def pack_to_traindatas2(data_path, train_path, zong_t, time_lidu, hc_zq=3):
'''
'''
# 1.读取回测文件
train_datas = {}
with open(data_path, 'rb') as f0:
resdf = pickle.load(f0)
# 2.1读取训练数据地址，保存一个空文件。
time0 = time.strftime("%m-%d", time.localtime())
train_path = train_path.split(
'.')[0] + f'_周期{time_lidu}_回测周期{hc_zq}_{time0}' + '.pickle'
if os.path.exists(train_path): # 读取保存地址
print(f'地址存在{train_path}。')
# 2.2读取训练数据地址，保存一个空文件。
else:
print(f'文件地址可用，新建一个空文件:{train_path}')
with open(train_path, 'wb') as f_new:
pickle.dump(train_datas, f_new)
print(f'空文件保存在：{train_path}')
# 3.0 获取历史信息。
hf = HKFuture() # 首次使用先配置..KRData
h_data = hf.get_main_contract_bars('HSI',
start=zong_t[0],
end=(zong_t[-1] +
datetime.timedelta(days=27)))
# 3.按策略名字生成训练数据数据
for k in resdf.keys(): # 遍历里面的策略名
da = resdf[k] #da是df数据，所有月份和参数。
# 生成数据
if len(da.keys()) > 0:
print(f'{k}开始生成训练数据')
# trainda 数据格式：{时间：数据，时间：数据。}
trainda = generate_train_data2(da,
zong_t=zong_t,
hc_zq=hc_zq,
h_data=h_data)
train_datas[k] = trainda
print(f'训练数据已经添加，当前：{k}')
print('已存在》key：', train_datas.keys())
with open(train_path, 'wb') as f1:
pickle.dump(train_datas, f1)
print('生成完毕：已存在key：')
for i in train_datas.keys():
print(i)
print(f'\n保存在：{train_path}')
class DataFetcher(QThread):
def __init__(self, parent=None):
super().__init__(parent)
from KRData.HKData import HKFuture
self.hf = HKFuture()
self.finished.connect(self.parent().show_data_fetch_finished)
def run(self) -> None:
parent = self.parent()
if parent:
parent.raw_data['HSI'] = self.hf.get_main_contract_bars('HSI', start='20190101')
def __init__(self, parent=None):
super().__init__(parent)
from KRData.HKData import HKFuture
self.hf = HKFuture()
self.finished.connect(self.parent().show_data_fetch_finished)
def trade_review_in_notebook3(symbol,
executions: list = None,
pnlType='session'):
import ipywidgets as widgets
from IPython.display import display
from .HKData import HKFuture
if executions:
executions.sort(key=lambda e: e['datetime']) # 交易执行排序
open_close_match = []
if pnlType == 'session':
from collections import deque
pos_queue = deque()
match = []
for i, e in enumerate(executions):
pos_queue.append((i, e['size']) if e['direction'] == 'long' else (
i, -e['size']))
match.append(i)
if sum(p[1] for p in pos_queue) == 0:
pos_queue.clear()
open_close_match.append(match)
match = []
else:
if match:
open_close_match.append(match)
ktype = widgets.RadioButtons(options=[('1 min', 1), ('5 min', 5),
('15 min', 15), ('30 min', 30),
('60 min', 30)],
description='ktype')
annotate = widgets.Checkbox(value=False, description='annotate')
matchSelection = widgets.SelectMultiple(
options=[(str(m), m) for m in open_close_match],
rows=20,
layout=widgets.Layout(width='100%', height='100px'),
description='match',
disabled=False)
symbolWidget = widgets.Text(value=str(symbol),
description='symbol',
disable=True)
figSuffixWidget = widgets.Text(value='', description='figSuffix')
offsetWidget = widgets.IntSlider(min=0,
max=500,
step=10,
value=60,
continuous_update=False,
description='expand_offset')
fig = None
def save_fig(b):
if fig is not None:
try:
fig.savefig(f'{symbol}_{figSuffixWidget.value}.png')
except Exception as e:
print('errSaveFig:', e)
saveFigButton = widgets.Button(description='保存图片')
saveFigButton.on_click(save_fig)
savfig_box = widgets.HBox([saveFigButton, figSuffixWidget])
hf = HKFuture()
def show_data(match, ktype, expand_offset, annotate):
nonlocal fig
es = []
for m in match:
for i in m:
es.append(executions[i])
if not es:
print('请选择execution')
return
fig = hf.display_trades(symbol,
es,
period=ktype,
expand_offset=expand_offset,
annotate=annotate)
params = {
'match': matchSelection,
'ktype': ktype,
'expand_offset': offsetWidget,
'annotate': annotate
}
out = widgets.interactive_output(show_data, params)
display(symbolWidget, matchSelection, ktype, annotate, offsetWidget,
savfig_box, out)
def trade_review_in_notebook2(symbol=None,
mkdata=None,
period=1,
executions: list = None,
account=None,
date_from=None,
date_to=None,
expand_offset=120,
source='IB'):
import ipywidgets as widgets
from IPython.display import display
from dateutil import parser
import datetime as dt
import talib
import pandas as pd
import mpl_finance as mpf
if isinstance(expand_offset, tuple):
s_offset = expand_offset[0]
e_offset = expand_offset[1]
else:
s_offset = e_offset = expand_offset
if account and date_from and symbol:
# 在只填写accout与date_from的情况下，找出date_from当天，account中的所有交易记录
from KRData.IBData import IBTrade
ibt = IBTrade(account)
date_from = parser.parse(date_from) if isinstance(date_from,
str) else date_from
date_to = date_from + dt.timedelta(days=1) if date_to is None else (
parser.parse(date_to) if isinstance(date_to, str) else date_to)
fills = ibt[date_from:date_to:symbol]
if fills.count() < 1:
raise Exception(f'账户：{account}在{date_from}-{date_to}不存在交易记录')
conId = fills[0].contract.conId
executions = [{
'datetime':
f.time.replace(second=0) + dt.timedelta(hours=8),
'price':
f.execution.price,
'size':
f.execution.shares,
'direction':
'long' if f.execution.side == 'BOT' else 'short'
} for f in fills]
executions.sort(key=lambda e: e['datetime'])
start = executions[0]['datetime'] - dt.timedelta(minutes=s_offset)
end = executions[-1]['datetime'] + dt.timedelta(minutes=e_offset)
if source == 'IB':
barTypeMap = {
1: '1 min',
5: '5 mins',
15: '15 mins',
30: '30 mins',
60: '1 hour'
}
mkdata = ibt._ib_market.get_bars_from_ib(conId,
barType=barTypeMap.get(
period, '1 min'),
start=start,
end=end)
elif source == 'HK':
from KRData.HKData import HKFuture
hf = HKFuture()
mkdata = hf.get_bars(symbol,
start=start,
end=end,
ktype=f'{period}min',
queryByDate=False)
del hf
del ibt
elif mkdata is None and symbol:
# 在只填写execution的情况下，自动根据source获取数据
start = executions[0]['datetime'] - dt.timedelta(minutes=s_offset)
end = executions[-1]['datetime'] + dt.timedelta(minutes=e_offset)
if source == 'IB':
from KRData.IBData import IBMarket
ibm = IBMarket()
barTypeMap = {
1: '1 min',
5: '5 mins',
15: '15 mins',
30: '30 mins',
60: '1 hour'
}
mkdata = ibm.get_bars_from_ib(symbol,
barType=barTypeMap.get(
period, '1 min'),
start=start,
end=end)
del ibm
elif source == 'HK':
from KRData.HKData import HKFuture
hf = HKFuture()
mkdata = hf.get_bars(symbol,
start=start,
end=end,
ktype=f'{period}min',
queryByDate=False)
del hf
mkdata = _concat_executions(mkdata, executions)
mkdata['ma5'] = talib.MA(mkdata['close'].values, timeperiod=5)
mkdata['ma10'] = talib.MA(mkdata['close'].values, timeperiod=10)
mkdata['ma30'] = talib.MA(mkdata['close'].values, timeperiod=30)
mkdata['ma60'] = talib.MA(mkdata['close'].values, timeperiod=60)
symbolWidget = widgets.Text(value=str(symbol),
description='symbol',
disable=True)
fromWidget = widgets.Text(value='',
placeholder='yyyymmdd HH:MM:SS',
description='From:',
disabled=True)
toWidget = widgets.Text(value='',
placeholder='yyyymmdd HH:MM:SS',
description='To:',
disabled=True)
time_range_box = widgets.HBox([fromWidget, toWidget])
annotate = widgets.Checkbox(value=False, description='annotate')
offsetWidget = widgets.IntSlider(min=0,
max=500,
step=10,
value=60,
description='expand_offset')
executionSelection = widgets.SelectionRangeSlider(
options=[(str(_e['datetime']), _e['datetime']) for _e in executions],
index=(0, len(executions) - 1),
description='execution',
disabled=False,
continuous_update=False,
)
fig = None
def save_fig(b):
if fig is not None:
try:
fig.savefig('fig.png')
except Exception as e:
print('errSaveFig:', e)
saveFigButton = widgets.Button(description='保存图片')
saveFigButton.on_click(save_fig)
def show_data(e_select, offset, annotate):
nonlocal fig
s = e_select[0] - dt.timedelta(minutes=offset)
e = e_select[-1] + dt.timedelta(minutes=offset)
fromWidget.value = str(s)
toWidget.value = str(e)
temp_mkdata = mkdata[s:e]
fig = draw_klines(temp_mkdata, annotate=annotate)
params = {
'e_select': executionSelection,
'offset': offsetWidget,
'annotate': annotate
}
out = widgets.interactive_output(show_data, params)
display(symbolWidget, time_range_box, annotate, executionSelection,
offsetWidget, saveFigButton, out)
def __init__(self, hf: HKFuture, index='HSI', **arg):
self.hf = hf
self._DateList = hf.get_main_contract_trade_dates(index)
self.Test_Trade = True
self.std_base = 2.5
self.cls()
def __init__(self, hf: HKFuture, index='HSI'):
self.hf = hf
self._DateList = hf.get_main_contract_trade_dates(index)
self.trade_para()
self.Test_Trade = True
self.cls()