.point_list.append({
"name":
"3卖",
"color":
"#53FA00",
"datetime":
self.brush_past_datetime,
"y":
current_value,
})
self.trade_signal_num3[
self.brush_past_datetime] = {
"datetime": bar.datetime,
"value": bar.close_price,
"shape":
self.brush_past_datetime,
}
self.center_signal_true = -1
self.center_list.append({
"signal":
self.center_signal_true,
"shape_list":
copy.deepcopy(
self.center_shape_list),
"out_length":
self.shape_dict[
self.center_shape_list[-2]]
["value"] - self.shape_dict[
self.center_shape_list[-1]]
["value"],
"zg":
zg,
"zd":
zd,
"gg":
gg,
"dd":
dd,
"trade_signal_num1":
copy.deepcopy(
self.trade_signal_num1),
"trade_signal_num2":
copy.deepcopy(
self.trade_signal_num2),
"trade_signal_num2_2":
copy.deepcopy(
self.trade_signal_num2_2),
"trade_signal_num3":
copy.deepcopy(
self.trade_signal_num3),
})
self.area_list.append({
"x": (self.center_shape_list[0],
self.center_shape_list[-2]),
"y": (zg, zd),
"border_color":
"#ef232a"
if self.center_signal_true == 1
else "#14b143"
})
self.center_signal = None
self.trade_signal_num1 = {}
self.trade_signal_num2 = {}
self.trade_signal_num2_2 = {}
self.trade_signal_num3 = {}
else:
self.center_shape_list.append(
self.brush_past_datetime)
"""交易信号判定"""
if self.center_signal is not None:
zg, zd, gg, dd = self.get_center_info()
brush_dict_keys = list(
self.brush_dict.keys())
trade_signal_shape = self.brush_dict[
self.brush_past_datetime]
trade_signal_shape2 = self.brush_dict[
brush_dict_keys[-2]]
current_value = trade_signal_shape["value"]
if self.center_signal_true == 1:
"""1卖"""
compare_length = current_value - trade_signal_shape2[
"value"]
if compare_length < self.center_list[-1][
"out_length"] and current_value >= gg:
if self.on_trade_signal1:
self.on_trade_signal1(
"short", bar)
self.point_list.append({
"name":
"1卖",
"color":
"#336600",
"datetime":
self.brush_past_datetime,
"y":
current_value,
})
self.trade_signal_num1[
self.brush_past_datetime] = {
"trade_datetime":
bar.datetime,
"trade_value":
bar.close_price,
"signal_datetime":
self.brush_past_datetime,
}
"""2卖"""
trade_signal_num1_keys = list(
self.trade_signal_num1.keys())
trade_signal_num2_keys = list(
self.trade_signal_num2.keys())
if len(trade_signal_num1_keys) - len(trade_signal_num2_keys) == 1 \
and self.brush_past_datetime not in trade_signal_num1_keys \
and current_value < self.brush_dict[trade_signal_num1_keys[-1]]["value"]:
if self.on_trade_signal2:
self.on_trade_signal2(
"short", bar)
self.point_list.append({
"name":
"2卖",
"color":
"#4D9900",
"datetime":
self.brush_past_datetime,
"y":
current_value,
})
self.trade_signal_num2[
self.brush_past_datetime] = {
"datetime": bar.datetime,
"value": bar.close_price,
"shape":
self.brush_past_datetime,
}
self.brush_signal = -1
self.brush_past_datetime = self.past_bar.datetime
self.brush_bars = []
self.brush_handle_bars = []
else:
pass
else:
if self.brush_past_datetime is not None \
and self.base_low_price < self.shape_dict[self.brush_past_datetime]["value"]:
self.brush_past_datetime = self.past_bar.datetime
self.brush_bars = []
self.brush_handle_bars = []
if low_price > self.base_high_price:
self.is_jump = True
else:
self.is_jump = False
self.bars = []
self.handle_bars = []
self.past_high_price = self.base_high_price
self.past_low_price = self.base_low_price
self.base_high_price = high_price
self.base_low_price = low_price
self.brush_signal_special1 = 0
# 下降
elif high_price < self.base_high_price and low_price < self.base_low_price:
if self.brush_signal_special2 == -1 and self.is_jump:
self.shape_dict[self.brush_datetime_special]["interval_up"] \
= self.shape_dict[self.brush_datetime_special]["interval_up_back"]
self.brush_signal_special2 = 0
if self.base_signal == -1 and high_price < self.base_low_price:
self.is_jump = True
self.handle_bars.append({
"high_price": self.base_high_price,
"low_price": self.base_low_price,
})
# 顶分型
if self.base_signal == 1:
self.trade_signal = None
self.brush_signal_special2 = 2
self.brush_datetime_special = self.past_bar.datetime
if self.brush_signal_special1 == 2:
_past_low_price = self.base_low_price
else:
_past_low_price = self.past_low_price
self.base_signal = -1
self.shape_dict[self.past_bar.datetime] = {
"datetime":
self.past_bar.datetime,
"signal":
1,
"value":
self.base_high_price,
"interval_up":
self.base_high_price,
"interval_down":
min(_past_low_price, self.base_low_price, low_price),
"interval_down_back":
min(_past_low_price, self.base_low_price),
"bar":
copy.deepcopy(self.past_bar),
"bars":
copy.deepcopy(self.bars),
"handle_bars":
copy.deepcopy(self.handle_bars),
}
"""画笔处理"""
# 确认上底分型，暂定当前顶分型
self.brush_handle_bars = self.brush_handle_bars[:] + self.handle_bars[:]
if self.brush_signal is None:
self.brush_signal = 1
self.brush_past_datetime = self.past_bar.datetime
else:
if self.brush_signal == 1:
if self.brush_past_datetime is not None \
and self.base_high_price > self.shape_dict[self.brush_past_datetime]["value"]:
self.brush_past_datetime = self.past_bar.datetime
self.brush_bars = []
self.brush_handle_bars = []
else:
interval_up = self.shape_dict[
self.past_bar.datetime]["interval_up"]
interval_down = self.shape_dict[
self.past_bar.datetime]["interval_down_back"]
past_interval_up = interval_up if self.brush_past_datetime is None else \
self.shape_dict[self.brush_past_datetime]["interval_up"]
past_interval_down = interval_down if self.brush_past_datetime is None else \
self.shape_dict[self.brush_past_datetime]["interval_down"]
if (self.is_jump or (len(self.brush_bars) >= 4 and len(self.brush_handle_bars) > 2)) \
and not (interval_up < past_interval_up and interval_down > past_interval_down) \
and not (interval_up > past_interval_up and interval_down < past_interval_down):
if self.brush_past_datetime:
self.brush_dict[
self.
brush_past_datetime] = self.shape_dict[
self.brush_past_datetime]
if self.brush_past_datetime in self.brush_datetime_list.keys(
):
self.brush_datetime_list[self.brush_past_datetime] \
= self.shape_dict[self.brush_past_datetime]["value"]
self.KLine_chart_dict.list_dict[
"signal"] = list(
self.brush_datetime_list.values())
"""中枢处理"""
self.list_fixed_length(
self.four_list, self.brush_past_datetime,
4)
if self.center_signal is None:
self.judge_center_signal()
else:
zg, zd, gg, dd = self.get_center_info(
is_skip_last=True)
if self.shape_dict[
self.
brush_past_datetime]["value"] > zg:
"""交易信号判定：3买"""
if self.on_trade_signal3:
self.on_trade_signal3("long", bar)
current_value = self.brush_dict[
self.brush_past_datetime]["value"]
self.point_list.append({
"name":
"3买",
"color":
"#FF4D82",
"datetime":
self.brush_past_datetime,
"y":
current_value,
})
self.trade_signal_num3[
self.brush_past_datetime] = {
"datetime": bar.datetime,
"value": bar.close_price,
"shape":
self.brush_past_datetime,
}
self.center_signal_true = 1
self.center_list.append({
"signal":
self.center_signal_true,
"shape_list":
copy.deepcopy(
self.center_shape_list),
"out_length":
self.shape_dict[
self.center_shape_list[-1]]
["value"] - self.shape_dict[
self.center_shape_list[-2]]
["value"],
"zg":
zg,
"zd":
zd,
"gg":
gg,
"dd":
dd,
"trade_signal_num1":
copy.deepcopy(
self.trade_signal_num1),
"trade_signal_num2":
copy.deepcopy(
self.trade_signal_num2),
"trade_signal_num2_2":
copy.deepcopy(
self.trade_signal_num2_2),
"trade_signal_num3":
copy.deepcopy(
self.trade_signal_num3),
})
self.area_list.append({
"x": (self.center_shape_list[0],
self.center_shape_list[-2]),
"y": (zg, zd),
"border_color":
"#ef232a"
if self.center_signal_true == 1
else "#14b143"
})
self.center_signal = None
self.trade_signal_num1 = {}
self.trade_signal_num2 = {}
self.trade_signal_num2_2 = {}
self.trade_signal_num3 = {}
else:
self.center_shape_list.append(
self.brush_past_datetime)
"""交易信号判定 59B300 00F000 2EFF2E"""
if self.center_signal is not None:
zg, zd, gg, dd = self.get_center_info()
brush_dict_keys = list(
self.brush_dict.keys())
trade_signal_shape = self.brush_dict[
self.brush_past_datetime]
trade_signal_shape2 = self.brush_dict[
brush_dict_keys[-2]]
current_value = trade_signal_shape["value"]
if self.center_signal_true == -1:
"""1买"""
compare_length = trade_signal_shape2[
"value"] - current_value
if compare_length < self.center_list[-1][
"out_length"] and current_value <= dd:
if self.on_trade_signal1:
self.on_trade_signal1(
"long", bar)
self.point_list.append({
"name":
"1买",
"color":
"#CC003D",
"datetime":
self.brush_past_datetime,
"y":
current_value,
})
self.trade_signal_num1[
self.brush_past_datetime] = {
"datetime": bar.datetime,
"value": bar.close_price,
"shape":
self.brush_past_datetime,
}
"""2买"""
trade_signal_num1_keys = list(
self.trade_signal_num1.keys())
trade_signal_num2_keys = list(
self.trade_signal_num2.keys())
if len(trade_signal_num1_keys) - len(trade_signal_num2_keys) == 1 \
and self.brush_past_datetime not in trade_signal_num1_keys \
and current_value > self.brush_dict[trade_signal_num1_keys[-1]]["value"]:
if self.on_trade_signal2:
self.on_trade_signal2(
"long", bar)
self.point_list.append({
"name":
"2买",
"color":
"#FF3B0A",
"datetime":
self.brush_past_datetime,
"y":
current_value,
})
self.trade_signal_num2[
self.brush_past_datetime] = {
"datetime": bar.datetime,
"value": bar.close_price,
"shape":
self.brush_past_datetime,
}
self.brush_signal = 1
self.brush_past_datetime = self.past_bar.datetime
self.brush_bars = []
self.brush_handle_bars = []
else:
pass
if high_price < self.base_low_price:
self.is_jump = True
else:
self.is_jump = False
self.bars = []
self.handle_bars = []
# 下降K线
else:
pass
self.past_high_price = self.base_high_price
self.past_low_price = self.base_low_price
self.base_high_price = high_price
self.base_low_price = low_price
self.brush_signal_special1 = 0
# 左包含
elif high_price <= self.base_high_price and low_price >= self.base_low_price:
if self.base_signal == 1:
self.base_high_price = max(self.base_high_price, high_price)
self.base_low_price = max(self.base_low_price, low_price)
else:
self.base_high_price = min(self.base_high_price, high_price)
self.base_low_price = min(self.base_low_price, low_price)
if self.base_signal == 1 and self.base_low_price > self.past_high_price:
self.is_jump = True
self.brush_signal_special1 = 2
elif self.base_signal == -1 and self.base_high_price < self.past_low_price:
self.is_jump = True
self.brush_signal_special1 = 1
if self.brush_signal_special2 > 0:
self.brush_signal_special2 = -self.brush_signal_special2
# 右包含
elif high_price >= self.base_high_price and low_price <= self.base_low_price:
if self.base_signal == 1:
self.base_high_price = max(self.base_high_price, high_price)
self.base_low_price = max(self.base_low_price, low_price)
else:
self.base_high_price = min(self.base_high_price, high_price)
self.base_low_price = min(self.base_low_price, low_price)
if self.base_signal == 1 and self.base_low_price > self.past_high_price:
self.is_jump = True
self.brush_signal_special1 = 2
elif self.base_signal == -1 and self.base_high_price < self.past_low_price:
self.is_jump = True
self.brush_signal_special1 = 1
if self.brush_signal_special2 > 0:
self.brush_signal_special2 = -self.brush_signal_special2
self.bars.append(copy.deepcopy(bar))
self.brush_bars.append(copy.deepcopy(bar))
if self.main_self.trading and self.KLine_chart_dict is not None and self.past_bar is not None:
self.brush_datetime_list[self.past_bar.datetime] = None
self.KLine_chart_dict.update_bar(
self.past_bar,
signal=None,
datetime_str=self.past_bar.datetime,
# signal=signal,
)
self.past_bar = copy.deepcopy(bar)
def _update_k_data(self, code, k_data):
# 注意：所有的数据库数据和列表数据都按照日期的正序排序(从小到大)
"""
更新股票，股指每日数据（行情，K线，市值等0）
@:param code 股票(指数)代码
@:param k_data ts中获取的最新df数据
"""
if len(k_data) != 0:
k_data = k_data.sort_values(by='trade_date')
cl_stock_code = self.db[code]
cl_stock_code.create_index([('trade_date', ASCENDING)], unique=True)
# 更新k线数据
# 1、新增日K线入库
# 2、遍历数据库找出最近的500+22(必须保证更新数据操作在22天以内进行)条数据并更新最后的22条的ma和最高 最低价
for ix, row in k_data.iterrows():
d = row.to_dict()
d['ts_code'] = d['ts_code'].replace('.', '_')
if self._is_in_vnpy_db(d['ts_code'], update=True):
# 更新vnpy数据库数据
self._build_db_vnpy(d)
flt = {'trade_date': d['trade_date']}
cl_stock_code.replace_one(flt, d, upsert=True)
rec = list(cl_stock_code.find({}).sort("trade_date", DESCENDING).limit(522))
rec.reverse()
am = ArrayManager(size=600)
last_5_vol = deque([0.0] * 5)
last_5_amount = deque([0.0] * 5)
for d in rec:
if 0.0 not in last_5_vol:
vol_rate = d['vol'] / (sum(last_5_vol) / 5.0)
amount_rate = d['amount'] / (sum(last_5_amount) / 5.0)
d['vol_rate'] = vol_rate
d['amount_rate'] = amount_rate
else:
d['vol_rate'] = 0.0
d['amount_rate'] = 0.0
last_5_vol.popleft()
last_5_amount.popleft()
last_5_vol.append(d['vol'])
last_5_amount.append(d['amount'])
if d['ts_code'][-3:] == '_SH':
exchange = Exchange.SSE
d['exchange'] = 'SSE'
else:
exchange = Exchange.SZSE
d['exchange'] = 'SZSE'
bar = BarData(
gateway_name='ctp', symbol=d['ts_code'],
exchange=exchange,
datetime=string_to_datetime(d['trade_date']))
bar.symbol = d['ts_code']
bar.volume = d['vol']
bar.open_price = d['open']
bar.high_price = d['high']
bar.low_price = d['low']
bar.close_price = d['close']
am.update_bar(bar)
if d['trade_date'] >= self.db_date:
d['ma_5'] = am.sma(5)
d['ma_10'] = am.sma(10)
d['ma_20'] = am.sma(20)
d['ma_30'] = am.sma(30)
d['ma_60'] = am.sma(60)
d['ma_120'] = am.sma(120)
d['ma_250'] = am.sma(250)
d['ma_500'] = am.sma(500)
d['high_5'] = np.max(am.high[-5:])
d['high_10'] = np.max(am.high[-10:])
d['high_20'] = np.max(am.high[-20:])
d['high_30'] = np.max(am.high[-30:])
d['high_60'] = np.max(am.high[-60:])
d['high_120'] = np.max(am.high[-120:])
d['high_250'] = np.max(am.high[-250:])
d['high_500'] = np.max(am.high[-500:])
d['low_5'] = np.min(am.low[-5:])
d['low_10'] = np.min(am.low[-10:])
d['low_20'] = np.min(am.low[-20:])
d['low_30'] = np.min(am.low[-30:])
d['low_60'] = np.min(am.low[-60:])
d['low_120'] = np.min(am.low[-120:])
d['low_250'] = np.min(am.low[-250:])
d['low_500'] = np.min(am.low[-500:])
flt = {'trade_date': d['trade_date']}
cl_stock_code.replace_one(flt, d, upsert=True)
def _init_k_data(self, code, k_data):
# 注意：所有的数据库数据和列表数据都按照日期的正序排序(从小到大)
"""
初始化股票数据库数据
@:param code 股票(指数)代码
"""
if len(k_data) != 0:
last_5_vol = deque([0.0] * 5)
last_5_amount = deque([0.0] * 5)
k_data = k_data.sort_values(by='trade_date')
cl_stock_code = self.db[code]
cl_stock_code.create_index([('trade_date', ASCENDING)], unique=True)
am = ArrayManager(size=600)
for ix, row in k_data.iterrows():
d = row.to_dict()
d['ts_code'] = d['ts_code'].replace('.', '_')
if 0.0 not in last_5_vol:
vol_rate = d['vol'] / (sum(last_5_vol) / 5.0)
amount_rate = d['amount'] / (sum(last_5_amount) / 5.0)
d['vol_rate'] = vol_rate
d['amount_rate'] = amount_rate
else:
d['vol_rate'] = 0.0
d['amount_rate'] = 0.0
last_5_vol.popleft()
last_5_amount.popleft()
last_5_vol.append(d['vol'])
last_5_amount.append(d['amount'])
if self._is_in_vnpy_db(d['ts_code'], update=False):
# 构建vnpy股票数据库数据
self._build_db_vnpy(d)
if d['ts_code'][-3:] == '_SH':
exchange = Exchange.SSE
d['exchange'] = 'SSE'
else:
exchange = Exchange.SZSE
d['exchange'] = 'SZSE'
bar = BarData(
gateway_name='ctp', symbol=d['ts_code'],
exchange=exchange,
datetime=string_to_datetime(d['trade_date']))
bar.symbol = d['ts_code']
bar.volume = d['vol']
bar.open_price = d['open']
bar.high_price = d['high']
bar.low_price = d['low']
bar.close_price = d['close']
am.update_bar(bar)
try:
d['ma_5'] = am.sma(5)
except:
traceback.print_exc()
LOG.error('************************')
LOG.error(d['ts_code'])
LOG.error(d['trade_date'])
LOG.error(bar)
d['ma_10'] = am.sma(10)
d['ma_20'] = am.sma(20)
d['ma_30'] = am.sma(30)
d['ma_60'] = am.sma(60)
d['ma_120'] = am.sma(120)
d['ma_250'] = am.sma(250)
d['ma_500'] = am.sma(500)
d['high_5'] = np.max(am.high[-5:])
d['high_10'] = np.max(am.high[-10:])
d['high_20'] = np.max(am.high[-20:])
d['high_30'] = np.max(am.high[-30:])
d['high_60'] = np.max(am.high[-60:])
d['high_120'] = np.max(am.high[-120:])
d['high_250'] = np.max(am.high[-250:])
d['high_500'] = np.max(am.high[-500:])
d['low_5'] = np.min(am.low[-5:])
d['low_10'] = np.min(am.low[-10:])
d['low_20'] = np.min(am.low[-20:])
d['low_30'] = np.min(am.low[-30:])
d['low_60'] = np.min(am.low[-60:])
d['low_120'] = np.min(am.low[-120:])
d['low_250'] = np.min(am.low[-250:])
d['low_500'] = np.min(am.low[-500:])
flt = {'trade_date': d['trade_date']}
cl_stock_code.replace_one(flt, d, upsert=True)
def update_bar(self, bar: BarData):
"""
自定义 由一分钟合成 N 分钟 K 线
"""
# If not inited, creaate window bar object
if not self.window_bar:
# Generate timestamp for bar data
if self.interval == Interval.MINUTE:
dt = bar.datetime.replace(second=0, microsecond=0)
else:
dt = bar.datetime.replace(minute=0, second=0, microsecond=0)
self.window_bar = BarData(symbol=bar.symbol,
exchange=bar.exchange,
datetime=dt,
gateway_name=bar.gateway_name,
open_price=bar.open_price,
high_price=bar.high_price,
low_price=bar.low_price)
# Otherwise, update high/low price into window bar
else:
self.window_bar.high_price = max(self.window_bar.high_price,
bar.high_price)
self.window_bar.low_price = min(self.window_bar.low_price,
bar.low_price)
# Update close price/volume into window bar
self.window_bar.close_price = bar.close_price
self.window_bar.volume += int(bar.volume)
self.window_bar.open_interest = bar.open_interest
# Check if window bar completed
finished = False
if self.interval == Interval.MINUTE:
# x-minute bar
# if not (bar.datetime.minute + 1) % self.window:
# finished = True
#把原来一分钟合成N分钟逻辑是被60整除，修改为被任意分钟整除
if self.last_bar and bar.datetime.minute != self.last_bar.datetime.minute:
self.interval_count += 1
if not self.interval_count % self.window:
finished = True
self.interval_count = 0
elif self.interval == Interval.HOUR:
if self.last_bar and bar.datetime.hour != self.last_bar.datetime.hour:
# 1-hour bar
if self.window == 1:
finished = True
# x-hour bar
else:
self.interval_count += 1
if not self.interval_count % self.window:
finished = True
self.interval_count = 0
if finished:
self.on_window_bar(self.window_bar)
self.window_bar = None
# Cache last bar object
self.last_bar = bar