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)
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
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