def test_remote_data_service_daily_quited():
ds = RemoteDataService()
# test daily
res, msg = ds.daily('600832.SH', fields="",
start_date=20140828, end_date=20170831,
adjust_mode=None)
assert msg == '0,'
assert res.shape == (175, 13)
def my_globals(request):
ds = RemoteDataService()
df, msg = ds.daily("000001.SH, 600030.SH, 000300.SH", start_date=20170801, end_date=20170820,
fields="open,high,low,close,vwap,preclose")
multi_index_names = ['trade_date', 'symbol']
df_multi = df.set_index(multi_index_names, drop=False)
df_multi.sort_index(axis=0, level=multi_index_names, inplace=True)
dfx = df_multi.loc[pd.IndexSlice[:, :], pd.IndexSlice['close']].unstack()
dfy = df_multi.loc[pd.IndexSlice[:, :], pd.IndexSlice['open']].unstack()
parser = Parser()
request.function.func_globals.update({'parser': parser, 'dfx': dfx, 'dfy': dfy})
def run_strategy():
start_date = 20150501
end_date = 20171030
index = '399975.SZ'
ds = RemoteDataService()
ds.init_from_config()
symbol_list = ds.get_index_comp(index, start_date, start_date)
# add the benchmark index to the last position of symbol_list
symbol_list.append(index)
props = {
"symbol": ','.join(symbol_list),
"start_date": start_date,
"end_date": end_date,
"bar_type": "1d",
"init_balance": 1e7,
"std multiplier": 1.5,
"m": 10,
"n": 60,
"commission_rate": 2E-4
}
tapi = BacktestTradeApi()
ins = EventBacktestInstance()
strat = SectorRolling()
pm = PortfolioManager()
context = model.Context(data_api=ds,
trade_api=tapi,
instance=ins,
strategy=strat,
pm=pm)
ins.init_from_config(props)
ins.run()
ins.save_results(folder_path=result_dir_path)
ta = ana.EventAnalyzer()
ta.initialize(data_server_=ds, file_folder=result_dir_path)
df_bench, _ = ds.daily(index, start_date=start_date, end_date=end_date)
ta.data_benchmark = df_bench.set_index('trade_date').loc[:, ['close']]
ta.do_analyze(result_dir=result_dir_path,
selected_sec=props['symbol'].split(',')[:2])
def test_remote_data_service_daily():
ds = RemoteDataService()
# test daily
res, msg = ds.daily('rb1710.SHF,600662.SH', fields="",
start_date=20170828, end_date=20170831,
adjust_mode=None)
assert msg == '0,'
rb = res.loc[res.loc[:, 'symbol'] == 'rb1710.SHF', :]
stk = res.loc[res.loc[:, 'symbol'] == '600662.SH', :]
assert set(rb.columns) == {'close', 'code', 'high', 'low', 'oi', 'open', 'settle', 'symbol',
'trade_date', 'trade_status', 'turnover', 'volume', 'vwap'}
assert rb.shape == (4, 13)
assert rb.loc[:, 'volume'].values[0] == 189616
assert stk.loc[:, 'volume'].values[0] == 7174813
dfx = df_multi.loc[pd.IndexSlice[:, :], pd.IndexSlice['close']].unstack()
dfy = df_multi.loc[pd.IndexSlice[:, :], pd.IndexSlice['open']].unstack()
parser = Parser()
request.function.func_globals.update({
'parser': parser,
'dfx': dfx,
'dfy': dfy
})
if __name__ == "__main__":
ds = RemoteDataService()
df, msg = ds.daily("000001.SH, 600030.SH, 000300.SH",
start_date=20170801,
end_date=20170820,
fields="open,high,low,close,vwap,preclose")
ds.api.close()
multi_index_names = ['trade_date', 'symbol']
df_multi = df.set_index(multi_index_names, drop=False)
df_multi.sort_index(axis=0, level=multi_index_names, inplace=True)
dfx = df_multi.loc[pd.IndexSlice[:, :], pd.IndexSlice['close']].unstack()
dfy = df_multi.loc[pd.IndexSlice[:, :], pd.IndexSlice['open']].unstack()
parser = Parser()
g = globals()
g = {k: v for k, v in g.items() if k.startswith('test_') and callable(v)}