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
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